N-CSRS 1 d72680_ncsr.htm SEMI-ANNUAL
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act File Number: 811-3493
Series Identifier: S000009768
Class Identifier: C000026832

American Federation of Labor –
Congress of Industrial Organizations
Housing Investment Trust
(Exact name of registrant as specified in charter)

Until September 17, 2007:
1717 K Street, N.W., Suite 707
Washington, D.C. 20036

Effective September 17, 2007:
2401 Pennsylvania Avenue, N.W., Suite 200
Washington, D.C. 20037
(Address of principal executive offices) (Zip code)

Kenneth G. Lore
Bingham McCutchen LLP
2020 K Street, N.W., Washington, DC 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: January 1, 2007 through June 30, 2007


Item 1. Reports to Stockholders.

A copy of the 2007 Semi-Annual Report (the “Report”) of the AFL-CIO Housing Investment Trust (the “Trust”) transmitted to Trust participants pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (17 CFR 270.30e-1) (the “Act”), is included herewith.


(COVER PAGE)

AFL-CIO HOUSING

INVESTMENT TRUST

SEMI-ANNUAL REPORT

JUNE 30, 2007


Cover

Top: Rollins Square, Boston, MA.
Bottom, from left: Maverick Landing, Boston, MA; construction at the Carruth Apartments, Dorchester, MA; Chancery Square, Morristown, NJ; resident of Woodland Springs, District Heights, MD; Skyline Apartments, Chicago, IL.


Report to Participants

Figure 1.
HIT Performance vs. Lehman Aggregate Bond Index as of June 30, 2007

(BAR CHART)

Figure 2.
Comparison of $50,000 Investment in the HIT and Lehman Aggregate

(LINE GRAPH)

The data quoted represents past performance and is no guarantee of future results. Investment results and principal value will fluctuate so that units in the HIT, when redeemed, may be worth more or less than their original cost. The HIT’s current performance may be lower or higher than the performance quoted. Performance data current to the most recent month-end is available on the HIT’s website at www.aflcio-hit.com.

The Lehman Brothers Aggregate Bond Index is an unmanaged index and is not available for direct investment. Its returns would be lower if they reflected the expenses associated with active management of an actual portfolio.

Investors should consider the HIT’s investment objectives, risks and expenses carefully before investing. A prospectus containing more complete information may be obtained from the HIT by calling the Marketing and Investor Relations Department collect at 202-331-8055 or by viewing the HIT’s website at www.aflcio-hit.com. The prospectus should be read carefully before investing.

Mid-Year Discussion of Performance

The first half of 2007 was a productive period for the AFL-CIO Housing Investment Trust as it made $76.3 million in financing commitments for 14 new multifamily investments. The HIT’s net returns at June 30 were 5.86% for the one-year period and 3.97%, 4.37% and 6.12% for the three-, five- and ten-year periods (see Figure 1). The HIT underperformed the benchmark for the one-, three- and five-year periods by 26, 1 and 11 basis points, respectively, and outperformed the benchmark for the ten-year period by 10 basis points.

Global growth and the cooling U.S. housing market affected the performance of fixed-income investments such as the HIT during the first half of the year. These factors contributed to generally higher interest rates (see Figure 3, U.S. Treasury Yield Curve) and wider spreads between risk-free securities (Treasuries) and other bonds. In the subprime mortgage sector the cooling U.S. housing market produced a steep rise in delinquencies among high-risk borrowers (as seen in Figure 4). The HIT has no subprime loans or investments in its portfolio.

As fall-out from the weakening of the subprime market, risk premiums increased on high-quality securities during the six-month period, causing their prices to fall relative to Treasuries. Prices dropped as well for commercial mortgage securities, including agency-insured multifamily mortgage securities and AAA-rated commercial mortgage-backed securities, as spreads widened 5 to 10 basis points versus swaps and 25 to 30 basis points versus Treasuries. Swap spreads widened across the market, reflecting a flight to quality and shortening of duration as fixed-income investors responded to uncertainty about the housing market.

Problems in the residential subprime sector and the consequent widening of spreads across all mortgage sectors during the first half of the year led to price volatility in the near term, even in high quality government and agency insured mortgage securities. The HIT’s performance relative to its benchmark at June 30 reflected in part the HIT’s concentration on high credit quality mortgage securities, whose performance lagged the benchmark. Also contributing to the underperformance were the HIT’s underweight in corporate bonds and Treasuries as compared to the benchmark, both of which were strong performers relative to other sectors of the investment-grade fixed-income universe during the period.

Interest rates rose between 19 and 49 basis points across the U.S. dollar swap curve during the first half of the year. This led to price declines offsetting the income earned in most fixed-income portfolios. However, yields and swap spreads were near a five-year high at mid-year, making the bonds in which the HIT specializes cheaper than they had been in recent years, relative to prices for similar-maturity Treasuries (see Figure 5).

1


Report to Participants

Figure 3.
U.S. Treasury Yield Curve
Source: Bloomberg L.P.

(LINE GRAPH)

Figure 4.
Subprime Mortgage Delinquency Rate
Source: Mortgage Bankers’ Association.

(LINE GRAPH)

Figure 5.
10-year U.S. Treasury and 10-year Swap Rates
(End-of-Month)
Source: Bloomberg L.P.

(LINE GRAPH)

In this environment of wider spreads and heightened volatility at mid-year, it is important to note that the credit quality of the HIT portfolio remains sound. In fact, the fundamental credit exposure of the HIT portfolio has not been affected by the subprime issues in the market place since the HIT does not invest in this sector. Over 98% of the HIT portfolio is AAA-rated or carries a guarantee from the U.S. government or a government-sponsored enterprise. Furthermore, the HIT does not have any borrowings and has not employed a high leverage strategy to meet its objectives.

High credit quality and capital preservation are key goals of the HIT’s investment strategy. The HIT has successfully achieved these goals and maintained this strategy through many and varied market conditions. It is the HIT’s opinion that the recent market volatility is not a long-term phenomenon. For this reason, looking forward, the HIT intends to continue to execute its long-term portfolio strategy seeking superior fundamentals of higher yield, better credit quality, and neutral interest rate risk versus the Lehman Aggregate Bond Index. Overweighting high credit quality multifamily mortgage investments will continue to be a focal point in executing the strategy.

HIT Portfolio Distribution

(PIE CHART)

Includes funded and unfunded commitments as of June 30, 2007

 

“The fundamental credit exposure of the HIT portfolio has not been affected by the subprime issues.”

2


Report to Participants

Multifamily Investments

The $76.3 million in financing committed during the first half of 2007 will enhance the HIT’s multifamily holdings as it helps advance the goals of improving the nation’s housing stock and creating family-supporting union jobs for the benefit of working people and their communities. The 14 new investments will generate 2,013 units of housing in six states. Three-quarters of the units will be affordable to low- and moderate-income households. With total development costs of more than $377.4 million, the projects will provide some 2,500 jobs for union members in construction and related industries. To produce these new investment opportunities, the HIT continued to draw on its broad network of community partners from labor, housing development, government and real estate finance. Following are examples of the projects the HIT financed during this period.

Back of the Hill Apartments
Boston, Massachusetts

In June, the HIT committed $4 million for the purchase of a tax-exempt bond to help finance the $27.4 million rehabilitation of this affordable housing project that serves low-income elderly and physically challenged persons in Boston. The project is one of eight Massachusetts projects financed in the first half of the year through HIT’s work with MassHousing, the state housing finance agency. The HIT’s commitments to these projects total $16.8 million. Ninety-six percent of the 764 units in the eight projects will be affordable to low- and moderate-income persons. The Massachusetts projects will generate approximately 350 union jobs in the construction trades.

Queens Family Courthouse
Queens, New York

(GRAPHIC)

The HIT purchased $10 million in tax-exempt bonds from New York City’s Housing Development Corporation to finance the $165 million redevelopment of the Queens Family Courthouse. This major redevelopment consists of 277 housing units, of which 166 are affordable to low- and moderate-income families. An additional 69 affordable cooperative units are being financed separately as workforce housing. The project is generating over 1,000 union construction jobs. The investment brings to $306.4 million HIT’s investments under its New York City Community Investment Initiative. The 16 projects financed by the HIT through this initiative have an estimated combined value of $1.4 billion as of June 30, 2007.

Liberty Meadows Estates
Joliet, Illinois

The HIT committed $3.5 million to finance Liberty Meadows Estates, phase I, a $17.8 million new construction project consisting of 38 single-family detached houses and 36 duplex units. The 74 homes will be rented for 15 years, consistent with the Low Income Housing Tax Credit guidelines, after which the developer intends to allow tenants to purchase them. This is the eighth project that the HIT has financed in cooperation with the Illinois Housing Development Authority (IHDA) under a 2005 memorandum of agreement that sets a goal of $250 million in HIT investments and 2,500 housing units in Illinois housing over five years. So far, the HIT has financed 776 units or 31% of that goal. For more than a decade, the HIT has worked with IHDA to produce more than 3,500 housing units and generate some 2,700 union jobs with over $170 million in HIT financing and total development costs of $427.0 million.

 

“Over 98% of the HIT portfolio is AAA-rated or carries a guarantee from the U.S. government or a government-sponsored enterprise.”

3


Leadership

 

Board of Trustees

 

Richard Ravitch, Chairman*

Principal, Ravitch Rice & Co. LLC

 

John J. Sweeney*

President, AFL-CIO

 

Richard L. Trumka

Secretary-Treasurer, AFL-CIO

 

Linda Chavez-Thompson

Executive Vice-President, AFL-CIO

 

John J. Flynn

President, International Union of Bricklayers and Allied Craftworkers

 

Stephen Frank

Retired; formerly Vice President and Chief Financial Officer, The Small Business Funding Corporation

 

Frank Hurt

International President, Bakery, Confectionery & Tobacco Workers and Grain Millers International Union

 

George Latimer

Distinguished Visiting Professor of Urban Land Studies, Macalester College

 

Jack Quinn

President, Cassidy & Associates; formerly Member of Congress, 27th District, New York

 

Marlyn J. Spear, CFA

Chief Investment Officer, Building Trades United Pension Trust Fund (Milwaukee and Vicinity)

 

Tony Stanley*

Director, TransCon Builders, Inc.; formerly Executive Vice President, TransCon Builders, Inc.

