N-Q 1 aflcio_nq-seriesa.htm AFLCIO FORM N-Q SERIES A 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.
Katten Muchin Rosenman LLP
2900 K Street, N.W., North Tower – Suite 200
Washington, D.C.  20007-5118
 (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, 2015


*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, 2015 (Dollars in thousands; unaudited)
      
           
FHA Permanent Securities (2.8% of net assets)
      
           
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
           
Single Family
7.75%
Jul-2021
 $                  12
 $                 12
 $                12
           
Multifamily1
3.75%
Aug-2048
                 4,120
                4,116
              4,168
 
4.00%
Dec-2053
               66,045
              66,019
             69,185
 
5.35%
Mar-2047
                 7,475
                7,485
              7,842
 
5.55%
Aug-2042
                 8,143
                8,146
              8,389
 
5.60%
Jun-2038
                 2,528
                2,533
              2,554
 
5.65%
Oct-2038
                 1,961
                1,996
              1,962
 
5.80%
Jan-2053
                 2,069
                2,080
              2,293
 
5.87%
May-2044
                 1,815
                1,813
              1,992
 
5.89%
Apr-2038
                 4,745
                4,752
              4,938
 
6.02%
Jun-2035
                 4,837
                4,838
              4,888
 
6.20%
Apr-2052
               11,677
              11,672
             13,120
 
6.40%
Aug-2046
                 3,861
                3,863
              4,365
 
6.60%
Jan-2050
                 3,404
                3,438
              3,884
 
6.75%
Apr-2040 - Jul-2040
                 4,953
                4,936
              5,001
 
7.20%
Oct-2039
                 2,898
                2,904
              2,904
 
7.50%
Sep-2032
                 1,388
                1,384
              1,525
 
7.93%
Apr-2042
                 2,720
                2,720
              2,977
     
             134,639
            134,695
           141,987
Total FHA  Permanent Securities
  
 $          134,651
 $         134,707
 $        141,999
 
 
 
 
Schedule of Portfolio Investments
            
                 
March 31, 2015 (Dollars in thousands; unaudited)
          
                 
Ginnie Mae Securities (25.8% of net assets)
            
               
 
Interest Rate
Maturity Date
  
Unfunded      
Committments3
Face Amount
Amortized Cost
Value
               
Single Family
4.00%
Feb-2040 - Jun-2040
  
 $                      -
 $               9,233
 $                  9,358
 $               9,934
 
4.50%
Aug-2040
  
                         -
                  5,584
                     5,724
                  6,156
 
5.50%
Jan-2033 - Jun-2037
  
                         -
                  4,914
                     4,895
                  5,593
 
6.00%
Jan-2032 - Aug-2037
  
                         -
                  3,198
                     3,193
                  3,691
 
6.50%
Jul-2028
  
                         -
                       64
                          64
                       75
 
7.00%
Nov-2016 - Jan-2030
  
                         -
                  1,557
                     1,566
                  1,824
 
7.50%
Nov-2017 - Aug-2030
  
                         -
                     877
                        882
                  1,033
 
8.00%
Jun-2023 - Nov-2030
  
                         -
                     639
                        648
                     767
 
8.50%
Jun-2022 - Aug-2027
  
                         -
                     586
                        592
                     683
 
9.00%
Mar-2017 - Jun-2025
  
                         -
                     188
                        189
                     216
 
9.50%
Sep-2021 - Sep-2030
  
                         -
                       60
                          61
                       70
       
