UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act File Number: 811-03493
American Federation of Labor and
Congress of Industrial Organizations
Housing Investment Trust*
(Exact name of registrant as specified in charter)
2401 Pennsylvania Avenue, Suite 200, N.W., Washington, D.C. 20037
(Address of principal executive offices) (Zip code)
Kenneth G. Lore, Esq.
Katten Muchin Rosenman LLP
2900 K Street, N.W., North Tower – Suite 200
Washington, D.C. 20007-5118
(Name and address of agent for service)
(202) 331-8055
(Registrant’s telephone number, including area code)
Date of fiscal year end: December 31
Date of reporting period: March 31, 2017
*This filing relates solely to Series A—AFL-CIO Housing Investment Trust
Item 1. Schedule of Investments
(Schedule of Investments)
Schedule of Portfolio Investments | ||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||
FHA Permanent Securities (2.9% of net assets) | ||||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
Single Family | 7.75 | % | Jul-2021 | $ | 7 | $ | 7 | $ | 7 | |||||||||
Multifamily | 3.65 | % | Dec-2037 | 9,454 | 9,677 | 9,393 | ||||||||||||
3.75 | % | Aug-2048 | 4,000 | 3,996 | 3,993 | |||||||||||||
4.00 | % | Dec-2053 | 64,730 | 64,705 | 65,021 | |||||||||||||
4.79 | % | May-2053 | 4,805 | 5,061 | 4,915 | |||||||||||||
5.17 | % | Feb-2050 | 8,010 | 8,640 | 8,675 | |||||||||||||
5.35 | % | Mar-2047 | 7,289 | 7,298 | 7,308 | |||||||||||||
5.55 | % | Aug-2042 | 7,872 | 7,875 | 7,914 | |||||||||||||
5.60 | % | Jun-2038 | 2,416 | 2,420 | 2,429 | |||||||||||||
5.65 | % | Oct-2038 | 1,880 | 1,910 | 1,883 | |||||||||||||
5.80 | % | Jan-2053 | 2,037 | 2,048 | 2,330 | |||||||||||||
5.87 | % | May-2044 | 1,765 | 1,764 | 1,845 | |||||||||||||
5.89 | % | Apr-2038 | 4,540 | 4,545 | 4,553 | |||||||||||||
6.02 | % | Jun-2035 | 4,184 | 4,185 | 4,210 | |||||||||||||
6.20 | % | Apr-2052 | 11,504 | 11,500 | 13,407 | |||||||||||||
6.40 | % | Aug-2046 | 3,779 | 3,781 | 4,138 | |||||||||||||
6.48 | % | Nov-2041 | 6,182 | 6,414 | 6,222 | |||||||||||||
6.60 | % | Jan-2050 | 3,350 | 3,379 | 3,846 | |||||||||||||
6.75 | % | Jul-2040 | 3,965 | 3,950 | 3,972 | |||||||||||||
7.20 | % | Oct-2039 | 2,811 | 2,816 | 2,834 | |||||||||||||
7.50 | % | Sep-2032 | 1,305 | 1,302 | 1,332 | |||||||||||||
7.70 | % | Dec-2048 | 5,308 | 6,102 | 6,327 | |||||||||||||
7.93 | % | Apr-2042 | 2,658 | 2,658 | 2,659 | |||||||||||||
163,844 | 166,026 | 169,206 | ||||||||||||||||
Total FHA Permanent Securities | $ | 163,851 | $ | 166,033 | $ | 169,213 |
Schedule of Portfolio Investments | ||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||
Ginnie Mae Securities (29.4% of net assets) | ||||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
Single Family | 4.00 | % | Feb-2040 - Jun-2040 | $ | 5,357 | $ | 5,421 | $ | 5,707 | |||||||||
4.50 | % | Aug-2040 | 3,291 | 3,363 | 3,552 | |||||||||||||
5.50 | % | Jan-2033 - Jun-2037 | 2,999 | 2,990 | 3,388 | |||||||||||||
6.00 | % | Jan-2032 - Aug-2037 | 1,939 | 1,941 | 2,209 | |||||||||||||
6.50 | % | Jul-2028 | 58 | 58 | 66 | |||||||||||||
7.00 | % | Apr-2026 - Jan-2030 | 1,138 | 1,141 | 1,319 | |||||||||||||
7.50 | % | Nov-2017 - Aug-2030 | 590 | 593 | 687 | |||||||||||||
8.00 | % | Sep-2026 - Nov-2030 | 475 | 483 | 564 | |||||||||||||
8.50 | % | Jun-2022 - Aug-2027 | 402 | 404 | 454 | |||||||||||||
9.00 | % | Mar-2020 - Jun-2025 | 78 | 78 | 84 | |||||||||||||
9.50 | % | Sep-2021 - Sep-2030 | 38 | 39 | 44 | |||||||||||||
16,365 | 16,511 | 18,074 | ||||||||||||||||
Multifamily | 1.73 | % | May-2042 | 3,908 | 3,916 | 3,872 | ||||||||||||
2.15 | % | May-2056 | 9,200 | 9,182 | 9,108 | |||||||||||||
2.18 | % | May-2039 | 6,440 | 6,493 | 6,424 | |||||||||||||
2.20 | % | Jun-2056 | 9,697 | 9,675 | 9,591 | |||||||||||||
2.25 | % | Dec-2048 | 11,940 | 11,836 | 11,812 | |||||||||||||
2.30 | % | Mar-2056 - May-2056 | 52,362 | 52,201 | 51,984 | |||||||||||||
2.30 | % | Oct-2056 | 31,240 | 30,878 | 30,708 | |||||||||||||
2.31 | % | Nov-2051 | 7,076 | 7,077 | 6,706 | |||||||||||||
2.32 | % | Apr-2054 | 22,346 | 22,959 | 20,619 | |||||||||||||
2.35 | % | Dec-2040 - Nov-2056 | 36,180 | 36,688 | 34,795 | |||||||||||||
2.40 | % | Aug-2047 | 12,914 | 12,945 | 12,830 | |||||||||||||
2.43 | % | Nov-2038 | 20,000 | 20,092 | 19,994 | |||||||||||||