 

Edward C. Sullivan

President, Building and Construction Trades Department, AFL-CIO

 

Jon F. Walters

International Secretary-Treasurer, International Brotherhood of Electrical Workers

 

James A. Williams

General President, International Union of Painters and Allied Trades of the United States and Canada

 

Officers and Key Staff

 

Stephen Coyle

Chief Executive Officer

 

Helen R. Kanovsky

Chief Operating Officer

 

Erica Khatchadourian

Chief Financial Officer

 

Chang Suh

Executive Vice President and Chief Portfolio Manager

 

Mary C. Moynihan

General Counsel

 

Stephanie H. Wiggins

Chief Investment Officer – Multifamily Finance

 

Marcie Cohen

Senior Vice President

 

Harpreet Peleg

Controller

 

Christopher Kaiser

Chief Compliance Officer

 

Lesyllee White

Director of Marketing

 

Carol Nixon

Director, New York City Office

 

Paul Barrett

Director, Boston Office

 

David Landenwitch

Acting Director, Western Regional Office

 

Service Providers

 

Independent Registered Public Accounting Firm

Ernst & Young LLP
McLean, Virginia

 

Corporate Counsel

Bingham McCutchen LLP
Washington, D.C.

 

Securities Counsel

Wilmer Cutler Pickering Hale and Dorr LLP
Washington, D.C.

 

Transfer Agent

PFPC Inc.
King of Prussia, Pennsylvania

 

Custodian

PFPC Trust Company
Philadelphia, Pennsylvania

 

Investment Adviser (Through May 30, 2007)

Wellington Management Company, LLP
Boston, Massachusetts


National Office

Until September 17, 2007:

1717 K Street, N.W., Suite 707
Washington, D.C. 20036

 

Effective September 17, 2007:

2401 Pennsylvania Avenue, N.W., Suite 200
Washington, D.C. 20037
(202) 331-8055

 

New York City Office

1270 Avenue of the Americas, Suite 210
New York, New York 10020
(212) 554-2750

 

Western Regional Office

235 Montgomery Street, Suite 1001
San Francisco, California 94104
(415) 433-3044

 

Boston Office

655 Summer Street
Boston, Massachusetts 02210
(617) 261-4444

 

www.aflcio-hit.com


Gulf Coast Revitalization Program

1100 Poydras Street, Suite 2870
New Orleans, Louisiana 70163
(504) 599-8750

* Executive Committee member.

4


 

 

 

FINANCIAL STATEMENTS         

 

JUNE 30, 2007          

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(LOGO)

AFL-CIO
HOUSING INVESTMENT TRUST

 

 

 

 


 

AFL-CIO HOUSING INVESTMENT TRUST

Statement of Assets and Liabilities
June 30, 2007 (Dollars in thousands; unaudited)

 

 

 

 

 

Assets

 

 

 

 

Investments, at fair value (amortized cost $3,677,218)*

 

$

3,611,544

 

Cash

 

 

6,915

 

Accrued interest receivable

 

 

17,807

 

Receivables for investments sold

 

 

873

 

Accounts receivable

 

 

45

 

Prepaid expenses and other assets

 

 

894

 

Total Assets

 

 

3,638,078

 

 

 

 

 

 

Liabilities

 

 

 

 

Accounts payable and accrued expenses

 

 

2,620

 

Payables for investments purchased

 

 

48,038

 

Redemptions payable

 

 

38,221

 

Refundable deposits

 

 

690

 

Income distribution payable, net of dividends reinvested of $13,272

 

 

1,972

 

Total Liabilities

 

 

91,541

 

 

 

 

 

 

Net Assets Applicable to Participants’ Equity — Certificates of Participation —Authorized Unlimited; Outstanding 3,344,082 Units

 

$

3,546,537

 

 

Net Asset Value Per Unit of Participation (in dollars)

 

$

1,060.54

 


Participants’ Equity

 

 

 

 

Participants’ equity consisted of the following:

 

 

 

 

Amount invested and reinvested by current participants

 

$

3,630,805

 

Net unrealized depreciation of investments

 

 

(65,674

)

Undistributed net investment income

 

 

2,077

 

Accumulated net realized losses

 

 

(20,671

)

Total Participants’ Equity

 

$

3,546,537

 

 

 

*

The cost for federal tax purposes approximates book cost.

 

See accompanying Notes to Financial Statements.

6


SEMI-ANNUAL REPORT JUNE 2007

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

FHA Permanent Securities (3.8% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate

 

Maturity Dates

 

Commitment
Amount

 

Face Amount

 

Amortized
Cost

 

Value

Single Family

 

 

7.75

%

 

Jul-2021-Aug-2021

 

 

 

 

$

33

 

$

33

 

$

33

 

 

 

8.00

%

 

Jul-2021

 

 

 

 

 

32

 

 

32

 

 

32

 

 

 

 

 

 

 

 

 

 

 

 

65

 

 

65

 

 

65

Multifamily1

 

 

5.25

%

 

Mar-2024

 

 

 

 

 

5,029

 

 

5,053

 

 

4,796

 

 

 

5.60

%

 

Jun-2038

 

 

 

 

 

2,861

 

 

2,865

 

 

2,803

 

 

 

5.62

%

 

Jun-2014

 

 

 

 

 

685

 

 

684

 

 

670

 

 

 

5.65

%

 

Oct-2038

 

 

 

 

 

2,196

 

 

2,265

 

 

2,134

 

 

 

5.87

%

 

Jun-2044

 

 

 

 

 

1,960

 

 

1,961

 

 

1,914

 

 

 

6.02

%

 

Jun-2035

 

 

 

 

 

6,857

 

 

6,856

 

 

6,829

 

 

 

6.40

%

 

Jul-2046

 

 

 

 

 

4,095

 

 

4,098

 

 

4,181

 

 

 

6.66

%

 

May-2040

 

 

 

 

 

5,728

 

 

5,727

 

 

5,777

 

 

 

6.70

%

 

Dec-2042

 

 

 

 

 

5,990

 

 

5,987

 

 

6,118

 

 

 

6.75

%

 

Feb-2039-Jul-2040

 

 

 

 

 

6,448

 

 

6,416

 

 

6,636

 

 

 

6.88

%

 

Apr-2031

 

 

 

 

 

28,394

 

 

28,077

 

 

28,945

 

 

 

7.00

%

 

Jun-2039

 

 

 

 

 

6,010

 

 

6,048

 

 

6,081

 

 

 

7.05

%

 

Jul-2043

 

 

 

 

 

5,311

 

 

5,311

 

 

5,531

 

 

 

7.13

%

 

Mar-2040

 

 

 

 

 

7,858

 

 

7,828

 

 

8,289

 

 

 

7.20

%

 

Dec-2033-Oct-2039

 

 

 

 

 

10,013

 

 

10,009

 

 

10,533

 

 

 

7.50

%

 

Sep-2032

 

 

 

 

 

1,614

 

 

1,616

 

 

1,758

 

 

 

7.70

%

 

Oct-2039

 

 

 

 

 

12,058

 

 

11,992

 

 

12,287

 

 

 

7.75

%

 

Oct-2038

 

 

 

 

 

1,390

 

 

1,382

 

 

1,396

 

 

 

7.88

%

 

Jul-2038

 

 

 

 

 

5,047

 

 

5,047

 

 

4,996

 

 

 

7.93

%

 

Apr-2042

 

 

 

 

 

2,886

 

 

2,886

 

 

3,220

 

 

 

8.15

%

 

Mar-2037

 

 

 

 

 

1,187

 

 

1,300

 

 

1,231

 

 

 

8.27

%

 

Jun-2042

 

 

 

 

 

2,526

 

 

2,526

 

 

2,741

 

 

 

8.38

%

 

Apr-2008

 

 

 

 

 

108

 

 

112

 

 

108

 

 

 

8.40

%

 

Apr-2012

 

 

 

 

 

316

 

 

316

 

 

317

 

 

 

8.75

%

 

Aug-2036

 

 

 

 

 

3,681

 

 

3,678

 

 

3,694

 

 

 

 

 

 

 

 

 

 

 

 

130,248

 

 

130,040

 

 

132,985

 

Forward Commitments1

6.65

%

 

Jun-2049

 

 

1,120

 

 

—

 

 

—

 

 

15

 

 

 

 

 

 

 

 

 

1,120

 

 

—

 

 

—

 

 

15

Total FHA Permanent Securities

 

$

1,120

 

$

130,313

 

$

130,105

 

$

133,065

7


AFL-CIO HOUSING INVESTMENT TRUST

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

FHA Construction Securities (0.5% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rates2

 

Maturity Date

 

Commitment
Amount

 

Face
Amount

 

Amortized
Cost

 

Value

 

 

 

Permanent

 

Construction

 

 

 

 

 

 

Multifamily1

 

 

5.35

%

 

5.35

%

 

Mar-2047

 

$

8,050

 

$

8,036

 

$

8,046

 

$

7,623

 

 

 

 

5.55

%

 

5.55

%

 

May-2042

 

 

8,950

 

 

8,950

 

 

8,954

 

 

8,612

 

 

 

 

 

 

 

 

 

 

 

 

 

17,000

 

 

16,986

 

 

17,000

 

 

16,235

 

Forward Commitments1

5.89

%

 

5.89

%

 

Mar-2038

 

 

5,350

 

 

—

 

 

—

 

 

(190

)

 

 