                            -
               26,900
                   27,172
               30,042
               
Multifamily1
2.11%
Apr-2033
  
                         -
                20,258
                   20,387
                20,370
 
2.18%
May-2039
  
                         -
                18,769
                   18,945
                19,004
 
2.31%
Nov-2051
  
                         -
                  7,076
                     7,079
                  6,763
 
2.32%
Apr-2054
  
                         -
                23,147
                   23,837
                22,700
 
2.35%
Jan-2054
  
                         -
                16,538
                   16,965
                16,215
 
2.55%
Feb-2048
  
                         -
                23,133
                   23,340
                22,840
 
2.70%
Jan-2053
  
                         -
                51,015
                   51,512
                49,582
 
2.72%
Feb-2044
  
                         -
                  3,506
                     3,627
                  3,530
 
2.82%
Apr-2050
  
                         -
                  1,500
                     1,538
                  1,500
 
2.87%
Feb-2036 - Dec-2043
  
                         -
                25,000
                   25,380
                25,508
 
2.89%
Mar-2046
  
                         -
                32,000
                   32,271
                32,242
 
3.00%
Feb-2056
  
                         -
                20,000
                   20,125
                20,103
 
3.05%
May-2044
  
                         -
                45,500
                   45,876
                46,606
 
3.06%
Aug-2040
  
                         -
                10,000
                   10,296
                10,280
 
3.10%
Jan-2044
  
                         -
                10,000
                   10,009
                10,297
 
3.13%
Nov-2040
  
                         -
                  2,000
                     2,062
                  2,064
 
3.17%
Oct-2043
  
                         -
                10,570
                   10,704
                10,765
 
3.19%
Jan-2049
  
                         -
                17,025
                   17,795
                17,207
 
3.20%
Jul-2041 - Oct-2053
  
                         -
                24,908
                   25,079
                25,729
 
3.25%
Sep-2054
  
                         -
                35,000
                   34,660
                35,658
 
3.26%
Feb-2038 - Nov-2043
  
                         -
                25,000
                   25,202
                25,658
 
3.30%
May-2055
  
                         -
                10,000
                     9,491
                10,109
 
3.31%
Nov-2037
  
                         -
                     142
                        147
                     142
 
3.35%
Nov-2042 - Mar-2044
  
                         -
                25,000
                   24,400
                25,777
 
3.37%
Dec-2046
  
                         -
                19,200
                   19,510
                19,690
 
3.40%
Apr-2017 - Jul-2046
  
                         -
                  8,805
                     9,101
                  9,058
 
3.49%
Mar-2042
  
                         -
                28,000
                   29,285
                29,258
 
3.49%
Feb-2044
  
                         -
                  4,000
                     4,244
                  4,128
 
3.50%
Feb-2051 - Jan-2054
  
                         -
                31,363
                   31,185
                32,490
 
3.55%
May-2042
  
                         -
                10,000
                   10,194
                10,578
 
3.64%
Sep-2041
  
                         -
                10,000
                   10,754
                10,569
 
3.67%
Oct-2043
  
                         -
                18,306
                   18,452
                18,721
 
3.81%
Nov-2053
  
                         -
                54,768
                   55,420
                59,065
 
3.81%
Dec-2053
  
                         -
                10,844
                   10,953
                11,713
 
3.85%
Oct-2054
  
                         -
                31,732
                   31,901
                34,716
 
3.89%
Sep-2046
  
                         -
                10,000
                   10,851
                10,586
 
3.95%
Dec-2045 - Jul-2053
  
                         -
                14,608
                   14,194
                15,698
 
3.99%
Sep-2043
  
                         -
                14,525
                   15,177
                14,900
 
4.00%
Jun-2045
  
                         -
                20,000
                   20,290
                21,324
 
4.00%
May-2049
  
                         -
                31,500
                   34,126
                33,515
 
4.01%
Apr-2046
  
                         -
                10,000
                   10,035
                10,794
 
4.05%
Feb-2052
  
                         -
                  6,480
                     6,484
                  6,921
 
4.15%
Apr-2053
  
                         -
                68,718
                   70,080
                74,788
 
4.15%
Jun-2053
  
                         -
                  2,236
                     2,272
                  2,402
 
4.24%
May-2041
  
                         -
                  7,000
                     7,441
                  7,385
 
4.25%
Sep-2038
  
                         -
                38,656
                   38,918
                41,758
 
4.42%
Feb-2031
  
                         -
                32,618
                   32,781
                34,772
 
4.63%
 Sep-2037 2
                         -
                  1,500
                     1,460
                  1,525
 
4.73%
Nov-2045
  
                         -
                     244
                        248
                     245
 
4.83%
 May-2046 2
                         -
                  5,095
                     5,095
                  5,148
 
4.86%
Jan-2053
  
                         -
                41,618
                   41,929
                46,476
 
4.87%
Apr-2042
  
                         -
                95,650
                   96,422
              105,673
 
4.90%
 Mar-2044 2
                         -
                  1,000
                        991
                  1,023
 
4.92%
Sep-2034
  
                         -
                       86
                          88
                       87
 
4.94%
 Jun-2046 2
                         -
                  3,695
                     3,700
                  3,704
 
4.99%
Mar-2030
  
                         -
                  1,211
                     1,286
                  1,218
 
5.01%
Mar-2038
  
                         -
                12,626
                   13,083
                13,042
 
5.05%
 Apr-2049 2
                         -
                  2,810
                     2,812
                  2,885
 
5.15%
Dec-2050
  
                         -
                15,473
                   15,317
                17,429
 
5.21%
Mar-2053
  
                         -
                49,215
                   49,278
                55,446
 
 
 
 
Schedule of Portfolio Investments
            
                 
March 31, 2015 (Dollars in thousands; unaudited)
          
                 
Ginnie Mae Securities (25.8% of net assets)
 
 
Interest Rate
Maturity Date    
Unfunded      
Committments3
Face Amount
Amortized Cost
Value
 
5.25%
Apr-2037
  
                         -
                19,750
                   19,743
                21,830
 
5.34%
Jul-2040
  
                         -
                18,000
                   17,728
                19,880
 
5.55%
May-2049
2
                         -
                10,250
                   10,252
                10,580
       