2.50 | % | Jul-2045 - Mar-2057 | 41,823 | 41,890 | 41,282 | |||||||||||||
2.53 | % | Jul-2038 - Feb-2040 | 30,641 | 31,074 | 30,727 | |||||||||||||
2.55 | % | Feb-2048 | 22,252 | 22,428 | 21,131 | |||||||||||||
2.60 | % | Apr-2048 - Apr-2056 | 55,241 | 55,575 | 55,313 | |||||||||||||
2.65 | % | Jan-2053 | 51,015 | 51,467 | 49,774 | |||||||||||||
2.70 | % | May-2048 | 28,510 | 29,003 | 28,663 | |||||||||||||
2.70 | % | Jul-2056 | 15,551 | 15,740 | 15,485 | |||||||||||||
2.72 | % | Feb-2044 | 1,023 | 1,055 | 1,026 | |||||||||||||
2.79 | % | Apr-2049 | 19,367 | 19,592 | 19,290 | |||||||||||||
2.82 | % | Apr-2050 | 1,500 | 1,535 | 1,478 | |||||||||||||
2.87 | % | Feb-2036 - Dec-2043 | 25,000 | 25,324 | 25,083 | |||||||||||||
2.89 | % | Mar-2046 | 32,000 | 32,239 | 31,868 | |||||||||||||
2.98 | % | May-2052 | 55,000 | 55,550 | 55,165 | |||||||||||||
3.00 | % | Mar-2051 | 20,000 | 20,112 | 19,787 | |||||||||||||
3.05 | % | May-2044 | 45,500 | 45,825 | 45,951 | |||||||||||||
3.05 | % | May-2054 | 11,545 | 11,608 | 11,386 | |||||||||||||
3.06 | % | Aug-2040 | 2,253 | 2,312 | 2,257 | |||||||||||||
3.10 | % | Jan-2044 | 23,000 | 23,350 | 23,250 | |||||||||||||
3.13 | % | Nov-2040 | 723 | 743 | 724 | |||||||||||||
3.19 | % | Jan-2049 - Apr-2055 | 22,045 | 22,749 | 22,025 | |||||||||||||
3.20 | % | Jul-2041 - Oct-2053 | 24,653 | 24,810 | 24,914 | |||||||||||||
3.24 | % | Apr-2051 | 5,208 | 5,289 | 5,332 | |||||||||||||
3.25 | % | Sep-2054 | 35,000 | 34,675 | 35,100 | |||||||||||||
3.26 | % | Nov-2043 | 20,000 | 20,036 | 20,056 | |||||||||||||
3.30 | % | May-2055 | 10,000 | 9,491 | 9,958 | |||||||||||||
3.33 | % | Jun-2043 | 15,000 | 15,535 | 15,166 | |||||||||||||
3.35 | % | Nov-2042 - Mar-2044 | 25,000 | 24,453 | 25,313 | |||||||||||||
3.37 | % | Dec-2046 | 19,200 | 19,480 | 19,343 | |||||||||||||
3.40 | % | Apr-2017 - Jul-2046 | 7,785 | 8,053 | 7,844 | |||||||||||||
3.47 | % | Apr-2046 | 7,811 | 8,339 | 8,143 | |||||||||||||
3.49 | % | Mar-2042 | 28,000 | 29,149 | 28,582 | |||||||||||||
3.49 | % | Feb-2044 | 4,000 | 4,219 | 4,062 | |||||||||||||
3.50 | % | Feb-2051 - Jan-2054 | 31,363 | 31,191 | 31,872 | |||||||||||||
3.51 | % | May-2042 | 10,000 | 10,174 | 10,136 | |||||||||||||
3.52 | % | Sep-2041 | 8,522 | 9,095 | 8,590 | |||||||||||||
3.55 | % | Apr-2051 | 5,633 | 5,843 | 5,739 | |||||||||||||
3.56 | % | Nov-2044 | 22,110 | 22,803 | 22,573 | |||||||||||||
3.57 | % | Apr-2053 | 33,592 | 36,042 | 35,287 |
Schedule of Portfolio Investments | |||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | |||||||||||||||||
Ginnie Mae Securities (29.4% of net assets) | |||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||
3.59 | % | Sep-2050 | 7,900 | 8,357 | 8,231 | ||||||||||||
3.66 | % | Sep-2052 | 6,500 | 6,762 | 6,622 | ||||||||||||
3.67 | % | Nov-2035 | 16,990 | 17,785 | 17,690 | ||||||||||||
3.71 | % | Nov-2052 | 9,412 | 10,186 | 9,903 | ||||||||||||
3.73 | % | Dec-2045 | 8,583 | 8,186 | 8,759 | ||||||||||||
3.77 | % | Sep-2046 - Sep-2053 | 11,466 | 12,407 | 11,807 | ||||||||||||
3.81 | % | Dec-2053 | 10,499 | 10,596 | 10,802 | ||||||||||||
3.82 | % | Sep-2051 | 7,375 | 7,700 | 7,566 | ||||||||||||
3.84 | % | Apr-2046 | 10,000 | 10,030 | 10,344 | ||||||||||||
3.85 | % | Oct-2054 | 31,064 | 31,216 | 32,764 | ||||||||||||
3.85 | % | Jan-2056 | 32,928 | 33,258 | 35,536 | ||||||||||||
3.86 | % | Oct-2047 | 2,853 | 2,878 | 2,865 | ||||||||||||
3.89 | % | Jun-2045 | 20,000 | 20,270 | 20,669 | ||||||||||||
3.90 | % | Apr-2055 | 16,661 | 17,303 | 17,624 | ||||||||||||
3.92 | % | Aug-2039 | 48,108 | 51,734 | 49,993 | ||||||||||||
3.95 | % | Jul-2053 | 5,901 | 5,914 | 6,210 | ||||||||||||
4.00 | % | May-2049 | 9,540 | 10,275 | 9,650 | ||||||||||||
4.05 | % | Feb-2052 | 6,332 | 6,334 | 6,574 | ||||||||||||
4.05 | % | Oct-2053 | 58,655 | 63,351 | 64,156 | ||||||||||||
4.09 | % | Feb-2056 | 57,485 | 58,350 | 62,877 | ||||||||||||
4.10 | % | May-2051 | 4,093 | 4,492 | 4,436 | ||||||||||||
4.15 | % | Jun-2053 | 2,189 | 2,221 | 2,291 | ||||||||||||
4.25 | % | Sep-2038 | 36,717 | 36,936 | 38,262 | ||||||||||||
4.29 | % | Mar-2053 | 48,380 | 48,692 | 53,609 | ||||||||||||
4.45 | % | Jun-2055 | 2,610 | 2,502 | 2,861 | ||||||||||||
4.50 | % | May-2038 | 19,445 | 21,268 | 20,600 | ||||||||||||
4.63 | % | Sep-2037 | 1 | 1,500 | 1,462 | 1,539 | |||||||||||