 

 

 

 

 

 

 

 

 

 

5,350

 

 

—

 

 

—

 

 

(190

)

Total FHA Construction Securities

 

 

 

 

 

 

$

22,350

 

$

16,986

 

$

17,000

 

$

16,045

 

Ginnie Mae Securities (28.2% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate

 

Maturity Dates

 

Commitment
Amount

 

Face Amount

 

Amortized Cost

 

Value

 

Single Family

 

5.50

%

 

Jan-2033-Aug-2033

 

$

 

 

$

9,146

 

$

9,243

 

$

8,898

 

 

 

6.00

%

 

Jan-2032-Jun-2033

 

 

 

 

 

4,719

 

 

4,877

 

 

4,709

 

 

 

6.50

%

 

Jul-2028-Dec-2028

 

 

 

 

 

409

 

 

409

 

 

416

 

 

 

7.00

%

 

Nov-2016-Jan-2030

 

 

 

 

 

7,057

 

 

7,202

 

 

7,322

 

 

 

7.50

%

 

Apr-2013-Aug-2030

 

 

 

 

 

6,992

 

 

7,137

 

 

7,259

 

 

 

8.00

%

 

Nov-2009-Nov-2030

 

 

 

 

 

2,799

 

 

2,873

 

 

2,937

 

 

 

8.50

%

 

Nov-2009-Aug-2027

 

 

 

 

 

2,485

 

 

2,538

 

 

2,656

 

 

 

9.00

%

 

May-2016-Jun-2025

 

 

 

 

 

763

 

 

782

 

 

825

 

 

 

9.50

%

 

Sep-2021-Sep-2030

 

 

 

 

 

249

 

 

253

 

 

275

 

 

 

10.00

%

 

Jun-2019

 

 

 

 

 

1

 

 

1

 

 

1

 

 

 

13.00

%

 

Jul-2014

 

 

 

 

 

1

 

 

1

 

 

1

 

 

 

13.25

%

 

Dec-2014

 

 

 

 

 

1

 

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

34,622

 

 

35,317

 

 

35,300

 

Multifamily1

 

2.91

%

 

Jun-2018-Aug-2020

 

 

 

 

 

7,317

 

 

7,251

 

 

7,042

 

 

 

3.53

%

 

Jan-2032

 

 

 

 

 

1,041

 

 

995

 

 

1,004

 

 

 

3.61

%

 

May-2018

 

 

 

 

 

7,758

 

 

7,625

 

 

7,603

 

 

 

3.62

%

 

May-2017

 

 

 

 

 

22,186

 

 

21,497

 

 

21,467

 

 

 

3.65

%

 

Sep-2017-Oct-2027

 

 

 

 

 

18,613

 

 

18,389

 

 

17,905

 

 

 

3.96

%

 

May-2032

 

 

 

 

 

1,000

 

 

947

 

 

962

 

 

 

4.24

%

 

Feb-2039

 

 

 

 

 

5,000

 

 

4,709

 

 

4,626

 

 

 

4.25

%

 

Feb-2031

 

 

 

 

 

6,000

 

 

5,969

 

 

5,772

 

 

 

4.26

%

 

Jul-2029

 

 

 

 

 

3,000

 

 

2,992

 

 

2,866

 

 

 

4.43

%

 

Apr-2034-Jun-2034

 

 

 

 

 

109,471

 

 

107,247

 

 

100,534

 

 

 

4.49

%

 

Apr-2023

 

 

 

 

 

8,531

 

 

8,531

 

 

8,251

 

 

 

4.59

%

 

May-2033

 

 

 

 

 

16,300

 

 

16,291

 

 

15,928

 

 

 

4.65

%

 

Mar-2026

 

 

 

 

 

288

 

 

287

 

 

284

 

 

 

4.66

%

 

Dec-2030

 

 

 

 

 

8,617

 

 

8,684

 

 

8,250

 

 

 

4.70

%

 

Dec-2024

 

 

 

 

 

13,310

 

 

13,010

 

 

12,944

 

 

 

4.71

%

 

May-2025

 

 

 

 

 

33,294

 

 

33,276

 

 

32,129

 

 

 

4.78

%

 

Apr-2034

 

 

 

 

 

27,592

 

 

28,798

 

 

26,907

 

 

 

 

(continued, next page)

8


SEMI-ANNUAL REPORT JUNE 2007

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

Ginnie Mae Securities (28.2% of net assets), continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate

 

Maturity Dates

 

Commitment
Amount

 

Face Amount

 

Amortized
Cost

 

Value

 

 

 

4.83

%

 

May-2046

 

 

 

 

 

5,620

 

 

5,620

 

 

5,375

 

 

 

4.88

%

 

Mar-2036

 

 

 

 

 

17,000

 

 

16,755

 

 

16,149

 

 

 

4.92

%

 

Feb-2034-May-2034

 

 

 

 

 

65,000

 

 

64,664

 

 

62,241

 

 

 

4.94

%

 

Jun-2046

 

 

 

 

 

3,980

 

 

3,985

 

 

3,828

 

 

 

5.00

%

 

Dec-2033

 

 

 

 

 

5,278

 

 

5,333

 

 

5,144

 

 

 

5.05

%

 

Nov-2028

 

 

 

 

 

32,000

 

 

32,092

 

 

31,610

 

 

 

5.08

%

 

Jan-2030

 

 

 

 

 

23,383

 

 

22,923

 

 

23,109

 

 

 

5.12

%

 

Feb-2037

 

 

 

 

 

10,000

 

 

10,178

 

 

9,528

 

 

 

5.13

%

 

Jul-2024

 

 

 

 

 

12,000

 

 

11,966

 

 

11,884

 

 

 

5.15

%

 

Jun-2023

 

 

 

 

 

35,393

 

 

36,026

 

 

34,110

 

 

 

5.18

%

 

May-2042

 

 

 

 

 

2,248

 

 

2,275

 

 

2,176

 

 

 

5.19

%

 

May-2045

 

 

 

 

 

8,865

 

 

8,627

 

 

8,446

 

 

 

5.20

%

 

Apr-2047

 

 

 

 

 

26,205

 

 

26,470

 

 

25,431

 

 

 

5.21

%

 

Jan-2045

 

 

 

 

 

5,715

 

 

5,716

 

 

5,480

 

 

 

5.25

%

 

Feb-2031-Aug-2032

 

 

 

 

 

56,014

 

 

55,849

 

 

54,249

 

 

 

5.27

%

 

Aug-2040

 

 

 

 

 

10,000

 

 

9,752

 

 

9,376

 

 

 

5.30

%

 

Apr-2039-May-2041

 

 

 

 

 

68,000

 

 

66,947

 

 

65,576

 

 

 

5.32

%

 

Aug-2030-Dec-2037

 

 

 

 

 

50,000

 

 

49,833

 

 

48,830

 

 

 

5.34

%

 

Jul-2040

 

 

 

 

 

18,000

 

 

17,645

 

 

16,959

 

 

 

5.38

%

 

Apr-2025

 

 

 

 

 

496

 

 

512

 

 

493

 

 

 

5.45

%

 

May-2042

 

 

 

 

 

2,330

 

 

2,414

 

 

2,299

 

 

 

5.50

%

 

Sep-2023-Jul-2033

 

 

 

 

 

37,814

 

 

39,546

 

 

37,544

 

 

 

5.55

%

 

May-2026-Mar-2045

 

 

 

 

 

28,592

 

 

28,717

 

 

28,366

 

 

 

5.58

%

 

May-2031-Oct-2031

 

 

 

 

 

94,582

 

 

94,951

 

 

92,823

 

 

 

5.68

%

 

Jul-2027

 

 

 

 

 

15,152

 

 

15,133

 

 

15,077

 

 

 

5.70

%

 

Mar-2037

 

 

 

 

 

2,485

 

 

2,497

 

 

2,460

 

 

 

5.75

%

 

Dec-2026

 

 

 

 

 

3,907

 

 

3,961

 

 

3,946

 

 

 

5.88

%

 

Mar-2024

 

 

 

 

 

2,287

 

 

2,288

 

 

2,285

 

 

 

6.00

%

 

Jan-2046

 

 

 

 

 

3,658

 

 

3,661

 

 

3,775

 

 

 

6.05

%

 

Jun-2043

 

 

 

 

 

6,088

 

 

6,088

 

 

6,183

 

 

 

6.11

%

 

Nov-2021

 

 

 

 

 

84

 

 

84

 

 

84

 

 

 

6.26

%

 

Apr-2027

 

 

 

 

 

10,000

 

 

10,741

 

 

10,143

 

 

 

6.38

%

 

Mar-2026

 

 

 

 

 

10,000

 

 

10,282

 

 

10,203

 

 

 

6.41

%

 

Aug-2023

 

 

 

 

 

3,464

 

 

3,464

 

 

3,515

 

 

 

7.00

%

 

Jun-2043

 

 

 

 

 

28,484

 

 

28,484

 

 

29,942

 

 

 

 

 

 

 

 

 

 

 

 

993,442

 

 

991,977

 

 

963,113

 

Forward Commitments1

 

5.75

%

 

Jul-2037

 

 

3,360

 

 

—

 

 

—

 

 

10

 

 

 

5.85

%

 

Dec-2037

 

 

3,250

 

 

—

 

 

—

 

 

31

 

 

 

 

 

 

 

 

 

6,610

 

 

—

 

 

—

 

 

41

 

Total Ginnie Mae Securities

 

 

 

 

$

6,610

 

$

1,028,064

 

$

1,027,294

 

$

998,454

 

9


AFL-CIO HOUSING INVESTMENT TRUST

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

Ginnie Mae Construction Securities (3.2% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rates2

 

Maturity
Date

 

 

Commitment
Amount

 

Face
Amount

 

Amortized
Cost

 

Value

 

 

 

Permanent

 

Construction

 

