N-Q 1 d72066_nq.txt QUARTERLY SCHEDULE OF REG. MGMT. INV. CO. 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 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 2020 K Street, N.W., Washington, D.C. 20006 (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, 2007 Item 1. Schedule of Investments. Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) FHA Permanent Securities (3.7% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ======================================================================================================================= Single Family 7.75% Jul-2021-Aug-2021 $ 34 $ 34 $ 34 8.00% Jul-2021 33 33 33 ----------------------------------------------------------------------------------------------------------------------- 67 67 67 ----------------------------------------------------------------------------------------------------------------------- Multifamily(1) 5.25% Mar-2024 5,075 5,100 4,959 5.60% Jun-2038 2,870 2,874 2,873 5.62% Jun-2014 705 704 700 5.65% Oct-2038 2,202 2,271 2,196 5.87% Jun-2044 1,964 1,964 1,997 6.02% Jun-2035 6,908 6,907 7,077 6.40% Jul-2046 4,101 4,104 4,381 6.66% May-2040 5,740 5,739 5,862 6.70% Dec-2042 6,000 5,998 6,279 6.75% Feb-2039-Jul-2040 6,461 6,431 6,837 6.88% Apr-2031 28,500 28,184 29,554 7.00% Jun-2039 6,022 6,061 6,152 7.05% Jul-2043 5,319 5,319 5,691 7.13% Mar-2040 7,873 7,844 8,527 7.20% Dec-2033-Oct-2039 10,039 10,037 10,863 7.50% Sep-2032 1,619 1,622 1,815 7.70% Oct-2039 12,076 12,012 12,417 7.75% Oct-2038 1,392 1,385 1,406 7.88% Jul-2038 5,056 5,056 5,005 7.93% Apr-2042 2,890 2,890 3,315 8.15% Mar-2037 1,190 1,303 1,250 8.27% Jun-2042 2,529 2,529 2,805 8.38% Apr-2008 142 148 143 8.40% Apr-2012 329 329 331 8.75% Aug-2036 3,688 3,685 3,705 ----------------------------------------------------------------------------------------------------------------------- 130,690 130,496 136,140 ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- Total FHA Permanent Securities $ 130,757 $ 130,563 $ 136,207 =======================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (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 $ 7,908 5.55% 5.55% May-2042 8,950 8,950 8,954 8,920 ----------------------------------------------------------------------------------------------------------------------- 17,000 17,000 17,014 16,828 ----------------------------------------------------------------------------------------------------------------------- Forward Commitments(1) 5.89% 5.89% Mar-2038 5,350 -- -- (19) ----------------------------------------------------------------------------------------------------------------------- 5,350 -- -- (19) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- Total FHA Construction Securities and Commitments $ 22,350 $ 17,000 $ 17,014 $ 16,809 =======================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Ginnie Mae Securities and Commitments (29.3% of net assets)
Commitment Interest Rate Maturity Dates Amount Face Amount Amortized Cost Value ======================================================================================================================= Single Family 5.50% Jan-2033-Aug-2033 $ 9,471 $ 9,573 $ 9,437 6.00% Jan-2032-Jun-2033 4,949 5,117 5,022 6.50% Jul-2028-Dec-2028 463 463 477 7.00% Nov-2016-Jan-2030 7,672 7,832 7,980 7.50% Apr-2013-Aug-2030 7,509 7,669 7,841 8.00% Nov-2009-Nov-2030 3,055 3,136 3,219 8.50% Nov-2009-Aug-2027 2,674 2,730 2,880 9.00% May-2016-Jun-2025 782 802 859 9.50% Sep-2021-Sep-2030 255 259 284 10.00% Jun-2019 1 1 1 12.00% May-2015-Jun-2015 -- -- -- 13.00% Jul-2014 1 1 1 13.25% Dec-2014 1 1 1 13.50% Aug-2014 -- -- -- ------------------------------------------------------------------------------------------------------------------------ 36,833 37,584 38,002 ------------------------------------------------------------------------------------------------------------------------ Multifamily(1) 2.91% Jun-2018-Aug-2020 7,800 7,731 7,507 3.53% Jan-2032 1,140 1,090 1,103 3.61% May-2018 12,869 12,643 12,555 3.62% May-2017 22,624 21,896 21,965 3.65% Sep-2017-Oct-2027 18,951 18,726 18,309 3.96% May-2032 1,000 946 967 4.24% Feb-2039 5,000 4,706 4,722 4.25% Feb-2031 6,000 5,969 5,838 4.26% Jul-2029 3,000 2,992 2,903 4.43% Apr-2034-Jun-2034 109,470 107,230 103,265 4.49% Apr-2023 8,531 8,531 8,331 4.59% May-2033 16,300 16,291 16,064 4.65% Mar-2026 352 350 348 4.66% Dec-2030 8,617 8,685 8,409 4.70% Dec-2024 13,310 13,006 13,111 4.71% May-2025 33,294 33,279 32,661 4.78% Apr-2034 28,379 29,636 28,022 4.83% May-2046 5,650 5,650 5,555 4.88% Mar-2036 17,000 16,754 16,588 4.92% Feb-2034-May-2034 65,000 64,665 63,754 5.00% Dec-2033 5,300 5,356 5,208 5.05% Nov-2028 32,000 32,095 31,876 5.08% Jan-2030 23,893 23,418 23,814 5.12% Feb-2037 10,000 10,180 9,839 5.13% Jul-2024 12,000 11,967 11,987 5.15% Jun-2023 35,740 36,397 35,209 5.18% Jun-2042 2,240 2,267 2,236 5.19% May-2045 8,865 8,626 8,741 5.21% Jan-2045 5,729 5,730 5,660 5.25% Feb-2031-Jul-2036 64,324 64,220 64,110 5.27% Aug-2040 10,000 9,751 9,793
5.30% Jul-2023-Apr-2039 68,000 66,943 67,586 5.32% Aug-2030-Dec-2037 50,000 49,834 50,042 5.34% Jul-2040 18,000 17,643 17,725 5.38% Apr-2025 500 516 511 5.45% Mar-2042 2,332 2,417 2,399 5.50% Sep-2023-Jul-2033 37,814 39,576 38,204 5.51% Apr-2046 27,775 28,424 28,530 5.55% May-2026-Mar-2045 31,391 31,538 31,609 5.58% May-2031-Oct-2031 94,581 94,963 95,915 5.68% Jul-2027 15,152 15,134 15,462 5.70% Mar-2037 2,492 2,505 2,541 5.75% Dec-2026-Aug-2046 22,292 22,360 23,368 5.88% Mar-2024 2,753 2,753 2,751 6.00% Jan-2046 3,664 3,667 3,908 6.05% Jun-2043 6,088 6,088 6,402 6.11% Nov-2021 110 110 110 6.25% Dec-2046 18,891 18,894 20,446 6.26% Apr-2027 10,000 10,752 10,379 6.38% Mar-2026 10,000 10,287 10,433 6.41% Aug-2023 3,464 3,464 3,542 7.00% Jun-2043 28,524 28,525 30,377 ------------------------------------------------------------------------------------------------------------------------ 1,048,201 1,047,176 1,042,690 ------------------------------------------------------------------------------------------------------------------------ Forward Commitments(1) 5.75% Jul-2037 3,360 -- -- 135 5.85% Dec-2037 3,250 -- -- 136 ------------------------------------------------------------------------------------------------------------------------ 6,610 -- -- 271 ------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------ Total Ginnie Mae Securities and Commitments $ 6,610 $ 1,085,034 $ 1,084,760 $ 1,080,963 ========================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Ginnie Mae Construction Securities and Commitments (3.8% of net assets)