4.70 | % | Oct-2056 | 3,389 | 3,570 | 3,833 | ||||||||||||
4.90 | % | Mar-2044 | 1 | 1,000 | 991 | 1,028 | |||||||||||
5.05 | % | Apr-2049 | 1 | 2,750 | 2,751 | 2,772 | |||||||||||
5.15 | % | Dec-2050 | 15,109 | 14,966 | 16,828 | ||||||||||||
5.25 | % | Apr-2037 | 19,750 | 19,743 | 21,382 | ||||||||||||
5.34 | % | Jul-2040 | 11,128 | 10,976 | 11,675 | ||||||||||||
5.45 | % | Sep-2037 | 13,032 | 14,258 | 14,199 | ||||||||||||
5.55 | % | May-2049 | 1 | 10,015 | 10,015 | 10,144 | |||||||||||
1,609,528 | 1,639,525 | 1,644,219 | |||||||||||||||
When Issued2 | 3.50 | % | June-2057 | 60,250 | 64,392 | 63,190 | |||||||||||
Total Ginnie Mae Securities | $ | 1,686,143 | $ | 1,720,428 | $ | 1,725,483 |
Schedule of Portfolio Investments | ||||||||||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||||||||||
Ginnie Mae Construction Securities (3.7% of net assets) | ||||||||||||||||||||||||||
Interest Rates3 | Unfunded | |||||||||||||||||||||||||
Permanent | Construction | Maturity Date | Commitments4 | Face Amount | Amortized Cost | Value | ||||||||||||||||||||
Multifamily | 3.30 | % | 3.30 | % | Jul-2057 | $ | 4,977 | $ | 20,950 | $ | 21,735 | $ | 21,814 | |||||||||||||
3.40 | % | 3.40 | % | Nov-2058 | 1 | 10,212 | 384 | 534 | 522 | |||||||||||||||||
3.50 | % | 3.50 | % | Mar-2057 | 3,063 | 20,234 | 21,174 | 21,303 | ||||||||||||||||||
3.50 | % | 3.50 | % | Apr-2057 | 321 | 25,221 | 25,989 | 26,669 | ||||||||||||||||||
3.53 | % | 3.53 | % | Apr-2042 | 7,381 | 10,919 | 11,605 | 11,575 | ||||||||||||||||||
3.55 | % | 3.55 | % | Apr-2057 | 4,024 | 37,606 | 38,762 | 39,829 | ||||||||||||||||||
3.60 | % | 3.60 | % | Jun-2057 | 65 | 14,250 | 14,828 | 15,084 | ||||||||||||||||||
3.62 | % | 3.62 | % | Dec-2057 | 490 | 29,260 | 29,859 | 31,248 | ||||||||||||||||||
3.66 | % | 3.66 | % | Jul-2058 | 18,205 | 5,795 | 6,108 | 6,411 | ||||||||||||||||||
3.68 | % | 3.68 | % | Jun-2057 | 1,230 | 26,525 | 27,370 | 28,435 | ||||||||||||||||||
3.68 | % | 3.68 | % | Aug-2057 | 3,080 | 11,740 | 12,108 | 12,632 | ||||||||||||||||||
53,048 | 202,884 | 210,072 | 215,522 | |||||||||||||||||||||||
Forward Commitments | 3.30 | % | 3.30 | % | Mar-2057 | 5,188 | — | 39 | 79 | |||||||||||||||||
3.49 | % | 3.49 | % | Aug-2058 | 11,213 | — | 280 | 379 | ||||||||||||||||||
16,401 | — | 319 | 458 | |||||||||||||||||||||||
Total Ginnie Mae Construction Securities | $ | 69,449 | $ | 202,884 | $ | 210,391 | $ | 215,980 |
Schedule of Portfolio Investments | ||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||
Fannie Mae Securities (38.7% of net assets) | ||||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
Single Family | 1.23 | %5 | Mar-2037 | $ | 342 | $ | 338 | $ | 341 | |||||||||
1.28 | %5 | Jul-2043 | 14,459 | 14,357 | 14,426 | |||||||||||||
1.30 | %5 | Jun-2037 | 1,905 | 1,906 | 1,905 | |||||||||||||
1.33 | %5 | Mar-2043 - Nov-2044 | 36,278 | 36,252 | 36,272 | |||||||||||||
1.36 | %5 | Nov-2042 | 7,564 | 7,567 | 7,570 | |||||||||||||
1.38 | %5 | Apr-2037 - Oct-2044 | 19,772 | 19,811 | 19,811 | |||||||||||||
1.44 | %5 | Oct-2042 | 6,720 | 6,752 | 6,745 | |||||||||||||
1.48 | %5 | Dec-2040 - Feb-2043 | 40,679 | 40,557 | 40,903 | |||||||||||||
1.50 | %5 | Jun-2042 | 4,574 | 4,600 | 4,600 | |||||||||||||
1.53 | %5 | Mar-2042 | 10,684 | 10,702 | 10,762 | |||||||||||||
1.57 | %5 | Mar-2041 | 7,479 | 7,541 | 7,534 | |||||||||||||
1.58 | %5 | Mar-2042 - Oct-2043 | 16,727 | 16,788 | 16,889 | |||||||||||||
1.68 | %5 | Dec-2040 | 3,563 | 3,575 | 3,606 | |||||||||||||
2.58 | %5 | May-2033 | 440 | 442 | 461 | |||||||||||||
2.61 | %5 | Sep-2035 | 849 | 846 | 890 | |||||||||||||
2.73 | %5 | Jul-2033 - Aug-2033 | 3,361 | 3,365 | 3,536 | |||||||||||||
2.75 | %5 | Apr-2034 | 1,275 | 1,306 | 1,333 | |||||||||||||
2.79 | %5 | Nov-2033 | 2,342 | 2,343 | 2,421 | |||||||||||||
2.80 | %5 | Jul-2033 - Aug-2033 | 1,197 | 1,194 | 1,256 | |||||||||||||
2.86 | %5 | Aug-2033 | 240 | 239 | 248 | |||||||||||||
3.00 | % | Apr-2031 - Jun-2046 | 66,893 | 69,332 | 66,896 | |||||||||||||
3.13 | % | Nov-2034 | 1,353 | 1,388 | 1,420 | |||||||||||||
3.50 | % | Oct-2026 - Jan-2046 | 87,973 | 91,441 | 90,441 | |||||||||||||
4.00 | % | Jun-2018 - Oct-2046 | 76,483 | 79,274 | 80,455 | |||||||||||||
4.50 | % | Mar-2018 - May-2044 | 65,640 | 68,395 | 70,532 | |||||||||||||