 

 

 

 

 

 

Multifamily1

 

4.63

%

 

4.63

%

 

Sep-2037

3

 

$

1,500

 

$

1,500

 

$

1,456

 

$

1,379

 

 

 

4.70

%

 

4.70

%

 

Jan-2047

3

 

 

6,035

 

 

6,035

 

 

6,047

 

 

5,679

 

 

 

4.74

%

 

4.74

%

 

Feb-2045

3

 

 

6,418

 

 

5,887

 

 

5,692

 

 

5,457

 

 

 

4.90

%

 

4.90

%

 

Mar-2044

3

 

 

1,000

 

 

1,000

 

 

990

 

 

939

 

 

 

5.21

%

 

5.21

%

 

Jan-2047

3

 

 

16,188

 

 

15,264

 

 

15,134

 

 

14,632

 

 

 

5.34

%

 

5.34

%

 

Mar-2046

 

 

 

11,340

 

 

10,178

 

 

10,195

 

 

9,763

 

 

 

5.46

%

 

5.46

%

 

Feb-2047

 

 

 

3,165

 

 

3,082

 

 

3,104

 

 

3,041

 

 

 

5.85

%

 

5.85

%

 

Nov-2045

 

 

 

2,091

 

 

1,974

 

 

1,977

 

 

1,977

 

 

 

6.22

%

 

5.75

%

 

Aug-2035

 

 

 

14,599

 

 

12,209

 

 

12,219

 

 

12,467

 

 

 

6.25

%

 

6.25

%

 

Feb-2034

 

 

 

4,890

 

 

689

 

 

967

 

 

885

 

 

 

7.75

%

 

7.25

%

 

Aug-2035

 

 

 

51,779

 

 

51,779

 

 

51,533

 

 

55,920

 

 

 

 

 

 

 

 

 

 

 

 

 

119,005

 

 

109,597

 

 

109,314

 

 

112,139

 

Forward Commitments1

5.40

%

 

5.40

%

 

Dec-2048

 

 

 

9,514

 

 

—

 

 

(119

)

 

(266

)

 

 

 

 

 

 

 

 

 

 

 

 

9,514

 

 

—

 

 

(119

)

 

(266

)

Total Ginnie Mae Construction Securities

 

 

 

 

 

$

128,519

 

$

109,597

 

$

109,195

 

$

111,873

 

Freddie Mac Securities (15.6% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate

 

Maturity Dates

 

Face Amount

 

Amortized Cost

 

Value

 

Single Family

 

 

4.00

%

 

Oct-2033

 

$

9,419

 

$

9,289

 

$

9,275

 

 

 

 

4.24

%

 

Jun-2033

 

 

3,816

 

 

3,801

 

 

3,794

 

 

 

 

4.37

%

 

Jul-2035

 

 

2,213

 

 

2,204

 

 

2,197

 

 

 

 

4.50

%

 

Aug-2018-Feb-2019

 

 

21,259

 

 

21,321

 

 

20,260

 

 

 

 

5.00

%

 

Jan-2019-Jul-2037

 

 

86,803

 

 

84,888

 

 

82,560

 

 

 

 

5.07

%

 

Apr-2035

 

 

2,119

 

 

2,119

 

 

2,108

 

 

 

 

5.50

%

 

Oct-2017-Aug-2037

 

 

166,665

 

 

165,081

 

 

161,242

 

 

 

 

5.62

%

 

Dec-2035-Feb-2036

 

 

50,295

 

 

50,274

 

 

50,279

 

 

 

 

5.67

%

 

Apr-2036

 

 

9,411

 

 

9,396

 

 

9,411

 

 

 

 

6.00

%

 

Mar-2014-Jan-2037

 

 

148,851

 

 

151,449

 

 

147,946

 

 

 

 

6.50

%

 

Oct-2013-Sep-2036

 

 

31,760

 

 

32,482

 

 

32,136

 

 

 

 

7.00

%

 

Mar-2011-Mar-2030

 

 

2,226

 

 

2,200

 

 

2,278

 

 

 

 

7.50

%

 

Jul-2010-Apr-2031

 

 

1,917

 

 

1,904

 

 

1,972

 

 

 

 

8.00

%

 

May-2008-Feb-2030

 

 

749

 

 

743

 

 

772

 

 

 

 

8.50

%

 

Jun-2010-Jan-2025

 

 

602

 

 

608

 

 

634

 

 

 

 

9.00

%

 

Sep-2010-Mar-2025

 

 

220

 

 

221

 

 

232

 

 

 

 

 

 

 

 

 

 

538,325

 

 

537,980

 

 

527,096

 

Multifamily1

 

 

5.65

%

 

Apr-2016

 

 

14,662

 

 

14,713

 

 

14,639

 

 

 

 

5.42

%

 

Apr-2016

 

 

10,000

 

 

9,907

 

 

9,731

 

 

 

 

8.00

%

 

Feb-2009

 

 

2,169

 

 

2,160

 

 

2,176

 

 

 

 

 

 

 

 

 

 

26,831

 

 

26,780

 

 

26,546

 

Total Freddie Mac Securities

 

 

 

 

 

 

 

$

565,156

 

$

564,760

 

$

553,642

 

10


SEMI-ANNUAL REPORT JUNE 2007

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

Fannie Mae Securities (38.1% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate

 

Maturity Dates

 

Commitment
Amount

 

Face Amount

 

Amortized Cost

 

Value

 

Single Family

 

 

3.97

%

 

Aug-2033

 

 

     $

 

$

1,542

 

$

1,537

 

$

1,523

 

 

 

 

4.00

%

 

Jul-2033

 

 

 

 

 

11,173

 

 

11,246

 

 

11,104

 

 

 

 

4.05

%

 

Jul-2033

 

 

 

 

 

4,882

 

 

4,841

 

 

4,834

 

 

 

 

4.27

%

 

May-2033

 

 

 

 

 

4,384

 

 

4,414

 

 

4,370

 

 

 

 

4.28

%

 

Aug-2033

 

 

 

 

 

4,618

 

 

4,608

 

 

4,594

 

 

 

 

4.30

%

 

Aug-2033

 

 

 

 

 

14,383

 

 

14,341

 

 

14,371

 

 

 

 

4.50

%

 

Jun-2018-Feb-2019

 

 

 

 

 

13,884

 

 

14,070

 

 

13,228

 

 

 

 

4.55

%

 

Nov-2033

 

 

 

 

 

13,055

 

 

13,066

 

 

12,991

 

 

 

 

4.59

%

 

Aug-2034

 

 

 

 

 

824

 

 

829

 

 

817

 

 

 

 

4.81

%

 

Sep-2035

 

 

 

 

 

4,832

 

 

4,809

 

 

4,830

 

 

 

 

5.00

%

 

Jul-2018-Jun-2037

 

 

 

 

 

90,475

 

 

89,819

 

 

85,908

 

 

 

 

5.50

%

 

Jul-2017-Aug-2036

 

 

 

 

 

185,283

 

 

186,583

 

 

179,664

 

 

 

 

6.00

%

 

Apr-2016-Jun-2037

 

 

 

 

 

208,028

 

 

210,182

 

 

206,283

 

 

 

 

6.50

%

 

Nov-2016-Jun-2036

 

 

 

 

 

51,938

 

 

52,593

 

 

52,517

 

 

 

 

7.00

%

 

Nov-2013-May-2032

 

 

 

 

 

6,920

 

 

6,995

 

 

7,162

 

 

 

 

7.50

%

 

Nov-2016-Sep-2031

 

 

 

 

 

2,545

 

 

2,525

 

 

2,654

 

 

 

 

8.00

%

 

Jun-2012-May-2031

 

 

 

 

 

1,477

 

 

1,495

 

 

1,528

 

 

 

 

8.50

%

 

Nov-2009-Apr-2031

 

 

 

 

 

1,093

 

 

1,110

 

 

1,151

 

 

 

 

9.00

%

 

Jul-2009-May-2025

 

 

 

 

 

304

 

 

307

 

 

323

 

 

 

 

 

 

 

 

 

 

 

 

 

621,640

 

 

625,370

 

 

609,852

 

Multifamily1

 

 

4.10

%

 

Jun-2027

 

 

 

 

 

9,498

 

 

9,296

 

 

9,168

 

 

 

 

4.22

%

 

Jul-2018

 

 

 

 

 

4,810

 

 

4,496

 

 

4,464

 

 

 

 

4.48

%

 

Oct-2031

 

 

 

 

 

14,498

 

 

14,500

 

 

14,181

 

 

 

 

4.66

%

 

Jul-2021-Sep-2033

 

 

 

 

 

8,591

 

 

8,710

 

 

7,976

 

 

 

 

4.67

%

 

Aug-2033

 

 

 

 

 

9,600

 

 

9,582

 

 

9,060

 

 

 

 

4.99

%

 

Mar-2021-Aug-2021

 

 

 

 

 

42,350

 

 

42,334

 

 

39,298

 

 

 

 

5.08

%

 

Jan-2018

 

 

 

 

 

5,688

 

 

5,560

 

 

5,497

 

 

 

 

5.15

%

 

Oct-2022

 

 

 

 

 

4,636

 

 

4,672

 

 

4,466

 

 

 

 

5.29

%

 

Jun-2017-May-2022

 

 

 

 

 

9,093

 

 

9,108

 

 

8,764

 

 

 

 

5.34

%

 

Apr-2016

 

 

 

 

 

6,674

 

 

6,657

 

 

6,573

 

 

 

 

5.35

%

 

Apr-2012-Jun-2018

 

 

 

 

 

4,378

 

 

4,397

 

 

4,336

 

 

 

 

5.36

%

 

Feb-2016

 

 

 

 

 

5,000

 

 

5,018

 

 

4,913

 

 

 

 

5.43

%

 

Nov-2013

 

 

 

 

 

1,401

 

 