Interest Rates(2) Commitment Permanent Construction Maturity Date Amount Face Amount Amortized Cost Value ================================================================================================================================= Multifamily(1) 4.63% 4.63% Sep-2037(3) $ 1,500 $ 1,500 $ 1,456 $ 1,434 4.70% 4.70% Jan-2047(3) 6,035 6,035 6,047 5,864 4.74% 4.74% Feb-2045(3) 6,418 5,887 5,692 5,650 4.90% 4.90% Mar-2044(3) 1,000 1,000 990 977 4.94% 4.94% May-2046(3) 4,000 4,000 4,005 3,914 5.20% 5.20% Apr-2047 26,236 23,588 23,852 23,242 5.21% 5.21% Jan-2047(3) 16,188 13,515 13,385 13,406 5.34% 5.34% Mar-2046 11,340 10,178 10,195 10,144 5.46% 5.46% Feb-2047 3,165 2,751 2,774 2,822 5.85% 5.85% Nov-2045 2,091 1,974 1,977 2,042 6.22% 5.75% Aug-2035 14,599 12,209 12,218 12,956 6.25% 6.25% Feb-2034 4,890 425 703 807 7.75% 7.25% Aug-2035 51,779 51,779 51,534 55,922 --------------------------------------------------------------------------------------------------------------------------------- Total Ginnie Mae Construction Securities and Commitments $ 149,241 $ 134,841 $ 134,828 $ 139,180 =================================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Fannie Mae Securities (35.4% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ==================================================================================================== Single Family 3.97% Aug-2033 $ 1,771 $ 1,765 $ 1,752 4.00% Jul-2033 11,588 11,664 11,530 4.05% Jul-2033 5,220 5,177 5,181 4.27% May-2033 4,981 5,014 4,974 4.28% Aug-2033 5,228 5,217 5,215 4.30% Aug-2033 15,335 15,294 15,349 4.50% Jun-2018-Feb-2019 14,399 14,602 13,969 4.55% Nov-2033 14,034 14,047 13,985 4.59% Aug-2034 828 833 823 4.81% Sep-2035 5,271 5,247 5,277 5.00% Jul-2018-Jul-2035 67,956 68,168 66,414 5.50% Jul-2017-Aug-2036 193,403 194,826 191,926 6.00% Apr-2016-Jan-2037 203,642 205,870 205,381 6.50% Nov-2016-Jun-2036 54,849 55,554 56,037 7.00% Nov-2013-May-2032 7,374 7,459 7,657 7.50% Nov-2016-Sep-2031 2,743 2,725 2,858 8.00% Jun-2012-May-2031 1,588 1,607 1,653 8.50% Nov-2009-Apr-2031 1,142 1,161 1,215 9.00% Jul-2009-May-2025 332 334 356 ----------------------------------------------------------------------------------------------------- 611,684 616,564 611,552 ----------------------------------------------------------------------------------------------------- Multifamily(1) 4.10% Jun-2027 9,498 9,293 9,244 4.22% Jul-2018 4,893 4,565 4,653 4.48% Oct-2031 14,620 14,622 14,356 4.66% Jul-2021-Sep-2033 8,625 8,747 8,214 4.67% Aug-2033 9,600 9,582 9,232 4.99% Mar-2021-Aug-2021 42,361 42,343 41,194 5.08% Jan-2018 7,152 6,986 7,133 5.15% Oct-2022 4,676 4,714 4,657 5.29% Jun-2017-Apr-2022 9,093 9,118 9,133 5.34% Apr-2016 6,695 6,677 6,795 5.35% Apr-2012-Jun-2018 4,490 4,510 4,534 5.36% Feb-2016 5,000 5,018 5,035 5.43% Nov-2013 1,407 1,405 1,408 5.44% Mar-2016 3,952 4,023 4,034 5.45% May-2033 3,258 3,301 3,263 5.46% Feb-2017 51,537 52,616 52,681 5.52% May-2016 22,962 22,572 23,558 5.59% May-2017 7,530 7,558 7,766 5.60% Feb-2018-Jan-2024 12,886 12,886 13,197 5.62% Jun-2011 28,946 28,630 29,077 5.70% Mar-2009-Jun-2016 7,043 7,305 7,166 5.80% May-2018(4) 61,392 61,019 63,155
5.86% Dec-2016 408 412 422 5.91% Apr-2037 2,200 2,276 2,285 5.92% Dec-2016 404 410 418 5.96% Jan-2029 488 498 507 6.03% Jun-2017-Jun-2036 5,891 6,129 6,160 6.06% Jul-2034 10,665 11,122 11,199 6.10% Apr-2011 2,784 2,837 2,880 6.13% Dec-2016 3,719 3,992 3,955 6.14% Sep-2033 324 348 343 6.15% Oct-2032 3,725 3,827 3,934 6.16% Aug-2013 12,187 12,977 12,314 6.19% Jul-2013 5,000 5,336 5,233 6.22% Aug-2032 1,902 1,969 2,018 6.23% Sep-2034 1,554 1,653 1,654 6.27% Jan-2012 2,129 2,151 2,234 6.28% Nov-2028 3,458 3,740 3,674 6.35% Jun-2020-Aug-2032 28,922 30,254 29,968 6.38% Jul-2021 5,959 6,173 6,494 6.39% Apr-2019 1,035 1,110 1,113 6.41% Aug-2013 1,948 2,062 1,977 6.42% Apr-2011 1,399 1,462 1,417 6.44% Apr-2014-Dec-2018 47,207 47,723 51,502 6.50% Jun-2016 2,765 2,763 2,935 6.52% May-2029 5,979 6,656 6,502 6.53% May-2030 2,903 2,909 2,903 6.63% Jun-2014-Apr-2019 4,747 4,769 5,074 6.65% Aug-2011 1,742 1,867 