5.00 | % | May-2017 - Apr-2041 | 19,154 | 19,761 | 20,907 | |||||||||||||
5.50 | % | Jul-2017 - Jun-2038 | 10,470 | 10,508 | 11,636 | |||||||||||||
6.00 | % | May-2017 - Nov-2037 | 5,816 | 5,845 | 6,597 | |||||||||||||
6.50 | % | Sep-2028 - Jul-2036 | 1,102 | 1,127 | 1,251 | |||||||||||||
7.00 | % | Sep-2027 - May-2032 | 1,045 | 1,047 | 1,199 | |||||||||||||
7.50 | % | May-2018 - Sep-2031 | 357 | 355 | 407 | |||||||||||||
8.00 | % | Apr-2030 - May-2031 | 67 | 68 | 70 | |||||||||||||
8.50 | % | Dec-2021 - Apr-2031 | 39 | 39 | 41 | |||||||||||||
9.00 | % | May-2025 | — | — | 1 | |||||||||||||
516,842 | 529,061 | 533,362 | ||||||||||||||||
Multifamily | 1.22 | % | Nov-2022 | 22,815 | 22,824 | 22,830 | ||||||||||||
1.38 | % | Jan-2027 | 25,000 | 25,008 | 25,022 | |||||||||||||
1.41 | % | Jan-2023 | 18,080 | 18,088 | 18,088 | |||||||||||||
1.62 | % | Jan-2023 | 23,178 | 23,163 | 23,248 | |||||||||||||
1.73 | % | Apr-2022 | 10,075 | 10,079 | 10,078 | |||||||||||||
2.21 | % | Dec-2022 | 31,010 | 31,028 | 30,585 | |||||||||||||
2.21 | % | Dec-2022 | 23,534 | 23,548 | 23,212 | |||||||||||||
2.24 | % | Dec-2022 | 31,092 | 31,109 | 30,708 | |||||||||||||
2.26 | % | Nov-2022 | 6,461 | 6,486 | 6,388 | |||||||||||||
2.34 | % | Sep-2026 | 28,500 | 28,718 | 27,167 | |||||||||||||
2.38 | % | Jul-2026 | 21,840 | 21,894 | 20,820 | |||||||||||||
2.44 | % | Aug-2026 | 22,400 | 22,400 | 21,549 | |||||||||||||
2.46 | % | Aug-2026 | 25,830 | 25,844 | 24,831 | |||||||||||||
2.48 | % | Jul-2021 | 45,000 | 45,087 | 45,263 | |||||||||||||
2.48 | % | Oct-2028 | 24,990 | 25,122 | 23,553 | |||||||||||||
2.49 | % | Dec-2026 | 17,025 | 17,085 | 16,527 | |||||||||||||
2.50 | % | Jun-2026 | 60,000 | 60,000 | 57,466 | |||||||||||||
2.50 | % | Jul-2026 | 37,680 | 37,804 | 35,709 | |||||||||||||
2.57 | % | Sep-2028 | 40,100 | 40,848 | 38,052 | |||||||||||||
2.70 | % | Nov-2025 | 16,215 | 16,242 | 16,018 | |||||||||||||
2.72 | % | Jul-2028 | 36,400 | 36,963 | 34,944 | |||||||||||||
2.75 | % | Jul-2028 | 15,750 | 16,016 | 15,284 | |||||||||||||
2.80 | % | Mar-2018 - Apr-2025 | 20,286 | 20,591 | 20,055 | |||||||||||||
2.84 | % | Mar-2022 | 3,584 | 3,598 | 3,676 | |||||||||||||
2.85 | % | Mar-2022 | 33,000 | 33,071 | 33,714 | |||||||||||||
2.91 | % | Jun-2031 | 25,000 | 25,265 | 23,862 | |||||||||||||
2.92 | % | Jan-2026 - Apr-2028 | 34,255 | 34,410 | 33,984 | |||||||||||||
2.94 | % | Jul-2039 | 16,212 | 16,448 | 15,884 | |||||||||||||
2.97 | % | May-2026 | 19,110 | 19,920 | 19,303 | |||||||||||||
2.99 | % | Jun-2025 | 2,750 | 2,763 | 2,775 | |||||||||||||
3.00 | % | Mar-2028 | 9,360 | 9,370 | 9,264 | |||||||||||||
3.02 | % | Jun-2027 | 4,057 | 4,076 | 4,088 | |||||||||||||
3.04 | % | Apr-2030 | 25,100 | 25,235 | 24,683 | |||||||||||||
3.05 | % | Apr-2030 | 28,800 | 28,850 | 28,042 | |||||||||||||
3.12 | % | Apr-2030 | 14,000 | 14,007 | 13,876 | |||||||||||||
3.15 | % | Jan-2027 | 20,942 | 20,993 | 21,267 | |||||||||||||
3.18 | % | May-2035 | 11,828 | 12,048 | 11,637 | |||||||||||||
3.20 | % | Oct-2027 | 10,768 | 10,862 | 10,935 | |||||||||||||
3.21 | % | May-2030 | 7,269 | 7,437 | 7,263 | |||||||||||||
3.22 | % | Sep-2026 | 28,451 | 28,509 | 29,128 | |||||||||||||
3.25 | % | Nov-2027 | 10,768 | 10,862 | 10,962 | |||||||||||||
3.26 | % | Jan-2027 | 7,760 | 7,800 | 7,911 | |||||||||||||
3.31 | % | Oct-2027 | 16,320 | 16,572 | 16,655 | |||||||||||||
3.35 | % | Feb-2029 | 20,000 | 20,405 | 20,336 | |||||||||||||
3.36 | % | Dec-2023 - Oct-2029 | 20,093 | 20,146 | 20,654 | |||||||||||||
3.40 | % | Oct-2026 | 3,078 | 3,102 | 3,186 | |||||||||||||
3.41 | % | Sep-2023 - Feb-2029 | 36,673 | 36,995 | 37,721 | |||||||||||||
3.42 | % | Apr-2035 | 5,555 | 5,667 | 5,520 | |||||||||||||
3.43 | % | Oct-2026 | 7,559 | 7,619 | 7,840 | |||||||||||||
3.46 | % | Dec-2023 | 3,500 | 3,516 | 3,651 | |||||||||||||
3.54 | % | Oct-2021 | 7,187 | 7,208 | 7,547 | |||||||||||||
3.61 | % | Sep-2023 | 6,577 | 6,639 | 6,897 | |||||||||||||
3.63 | % | Jul-2035 | 21,987 | 22,029 | 22,540 | |||||||||||||
3.66 | % | Jul-2021 | 107,988 | 108,048 | 113,518 | |||||||||||||
3.66 | % | Oct-2023 | 4,830 | 4,885 | 5,080 |
Schedule of Portfolio Investments | ||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||