1,399

 

 

1,401

 

 

 

 

5.44

%

 

Mar-2016

 

 

 

 

 

3,939

 

 

4,007

 

 

3,898

 

 

 

 

5.45

%

 

May-2033

 

 

 

 

 

3,246

 

 

3,287

 

 

3,136

 

 

 

 

5.46

%

 

Feb-2017

 

 

 

 

 

51,399

 

 

52,422

 

 

50,805

 

 

 

 

5.52

%

 

May-2016

 

 

 

 

 

22,893

 

 

22,516

 

 

22,799

 

 

 

 

5.53

%

 

Apr-2017

 

 

 

 

 

67,874

 

 

67,878

 

 

67,408

 

 

 

 

5.59

%

 

May-2017

 

 

 

 

 

7,509

 

 

7,534

 

 

7,494

 

 

 

 

5.60

%

 

Feb-2018-Jan-2024

 

 

 

 

 

12,834

 

 

12,832

 

 

12,594

 

 

 

 

5.62

%

 

Jun-2011

 

 

 

 

 

28,946

 

 

28,653

 

 

28,949

 

 

 

 

5.70

%

 

Mar-2009-Jun-2016

 

 

 

 

 

7,014

 

 

7,252

 

 

7,049

 

 

 

 

5.80

%

 

May-2018

4

 

75,000

 

 

67,720

 

 

67,348

 

 

66,841

 

 

 

 

5.86

%

 

Dec-2016

 

 

 

 

 

401

 

 

404

 

 

406

 

 

 

 

5.91

%

 

Mar-2037

 

 

 

 

 

2,194

 

 

2,268

 

 

2,179

 

 

 

 

5.92

%

 

Dec-2016

 

 

 

 

 

397

 

 

402

 

 

401

 

 

 

 

5.96

%

 

Jan-2029

 

 

 

 

 

485

 

 

495

 

 

486

 

 

 

 

6.03

%

 

Jun-2017-Jun-2036

 

 

 

 

 

5,876

 

 

6,105

 

 

5,941

 

 

 

 

6.06

%

 

Jul-2034

 

 

 

 

 

10,630

 

 

11,080

 

 

10,732

 

 

 

 

6.10

%

 

Apr-2011

 

 

 

 

 

2,773

 

 

2,823

 

 

2,828

 

(continued, next page)

11


AFL-CIO HOUSING INVESTMENT TRUST

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

Fannie Mae Securities (38.1% of net assets) continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest
Rate

 

Maturity Dates

 

Commitment
Amount

 

Face Amount

 

Amortized Cost

 

Value

 

 

 

6.13

%

 

Dec-2016

 

 

 

 

 

3,708

 

 

3,967

 

 

3,812

 

 

 

6.14

%

 

Sep-2033

 

 

 

 

 

323

 

 

347

 

 

330

 

 

 

6.15

%

 

Oct-2032

 

 

 

 

 

3,714

 

 

3,814

 

 

3,786

 

 

 

6.16

%

 

Aug-2013

 

 

 

 

 

12,129

 

 

12,883

 

 

12,183

 

 

 

6.19

%

 

Jul-2013

 

 

 

 

 

5,000

 

 

5,324

 

 

5,121

 

 

 

6.22

%

 

Aug-2032

 

 

 

 

 

1,896

 

 

1,962

 

 

1,942

 

 

 

6.23

%

 

Sep-2034

 

 

 

 

 

1,549

 

 

1,647

 

 

1,585

 

 

 

6.27

%

 

Jan-2012

 

 

 

 

 

2,122

 

 

2,141

 

 

2,187

 

 

 

6.28

%

 

Nov-2028

 

 

 

 

 

3,440

 

 

3,718

 

 

3,527

 

 

 

6.35

%

 

Jun-2020-Aug-2032

 

 

 

 

 

28,525

 

 

29,803

 

 

28,993

 

 

 

6.38

%

 

Jul-2021

 

 

 

 

 

5,944

 

 

6,150

 

 

6,223

 

 

 

6.39

%

 

Apr-2019

 

 

 

 

 

1,032

 

 

1,104

 

 

1,073

 

 

 

6.41

%

 

Aug-2013

 

 

 

 

 

1,939

 

 

2,047

 

 

1,954

 

 

 

6.42

%

 

Apr-2011

 

 

 

 

 

1,394

 

 

1,451

 

 

1,403

 

 

 

6.44

%

 

Apr-2014-Dec-2018

 

 

 

 

 

47,042

 

 

47,535

 

 

49,592

 

 

 

6.50

%

 

Jun-2016

 

 

 

 

 

2,713

 

 

2,709

 

 

2,817

 

 

 

6.52

%

 

May-2029

 

 

 

 

 

5,956

 

 

6,623

 

 

6,250

 

 

 

6.53

%

 

May-2030

 

 

 

 

 

2,673

 

 

2,678

 

 

2,667

 

 

 

6.63

%

 

Jun-2014-Apr-2019

 

 

 

 

 

4,710

 

 

4,732

 

 

4,921

 

 

 

6.65

%

 

Aug-2011

 

 

 

 

 

1,736

 

 

1,851

 

 

1,808

 

 

 

6.70

%

 

Jan-2011

 

 

 

 

 

2,480

 

 

2,585

 

 

2,495

 

 

 

6.79

%

 

Aug-2009

 

 

 

 

 

7,244

 

 

7,223

 

 

7,412

 

 

 

6.80

%

 

Jul-2016

 

 

 

 

 

885

 

 

885

 

 

930

 

 

 

6.85

%

 

Aug-2014

 

 

 

 

 

44,835

 

 

44,765

 

 

48,041

 

 

 

6.88

%

 

Feb-2028

 

 

 

 

 

5,010

 

 

5,569

 

 

5,250

 

 

 

7.00

%

 

Jun-2018

 

 

 

 

 

4,081

 

 

4,081

 

 

4,306

 

 

 

7.01

%

 

Apr-2031

 

 

 

 

 

3,521

 

 

3,555

 

 

3,761

 

 

 

7.07

%

 

Feb-2031

 

 

 

 

 

17,776

 

 

18,140

 

 

19,041

 

 

 

7.18

%

 

Aug-2016

 

 

 

 

 

547

 

 

547

 

 

584

 

 

 

7.20

%

 

Apr-2010-Aug-2029

 

 

 

 

 

9,369

 

 

9,124

 

 

9,953

 

 

 

7.25

%

 

Nov-2011-Jul-2012

 

 

 

 

 

8,848

 

 

8,848

 

 

9,088

 

 

 

7.26

%

 

Dec-2018

 

 

 

 

 

13,292

 

 

14,517

 

 

14,314

 

 

 

7.46

%

 

Aug-2029

 

 

 

 

 

9,649

 

 

10,950

 

 

10,461

 

 

 

7.50

%

 

Dec-2014

 

 

 

 

 

1,754

 

 

1,754

 

 

1,879

 

 

 

7.53

%

 

Feb-2024

 

 

 

 

 

5,471

 

 

6,089

 

 

5,534

 

 

 

7.71

%

 

Feb-2010

 

 

 

 

 

9,279

 

 

9,320

 

 

9,309

 

 

 

7.75

%

 

Dec-2012-Dec-2024

 

 

 

 

 

3,829

 

 

3,830

 

 

4,134

 

 

 

8.00

%

 

Nov-2019

 

 

 

 

 

2,161

 

 

2,153

 

 

2,169

 

 

 

8.13

%

 

Sep-2012-Aug-2020

 

 

 

 

 

8,630

 

 

8,600

 

 

8,787

 

 

 

8.38

%

 

Jan-2022

 

 

 

 

 

942

 

 

943

 

 

946

 

 

 

8.40

%

 

Jul-2023

 

 

 

 

 

517

 

 

508

 

 

578

 

 

 

8.50

%

 

Nov-2019-Sep-2026

 

 

 

 

 

5,489

 

 

5,853

 

 

6,123

 

 

 

8.63

%

 

Sep-2028

 

 

 

 

 

6,778

 

 

6,778

 

 

7,654

 

 

 

9.13

%

 

Sep-2015

 

 

 

 

 

2,818

 

 

2,802

 

 

2,833

 

 

 

 

 

 

 

 

 

75,000

 

 

735,097

 

 

744,940

 

 

741,799

 

Forward Commitments1

 

5.55

%

 

May-2018

 

 

31,000

 

 

—

 

 

—

 

 

(871

)

 

 

 

 

 

 

 

 

31,000

 

 

—

 

 

—

 

 

(871

)

Total Fannie Mae Securities

 

 

 

 

$

106,000

 

$

1,356,737

 

$

1,370,310

 

$

1,350,780

 

12


SEMI-ANNUAL REPORT JUNE 2007

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

Commercial Mortgage-Backed Securities (6.5% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate

 

Maturity Dates

 

Face Amount

 

Amortized Cost

 

Value

 

 

 

 

5.10

%

 

Aug-2038

 

$

20,000

 

$

19,015

 

$

19,083

 

 

 

 

5.33

%

 

Feb-2044

 

 

20,000

 

 

20,109

 

 

19,190

 

 

 

 

5.34

%

 

Dec-2043

 

 

25,000

 

 

25,122

 

 

23,951

 

 

 

 

5.41

%

 

Dec-2040

 

 

17,000

 

 

16,690

 

 

16,539

 

 

 

 

5.43

%

 

Feb-2040

 

 

30,000

 

 

30,149

 

 

29,009

 

 

 

 

5.45

%

 

Feb-2044

 

 

15,000

 

 

15,080

 

 

14,516

 

 

 

 

5.47

%

 

Jan-2045

 

 

10,000

 

 

10,054

 

 

9,696

 

 

 

 

5.54

%

 

Oct-2041-Jan-2049

 

 

55,500

 

 

55,783

 

 

54,122

 

 

 

 

5.61

%

 