                         -
           1,218,669
              1,233,807
           1,281,669
               
Forward Commitments1,3
4.70%
Sep-2056
  
                    3,400
                        -
                        170
                     219
 
5.45%
Feb-2055
  
                    2,650
                        -
                           -
                     359
       
                    6,050
                        -
                        170
                     578
Total Ginnie Mae Securities
  
 $                 6,050
 $        1,245,569
 $           1,261,149
 $        1,312,289
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
Schedule of Portfolio Investments
          
                 
March 31, 2015 (Dollars in thousands; unaudited)
          
                 
Ginnie Mae Construction Securities (1.2% of net assets)
      
                 
 
           Interest Rates4
            
 
Permanent
Construction
Maturity Date
  
Unfunded    
Commitments5
Face Amount
Amortized Cost
Value
                 
Multifamily1
3.85%
6.25%
Jan-2056
  
 $        23,155
 $        10,245
 $           10,590
 $          13,452
 
3.90%
3.90%
Apr-2055
  
             1,148
           15,824
              16,500
             17,384
 
4.09%
4.09%
Feb-2056
  
           33,544
           24,540
              25,425
             30,170
Total Ginnie Mae Construction Securities
  
 $        57,847
 $        50,609
 $           52,515
 $          61,006
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Schedule of Portfolio Investments
      
             
March 31, 2015 (Dollars in thousands; unaudited)
      
             
Fannie Mae Securities (34.4% of net assets)
      
             
 
Interest Rate            
Maturity Date
Face Amount
Amortized Cost
Value
             
Single Family
0.42%
6
Mar-2037
 $                       668
 $                660
 $                   667
 
0.47%
6
Jul-2043
                     20,520
              20,360
                 20,392
 
0.49%
6
Jun-2037
                       3,147
                3,148
                   3,153
 
0.52%
6
Mar-2043
                     16,974
              16,934
                 16,926
 
0.52%
6
Nov-2044
                     41,559
              41,566
                 41,458
 
0.55%
6
Nov-2042
                     11,522
              11,528
                 11,494
 
0.57%
 6
Apr-2037 - Oct-2042
 17,807 17,813 17,770
 
0.63%
6
Oct-2042
                       9,757
                9,810
                   9,778
 
0.67%
6
Dec-2040
                     33,595
              33,327
                 33,739
 
0.67%
 6
Jun-2042 - Feb-2043
 32,567  32,588  32,741
 
0.69%
6
Jun-2042
                       7,435
                7,482
                   7,513
 
0.72%
6
Mar-2042
                     17,768
              17,805
                 17,861
 
0.77%
 6
Mar-2042 - Oct-2043
 22,274 22,360 22,539
 
1.93%
6
Nov-2033
                       3,527
                3,529
                   3,706
 
1.98%
6
Aug-2033
                         261
                   260
                      273
 
2.06%
6
Jul-2033
                         475
                   472
                      500
 
2.17%
6
Apr-2034
                       2,001
                2,061
                   2,136
 
2.22%
6
Sep-2035
                       1,049
                1,045
                   1,115
 
2.25%
 6
May-2033 - Nov-2034
 2,648 2,708 2,813
 
2.32%
6
Aug-2033
                       2,291
                2,286
                   2,439
 
2.34%
 6
Jul-2033 - Aug-2033
 3,714 3,723  3,968
 
3.00%
  
Apr-2042 - Dec-2042
 18,168 18,774  18,642
 
3.50%
  
Oct-2026 - Nov-2042
 56,391 58,570 59,350
 
4.00%
  
Jun-2018 - Jan-2045
 88,198  91,335 94,484
 
4.50%
  
Oct-2015 - Sep-2043
 86,780  90,242 94,354
 
4.50%
  
Jul-2041
                     21,684
              23,073
                 23,740
 
5.00%
  
Sep-2016 - Apr-2041
 38,172 39,470 42,075
 
5.50%
  
Jul-2017 - Jun-2038
 20,433 20,511 22,882
 
6.00%
  
Apr-2016 - Nov-2037
 10,603 10,664  12,134
 
6.50%
  
Nov-2016 - Jul-2036
 2,428  2,480 2,756
 
7.00%
  
Nov-2016 - May-2032
 1,512 1,514 1,759
 
7.50%
  
Nov-2016 - Sep-2031
 503 504 586
 
8.00%
  
Apr-2030 - May-2031
 80 81 86
 
8.50%
  
Jul-2015 - Apr-2031
 72 73 80
 
9.00%
  
May-2025
                             1
                      1
                         1
       