1,844 6.70% Jan-2011 2,488 2,604 2,518 6.79% Aug-2009 7,259 7,243 7,488 6.80% Jul-2016 902 902 969 6.85% Aug-2014 44,942 44,884 49,391 6.88% Feb-2028 5,035 5,603 5,404 6.92% Jun-2007 252 255 253 7.00% Jun-2018 4,139 4,139 4,465 7.01% Apr-2031 3,534 3,568 3,885 7.07% Feb-2031 17,840 18,213 19,667 7.18% Aug-2016 557 557 608 7.20% Apr-2010-Aug-2029 9,439 9,190 10,259 7.25% Nov-2011-Jul-2012 8,898 8,898 9,184 7.26% Dec-2018 13,471 14,741 14,847 7.46% Aug-2029 9,689 11,009 10,774 7.50% Dec-2014 1,795 1,796 1,959 7.53% Feb-2024 5,934 6,615 6,040 7.71% Feb-2010 9,307 9,358 9,346 7.75% Dec-2012-Dec-2024 3,901 3,902 4,290 8.00% Nov-2019 2,184 2,177 2,194 8.13% Sep-2012-Aug-2020 8,764 8,735 8,961 8.38% Jan-2022 950 951 955 8.40% Jul-2023 521 512 595 8.50% Nov-2019-Sep-2026 5,538 5,918 6,273 8.63% Sep-2028 6,802 6,802 7,739 9.13% Sep-2015 2,873 2,858 2,892 ---------------------------------------------------------------------------------------------------- 666,074 676,345 691,400 ---------------------------------------------------------------------------------------------------- Forward Commitments(1) 5.53% Apr-2017 -- -- 1,556 5.55% May-2018 -- -- 58 ---------------------------------------------------------------------------------------------------- -- -- 1,614 ---------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------- Total Fannie Mae Securities $ 1,277,758 $ 1,292,909 $ 1,304,566 ====================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Freddie Mac Securities (14.7% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ====================================================================================================== Single Family 4.00% Oct-2033 $ 9,910 $ 9,772 $ 9,797 4.24% Jun-2033 3,955 3,940 3,936 4.37% Jul-2035 2,506 2,495 2,488 4.50% Aug-2018-Feb-2019 22,008 22,074 21,353 5.00% Jan-2019-Oct-2036 68,980 68,403 67,452 5.07% Apr-2035 2,672 2,672 2,667 5.50% Oct-2017-Mar-2037 149,755 148,953 148,424 5.62% Dec-2035-Feb-2036 51,189 51,166 51,291 5.67% Apr-2036 9,579 9,564 9,611 6.00% Mar-2014-Jan-2037 155,236 158,003 156,734 6.50% Oct-2013-Sep-2036 33,925 34,707 34,648 7.00% Mar-2011-Mar-2030 2,446 2,415 2,511 7.50% Jul-2010-Apr-2031 2,209 2,196 2,277 8.00% May-2008-Feb-2030 904 900 936 8.50% Jun-2010-Jan-2025 686 692 729 9.00% Sep-2010-Mar-2025 232 234 247 ------------------------------------------------------------------------------------------------------ 516,192 518,186 515,101 ------------------------------------------------------------------------------------------------------ Multifamily(1) 5.65% Apr-2016 15,205 15,264 15,436 5.42% Apr-2016 10,000 9,905 10,065 8.00% Feb-2009 2,481 2,471 2,492 ------------------------------------------------------------------------------------------------------ 27,686 27,640 27,993 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ Total Freddie Mac Securities $ 543,878 $ 545,826 $ 543,094 ======================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Commercial Mortgage-Backed Securities (3.2% of Net Assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ==================================================================================================================== 5.33% Feb-2044 $ 20,000 $ 20,110 $ 19,901 5.34% Dec-2043 25,000 25,124 24,860 5.41% Dec-2040 17,000 16,689 17,059 5.45% Feb-2044 15,000 15,081 15,055 5.54% Oct-2041 27,000 27,144 27,316 5.61% Feb-2039 15,000 15,139 15,208 -------------------------------------------------------------------------------------------------------------------- Total Commercial Mortgage Backed Securities $ 119,000 $ 119,287 $ 119,399 ====================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Government-Sponsored Enterprise Securities (1.2% of net assets)