Feb-2039

 

 

15,000

 

 

15,138

 

 

14,716

 

 

 

 

5.71

%

 

Jun-2040

 

 

30,000

 

 

30,042

 

 

29,766

 

Total Commercial Mortgage-Backed Securities

 

$

237,500

 

$

237,182

 

$

230,588

 

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

 

$

45,205

 

$

44,118

 

Total Government-Sponsored Enterprise Securities

 

$

45,000

 

$

45,205

 

$

44,118

 

United States Treasury Securities (1.2% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate

 

Maturity Date

 

Face Amount

 

Amortized Cost

 

Value

 

 

 

 

4.50

%

 

May-2017

 

$

15,000

 

$

14,298

 

$

14,379

 

 

 

 

4.63

%

 

Nov-2016

 

 

30,000

 

 

29,641

 

 

29,076

 

Total United States Treasury Securities

 

$

45,000

 

$

43,939

 

$

43,455

 

State Housing Finance Agency Securities (1.1% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Interest Rate

 

Maturity Date

 

Face Amount

 

Amortized Cost

 

Value

 

Multifamily1

 

 

MA Housing Finance Agency

 

 

3.80

%

 

Jun-2042

 

$

10,000

 

$

10,000

 

$

10,000

 

 

 

 

MA Housing Finance Agency

 

 

4.20

%

 

Jun-2010

 

 

300

 

 

300

 

 

300

 

 

 

 

MA Housing Finance Agency

 

 

5.25

%

 

Dec-2048

 

 

2,500

 

 

2,500

 

 

2,471

 

 

 

 

MA Housing Finance Agency

 

 

5.30

%

 

Jun-2049

 

 

4,000

 

 

4,000

 

 

4,032

 

 

 

 

MA Housing Finance Agency

 

 

5.42

%

 

Jun-2009

 

 

2,610

 

 

2,610

 

 

2,604

 

 

 

 

MA Housing Finance Agency

 

 

5.92

%

 

Dec-2037

 

 

6,710

 

 

6,714

 

 

6,546

 

 

 

 

MA Housing Finance Agency

 

 

6.58

%

 

Dec-2039

 

 

11,385

 

 

11,385

 

 

11,537

 

Total State Housing Finance Agency Securities

 

$

37,505

 

$

37,509

 

$

37,490

 

13


AFL-CIO HOUSING INVESTMENT TRUST

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

Other Multifamily Investments (1.4% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Permanent

 

Construction

 

Maturity Date

 

Commitment
Amount

 

Face Amount

 

Amortized Cost

 

Value

 

Multifamily Construction/Permanent Mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

7.63%

 

 

N/A

 

 

Jan-2011

 

$

813

 

$

315

 

$

315

 

$

319

 

8.63%

 

 

N/A

 

 

Apr-2025

 

 

1,469

 

 

1,255

 

 

1,254

 

 

1,255

 

9.50%

 

 

N/A

 

 

Apr-2024

 

 

760

 

 

668

 

 

668

 

 

668

 

9.75%

 

 

N/A

 

 

Nov-2018

 

 

1,524

 

 

1,129

 

 

1,129

 

 

1,129

 

 

 

 

 

 

 

 

 

 

4,566

 

 

3,367

 

 

3,366

 

 

3,371

 

Privately Insured Construction/Permanent Mortgages5

 

 

 

 

 

 

 

 

 

 

 

5.40%

 

 

N/A

 

 

Apr-2047

 

 

9,000

 

 

8,984

 

 

8,993

 

 

8,363

 

5.55%

 

 

5.55%

 

 

May-2021

 

 

12,006

 

 

10,837

 

 

10,839

 

 

10,335

 

5.55%

 

 

5.55%

 

 

Jan-2047

 

 

12,809

 

 

12,772

 

 

12,774

 

 

11,794

 

5.73%

 

 

N/A

 

 

Aug-2047

 

 

5,575

 

 

5,575

 

 

5,581

 

 

5,307

 

5.95%

 

 

5.95%

 

 

Mar-2044

 

 

4,400

 

 

4,309

 

 

4,322

 

 

4,230

 

6.15%

 

 

6.15%

 

 

Mar-2045

 

 

1,600

 

 

1,578

 

 

1,584

 

 

1,570

 

6.20%

 

 

6.20%

 

 

Mar-2047

 

 

5,200

 

 

5,193

 

 

5,219

 

 

5,119

 

6.20%

 

 

N/A

 

 

Dec-2047

 

 

2,899

 

 

50

 

 

50

 

 

(33

)

 

 

 

 

 

 

 

 

 

53,489

 

 

49,298

 

 

49,362

 

 

46,685

 

Forward Commitments1,5

 

 

 

 

 

 

 

 

 

 

 

 

 

6.07%

 

 

N/A

 

 

May-2048

 

 

1,000

 

 

—

 

 

(3

)

 

(34

)

6.60%

 

 

N/A

 

 

Sep-2049

 

 

3,514

 

 

—

 

 

—

 

 

18

 

 

 

 

 

 

 

 

 

 

4,514

 

 

—

 

 

(3

)

 

(16

)

Total Other Multifamily Investments

 

$

62,569

 

$

52,665

 

$

52,725

 

$

50,040

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Long-Term Investments

 

 

 

 

$

3,624,523

 

$

3,635,224

 

$

3,569,550

 

14


SEMI-ANNUAL REPORT JUNE 2007

Schedule of Portfolio Investments
June 30, 2007 (Dollars in thousands; unaudited)

Short-term investments (1.2% of net assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Maturity Date

 

Interest Rate

 

Face Amount

 

Amortized Cost

 

Value

 

Short-term - Cash Equivalents6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreement

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amalgamated Bank7

 

 

July 5, 2007

 

 

4.95

%

$

2,000

 

$

2,000

 

$

2,000

 

 

 

 

 

 

 

 

 

 

2,000

 

 

2,000

 

 

2,000

 

Commercial Paper8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Greenwich Capital

 

 

July 2, 2007

 

 

5.34

%

 

20,000

 

 

19,997

 

 

19,997

 

UBS Finance (DE)

 

 

July 2, 2007

 

 

5.35

%

 

20,000

 

 

19,997

 

 

19,997

 

 

 

 

 

 

 

 

 

 

40,000

 

 

39,994

 

 

39,994

 

Total Short-Term Investments

 

 

 

 

 

 

 

$

42,000

 

$

41,994

 

$

41,994

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investments

 

 

 

 

 

 

 

$

3,666,523

 

$

3,677,218

 

$

3,611,544

 

 

 

1

Multifamily MBS securities and forward commitments are valued in accordance with 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 June 2007. The Trust will receive $2,008,408 upon maturity. The underlying collateral for the repurchase agreement is a Ginnie Mae security with a market value of $2,021,380.

 

 

8

Interest rate shown above is yield calculated based on purchase price.

See accompanying Notes to Financial Statements.

15


AFL-CIO HOUSING INVESTMENT TRUST

Statement Of Operations
For the Six Months Ended June 30, 2007 (Dollars in thousands; unaudited)

 

 

 

 

 

 

 

 

Investment Income

 

 

 

 

 

 

 

 

 

 

FHA permanent securities*

 

$

4,683

 

 

 

 

FHA construction securities*

 

 

484

 

 

 

 

Ginnie Mae securities*

 

 

26,703

 

 

 

 

Ginnie Mae construction securities*

 

 

4,601

 

 

 

 

Freddie Mac securities

 

 

14,094

 

 

 

 

Fannie Mae securities*

 

 

35,691

 

 

 

 

Commercial mortgage-backed securities

 

 

4,163

 

 

 

 

Government-sponsored enterprise securities

 

 

1,319

 

 

 

 

United States Treasury securities

 

 

2,251

 

 

 

 

State Housing Finance Agency securities

 

 

351

 

 

 

 

Other multifamily investments*

 

 

2,152

 

 

 

 

Short-term investments

 

 

2,277

 

 

 

 

Total Income

 

 

98,769

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

Officer salaries and fringe benefits

 

 

1,494

 

 

 

 

Other salaries and fringe benefits

 

 

3,787

 

 

 

 

Legal fees

 

 

190

 

 

 

 

Consulting fees

 

 

159

 

 

 

 

Auditing, tax and accounting fees

 

 

158

 

 

 

 

Insurance

 

 

162

 

 

 

 

Marketing and sales promotion (12b-1 fees)

 

 

151

 

 

 

 

Investment management

 

 

325

 

 

 

 

Trustee expenses

 

 

24

 

 

 

 

Rental expenses

 

 

437

 

 

 

 

General expenses

 

 

843

 

 

 

 

Total Expenses

 

 

7,730

 

 

 

 

 

 

 

 

 

Net Investment Income

 

 

 

 

 

91,039

 

 

 

 

Net realized gain on investments

 

 

486

 

 

 

 

Net change in unrealized depreciation on investments

 

 

(69,616

)

Realized and Unrealized Net Losses on Investments

 

 

(69,130

)

Net Increase in Net Assets Resulting from Operations

 

$

21,909

 

 

 

*

Includes forward commitments.

 

See accompanying Notes to Financial Statements.