                   596,584
             608,757
                625,910
             
Multifamily1
0.53%
  
Jan-2023
4,784
4,780
4,780
 
2.21%
  
Dec-2022
32,463
32,499
32,635
 
2.21%
  
Dec-2022
24,637
24,665
24,767
 
2.24%
  
Dec-2022
32,413
32,450
32,645
 
2.26%
  
Nov-2022
6,718
6,766
6,777
 
2.48%
  
Jul-2021
45,000
45,188
46,114
 
2.71%
  
Jan-2021
8,850
8,863
9,184
 
2.84%
  
Mar-2022
3,729
3,760
3,892
 
2.85%
  
Mar-2022
33,000
33,149
34,466
 
2.99%
  
Jun-2025
2,750
2,770
2,873
 
3.22%
  
Sep-2026
28,451
28,534
29,989
 
3.36%
  
Dec-2023 - Oct-2029
20,802
20,890
22,085
 
3.40%
  
Oct-2026
3,179
3,215
3,411
 
3.41%
  
Sep-2023
14,778
15,027
15,900
 
3.43%
  
Oct-2026
7,608
7,693
8,132
 
3.46%
  
Dec-2023
3,500
3,526
3,757
 
3.54%
  
Oct-2021
7,427
7,473
7,997
 
3.61%
  
Sep-2023
6,779
6,890
7,362
 
3.66%
  
Jul-2021
117,949
118,099
127,362
 
3.66%
  
Oct-2023
4,981
5,079
5,393
 
3.87%
  
Sep-2023
2,613
2,717
2,863
 
4.00%
  
Sep-2021
15,747
15,764
16,935
 
4.03%
  
Oct-2021
7,144
7,153
7,850
 
4.06%
  
Oct-2025
25,201
25,339
27,560
 
4.15%
  
Jun-2021
9,257
9,275
10,170
 
4.22%
  
Jul-2018
1,714
1,711
1,804
 
4.25%
  
May-2021
4,267
4,267
4,707
 
4.27%
  
Nov-2019
6,008
6,000
6,583
 
4.32%
  
Nov-2019
2,968
2,967
3,259
 
4.33%
  
Nov-2019 - Mar-2021
6,030
6,033
6,657
 
4.33%
  
Mar-2020
20,000
19,989
22,063
 
4.38%
  
Apr-2020
10,196
10,212
11,250
 
4.44%
  
May-2020
6,043
6,046
6,691
 
4.49%
  
Jun-2021
980
990
1,087
 
4.50%
  
Feb-2020
4,232
4,231
4,572
 
4.52%
  
Nov-2019 - May-2021
7,186
7,229
7,952
 
4.55%
  
Nov-2019
2,836
2,835
3,130
 
4.56%
  
Jul-2019 - May-2021
8,428
8,452
9,297
 
4.64%
  
Aug-2019
18,121
18,124
19,995
 
4.66%
  
Jul-2021
1,343
1,355
1,461
 
4.68%
  
Jul-2019
13,108
13,078
14,464
 
4.69%
  
Jan-2020 - Jun-2035
14,015
14,072
15,545
 
 
Schedule of Portfolio Investments
      
             
March 31, 2015 (Dollars in thousands; unaudited)
      
             
Fannie Mae Securities (34.4% of net assets)
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
 