Issuer Interest Rate Maturity Date Face Amount Amortized Cost Value ================================================================================================================ Fannie Mae 6.00% Feb-2020 $ 45,000 $ 45,219 $ 44,762 ---------------------------------------------------------------------------------------------------------------- Total Government-Sponsored Enterprise Securities $ 45,000 $ 45,219 $ 44,762 ================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) United States Treasury Securities (3.4% of net assets)
Interest Rate Maturity Dates Face Amount Amortized Cost Value ===================================================================================================== 4.63% Nov-2016-Feb-2017 $ 116,000 $ 115,363 $ 115,731 5.13% May-2016 10,000 10,164 10,342 ----------------------------------------------------------------------------------------------------- Total United States Treasury Securities $ 126,000 $ 125,527 $ 126,073 =====================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) State Housing Finance Agency Securities (0.3% of net assets)
Issuer Interest Rate Maturity Date Face Amount Amortized Cost Value =============================================================================================================================== Multifamily(1) MA Housing Finance Agency 5.25% Dec-2048 $ 2,500 $ 2,500 $ 2,525 MA Housing Finance Agency 5.42% Jun-2009 2,610 2,610 2,610 MA Housing Finance Agency 5.92% Dec-2037 6,710 6,714 6,745 ------------------------------------------------------------------------------------------------------------------------------- Total State Housing Finance Agency Securities $ 11,820 $ 11,824 $ 11,880 ===============================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Other Mutifamily Investments and Commitments (1.4% of net assets)
Interest Rates(2) Commitment Permanent Construction Maturity Dates Amount Face Amount Amortized Cost Value ========================================================================================================================= Multifamily Construction/Permanent Mortgages 5.40% N/A Apr-2047 9,000 9,000 9,009 8,674 5.73% N/A Aug-2047 5,575 5,575 5,581 5,500 6.07% N/A May-2048 1,000 -- (8) (1) 6.20% N/A Dec-2047 2,899 -- -- 23 7.63% N/A Jan-2011 813 340 340 347 8.63% N/A Apr-2025 1,469 1,262 1,261 1,262 9.50% N/A Apr-2024 760 671 671 671 9.75% N/A Nov-2018 1,524 1,142 1,142 1,142 ------------------------------------------------------------------------------------------------------------------------- 23,040 17,990 17,996 17,618 ------------------------------------------------------------------------------------------------------------------------- Privately Insured Construction/Permanent Mortgages(5) 5.55% 5.55% May-2021 $ 12,006 $ 10,965 $ 10,967 $ 10,772 5.55% 5.55% Jan-2047 12,809 12,795 12,796 12,362 5.95% 5.95% Mar-2044 4,400 4,317 4,331 4,354 6.15% 6.15% Mar-2045 1,600 1,580 1,587 1,621 6.20% 6.20% Mar-2047 5,200 5,200 5,226 5,309 ------------------------------------------------------------------------------------------------------------------------- 36,015 34,857 34,907 34,418 ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------- Total Other Multifamily Investments and Commitments $ 59,055 $ 52,847 $ 52,903 $ 52,036 ========================================================================================================================= ========================================================================================================================= Total Long-Term Investments $ 3,543,935 $ 3,560,660 $ 3,574,969 =========================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (Dollars in thousands; unaudited) Short-term Investments (2.9% of net assets)
