N-Q 1 d68285_nq.txt QUARTERLY REPORT 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: 811-3493 Series Identifier: S000009768 Class Identifier: C000026832 American Federation of Labor and Congress of Industrial Organizations Housing Investment Trust (Exact name of registrant as specified in charter) 1717 K Street, N.W., Suite 707, Washington, D.C. 20036 (Address of principal executive offices) (Zip code) Kenneth G. Lore Bingham McCutchen LLP 3000 K Street, N.W., Suite 300, Washington, D.C. 20007 (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, 2006 Item 1. Schedule of Investments. Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) FHA Permanent Securities (4.4% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ------------------------------------------------------------------------------------------------------------------- Single Family 7.75% Jul-2021-Aug-2021 $ 37 $ 37 $ 37 8.00% Jul-2021 34 34 34 ------------------------------------------------------------------------------------------------------------------- 71 71 71 ------------------------------------------------------------------------------------------------------------------- Multifamily(1) 5.25% Mar-2024 5,250 5,282 5,075 5.60% Jun-2038 2,903 2,908 2,878 5.62% Jun-2014 781 782 771 5.65% Oct-2038 2,225 2,298 2,200 5.87% Jun-2044 1,978 1,979 1,995 6.02% Jun-2035 7,243 7,245 7,366 6.66% May-2040 5,786 5,788 5,921 6.70% Dec-2042 6,039 6,040 6,309 6.75% Feb-2039-Jul-2040 6,512 6,482 6,881 6.88% Apr-2031 28,907 28,593 30,037 7.00% Jun-2039 6,067 6,110 6,234 7.05% Jul-2043 5,349 5,349 5,724 7.13% Mar-2040 7,930 7,904 8,597 7.20% Dec-2033-Oct-2039 10,144 10,147 10,970 7.50% Sep-2032 1,640 1,644 1,837 7.70% Oct-2039 12,154 12,095 12,645 7.75% Oct-2038 1,402 1,395 1,436 7.88% Nov-2036-Jul-2038 9,112 9,114 9,112 7.93% Apr-2042 2,905 2,905 3,337 8.15% Mar-2037 1,198 1,315 1,277 8.27% Jun-2042 2,540 2,540 2,835 8.38% Feb-2007 273 281 276 8.40% Apr-2012 758 758 761 8.75% Jul-2036-Aug-2036 11,880 11,834 11,888 8.80% Oct-2032 5,377 5,377 5,377 8.88% May-2036 2,411 2,378 2,421 ------------------------------------------------------------------------------------------------------------------- 148,764 148,543 154,160 ------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------- Total FHA Permanent Securities $ 148,835 $ 148,614 $ 154,231 ===================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) FHA Construction Securities and Commitments (0.5% of net assets)
Interest Rates(2) Commitment Permanent Construction Maturity Date Amount Face Amount Amortized Cost Value ----------------------------------------------------------------------------------------------------------------------------- Multifamily(1) 5.35% 5.35% Mar-2047 $ 8,050 $ 8,050 $ 8,060 $ 7,837 5.55% 5.55% May-2042 8,950 8,950 8,954 8,848 ----------------------------------------------------------------------------------------------------------------------------- Total FHA Construction Securities and Commitments $ 17,000 $ 17,000 $ 17,014 $ 16,685 =============================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Ginnie Mae Securities and Commitments (27.6% of net assets)
Commitment Interest Rate Maturity Dates Amount Face Amount Amortized Cost Value ----------------------------------------------------------------------------------------------------------------------------- Single Family 3.75% Dec-2033 $ $ 17,772 $ 17,687 $ 17,357 4.00% Feb-2033-Aug-2033 10,506 10,580 10,509 4.13% Nov-2032-Oct-2033 14,555 14,692 14,565 5.50% Jan-2033-Aug-2033 12,519 12,664 12,414 6.00% Jan-2032-Jun-2033 6,356 6,582 6,446 6.50% Jul-2028-Jun-2032 5,335 5,513 5,549 7.00% Nov-2016-Jan-2030 9,701 9,935 10,091 7.50% Apr-2013-Aug-2030 9,827 10,061 10,251 8.00% Nov-2009-Nov-2030 4,305 4,410 4,542 8.50% Nov-2009-Aug-2027 3,560 3,641 3,783 9.00% May-2016-Jun-2025 1,021 1,048 1,099 9.50% Sep-2021-Sep-2030 