4.71%
  
Mar-2021
5,875
5,937
6,585
 
4.73%
  
Feb-2021
1,541
1,554
1,727
 
4.80%
  
Jun-2019
2,142
2,137
2,370
 
4.86%
  
May-2019
1,431
1,429
1,586
 
4.89%
  
Nov-2019
868
871
969
 
4.94%
  
Apr-2019
3,461
3,453
3,834
 
5.00%
  
Jun-2019
1,869
1,866
2,076
 
5.02%
  
Jun-2019
810
813
901
 
5.04%
  
Jun-2019
1,849
1,848
2,057
 
5.05%
  
Jun-2019 - Jul-2019
3,154
3,151
3,512
 
5.08%
  
Apr-2021
40,000
40,002
45,076
 
5.09%
  
Jun-2018
6,291
6,366
6,789
 
5.11%
  
Jul-2019
864
868
963
 
5.12%
  
Jul-2019
8,630
8,610
9,622
 
5.13%
  
Jul-2019
878
875
981
 
5.15%
  
Oct-2022
2,921
2,937
3,217
 
5.25%
  
Jan-2018 - Jan-2020
9,811
9,808
10,738
 
5.29%
  
May-2022
5,201
5,201
5,945
 
5.30%
  
Aug-2029
6,434
6,305
7,254
 
5.37%
  
Jun-2017
1,357
1,369
1,425
 
5.45%
  
May-2033
2,749
2,760
3,003
 
5.46%
  
Feb-2017
41,305
41,413
43,950
 
5.47%
  
Aug-2024
8,201
8,243
9,192
 
5.52%
  
Mar-2018
581
588
629
 
5.53%
  
Apr-2017
60,286
60,289
64,408
 
5.59%
  
May-2017
6,643
6,642
6,988
 
5.60%
  
Feb-2018 - Jan-2024
10,763
10,764
12,234
 
5.63%
  
Dec-2019
6,785
6,808
7,375
 
5.69%
  
Jun-2041
4,816
4,960
5,452
 
5.70%
  
Jun-2016
1,308
1,311
1,352
 
5.75%
  
Jun-2041
2,334
2,415
2,654
 
5.86%
  
Dec-2016
90
90
94
 
5.91%
  
Mar-2037
1,938
1,978
2,214
 
5.92%
  
Dec-2016
63
63
66
 
5.96%
  
Jan-2029
385
387
430
 
6.03%
  
Jun-2017 - Jun-2036
4,828
4,898
5,117
 
6.06%
  
Jul-2034
9,215
9,428
10,379
 
6.11%
  
Aug-2017
4,128
4,141
4,500
 
6.13%
  
Dec-2016
1,091
1,097
1,169
 
6.14%
  
Sep-2033
284
298
317
 
6.15%
  
Jul-2019
32,474
32,477
36,807
 
6.15%
  
Jan-2023 - Oct-2032
6,922
6,959
7,375
 
6.22%
  
Aug-2032
1,636
1,663
1,792
 
6.23%
  
Sep-2034
1,345
1,390
1,522
 
6.28%
  
Nov-2028
2,717
2,833
3,036
 
6.35%
  
Aug-2032
9,993
10,019
10,962
 
6.38%
  
Jul-2021
5,293
5,309
6,187
 
6.39%
  
Apr-2019
879
876
930
 
6.52%
  
May-2029
4,964
5,272
5,635
 
6.63%
  
Apr-2019
1,999
1,999
2,107
 
6.80%
  
Jul-2016
170
170
177
 
7.01%
  
Apr-2031
2,988
2,989
3,149
 
7.07%
  
Feb-2031
14,998
15,106
15,688
 
7.18%
  
Aug-2016
114
114
120
 
7.20%
  
Aug-2029
826
815
829
 
7.26%
  
Dec-2018
5,658
5,723
5,858
 
7.75%
  
Dec-2024
1,453
1,453
1,460
 
8.40%
  
Jul-2023
361
357
363
 
8.50%
  
Nov-2019
2,134
2,229
2,465
 
8.63%
  
Sep-2028
5,340
5,340
5,369
       
                   972,679
             976,221
             1,046,397
             
TBA7
3.04%
  
Apr-2030
25,100
25,273
25,538
 
3.05%
  
Apr-2030
28,800
28,863
29,290
 
3.12%
  
Apr-2030
14,000
14,009
14,366
 
3.42%
  
Apr-2035
5,555
5,686
5,822
       
                     73,455
              73,831
                 75,016
Total Fannie Mae Securities
    
 $              1,642,718
 $       1,658,809
 $          1,747,323
 
 
 
 
 
Schedule of Portfolio Investments
          
             
March 31, 2015 (Dollars in thousands; unaudited)
      
             
Freddie Mac Securities (14.6% of net assets)
      
             
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
             
Single Family
0.48%
6
Feb-2036
 $             3,055
 $                 3,055
 $              3,068
 
0.53%
6
Apr-2036 - Aug-2044
              34,778
                  34,788
               34,744
 
0.58%
6
Aug-2043
                8,791
                    8,785
                 8,792
 
0.66%
6
Oct-2040
                8,277
                    8,269
                 8,330
 
0.68%
6
Oct-2040 - Jun-2044
              59,509
                  59,621
               59,882
 
0.68%
6
Jun-2042
              14,164
                  14,069
               14,166
 
0.85%
6
Aug-2037
                7,607
                    7,724
                 7,725
 
2.27%
6
Jul-2035
                   626
                       624
                    669
 
2.35%
6
Jun-2033 - Oct-2033
                2,164
                    2,149
                 2,308
 
3.00%
  
Aug-2042 - Nov-2043
            133,645
                136,451
             136,783
 
3.50%
  
Jan-2026 - Oct-2044
            113,820
                117,503
             119,830
 
4.00%
  
Aug-2020 - Mar-2045
            132,935
                140,392
             142,310
 
4.50%
  
Aug-2018 - Mar-2044
            111,662
                117,805
             121,997
 
5.00%
  
Jan-2019 - Mar-2041
              25,844
                  26,357
               28,163
 
5.50%
  
Oct-2017 - Jul-2038
              10,449
                  10,389
               11,716
 
6.00%
  
Aug-2016 - Feb-2038
                9,140
                    9,267
               10,477
 
6.50%
  
Feb-2016 - Nov-2037
                1,347
                    1,362
                 1,548
 
7.00%
  
Dec-2015 - Mar-2030
                    83
                        77
                     96
 
7.50%
  
Aug-2029 - Apr-2031
                    87
                        84
                    104
 
8.00%
  
Jul-2015 - Feb-2030
                    20
                        19
                     25
 
8.50%
  
Nov-2018 - Jan-2025
                   104
                       104
                    123
 
9.00%
  
Mar-2025
                    63
                        63
                     75
       