Fannie Mae Securities (38.7% of net assets) | ||||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
3.77 | % | Dec-2033 | 10,500 | 10,768 | 11,005 | |||||||||||||
3.84 | % | May-2018 | 7,140 | 7,172 | 7,291 | |||||||||||||
3.87 | % | Sep-2023 | 2,537 | 2,596 | 2,694 | |||||||||||||
4.03 | % | Oct-2021 | 6,904 | 6,908 | 7,374 | |||||||||||||
4.06 | % | Oct-2025 | 24,291 | 24,380 | 26,058 | |||||||||||||
4.15 | % | Jun-2021 | 9,043 | 9,051 | 9,655 | |||||||||||||
4.22 | % | Jul-2018 | 717 | 717 | 729 | |||||||||||||
4.25 | % | May-2021 | 4,124 | 4,124 | 4,406 | |||||||||||||
4.27 | % | Nov-2019 | 5,781 | 5,779 | 6,074 | |||||||||||||
4.32 | % | Nov-2019 | 2,855 | 2,855 | 3,002 | |||||||||||||
4.33 | % | Nov-2019 - Mar-2021 | 23,197 | 23,195 | 24,499 | |||||||||||||
4.38 | % | Apr-2020 | 9,807 | 9,812 | 10,371 | |||||||||||||
4.44 | % | May-2020 | 5,817 | 5,818 | 6,164 | |||||||||||||
4.49 | % | Jun-2021 | 948 | 952 | 1,019 | |||||||||||||
4.50 | % | Feb-2020 | 4,084 | 4,084 | 4,125 | |||||||||||||
4.52 | % | Nov-2019 - May-2021 | 6,946 | 6,964 | 7,407 | |||||||||||||
4.55 | % | Nov-2019 | 2,737 | 2,736 | 2,888 | |||||||||||||
4.56 | % | Jul-2019 | 7,065 | 7,067 | 7,410 | |||||||||||||
4.66 | % | Jul-2021 | 1,255 | 1,260 | 1,278 | |||||||||||||
4.68 | % | Jul-2019 | 12,628 | 12,622 | 13,277 | |||||||||||||
4.69 | % | Jan-2020 - Jun-2035 | 13,518 | 13,547 | 14,364 | |||||||||||||
4.71 | % | Mar-2021 | 5,682 | 5,707 | 6,136 | |||||||||||||
4.73 | % | Feb-2021 | 1,493 | 1,499 | 1,613 | |||||||||||||
4.80 | % | Jun-2019 | 2,061 | 2,060 | 2,168 | |||||||||||||
4.86 | % | May-2019 | 1,377 | 1,376 | 1,447 | |||||||||||||
4.89 | % | Nov-2019 | 854 | 855 | 908 | |||||||||||||
4.94 | % | Apr-2019 | 3,371 | 3,370 | 3,542 | |||||||||||||
5.00 | % | Jun-2019 | 1,801 | 1,801 | 1,902 | |||||||||||||
5.02 | % | Jun-2019 | 780 | 781 | 824 | |||||||||||||
5.04 | % | Jun-2019 | 1,785 | 1,783 | 1,884 | |||||||||||||
5.05 | % | Jun-2019 | 1,253 | 1,253 | 1,324 | |||||||||||||
5.08 | % | Apr-2021 | 40,000 | 40,001 | 43,491 | |||||||||||||
5.09 | % | Jun-2018 | 3,833 | 3,839 | 3,831 | |||||||||||||
5.11 | % | Jul-2019 | 832 | 833 | 882 | |||||||||||||
5.12 | % | Jul-2019 | 8,340 | 8,336 | 8,836 | |||||||||||||
5.13 | % | Jul-2019 | 846 | 845 | 896 | |||||||||||||
5.15 | % | Oct-2022 | 2,292 | 2,299 | 2,493 | |||||||||||||
5.25 | % | Jan-2020 | 6,538 | 6,540 | 7,021 | |||||||||||||
5.29 | % | May-2022 | 5,041 | 5,041 | 5,618 | |||||||||||||
5.30 | % | Aug-2029 | 5,840 | 5,748 | 6,578 | |||||||||||||
5.45 | % | May-2033 | 2,577 | 2,585 | 2,665 | |||||||||||||
5.47 | % | Aug-2024 | 7,939 | 7,965 | 8,493 | |||||||||||||
5.52 | % | Mar-2018 | 565 | 565 | 564 | |||||||||||||
5.60 | % | Feb-2018 - Jan-2024 | 10,036 | 10,036 | 10,950 | |||||||||||||
5.63 | % | Dec-2019 | 4,050 | 4,054 | 4,157 | |||||||||||||
5.69 | % | Jun-2041 | 4,686 | 4,815 | 5,145 | |||||||||||||
5.75 | % | Jun-2041 | 2,272 | 2,344 | 2,546 | |||||||||||||
5.91 | % | Mar-2037 | 1,850 | 1,884 | 1,907 | |||||||||||||
5.96 | % | Jan-2029 | 349 | 350 | 360 | |||||||||||||
6.03 | % | Jun-2017 - Jun-2036 | 3,730 | 3,772 | 3,720 | |||||||||||||
6.06 | % | Jul-2034 | 8,714 | 8,888 | 9,392 | |||||||||||||
6.11 | % | Aug-2017 | 3,315 | 3,315 | 3,365 | |||||||||||||
6.15 | % | Jan-2019 | 31,574 | 31,575 | 33,168 | |||||||||||||
6.15 | % | Jan-2023- Oct-2032 | 6,616 | 6,647 | 6,461 | |||||||||||||
6.22 | % | Aug-2032 | 1,544 | 1,564 | 1,516 | |||||||||||||
6.23 | % | Sep-2034 | 1,273 | 1,310 | 1,330 | |||||||||||||
6.28 | % | Nov-2028 | 2,459 | 2,541 | 2,608 | |||||||||||||
6.35 | % | Aug-2032 | 9,428 | 9,449 | 9,585 | |||||||||||||
6.38 | % | Jul-2021 | 5,060 | 5,067 | 5,606 | |||||||||||||
6.39 | % | Apr-2019 | 821 | 821 | 807 | |||||||||||||
6.52 | % | May-2029 | 4,600 | 4,825 | 4,822 | |||||||||||||
7.20 | % | Aug-2029 | 759 | 751 | 767 | |||||||||||||
7.75 | % | Dec-2024 | 1,246 | 1,246 | 1,245 | |||||||||||||
8.40 | % | Jul-2023 | 298 | 296 | 302 | |||||||||||||
8.50 | % | Nov-2019 | 1,349 | 1,366 | 1,458 | |||||||||||||
1,550,645 | 1,558,707 | 1,566,219 | ||||||||||||||||
When Issued2 | 3.14 | % | Apr-2029 | 7,889 | 7,921 | 7,979 | ||||||||||||
3.32 | % | Apr-2029 | 20,080 | 20,231 | 20,365 | |||||||||||||
3.41 | % | Apr-2029 | 20,347 | 20,761 | 20,911 | |||||||||||||
3.50 | % | Apr-2037 | 20,000 | 20,294 | 20,459 | |||||||||||||