304 309 338 10.00% Jun-2019 1 1 1 13.00% Jul-2014 1 1 1 13.25% Dec-2014 1 1 1 ----------------------------------------------------------------------------------------------------------------------------- 95,764 97,125 96,947 ----------------------------------------------------------------------------------------------------------------------------- Multifamily(1) 2.91% Aug-2020 6,764 6,759 6,424 3.53% Jan-2032 1,456 1,388 1,381 3.61% May-2018 19,662 19,275 18,943 3.62% May-2017 11,346 10,975 10,893 3.65% Sep-2017-Oct-2027 21,186 20,959 20,238 4.00% Oct-2033 3,973 3,850 3,833 4.25% Feb-2031 6,000 5,969 5,738 4.26% Jul-2029 3,000 2,992 2,842 4.43% Apr-2034-Jun-2034 105,600 103,503 97,219 4.49% Apr-2023 8,531 8,531 8,184 4.57% Sep-2027 10,000 9,999 9,594 4.59% May-2033 16,300 16,290 15,832 4.65% Mar-2026 464 462 456 4.66% Dec-2030 23,617 23,552 22,522 4.70% Dec-2024 13,310 12,989 12,896 4.71% May-2025 33,294 33,287 32,068 4.78% Apr-2034 29,338 30,707 28,592 4.88% Mar-2036 10,000 10,010 9,568 4.92% May-2034 40,000 40,050 38,290 4.95% Dec-2044 11,027 11,226 10,771 5.00% Dec-2033 5,384 5,446 5,240 5.05% Nov-2028 32,000 32,110 31,533 5.12% Feb-2037 10,000 10,188 9,639 5.13% Jul-2024 5,000 5,081 4,934 5.15% Jun-2023 36,131 36,925 35,206 5.18% Dec-2044 5,936 5,968 5,889 5.19% Oct-2045 11,839 11,900 11,729 5.21% Jan-2045 5,783 5,785 5,656 5.25% Sep-2028-Oct-2044 41,407 41,449 40,983 5.30% Apr-2039 54,999 54,089 53,912 5.32% Aug-2030 35,000 34,847 34,592 5.35% Nov-2044 8,722 8,724 8,751 5.40% Nov-2015 11,419 11,465 11,400 5.50% Sep-2023-Jul-2033 37,814 39,697 37,719 5.55% May-2026-Mar-2045 34,221 34,405 34,289 5.58% May-2031 80,582 82,542 80,221 5.60% Nov-2036 4,337 4,235 4,445 5.68% Jul-2027 5,152 5,329 5,174 5.71% Jan-2045 7,394 7,394 7,500 5.75% Sep-2045 9,495 9,398 9,793 5.88% Mar-2024 11,001 11,002 11,049 5.89% Oct-2023 9,076 9,559 9,126 6.00% Jan-2046 3,686 3,688 3,822 6.11% Nov-2021 761 761 764 6.26% Apr-2027 10,000 10,799 10,270 6.41% Aug-2023 3,464 3,464 3,556 7.00% Jun-2043 28,681 28,681 30,769 8.75% Dec-2026 4,008 4,008 4,026 ----------------------------------------------------------------------------------------------------------------------------- 888,160 891,712 868,271 ----------------------------------------------------------------------------------------------------------------------------- Forward Commitments(1) 4.97% Dec-2035 6,125 -- 31 (128) 5.25% Jul-2036 8,173 -- 61 (51) 5.38% Jul-2024 510 -- 16 4 5.55% Jun-2046 4,149 -- -- 64 5.75% Jul-2037 3,360 -- -- (35) 5.84% May-2041 12,192 -- 663 462 5.85% Dec-2037 3,250 -- -- (53) 7.50% Dec-2043 23,300 -- 93 233 ----------------------------------------------------------------------------------------------------------------------------- 61,059 -- 864 496 ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- Total Ginnie Mae Securities and Commitments $ 61,059 $ 983,924 $ 989,701 $ 965,714 =============================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Ginnie Mae Construction Securities and Commitments (8.6% of net assets)
Interest Rates(2) Commitment Permanent Construction Maturity Date Amount Face Amount Amortized Cost Value ---------------------------------------------------------------------------------------------------------------------------------- Multifamily(1) 4.70% 4.70% Jan-2047 (3) $ 6,035 $ 6,035 $ 6,035 $ 5,760 4.74% 4.74% Feb-2045 (3) 6,418 4,471 4,276 4,140 4.82% 4.82% Jul-2046 (3) 6,300 6,300 6,304 6,032 4.83% 4.83% May-2046 (3) 5,650 5,650 5,650 5,419 4.88% 4.88% Jun-2045 35,000 31,798 31,979 30,241 4.89% 4.89% Dec-2044 (3) 10,440 10,440 10,471 10,082 4.94% 4.94% May-2046 (3) 4,000 4,000 4,005 3,865 5.10% 2.25% Sep-2045 (3) 7,230 7,230 7,243 7,007 5.10% 5.10% Oct-2046 25,363 20,532 20,666 20,241 5.20% 5.20% Apr-2047 26,236 12,606 12,871 11,935 5.21% 5.21% Jan-2047 (3) 16,188 4,460 4,330 4,104 5.25% 5.95% Feb-2031 42,100 37,169 37,067 36,215 