          678,170
              698,957
           712,931
             
Multifamily1
2.95%
  
Jan-2018
                2,225
                    2,169
                 2,295
 
5.38%
  
Dec-2028
              20,000
                  20,004
               22,172
 
5.42%
  
Apr-2016
                1,978
                    1,976
                 2,055
 
5.65%
  
Apr-2016
                4,022
                    4,024
                 4,194
       
              28,225
                  28,173
               30,716
Total Freddie Mac Securities
    
 $          706,395
 $              727,130
 $           743,647
 
 
 
 
Schedule of Portfolio Investments
        
           
March 31, 2015 (Dollars in thousands; unaudited)
      
           
Commercial Mortgage-Backed Securities1 (2.9% of net assets)
    
           
           
Issuer
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
           
Nomura
2.77%
Dec-2045
 $           10,000
 $               10,185
 $            10,181
Deutsche Bank
2.94%
Jan-2046
              19,070
                  19,588
               19,613
Nomura
3.19%
Mar-2046
              20,000
                  20,445
               20,817
JP Morgan
3.48%
Jun-2045
              10,000
                  10,514
               10,666
Citigroup
3.62%
Jul-2047
                8,000
                    8,233
                 8,570
Barclays/ JP Morgan
3.81%
Jul-2047
                2,250
                    2,315
                 2,436
RBS/ Wells Fargo
3.82%
Aug-2050
                5,000
                    5,146
                 5,423
Deutsche Bank/UBS
3.96%
Mar-2047
                5,000
                    5,144
                 5,466
Barclays/ JP Morgan
4.00%
Apr-2047
                5,000
                    5,145
                 5,480
Cantor/Deutsche Bank
4.01%
Apr-2047
              20,000
                  20,576
               21,952
Barclays/ JP Morgan
4.08%
Feb-2047
                6,825
                    7,207
                 7,535
Cantor/Deutsche Bank
4.24%
Feb-2047
                7,000
                    7,200
                 7,835
Deutsche Bank
5.00%
Nov-2046
              18,990
                  19,480
               21,671
Total Commercial Mortgage Backed Securities
 $          137,135
 $              141,178
 $           147,645
 
 
 
 
 
 
 
 
 
 
Schedule of Portfolio Investments
            
                 
March 31, 2015 (Dollars in thousands; unaudited)
          
                 
State Housing Finance Agency Securities (5.8% of net assets)
  
                 
                 
   
Interest Rates4
          
 
Issuer
Permanent
Construction
Maturity Date
Face Amount
Amortized Cost
Value
                 
Multifamily1
Minnesota Housing Authority
 -
0.60%
May-2016
  
 $        27,000
 $            27,017
 $          27,002
 
MassHousing
 -
3.25%
Oct-2015
8
            4,060
                4,060
              4,064
 
MassHousing
 -
3.45%
Oct-2017
8
           32,392
               32,230
             32,372
 
MassHousing
 -
3.45%
Oct-2017
8
           20,151
               20,050
             20,136
 
MassHousing
 -
3.50%
Oct-2015
8
            5,860
                5,860
              5,855
 
NYC Housing Development Corp
3.75%
              -
May-2035
  
            5,000
                5,000
              5,110
 
MassHousing
4.00%
 -
Dec-2028
  
            5,000
                5,104
              5,199
 
NYC Housing Development Corp
4.04%
 -
Nov-2032
  
            1,305
                1,305
              1,324
 
MassHousing
4.13%
 -
Dec-2036
  
            5,000
                5,000
              5,079
 
MassHousing
4.20%
 -
Dec-2039
  
            8,305
                8,305
              8,437
 
NYC Housing Development Corp
4.25%
 -
Nov-2025
  
            1,150
                1,150
              1,192
 
NYC Housing Development Corp
4.29%
 -
Nov-2037
  
            1,190
                1,190
              1,213
 
NYC Housing Development Corp
4.40%
 -
Nov-2024
  
            4,120
                4,120
              4,416
 
NYC Housing Development Corp
4.44%
 -
Nov-2041
  
            1,120
                1,120
              1,153
 
NYC Housing Development Corp
4.49%
 -
Nov-2044
  
            1,000
                1,000
              1,032
 
NYC Housing Development Corp
4.50%
 -
Nov-2030
  
            1,680
                1,682
              1,751
 
MassHousing
4.50%
 -
Dec-2056
  
           45,000
               45,000
             46,109
 
NYC Housing Development Corp
4.60%
 -
Nov-2030
  
            4,665
                4,665
              4,823
 
NYC Housing Development Corp
4.70%
 -
Nov-2035
  
            1,685
                1,685
              1,742
 
NYC Housing Development Corp
4.78%
 -
Aug-2026
  
           12,500
               12,504
             13,067
 
NYC Housing Development Corp
4.80%
 -
Nov-2040
  
            2,860
                2,862
              2,969
 
NYC Housing Development Corp
4.90%
 -
Nov-2034 - Nov-2041
    8,800  8,800 9,128
 
NYC Housing Development Corp
4.95%
 -
Nov-2039 - May-2047
   13,680   13,682 14,247
 