3.50 | % | Apr-2037 | 25,000 | 25,507 | 25,574 | |||||||||||||
3.50 | % | Apr-2037 | 25,000 | 25,542 | 25,574 | |||||||||||||
4.00 | % | Apr-2037 | 25,000 | 25,933 | 26,225 | |||||||||||||
4.00 | % | Apr-2037 | 20,000 | 20,979 | 20,980 | |||||||||||||
163,316 | 167,168 | 168,067 | ||||||||||||||||
Total Fannie Mae Securities | $ | 2,230,803 | $ | 2,254,936 | $ | 2,267,648 |
Schedule of Portfolio Investments | ||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||
Freddie Mac Securities (14.1% of net assets) | ||||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
Single Family | 1.21 | %5 | Feb-2036 | $ | 1,678 | $ | 1,678 | $ | 1,678 | |||||||||
1.24 | %5 | May-2037 | 244 | 244 | 244 | |||||||||||||
1.26 | %5 | Apr-2036 - Mar-2045 | 33,073 | 33,095 | 33,055 | |||||||||||||
1.31 | %5 | Aug-2043 | 6,118 | 6,113 | 6,128 | |||||||||||||
1.39 | %5 | Oct-2040 | 4,969 | 4,964 | 4,965 | |||||||||||||
1.41 | %5 | Oct-2040 - Jun-2044 | 46,979 | 46,998 | 47,248 | |||||||||||||
1.46 | %5 | Nov-2040 | 5,763 | 5,821 | 5,807 | |||||||||||||
1.58 | %5 | Aug-2037 | 5,037 | 5,104 | 5,094 | |||||||||||||
2.50 | % | Jan-2043 - Aug-2046 | 19,210 | 19,520 | 18,385 | |||||||||||||
2.74 | % | Oct-2033 | 961 | 954 | 1,010 | |||||||||||||
2.84 | % | Jun-2033 | 403 | 402 | 424 | |||||||||||||
3.00 | % | Aug-2042 - Sep-2046 | 83,813 | 85,932 | 83,451 | |||||||||||||
3.02 | % | Jul-2035 | 282 | 281 | 298 | |||||||||||||
3.50 | % | Jan-2026 - Oct-2046 | 194,392 | 199,978 | 199,689 | |||||||||||||
3.50 | % | Jun-2046 | 28,344 | 29,147 | 29,014 | |||||||||||||
4.00 | % | Aug-2020 - Jul-2046 | 137,085 | 143,537 | 144,014 | |||||||||||||
4.00 | % | Aug-2045 | 25,000 | 26,157 | 26,229 | |||||||||||||
4.50 | % | Aug-2018 - Dec-2044 | 70,040 | 73,608 | 75,480 | |||||||||||||
5.00 | % | Jan-2019 - Mar-2041 | 11,848 | 11,979 | 12,740 | |||||||||||||
5.50 | % | Oct-2017 - Jul-2038 | 5,235 | 5,210 | 5,825 | |||||||||||||
6.00 | % | Apr-2017 - Feb-2038 | 6,313 | 6,387 | 7,191 | |||||||||||||
6.50 | % | Apr-2028 - Nov-2037 | 838 | 847 | 966 | |||||||||||||
7.00 | % | Apr-2028 - Mar-2030 | 65 | 60 | 76 | |||||||||||||
7.50 | % | Aug-2029 - Apr-2031 | 63 | 60 | 73 | |||||||||||||
8.00 | % | Aug-2017 - Dec-2029 | 1 | 1 | 2 | |||||||||||||
8.50 | % | Nov-2018 - Jan-2025 | 79 | 79 | 90 | |||||||||||||
9.00 | % | Mar-2025 | 53 | 53 | 61 | |||||||||||||
687,886 | 708,209 | 709,237 | ||||||||||||||||
Multifamily | 1.48 | % | Sep-2022 | 36,100 | 36,054 | 36,164 | ||||||||||||
1.63 | % | Jan-2023 | 19,736 | 19,736 | 19,747 | |||||||||||||
1.68 | % | Nov-2022 | 35,000 | 35,000 | 35,119 | |||||||||||||
2.95 | % | Jan-2018 | 700 | 695 | 704 | |||||||||||||
91,536 | 91,485 | 91,734 | ||||||||||||||||
When Issued2 | 4.00 | % | Apr-2037 | 25,000 | 26,037 | 26,225 | ||||||||||||
Total Freddie Mac Securities | $ | 804,422 | $ | 825,731 | $ | 827,196 |
Schedule of Portfolio Investments | ||||||||||||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||||||||||||
State Housing Finance Agency Securities (3.9% of net assets) | ||||||||||||||||||||||||||||
Interest Rates3 | Unfunded | |||||||||||||||||||||||||||
Issuer | Permanent | Construction | Maturity Date | Commitments4 | Face Amount | Amortized Cost | Value | |||||||||||||||||||||
Multifamily | City of Chicago | 0.00 | % | 2.00 | % | May-2019 | $ | — | $ | 5,700 | $ | 5,700 | $ | 5,713 | ||||||||||||||
NYC Housing Development Corp | 2.95 | % | — | Nov-2045 | — | 5,000 | 5,000 | 5,064 | ||||||||||||||||||||
Connecticut Housing Finance Auth | 3.25 | % | — | May-2050 | — | 12,500 | 12,376 | 10,920 | ||||||||||||||||||||
NYC Housing Development Corp | 3.75 | % | — | May-2035 - Nov-2035 | — | 5,980 | 5,980 | 6,012 | ||||||||||||||||||||
MassHousing | 3.85 | % | — | Dec-2058 | — | 9,980 | 9,976 | 8,777 | ||||||||||||||||||||
NYC Housing Development Corp | 4.00 | % | — | Dec-2028 | — | 5,000 | 5,104 | 5,245 | ||||||||||||||||||||
MassHousing | 4.04 | % | — | Nov-2032 | — | 1,305 | 1,305 | 1,309 | ||||||||||||||||||||
MassHousing | 4.13 | % | — | Dec-2036 | — | 5,000 | 5,000 | 5,117 | ||||||||||||||||||||
NYC Housing Development Corp | 4.20 | % | — | Dec-2039 | — | 8,305 | 8,305 | 8,531 | ||||||||||||||||||||
NYC Housing Development Corp | 4.25 | % | — | Nov-2025 | — | 1,150 | 1,150 | 1,200 | ||||||||||||||||||||