5.34% 5.34% Mar-2046 (3) 11,340 8,468 8,485 8,324 5.35% 5.35% Mar-2046 10,800 9,742 9,917 9,622 5.46% 5.46% Feb-2047 3,165 25 46 35 5.51% 5.51% Apr-2046 27,944 24,819 25,474 25,204 5.62% 5.62% Mar-2046 8,200 6,900 7,129 7,113 5.75% 5.75% Aug-2046 18,424 16,602 16,618 17,002 5.85% 5.85% Nov-2045 2,091 1,974 1,976 2,027 6.22% 5.75% Aug-2035 14,599 11,727 11,737 12,392 6.60% 6.60% May-2043 17,793 16,296 15,889 17,268 7.75% 7.25% Aug-2035 51,779 51,779 51,533 56,958 ---------------------------------------------------------------------------------------------------------------------------------- 357,095 299,023 299,701 300,986 ---------------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------------- Total Ginnie Mae Construction Securities and Comitments $ 357,095 $ 299,023 $ 299,701 $ 300,986 ==================================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Fannie Mae Securities and Commitments (34.8 % of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value -------------------------------------------------------------------------------------------------------------------------------- Single Family 3.97% Aug-2033 $ 1,807 $ 1,802 $ 1,764 4.00% Jul-2033 13,729 13,828 13,440 4.05% Jul-2033 7,148 7,087 6,999 4.27% May-2033 7,500 7,549 7,386 4.28% Aug-2033 6,089 6,075 5,987 4.30% Aug-2033 19,991 19,929 19,676 4.50% Jun-2018-Feb-2019 16,507 16,787 15,800 4.55% Nov-2033 18,149 18,160 17,930 4.59% Aug-2034 994 1,001 978 4.92% Apr-2036 15,000 14,986 15,002 5.00% Jul-2018-Jul-2035 90,546 90,469 87,204 5.50% Jul-2017-Aug-2035 191,625 194,650 187,742 6.00% Apr-2016-Jan-2036 194,921 198,371 195,198 6.50% Nov-2016-Jan-2036 51,578 52,720 52,672 7.00% Nov-2013-May-2032 9,644 9,767 9,933 7.50% Nov-2016-Sep-2031 3,483 3,461 3,635 8.00% Jan-2007-May-2031 2,316 2,350 2,404 8.50% Nov-2009-Apr-2031 1,652 1,683 1,732 9.00% Jul-2009-May-2025 521 525 551 -------------------------------------------------------------------------------------------------------------------------------- 653,200 661,200 646,033 -------------------------------------------------------------------------------------------------------------------------------- Multifamily(1) 4.10% Jun-2027 9,498 9,281 9,085 4.48% Oct-2031 24,193 24,200 23,610 4.66% Jul-2021-Sep-2033 8,757 8,891 8,272 4.67% Aug-2033 9,600 9,582 9,015 4.99% Mar-2021-Aug-2021 42,395 42,372 40,409 5.15% Oct-2022 4,831 4,876 4,735 5.19% Mar-2021 5,500 5,500 5,370 5.23% Mar-2018-Apr-2021 4,846 4,993 4,765 5.24% Dec-2012-Mar-2021 12,833 12,837 12,623 5.29% Apr-2015 1,173 1,161 1,167 5.30% Oct-2014 885 909 882 5.35% Dec-2012 5,831 5,840 5,838 5.36% Feb-2016 5,000 5,021 4,957 5.43% Nov-2013-May-2021 4,908 4,997 4,908 5.45% May-2033 3,306 3,352 3,241 5.52% Jan-2007 2,400 2,400 2,401 5.58% Jan-2021 3,792 3,839 3,811 5.60% Feb-2018-Jan-2024 13,081 13,081 13,185 5.70% Mar-2009 5,657 5,946 5,721 5.80% Jan-2033 5,261 5,347 5,335 5.80% May-2018 (4) 11,378 10,983 11,213 5.85% Oct-2008 950 984 952 5.86% Dec-2016 436 441 447 5.88% Nov-2027 3,428 3,500 3,495 5.89% Nov-2008-Mar-2009 8,690 9,054 8,798 5.92% Dec-2016 434 441 444 5.96% Jan-2029 497 508 507 6.03% Jun-2017 1,944 2,099 2,026 6.06% Jul-2034 10,797 11,282 11,077 6.10% Apr-2011 2,827 2,998 2,921 6.13% Dec-2016 3,762 4,087 3,946 6.14% Sep-2033 327 353 341 6.15% Oct-2032 3,770 3,879 3,910 6.16% Aug-2013 12,410 13,342 12,548 6.19% Jul-2013 5,000 5,380 5,193 6.22% Aug-2032-Jul-2034 11,250 12,070 11,698 6.23% Sep-2034 1,573 1,678 1,637 6.27% Jan-2012 2,156 2,189 2,254 6.28% Nov-2028 3,525 3,826 3,682 6.34% Feb-2008 768 783 778 6.35% Jun-2020-Aug-2032 29,068 30,513 30,081 6.39% Apr-2019 1,049 1,133 1,115 6.41% Aug-2013 1,986 2,121 2,024 6.42% Apr-2011 1,419 1,506 1,449 6.44% Apr-2014-Dec-2018 47,852 48,467 51,715 6.50% May-2008-Jun-2016 8,010 8,221 8,254 6.52% Jul-2008-May-2029 7,397 8,116 7,842 6.53% May-2030 5,282 5,296 5,293 6.63% Jun-2014-Apr-2019 