MassHousing
5.55%
 -
Nov-2039
  
            5,000
                4,980
              5,517
 
MassHousing
5.69%
 -
Nov-2018
  
            3,625
                3,626
              3,822
 
MassHousing
5.70%
 -
Jun-2040
  
           13,755
               13,757
             14,561
 
NYC Housing Development Corp
5.92%
 -
Dec-2037
  
            6,025
                6,026
              6,043
 
MassHousing
6.42%
 -
Nov-2039
  
           22,000
               22,000
             24,119
 
MassHousing
6.50%
 -
Dec-2039
  
               710
                   713
                 774
 
MassHousing
6.58%
 -
Dec-2039
  
           11,385
               11,388
             12,501
 
MassHousing
6.70%
 -
Jun-2040
  
           11,250
               11,250
             12,258
Total State Housing Finance Agency Securities
    
 $      287,273
 $          287,131
 $        297,015
 
 
 
 
 
Schedule of Portfolio Investments
            
                   
March 31, 2015 (Dollars in thousands; unaudited)
        
                   
Other Mutifamily Investments (0.3% of net assets)
        
                   
                   
   
Interest Rates4
    
       Unfunded
    
 
Issuer
Permanent
Construction
Maturity Date
Commitments5
Face Amount
Amortized Cost
Value
                   
Direct Loans1
                
 
Harry Silver
 -
2.70%
  
Oct-2016
 $                 -
 $           5,197
 $          5,177
 $          5,193
 
Harry Silver
 -
2.70%
3
Oct-2016
            2,803
                 -
                 -
                 (2)
           
            2,803
            5,197
            5,177
            5,191
Privately Insured Construction/Permanent Mortgages1,9
      
 
IL Housing Development Authority
5.40%
 -
  
Mar-2047
  
 $           8,364
 $          8,367
 $          8,137
 
IL Housing Development Authority
6.20%
 -
  
Dec-2047
  
            3,152
            3,163
            3,130
 
IL Housing Development Authority
6.40%
    
Nov-2048
  
               951
               963
              940
           
                 -
          12,467
           12,493
          12,207
Total Other Multifamily Investments
    
 $         2,803
 $        17,664
 $        17,670
 $       17,398
 
 
 
 
 
 
 
Schedule of Portfolio Investments
        
           
March 31, 2015 (Dollars in thousands; unaudited)
      
           
United States Treasury Securities (8.9% of net assets)
      
           
           
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
           
 
0.75%
Feb-2018
 $             10,000
 $             9,996
 $            9,964
 
1.38%
Sep-2018
                25,000
              24,966
             25,258
 
1.50%
Dec-2018 - Feb-2019
                30,000
              29,760
             30,382
 
2.13%
Aug-2021
                 5,000
                5,052
               5,145
 
2.25%
Nov-2024
                75,000
              77,705
             77,084
 
2.38%
Aug-2024
                90,000
              90,530
             93,532
 
2.50%
May-2024
                50,000
              49,618
             52,505
 
2.75%
Nov-2023
                20,000
              19,655
             21,442
 
2.75%
Feb-2024
                25,000
              24,989
             26,781
 
3.00%
Nov-2044
                15,000
              16,843
             16,430
 
3.13%
May-2041
                30,000
              31,163
             32,648
 
3.13%
Aug-2044
                55,000
              56,837
             61,625
Total United States Treasury Securities
  
 $           430,000
 $          437,114
 $         452,796
           
Total Fixed-Income Investments
  
 $        4,652,014
 $       4,717,403
 $      4,921,118
 
 
 
 
 
Schedule of Portfolio Investments
      
           
March 31, 2015 (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.10
 
1,000
 $                   1
 $                   -
 $                (30)
Total Equity Investment
  
1,000
 $                  1
 $                  -
 $               (30)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Schedule of Portfolio Investments
          
             
March 31, 2015 (Dollars in thousands; unaudited)
      
             
Short-Term Investments (4.3% of net assets)
      
             
             
Issuer
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
             
NYC Housing Development Corp
0.01%
11
Dec-2045
 $            8,265
 $               8,265
  $         8,265
Blackrock Federal Funds 30
0.01%
  
Apr-2015
         208,866
            208,866
      208,866
Total Short-Term Investments
    
 $      217,131
 $         217,131
 $   217,131
             
             
Total Investments
      
 $   4,869,146
 $      4,934,535
 $5,138,219
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Schedule of Portfolio Investments
     
March 31, 2015
 
         
Footnotes
    
         
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 unfunded amount of the forward commitments totaled $8.9 million at year-end.
         
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 Trust may make commitments in securities that fund over time. Generally, GNMA construction securities fund over a
   
12-to 24 month period. Funding periods for State Housing Finance Agency construction securities and Direct Loans vary by deal,
   
but generally fund over a zero- to 48-month period.
         