NYC Housing Development Corp | 4.29 | % | — | Nov-2037 | — | 1,190 | 1,190 | 1,184 | ||||||||||||||||||||
NYC Housing Development Corp | 4.40 | % | — | Nov-2024 | — | 4,120 | 4,120 | 4,299 | ||||||||||||||||||||
NYC Housing Development Corp | 4.44 | % | — | Nov-2041 | — | 1,120 | 1,120 | 1,119 | ||||||||||||||||||||
NYC Housing Development Corp | 4.49 | % | — | Nov-2044 | — | 455 | 455 | 455 | ||||||||||||||||||||
NYC Housing Development Corp | 4.50 | % | — | Nov-2030 | — | 1,680 | 1,683 | 1,757 | ||||||||||||||||||||
MassHousing | 4.50 | % | — | Dec-2056 | — | 45,000 | 45,000 | 46,127 | ||||||||||||||||||||
NYC Housing Development Corp | 4.60 | % | — | Nov-2030 | — | 4,665 | 4,665 | 4,897 | ||||||||||||||||||||
NYC Housing Development Corp | 4.70 | % | — | Nov-2035 | — | 1,685 | 1,685 | 1,777 | ||||||||||||||||||||
NYC Housing Development Corp | 4.78 | % | — | Aug-2026 | — | 12,500 | 12,502 | 13,209 | ||||||||||||||||||||
NYC Housing Development Corp | 4.80 | % | — | Nov-2040 | — | 2,860 | 2,862 | 2,990 | ||||||||||||||||||||
NYC Housing Development Corp | 4.90 | % | — | Nov-2034 - Nov-2041 | — | 8,800 | 8,800 | 9,219 | ||||||||||||||||||||
NYC Housing Development Corp | 4.95 | % | — | Nov-2039 - May-2047 | — | 13,680 | 13,682 | 14,317 | ||||||||||||||||||||
MassHousing | 5.55 | % | — | Nov-2039 | — | 5,000 | 4,981 | 5,375 | ||||||||||||||||||||
MassHousing | 5.69 | % | — | Nov-2018 | — | 1,830 | 1,830 | 1,881 | ||||||||||||||||||||
MassHousing | 5.70 | % | — | Jun-2040 | — | 13,250 | 13,252 | 13,827 | ||||||||||||||||||||
MassHousing | 6.42 | % | — | Nov-2039 | — | 22,000 | 22,000 | 23,583 | ||||||||||||||||||||
MassHousing | 6.50 | % | — | Dec-2039 | — | 690 | 690 | 696 | ||||||||||||||||||||
MassHousing | 6.58 | % | — | Dec-2039 | — | 11,385 | 11,385 | 11,481 | ||||||||||||||||||||
MassHousing | 6.70 | % | — | Jun-2040 | — | 10,895 | 10,895 | 11,570 | ||||||||||||||||||||
— | 222,725 | 222,693 | 227,651 | |||||||||||||||||||||||||
Forward Commitments | MassHousing | — | 3.00 | % | Oct-20186 | 9,464 | — | (95 | ) | (39 | ) | |||||||||||||||||
Connecticut Housing Finance Auth | — | 3.25 | % | Nov-20196 | 22,450 | 50 | (5 | ) | 30 | |||||||||||||||||||
31,914 | 50 | (100 | ) | (9 | ) | |||||||||||||||||||||||
Total State Housing Finance Agency Securities | $ | 31,914 | $ | 222,775 | $ | 222,593 | $ | 227,642 |
Schedule of Portfolio Investments | |||||||||||||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | |||||||||||||||||||||||||||||
Other Mutifamily Investments (0.3% of net assets) | |||||||||||||||||||||||||||||
Interest Rates3 | Unfunded | ||||||||||||||||||||||||||||
Issuer | Permanent | Construction | Maturity Date | Commitments4 | Face Amount | Amortized Cost | Value | ||||||||||||||||||||||
Direct Loans | |||||||||||||||||||||||||||||
Harry Silver Housing Company, Inc. | — | 3.20 | % | Apr-2017 | $ | — | $ | 5,197 | $ | 5,201 | $ | 5,212 | |||||||||||||||||
Harry Silver Housing Company, Inc. | — | 3.20 | % | Apr-2017 | 2,596 | 207 | 208 | 215 | |||||||||||||||||||||
Detroit Home Repair Program | — | 5.75 | % | Dec-2017 | 144 | 102 | 102 | 105 | |||||||||||||||||||||
2,740 | 5,506 | 5,511 | 5,532 | ||||||||||||||||||||||||||
Privately Insured Construction/Permanent Mortgages7 | |||||||||||||||||||||||||||||
IL Housing Development Authority | 5.40 | % | — | Mar-2047 | — | 8,157 | 8,160 | 8,158 | |||||||||||||||||||||
IL Housing Development Authority | 6.20 | % | — | Dec-2047 | — | 3,089 | 3,099 | 3,075 | |||||||||||||||||||||
IL Housing Development Authority | 6.40 | % | — | Nov-2048 | — | 934 | 945 | 924 | |||||||||||||||||||||
— | 12,180 | 12,204 | 12,157 | ||||||||||||||||||||||||||
Total Other Multifamily Investments | $ | 2,740 | $ | 17,686 | $ | 17,715 | $ | 17,689 |
Schedule of Portfolio Investments | ||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||
Commercial Mortgage-Backed Securities (2.4% of net assets) | ||||||||||||||||||
Issuer | Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||
Nomura | 2.77 | % | Dec-2045 | $ | 10,000 | $ | 10,166 | $ | 10,011 | |||||||||
Deutsche Bank | 2.94 | % | Jan-2046 | 19,070 | 19,538 | 19,225 | ||||||||||||
Nomura | 3.19 | % | Mar-2046 | 20,000 | 20,400 | 20,404 | ||||||||||||