4,888 4,914 5,194 6.65% Aug-2007-Aug-2011 2,082 2,247 2,188 6.70% Jan-2011 2,521 2,680 2,580 6.74% Aug-2007 13,450 14,196 13,540 6.79% Aug-2009 7,324 7,323 7,638 6.80% Jul-2016 966 966 1,031 6.85% Aug-2014 45,371 45,364 49,569 6.88% Feb-2028 5,132 5,735 5,461 6.92% Jun-2007 2,836 2,895 2,849 7.00% Jun-2018 4,359 4,359 4,693 7.01% Apr-2031 3,581 3,619 3,901 7.07% Feb-2031 18,087 18,489 19,765 7.16% Jan-2022 154 160 154 7.18% Aug-2016 594 594 644 7.20% Apr-2010-Aug-2029 9,701 9,441 10,456 7.25% Nov-2011-Jul-2012 9,089 9,089 9,419 7.26% Dec-2018 14,154 15,607 15,519 7.40% Aug-2010 1,209 1,276 1,299 7.46% Aug-2029 9,842 11,239 10,858 7.50% Dec-2014 1,953 1,956 2,123 7.53% Feb-2024 9,207 10,325 9,396 7.71% Feb-2010 9,418 9,507 9,606 7.75% Dec-2012-Dec-2024 4,178 4,181 4,579 8.00% Nov-2019-May-2020 5,996 5,978 6,020 8.13% Sep-2012-Aug-2020 9,272 9,247 9,496 8.38% Jan-2022 978 980 997 8.40% Jul-2023 534 524 612 8.50% Sep-2006-Sep-2026 5,848 6,294 6,587 8.63% Sep-2028 6,893 6,893 7,930 9.13% Sep-2015 3,081 3,067 3,098 -------------------------------------------------------------------------------------------------------------------------------- 574,430 588,820 592,172 -------------------------------------------------------------------------------------------------------------------------------- TBA(5) 5.00% Mar-2036 (20,000) (19,180) (19,044) -------------------------------------------------------------------------------------------------------------------------------- (20,000) (19,180) (19,044) -------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------------- Total Fannie Mae Securities and Comitments $ 1,207,630 $ 1,230,840 $ 1,219,161 ================================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Freddie Mac Securities (13.7% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ------------------------------------------------------------------------------------------------------------------- Single Family 4.00% Oct-2033 $ 12,146 $ 11,971 $ 11,820 4.24% Jun-2033 4,734 4,715 4,639 4.37% Jul-2035 3,204 3,190 3,143 4.50% Aug-2018-Feb-2019 25,964 26,069 24,824 4.83% Dec-2035 38,451 38,427 38,421 4.84% Feb-2036 15,000 15,000 14,987 5.00% Jan-2019-Jul-2035 52,790 53,382 51,291 5.07% Apr-2035 3,162 3,162 3,143 5.50% Oct-2017-Jan-2035 49,778 50,839 48,922 6.00% Dec-2006-Dec-2035 217,755 222,773 218,024 6.50% Feb-2007-Nov-2035 46,769 47,865 47,753 7.00% Mar-2011-Mar-2030 3,408 3,378 3,490 7.50% Jul-2010-Apr-2031 3,354 3,317 3,467 8.00% May-2008-Feb-2030 1,656 1,657 1,709 8.50% Jun-2010-Jan-2025 1,102 1,112 1,155 9.00% Sep-2010-Mar-2025 331 334 349 ------------------------------------------------------------------------------------------------------------------- 479,604 487,191 477,137 ------------------------------------------------------------------------------------------------------------------- Multifamily(1) 8.00% Feb-2009 3,292 3,286 3,305 ------------------------------------------------------------------------------------------------------------------- 3,292 3,286 3,305 ------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------- Total Freddie Mac Securities $ 482,896 $ 490,477 $ 480,442 ===================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Commercial Mortgage-Backed Securities (0.4% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ------------------------------------------------------------------------------------------------------------------- 5.61% Feb-2039 $ 15,000 $ 15,147 $ 14,971 ------------------------------------------------------------------------------------------------------------------- Total Commercial Mortgage-Backed Securities $ 15,000 $ 15,147 $ 14,971 ===================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Government-Sponsored Enterprise Securities (4.7% of net assets)