16


SEMI-ANNUAL REPORT JUNE 2007

Statements of Changes in Net Assets
(Dollars in thousands)

 

 

 

 

 

 

 

 

Increase in Net Assets From Operations

 

Six Months Ended
June 30, 2007
(unaudited )

 

Year Ended
December 31, 2006

 

Net investment income

 

$

91,039

 

$

176,908

 

Net realized gain/(loss) on investments

 

 

486

 

 

(8,583

)

Net change in unrealized depreciation on investments

 

 

(69,616

)

 

(5,936

)

Net increase in net assets resulting from operations

 

 

21,909

 

 

162,389

 

 

 

 

 

 

 

 

 

Decrease in Net Assets From Distributions

 

 

 

 

 

 

 

Distributions paid to participants from:

 

 

 

 

 

 

 

Net investment income

 

 

(92,012

)

 

(180,525

)

Net decrease in net assets from distributions

 

 

(92,012

)

 

(180,525

)

 

 

 

 

 

 

 

 

Increase in Net Assets From Unit Transactions

 

 

 

 

 

 

 

Proceeds from the sale of units of participation

 

 

157,026

 

 

180,432

 

Dividend reinvestment of units of participation

 

 

79,677

 

 

154,997

 

Payments for redemption of units of participation

 

 

(225,742

)

 

(288,489

)

Net increase from unit transactions

 

 

10,961

 

 

46,940

 

Total (decrease)/increase in net assets

 

 

(59,142

)

 

28,804

 

Net assets at beginning of period

 

 

3,605,679

 

 

3,576,875

 

Net Assets at End of Period

 

$

3,546,537

 

$

3,605,679

 

Undistributed Net Investment Income

 

$

2,077

 

$

3,050

 

 

 

 

 

 

 

 

 

Unit Information

 

 

 

 

 

 

 

Units sold

 

 

145,373

 

 

167,870

 

Distributions reinvested

 

 

74,012

 

 

144,192

 

Units redeemed

 

 

(209,987

)

 

(268,076

)

Increase in Units Outstanding

 

 

9,398

 

 

43,986

 

See accompanying Notes to Financial Statements.

17


AFL-CIO HOUSING INVESTMENT TRUST

Notes to Financial Statements
(unaudited)

Note 1. Summary of Significant Accounting Policies

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 a no-load, open-end investment company registered under the Investment Company Act of 1940. 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.

In September 2006, the Financial Accounting Standards Board (FASB) issued FASB Statement No. 157, Fair Value Measurements (“Statement 157”). Statement 157 establishes a framework for measuring fair value within generally accepted accounting principles, clarifies the definition of fair value within the framework, and expands disclosure about the use of fair value measurements, highlighting that fair value is a market-based measurement. Statement 157 is intended to increase consistency and comparability among fair value estimates used in financial reporting. Statement 157 is effective for fiscal years beginning after November 15, 2007. Management does not expect the adoption of Statement 157 to have an impact on the Trust’s financial statement disclosures.

18


SEMI-ANNUAL REPORT JUNE 2007

Notes to Financial Statements
(unaudited)

Use of Estimates

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates.

Federal Income Taxes

The Trust’s policy is to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute all of its taxable income to its participants. Therefore, no federal income tax provision is required.

Effective June 30, 2007, the Trust adopted FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. Management determined that the tax positions taken by the Trust are highly certain to be more-likely-than-not sustained by the applicable tax authority. The adoption of FIN 48 did not result in the recording of any tax benefit or expense in the current period.

Distributions to Participants

At the end of each calendar month, a pro rata distribution is made to participants of the net investment income earned during the month. This pro-rata distribution is based on the participant’s number of units held as of the immediately preceding month-end and excludes realized gains (losses) on paydowns of mortgage-and asset-backed securities which are distributed at year-end.

Participants redeeming their investments are paid their pro rata share of undistributed net income accrued through the month-end of the month in which they redeem.

The Trust offers an income reinvestment plan that permits current participants automatically to reinvest their income distributions into Trust units of participation. Total reinvestment was approximately 87 percent of distributable income for the six months ended June 30, 2007.

Investment Transactions and Income

Security transactions are accounted for as of the trade date. Gains and losses on securities sold are determined on the basis of amortized cost. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.

12b-1 Plan of Distribution

The Board of Trustees annually considers a 12b-1 Plan of Distribution to pay for marketing and sales promotion expenses incurred in connection with the offer and sale of units and related distribution activities (12b-1 expenses). For the year 2007, the Trust is authorized to pay 12b-1 expenses in an amount up to $600,000 or 0.05 percent of its average monthly net assets on an annualized basis, whichever is greater. During the six months ended June 30, 2007, the Trust incurred approximately $151,000 of 12b-l expenses.

19


AFL-CIO HOUSING INVESTMENT TRUST

Notes to Financial Statements
(unaudited)

Note 2. Investment Risks

Interest Rate Risk

As with any fixed-income investment, the market value of the Trust’s investments will fall below the principal amount of those investments at times when market interest rates rise above the interest rates of the investments. Rising interest rates may also reduce prepayment rates, causing the average life of the Trust’s investments to increase. This could in turn further reduce the value of the Trust’s portfolio.

Prepayment and Extension Risk

The Trust invests in certain fixed-income securities whose value is derived from an underlying pool of mortgage loans that are subject to prepayment and extension risk.

Prepayment risk is the risk that a security will pay earlier than its assumed payment rate, shortening its expected average life, resulting in a lower return from the security. In such an event, the Trust may be required to reinvest the proceeds of such prepayments in other investments bearing lower interest rates. The majority of the Trust’s securities backed by loans for multifamily projects include restrictions on prepayments for specified periods to mitigate this risk.

Extension risk is the risk that a security will pay more slowly than its assumed payment rate, extending its expected average life, resulting in a lower return from the security. When this occurs, the ability to reinvest principal repayments in higher returning investments may be limited.

These two risks may increase the sensitivity of the Trust’s portfolio to fluctuations in interest rates and change the value of the Trust’s portfolio.

Note 3. Transactions With Related Entities

During the six months ended June 30, 2007, the Trust provided the time of certain personnel to the AFL-CIO Investment Trust Corporation (ITC), a D.C. not-for-profit corporation, on a cost-reimbursement basis. During the year, an employee of the Trust also served as an officer of the ITC. The total cost for such personnel and related expenses for the six months ended June 30, 2007, amounted to approximately $141,000. During the six months ended June 30, 2007, the Trust was reimbursed for approximately $114,000 of current year costs. As of June 30, 2007, approximately $27,000, representing a current balance, is included within the accounts receivable in the accompanying financial statements for amounts outstanding under the arrangement.

The ITC provided the time of certain personnel to the Trust on a cost-reimbursement basis. The total cost for such personnel and related expenses for the six months ended June 30, 2007, was approximately $22,000. During the six months ended June 30, 2007, the Trust paid the ITC approximately $19,000 of current costs.

Note 4. Commitments

Certain assets of the Trust are invested in short-term investments until they are required to fund purchase commitments for long-term investments. As of June 30, 2007, the Trust had outstanding unfunded purchase commitments of approximately $83.7 million. The Trust maintains a reserve, in the form of securities, of no less than the total of the outstanding unfunded purchase commitments, less short-term investments. As of June 30, 2007, the value of the publicly traded mortgage-backed securities maintained for the reserve in a segregated account was approximately $3.26 billion.

The commitment amounts disclosed on the Schedule of Portfolio Investments represent the original commitment amount, which includes both funded and unfunded commitments.

20


SEMI-ANNUAL REPORT JUNE 2006

Notes to Financial Statements
(unaudited)

Note 5. Investment Transactions

A summary of investment transactions (excluding short-term investments and U.S. Treasury securities) for the separate instruments included in the Trust’s investment portfolio, at amortized cost, for the six months ended June 30, 2007, follows (dollars in thousands):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FHA
Permanent
Securities*

 

FHA
Construction
Securities*

 

Ginnie
Mae
Securities*

 

Ginnie Mae
Construction
Securities*

 

Freddie
Mac
Securities

 

Fannie
Mae
Securities*

 

Commercial
Mortgage-
Backed
Securities

 

Government-
Sponsored
Entities
Securities

 

State Housing
Finance
Agency
Securities

 

Other
Multifamily
Investments*

 

 

Balance, January 1, 2007

 

$

147,139

 

 

$

17,014

 

 

$

1,036,685

 

 

$

204,647

 

 

$

507,411

 

$

1,273,171

 

$

220,285

 

 

$

45,233

 

 

 

$

11,824

 

 

 

$

113,221

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Purchases and insured construction securities advances, net of discounts

 

 

0

 

 

 

0

 

 

 

120,941

 

 

 

13,126

 

 

 

147,911

 

 

206,060

 

 

248,500

 

 

 

0

 

 

 

 

25,685

 

 

 

 

1,309

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in discounts and (premiums)

 

 

61

 

 

 

0

 

 

 

(1,149

)

 

 

(1,246

)

 

 

(4,429

)

 

(2,043

)

 

(1,603

)

 

 

1,070

 

 

 

 

0

 

 

 

 

(75

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Transfers

 

 

(8,100

)

 

 

0

 

 

 

69,273

 

 

 

(61,173

)

 

 

0

 

 

0

 

 

0

 

 

 

0

 

 

 

 

0

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal reductions/ Sales

 

 

(8,995

)

 

 

(14

)

 

 

(198,456

)

 

 

(46,159

)

 

 

(86,133

)

 

(106,878

)

 

(230,000

)

 

 

(1,098

)

 

 

 

0

 

 

 

 

(61,730

)

 

Balance, June 30, 2007

 

$

130,105

 

 

$

17,000

 

 

$

  1,027,294

 

 

$

109,195

 

 

$

564,760

 

$

  1,370,310

 

$

237,182

 

 

$

45,205

 

 

 

$

  37,509

 

 

 

$

52,725

 

 

* Includes forward commitments.

Note 6. Federal Taxes

No provision for federal income taxes is required since the Trust intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute to shareholders all of its taxable income and gains. Federal income tax regulations differ from generally accepted accounting principles; therefore, distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The amount and character of tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of June 30, 2007.

At June 30, 2007, the cost of investments for federal income tax purposes approximated book cost at amortized cost of $3,677.2 million. Net unrealized loss aggregated $65.7 million at period-end, of which $23.6 million related to appreciated investments and $89.3 million related to depreciated investments.