Description Maturity Date Interest Rate Face Amount Amortized Cost Value ---------------------------------------------------------------------------------------------------------------- Short-term - Cash Equivalents(6) Repurchase Agreement Amalgamated Bank(7) April 4, 2007 5.05% $ 2,000 $ 2,000 $ 2,000 ---------------------------------------------------------------------------------------------------------------- 2,000 2,000 2,000 ---------------------------------------------------------------------------------------------------------------- Commercial Paper(8) PEPSICO INC April 4, 2007 5.26% 20,000 19,992 19,992 UNITED PARCEL SERV INC April 2, 2007 5.27% 20,000 19,997 19,997 UBS AMERICAS IN April 2, 2007 5.30% 20,000 19,997 19,997 UBS FINANCE (DE) April 2, 2007 5.30% 20,000 19,997 19,997 METLIFE FUNDING April 2, 2007 5.40% 6,000 5,999 5,999 CLIPPER REC LLC April 2, 2007 5.43% 20,000 19,997 19,997 ---------------------------------------------------------------------------------------------------------------- 106,000 105,979 105,979 ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Total Short-Term Investments $ 108,000 $ 107,979 $ 107,979 ================================================================================================================ ================================================================================================================ Total Investments $ 3,651,935 $ 3,668,639 $ 3,682,948 ================================================================================================================
Schedule of Portfolio Investments March 31, 2007 (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) Loans insured by Ambac Assurance Corporation. (6) Short-term investments with remaining maturities of sixty days or less. (7) This instrument was purchased in December 2006. The Trust will receive $2,033,205 upon maturity. The underlying collateral for the repurchase agreement is a Freddie Mac MBS with a market value of $2,114,533. (8) Interest rate is yield calculated based on purchase price of discount note. NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited As of March 31, 2007 (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) 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, commercial mortgage-backed securities, Government-Sponsored Enterprise securities, and U.S. 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, mortgage securities, and construction mortgage securities and loans) 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. 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, 2007, the amortized cost of investments for federal income tax purposes was $3,668,639. Net realized and unrealized gains and losses aggregated to $10,040 as of March 31, 2007, of which $328 related to net realized losses on investments and $10,368 related to unrealized gains on 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 24, 2007 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 24, 2007 /s/ Erica Khatchadourian ---------------------------------- Erica Khatchadourian Chief Financial Officer (Principal Financial Officer) Date: May 24, 2007