Issuer Interest Rate Maturity Date Face Amount Amortized Cost Value --------------------------------------------------------------------------------------------------------------------------- Fannie Mae 4.63% Dec-2008 $ 70,000 $ 69,798 $ 69,190 Fannie Mae 6.00% Feb-2020-Mar-2025 98,660 99,217 96,273 --------------------------------------------------------------------------------------------------------------------------- Total Government-Sponsored Enterprise Securities $ 168,660 $ 169,015 $ 165,463 ===========================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) United States Treasury Securities (0.8% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value --------------------------------------------------------------------------------------------------------------------- 4.50% Nov-2015-Feb-2016 $ 30,000 $ 29,920 $ 29,120 --------------------------------------------------------------------------------------------------------------------- Total United States Treasury Securities $ 30,000 $ 29,920 $ 29,120 =====================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) State Housing Finance Agency Securities (0.2% of net assets)
Issuer Interest Rate Maturity Date Face Amount Amortized Cost Value ------------------------------------------------------------------------------------------------------------------------------------ Multifamily(1) MA Housing Finance Agency 5.92% Dec-2037 $ 6,710 $ 6,710 $ 6,675 MA Housing Finance Agency 8.63% Jan-2013 310 314 333 ------------------------------------------------------------------------------------------------------------------------------------ Total State Housing Finance Agency Securities $ 7,020 $ 7,024 $ 7,008 ====================================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Other Mutifamily Investments and Commitments (2.9% of net assets)
Interest Rates(2) Commitment Permanent Construction Maturity Dates Amount Face Amount Amortized Cost Value ------------------------------------------------------------------------------------------------------------------------------- Multifamily Construction/Permanent Mortgages 5.54% 5.30% Jul-2017 (6) $ 62,016 $ 51,104 $ 51,169 $ 50,899 7.63% N/A Jan-2011 813 433 433 445 8.63% N/A Apr-2025 1,469 1,289 1,289 1,289 9.50% N/A Apr-2024 760 683 683 683 9.75% N/A Nov-2018 1,524 1,191 1,191 1,191 ------------------------------------------------------------------------------------------------------------------------------- 66,582 54,700 54,765 54,507 ------------------------------------------------------------------------------------------------------------------------------- Privately Insured Construction/Permanent Mortgages(7) 5.40% 5.40% Mar-2047 9,000 9,000 9,005 8,570 5.55% N/A Apr-2021 12,006 11,461 11,463 11,135 5.55% 5.55% Jan-2047 12,809 12,809 12,811 12,234 5.73% 5.73% Aug-2047 5,575 5,575 5,579 5,448 5.95% 5.95% Mar-2044 4,400 4,348 4,363 4,340 6.15% 6.15% Mar-2045 1,600 1,590 1,597 1,615 6.20% 6.20% Dec-2047-Mar-2047 8,099 1,820 1,843 1,891 ------------------------------------------------------------------------------------------------------------------------------- 53,489 46,603 46,661 45,233 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Total Other Multifamily Investments and Commitments $ 120,071 $ 101,303 $ 101,426 $ 99,740 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Total Long-Term Investments $ 3,461,291 $ 3,498,879 $ 3,453,521 ===============================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Short-term Investments (1.7% of net assets)