21


AFL-CIO HOUSING INVESTMENT TRUST

Notes to Financial Statements
(unaudited)

Note 7. Retirement and Deferred Compensation Plans

The Trust participates in the AFL-CIO Staff Retirement Plan, which is a multiple employer defined benefit pension plan, covering substantially all employees. This plan was funded by employer contributions, at rates approximating 21.00% percent of employees’ salaries for the six months ended June 30, 2007. The total Trust pension expense for the six months ended June 30, 2007, was approximately $618,000.

The Trust also participates in a deferred compensation plan, referred to as a 401(k) plan, covering substantially all employees. This plan permits employees to defer the lesser of 100 percent of their total compensation or the applicable IRS limit. During 2007, the Trust is matching dollar for dollar the first $4,000 of each employee’s contributions. The Trust’s 401(k) contribution for the six months ended June 30, 2007, was approximately $165,000.

Note 8. Loan Facility

The Trust has a $25 million uncommitted loan facility which expires on December 31, 2007. Borrowings under this facility bear interest at LIBOR plus one-half percent plus a 12.5 basis point administrative fee charged for each advance. The Trust had no outstanding balance under the facility during the period. No compensating balances are required.

Note 9. Contract Obligations

In the ordinary course of business, the Trust enters into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

22


SEMI-ANNUAL REPORT JUNE 2007

Financial Highlights
Selected Per Share Data and Ratios for the Periods Indicated

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6 Months Ended
June 30, 2007
(unaudited )

 

Year Ended December 31

 

 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

Per Share Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

 

$

1,081.27

 

 

$

1,086.97

 

$

1,110.61

 

$

1,125.21

 

$

1,152.30

 

$

1,098.40

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income from investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

26.93

 

 

 

53.55

 

 

50.08

 

 

48.63

 

 

54.26

 

 

65.19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and unrealized (losses) gains on investments

 

 

 

(20.43

)

 

 

(4.60

)

 

(21.25

)

 

(2.38

)

 

(11.69

)

 

59.15

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Income from
Investment Operations

 

 

 

6.50

 

 

 

48.95

 

 

28.83

 

 

46.25

 

 

42.57

 

 

124.34

 

Less distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

(27.23

)

 

 

(54.65

)

 

(52.47

)

 

(49.10

)

 

(54.26

)

 

(65.19

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gains on investments

 

 

 

—

 

 

 

—

 

 

—

 

 

(11.75

)

 

(15.40

)

 

(5.25

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Distributions

 

 

 

(27.23

)

 

 

(54.65

)

 

(52.47

)

 

(60.85

)

 

(69.66

)

 

(70.44

)

 

Net Asset Value, End of Period

 

 

$

1,060.54

 

 

$

1,081.27

 

$

1,086.97

 

$

1,110.61

 

$

1,125.21

 

$

1,152.30

 

Ratios

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio of expenses
to average net assets

 

 

 

0.43

%*

 

 

0.41

%

 

0.37

%

 

0.37

%

 

0.37

%

 

0.36

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio of net investment income to avearage net assets

 

 

 

5.0

%*

 

 

5.0

%

 

4.5

%

 

4.4

%

 

4.7

%

 

5.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover rate

 

 

 

54.4

%*

 

 

65.0

%

 

68.4

%

 

85.5

%

 

73.1

%

 

64.3

%

 

Number of Outstanding Units at End of Period

 

 

 

3,344,082

 

 

 

3,334,684

 

 

3,290,698

 

 

3,300,858

 

 

3,206,626

 

 

2,848,002

 

Net Assets, End of Period (in thousands)

 

 

$

3,546,537

 

 

$

3,605,679

 

$

3,576,875

 

$

3,665,950

 

$

3,608,139

 

$

3,281,763

 

Total Return**

 

 

 

0.59

%

 

 

4.65

%

 

2.64

%

 

4.20

%

 

3.78

%

 

11.64

%

  * Ratios are annualized.

** Net of fund expenses.

    See accompanying Notes to Financial Statements.

23


AFL-CIO HOUSING INVESTMENT TRUST

Other Important Information

Availability of Quarterly Portfolio Schedule

In addition to disclosure in the Annual and Semi-annual Report to Participants, the HIT also files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The HIT’s reports on Form N-Q are made available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information relating to the hours and operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330). Participants may also obtain copies of the HIT’s Form N-Q reports, without charge, upon request, by calling the HIT collect at 202-331-8055.

Proxy Voting

The HIT invests exclusively in non-voting securities and has not deemed it necessary to adopt policies and procedures for the voting of portfolio securities. During the most recent twelve-month period ended June 30, the HIT held no voting securities in its portfolio and has reported this information in its most recent filing with the SEC on Form N-PX. This filing is available on the SEC’s website at http://www.sec.gov. Participants may also obtain a copy of the HIT’s report on Form N-PX, without charge, upon request, by calling the HIT collect at 202-331-8055.

Expense Example

Participants in the HIT incur ongoing expenses related to the management and distribution activities of the HIT, as well as certain other expenses. This example is intended to help participants understand the ongoing costs (in dollars) of investing in the HIT and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $50,000 invested at the beginning of the period January 1, 2007, and held for the entire period ended June 30, 2007.

Actual Expenses: The first line of the table below provides information about actual account values and actual expenses. Participants may use the information in this line, together with the amount they invested, to estimate the expenses that they paid over the period. Simply divide the account value by $50,000 (for example, an $800,000 account value divided by $50,000 = 16), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses paid on a particular account during this period.

Hypothetical Expenses (for Comparison Purposes Only): The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the HIT’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the HIT’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses a participant paid for the period. Participants may use this information to compare the ongoing costs of investing in the HIT and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.

Please note that the HIT charges no transactional costs, such as sales charges (loads) or redemption fees.

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning
Account Value
January 1, 2007

 

Ending
Account Value
June 30, 2007

 

Expenses Paid
During Period Ended
June 30, 2007*

 

Actual expenses

 

$50,000

 

$50,297.22

 

$106.96

 

Hypothetical expenses (5% return before expenses)

 

$50,000

 

$51,133.11

 

$107.85

 

* Expenses are equal to the HIT’s annualized expense ratio of 0.43%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

24


SEMI-ANNUAL REPORT JUNE 2007

Other Important Information

Investment Advisory Agreement

On April 24, 2007, the Board of Trustees met in person and after consideration of the factors described below, decided not to renew the Investment Advisory Agreement (“Advisory Agreement”) between the HIT and Wellington Management Company, LLP (“Wellington”). Unlike most other mutual funds, the HIT’s portfolio is internally managed, except for a portion of its short-term cash managed by Wellington, which the HIT has historically managed to be less than two percent of its assets at the end of each quarter. Although the HIT’s relationship with Wellington has been both amicable and satisfactory, the Board of Trustees determined that continued retention of Wellington was no longer in the best interests of the HIT and its participants.

In evaluating the Advisory Agreement, the Board of Trustees considered a variety of information relating to the HIT and Wellington including materials which outlined the requirements of the Investment Company Act with respect to consideration of investment advisory agreements and requested and received the advice of the HIT’s outside counsel. The Trustees considered the following factors, among other things: the nature, extent and quality of the services provided by Wellington; the investment performance of the assets managed by Wellington; and the cost of services to be provided by Wellington.

Nature, Extent and Quality of the Services under the Advisory Agreement: The Trustees noted that they were satisfied with the nature, extent and quality of services provided to the HIT under the Advisory Agreement. However, since 2000, the HIT had placed on average only $30 million in cash with Wellington each quarter. During this time, the HIT had been working steadily to develop internal capacity within its Portfolio Management Group and has achieved a greater level of internal capacity for cash management. The Board concluded that this additional trading capacity weakens the rationale for retaining Wellington as an investment adviser, because in-house staff is now able to handle the cash management function. In addition, as part of its ongoing improvement of infrastructure, HIT staff now has the capacity to trade from locations outside of the office.

Investment Performance: Under the contract with Wellington, Wellington was required to invest in commercial paper rated as A-1/P-1 by Standard & Poor’s or Moody’s. This is the same credit rating threshold that is used internally by HIT staff for selection of commercial paper. Yield spreads in this highly liquid asset class are very tight, with typical deviations of 1 to 2 basis points. In evaluating the cost of services provided by Wellington, Trustees noted that the HIT must pay a fee of 12.5 basis points when sending money to Wellington, and the nature of the asset class is such that Wellington was not able to earn this back in excess yield for the HIT by the securities it purchased.

Cost of Services Provided: Since 2000, the HIT has paid Wellington the minimum amount payable under the contract – $50,000 per year – for all but the 2003-04 contract year, where the payment was approximately $63,000. Although not a significant expense, Trustees noted that not renewing the contract would permit the HIT to recognize this savings.

Conclusion: Based on the Trustees’ deliberations and their evaluation of the information described above, the Trustees concluded it would be in the best interest of the HIT and its participants not to approve a renewal of the Advisory Agreement.

25


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(AFL-CIO HOUSING INVESTMENT TRUST LOGO)

AFL-CIO Housing Investment Trust
2401 Pennsylvania Avenue, N.W.
Suite 200
Washington, DC 20037
202-331-8055
www.aflcio-hit.com
bug

 

 

 


Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not Applicable.

Item 6. Schedule of Investments.

Not Applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not Applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not Applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not Applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

No material changes have been made to the procedures by which participants may recommend nominees to the Board of Trustees of the Trust, where those changes were implemented after the Trust last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101) or this Item 10.

Item 11. 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 as of June 30, 2007.


 

 

 

 

(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 second fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Item 12. Exhibits.

 

 

 

 

 

(a)

(1)

Not Applicable.

 

 

 

 

 

 

(2)

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)).

 

 

 

 

 

 

(3)

Not Applicable.

 

 

 

 

(b)

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.


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: September 10, 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: September 10, 2007

 

/s/ Erica Khatchadourian

Erica Khatchadourian

Chief Financial Officer

(Principal Financial Officer)

 

Date: September 5, 2007