6
  
The coupon rate shown on these floating or adjustable rate securities represents the rate at period end.
         
7
  
Represents to be announced (TBA) securities; the particular securities to be delivered are not identified at 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.
         
8
  
Securities exempt from registration under the Securities Act of 1933 and 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, 2017.
   
The notes are backed by mortgages and are general obligations of MassHousing, therefore 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
  
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.
         
10
  
The HIT holds the shares of Building America CDE, Inc. (BACDE), a wholly owned subsidiary of the HIT. Building America is a
   
Community Development Entity, certified by the Community Development Financial Institutions Fund of the U.S. Department
   
of Treasury. The fair value of the HIT's investment in BACDE approximates its carrying value.
         
11
  
Variable rate bond with a weekly interest rate reset and can be redeemed at par, with accrued and unpaid interest, with a
   
seven-day advance notice. The coupon rate shown represents the rate at period end.
         
 
 
 
 
 
 
 
 
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited
As of March 31, 2015

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.

Participation in the HIT is limited to eligible pension plans and  labor organizations, including health and welfare, 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 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 (for example, multifamily mortgage-backed securities, and construction mortgage securities and loans) are valued at their fair value determined in good faith under consistently applied procedures adopted by the HIT’s Board of Trustees using dealer quotes and discounted cash flow models. The respective cash flow models utilize inputs from matrix pricing which considers observable 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. The HIT has also 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.

Commercial mortgage-backed securities are valued using dealer quotes in a discounted cash flow model and/or independent pricing services. Pricing services generally base prices on a single cash flow model, determine a benchmark yield, and utilize available trade information, dealer quotes and market color.

Real estate mortgage conduits are valued using a dealer quote and/or independent pricing services. Pricing services generally base prices on a single cash flow model, determine a benchmark yield, and utilize available trade information, dealer quotes, market color, and prepayment speed.

The HIT holds the shares of Building America CDE, Inc. (BACDE), a wholly owned subsidiary of the HIT. 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 approximates BACDE’s carrying value.

Investments in registered open-end investment management companies are valued based upon the NAVs of such investments.

Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value.

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, 2015:
  
Investment Securities:
($ in thousands)
 
Level 1
 
Level 2
 
Level 3
 
Total
FHA Permanent Securities
        
Multifamily
$                 -
$          141,987
$              -
$    141,987
Single Family
   -
   -
12
12
Total FHA Permanent Securities
   -
141,987
12
141,999
Ginnie Mae Securities
   -
1,311,711
-
1,311,711
Ginnie Mae Construction Securities
   -
61,006
-
61,006
Fannie Mae Securities
   -
1,672,307
-
1,672,307
Freddie Mac Securities
   -
743,647
-
743,647
Commercial Mortgage-Backed Securities
   -
147,645
-
147,645
State Housing Finance Agency Securities
   -
297,015
-
297,015
Other Multifamily Investments
        
Direct Loans
-
-
5,191
5,191
Privately Insured Construction/Permanent Mortgages
-
12,207
-
12,207
Total Other Multifamily Investments
-
12,207
5,191
17,398
United States Treasury Securities
   -
452,796
-
452,796
Equity Investments
-
-
(30)
(30)
Short-Term Investments
217,131
-
-
217,131
Other Financial Instruments*
   -
75,594
-
75,594
 
Total Investment
$     217,131
$         4,915,915
$        5,173
$5,138,219

*If held in the portfolio at report date, other financial instruments include forward commitments, TBA and when-issued securities.

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended March 31, 2015:

 
Investments in Securities ($ in thousands)
 
FHA Permanent
Other Multifamily Investments
Equity Investments
Total
Beginning balance,12/31/2014
$13
$        -
$(69)
$   (56)
Cost of Purchase
-
5,191
-
5,191
Total Unrealized Gain(Loss)(a)
-
  
39
39
Paydowns
(1)
-
-
(1)
Ending balance, 3/31/2015
$12
$5,191
$(30)
 $5,173
Net change in unrealized gain (loss) attributable to Level 3 securities held at March 31, 2015 totaled ($151,000) and is included in the Statement of Operations.

 
 
 
Level 3 securities primarily consists of two Direct Loans which were fair valued, in accordance with Trust policies, near par at March 31, 2015, due to: a coupon rate of 2.70% , low loan-to-value estimates, and remaining expected maturities of 18 months or less.

Federal Income Taxes

At March 31, 2015, the cost of investments for federal income tax purposes approximated book cost at amortized cost of $4,934,535,000.  Net unrealized gains aggregated $203,684,000 at period-end, of which $213,752,000 related to appreciated investments and $10,068,000 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 and 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 26, 2015

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 26, 2015


/s/ Erica Khatchadourian
Erica Khatchadourian
Chief Financial Officer
(Principal Financial Officer)
Date: May 26, 2015