Description Maturity Date Interest Rate(8) Face Amount Amortized Cost Value --------------------------------------------------------------------------------------------------------------------- Short-term - Cash Equivalents(9) Repurchase Agreement Amalgamated Bank(10) April 7, (2006) 4.40% $ 2,000 $ 2,000 $ 2,000 --------------------------------------------------------------------------------------------------------------------- 2,000 2,000 2,000 --------------------------------------------------------------------------------------------------------------------- Commercial Paper Cargill Inc April 3, 2006 4.80% 10,000 9,997 9,997 UBS Americas Inc April 3, 2006 4.83% 20,000 19,995 19,995 GW University April 3, 2006 4.68% 8,224 8,224 8,224 Merrill Lynch April 4, 2006 4.77% 20,000 19,992 19,992 --------------------------------------------------------------------------------------------------------------------- 58,224 58,208 58,208 --------------------------------------------------------------------------------------------------------------------- Certificate of Deposit Shore Bank - Pacific April 2, 2006 3.31% 100 100 100 --------------------------------------------------------------------------------------------------------------------- 100 100 100 --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments $ 60,324 $ 60,308 $ 60,308 ===================================================================================================================== --------------------------------------------------------------------------------------------------------------------- Total Investments $ 3,521,615 $ 3,559,187 $3,513,829 =====================================================================================================================
Schedule of Portfolio Investments March 31, 2006 (Dollars in thousands; unaudited) Footnotes (1) Multifamily MBS securities and forward commitments are valued by the fair value procedures adopted by the Trust's Board of Trustees. (2) Construction interest rates are the rates charged to the borrower during the construction phase of the project. The permanent interest rates are charged to the borrower during the amortization period of the loan, unless HUD requires that such rates be charged earlier. (3) Tax-exempt bonds collateralized by Ginnie Mae Securities. (4) During construction, this investment is a 100% participation interest in a construction loan enhanced by a letter of credit issued by PNC Bank, N.A. in favor of the Trust. The interest rate during construction is a floating rate equal to LIBOR plus 150 basis points for the related monthly period up to a maximum rate of 5.80%. At stabilization, the Trust will take delivery of a Fannie Mae MBS with an interest rate of 5.80% and a term of ten years. (5) Represents to be announced ("TBA") securities, securities the Trust agreed to sell for which the specific securities have not yet been identified. (6) During construction, this investment is a mortgage credit enhanced by a letter of credit issued in favor of the Trust. The interest rate during construction is a floating rate equal to LIBOR plus one hundred and fifty basis points for the related monthly period up to a maximum rate of 5.30%. At the completion of construction, the Trust will take delivery of a Government Sponsored Enterprise MBS with an interest rate of 5.54% and a term of ten years. (7) Loan insured by Ambac Assurance Corporation. (8) Interest rate is yield calculated based on purchase price of discount note. (9) Short-term investments with remaining maturities of sixty days or less. (10) This instrument was purchased in March 2006. The Trust will receive $2,007,233 upon maturity. The underlying collateral for the repurchase agreement is a Ginnie Mae security with a market value of $2,081,301. NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited As of March 31, 2006 (Dollars in thousands) The accompanying notes are an integral part of this Schedule of Portfolio Investments. Note 1. Summary of Significant Accounting Policies For Schedule of Portfolio Investments The American Federation of Labor and Congress of Industrial Organizations (AFL-CIO) Housing Investment Trust (the Trust) 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 a no-load, open-end investment company. The Trust has obtained certain exemptions from the requirements of the Investment Company Act of 1940 that are described in the Trust's Statement of Additional Information and Prospectus. Participation in the Trust is limited to eligible labor organizations and pension, welfare and retirement plans that have beneficiaries who are represented by labor organizations. The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States. Investment Valuation Net asset value per share (NAV calculation) 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. Portfolio securities for which market quotations are readily available (single family mortgage-backed securities, Government Sponsored Enterprise notes, and United States Treasury securities) are valued by an independent pricing service, published prices, market quotes and dealer bids. Portfolio investments for which market quotations are not readily available (multifamily mortgage-backed securities investments, mortgage securities and construction mortgage securities) are valued at their fair value determined in good faith under consistently applied procedures adopted by the Board of Trustees using dealer bids and discounted cash flow models. The respective cash flow models use market-based discount and prepayment rates developed for each investment category. 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 actual premiums in the market place over the yield on U.S. Treasury securities of comparable risk and maturity to the security being valued as adjusted for other market considerations. On investments for which the Trust 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 Trust has retained an independent firm to determine the fair market value of such securities. In accordance with the procedures adopted by the Board, the monthly third-party valuation is reviewed by the Trust 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., mortgage defaults). All such adjustments must be reviewed and approved by the independent valuation firm prior to incorporation in the NAV. In February 2006, the Trust amended its Declaration of Trust to permit investment, up to certain limits, in Commercial Mortgage Backed Securities ("CMBS"). The Trust is currently valuing CMBS based on dealer quotes obtained by the Trust and verified against pricing obtained from its independent pricing service. Short-term investments with remaining maturities of sixty days or less are valued on the basis of amortized cost, which approximates fair value. Cash and cash equivalents include overnight money market funds which are also carried at cost. Federal Income Taxes The Trust's cost for Federal tax purposes approximates book cost. As of March 31, 2006, the amortized cost of investments for federal income tax purposes was $3,559,187. Net realized and unrealized losses aggregated to $58,011 as of March 31, 2006, of which $2,775 related to net realized losses on depreciated investments and $55,236 related to unrealized losses on depreciated investments. Item 2. Controls and Procedures. (a) The Trust's Chief Executive Officer (the principal executive officer) and Chief Financial Officer (the principal financial officer) have concluded that the Trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c)), are effective to ensure that material information relating to the Trust is made known to them by appropriate persons, based on their evaluation of such controls and procedures within 90 days of the filing of this report. (b) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Trust's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting. 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 30, 2006 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 30, 2006 /s/ Erica Khatchadourian -------------------------------------- Erica Khatchadourian Chief Financial Officer (Principal Financial Officer) Date: May 30, 2006