JP Morgan | 3.48 | % | Jun-2045 | 10,000 | 10,471 | 10,385 | ||||||||||||
Citigroup | 3.62 | % | Jul-2047 | 8,000 | 8,213 | 8,259 | ||||||||||||
Barclays/ JP Morgan | 3.81 | % | Jul-2047 | 2,250 | 2,310 | 2,347 | ||||||||||||
RBS/ Wells Fargo | 3.82 | % | Aug-2050 | 5,000 | 5,136 | 5,214 | ||||||||||||
Deutsche Bank/UBS | 3.96 | % | Mar-2047 | 5,000 | 5,133 | 5,253 | ||||||||||||
Barclays/ JP Morgan | 4.00 | % | Apr-2047 | 5,000 | 5,134 | 5,278 | ||||||||||||
Cantor/Deutsche Bank | 4.01 | % | Apr-2047 | 20,000 | 20,532 | 21,132 | ||||||||||||
Barclays/ JP Morgan | 4.08 | % | Feb-2047 | 6,825 | 7,178 | 7,242 | ||||||||||||
Cantor/Deutsche Bank | 4.24 | % | Feb-2047 | 7,000 | 7,185 | 7,488 | ||||||||||||
Deutsche Bank | 5.00 | % | Nov-2046 | 18,990 | 19,447 | 20,441 | ||||||||||||
Total Commercial Mortgage Backed Securities | $ | 137,135 | $ | 140,843 | $ | 142,679 |
Schedule of Portfolio Investments | ||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||
United States Treasury Securities (6.3% of net assets) | ||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||
1.63 | % | May-2026 | $ | 10,000 | $ | 10,087 | $ | 9,381 | ||||||||
2.13 | % | May-2025 | 85,000 | 83,570 | 83,725 | |||||||||||
2.25 | % | Nov-2024 | 65,000 | 66,870 | 64,838 | |||||||||||
2.25 | % | Nov-2025 | 30,000 | 30,585 | 29,741 | |||||||||||
2.38 | % | Aug-2024 | 90,000 | 90,425 | 90,712 | |||||||||||
2.50 | % | May-2026 | 15,000 | 15,808 | 13,434 | |||||||||||
2.50 | % | Feb-2046 | 15,000 | 14,320 | 13,448 | |||||||||||
2.88 | % | Aug-2045 | 10,000 | 10,259 | 9,700 | |||||||||||
3.13 | % | Aug-2044 | 55,000 | 56,753 | 56,077 | |||||||||||
Total United States Treasury Securities | $ | 375,000 | $ | 378,677 | $ | 371,056 | ||||||||||
Total Fixed-Income Investments | $ | 5,840,699 | $ | 5,937,347 | $ | 5,964,586 |
Schedule of Portfolio Investments | ||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||
Equity Investment in Wholly-Owned Subsidiaries (less than 0.5% of net assets) |
Amount of | ||||||||||||||||
Number of | Face | Dividends | ||||||||||||||
Issuer | Shares | Amount (Cost) | or Interest | Value | ||||||||||||
Building America CDE, Inc.8 | 1,000 | $ | 1 | $ | — | $ | (17 | ) | ||||||||
HIT Advisers, LLC9 | — | 1 | — | $ | (767 | ) | ||||||||||
Total Equity Investment | 1,000 | $ | 2 | $ | — | $ | (784 | ) |
Schedule of Portfolio Investments | ||||||||||||||||||
March 31, 2017 (Dollars in thousands; unaudited) | ||||||||||||||||||
Short-Term Investments (3.4% of net assets) | ||||||||||||||||||
Issuer | Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||
NYS Housing Finance Agency | 0.72 | %10 | Nov-2049 | $ | 8,300 | $ | 8,300 | $ | 8,300 | |||||||||
National Secuirty Clearing Corp | 0.82 | % | Apr-2017 | 25,000 | 25,000 | 25,000 | ||||||||||||
Blackrock Federal Funds 30 | 0.42 | % | Apr-2017 | 167,741 | 167,741 | 167,741 | ||||||||||||
Total Short-Term Investments | $ | 201,041 | $ | 201,041 | $ | 201,041 | ||||||||||||
Total Investments | $ | 6,041,742 | $ | 6,138,390 | $ | 6,164,843 |
Schedule of Portfolio Investments
March 31, 2017
Footnotes
1 | Tax-exempt bonds collateralized by Ginnie Mae securities. |
2 | The HIT records when issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when issued basis are marked to market monthly and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. |
3 | Construction interest rates are the rates charged to the borrower during the construction phase of the project. The permanent interest rates are charged to the borrower during the amortization period of the loan, unless the U.S. Department of Housing and Urban Development requires that such rates be charged earlier. |
4 | The HIT may make commitments in securities or loans that fund over time on a draw basis or forward commitments that fund at a single point in time. The unfunded amount of these commitments totaled $104.1 million at period end. Generally, GNMA construction securities fund over a 12- to 24-month period. Funding periods for State Housing Finance Agency construction securities and Direct Loans vary by project, but generally fund over a one- to 48-month period. Forward commitments generally settle within 12 months of the original commitment date. |
5 | The coupon rate shown on these floating or adjustable rate securities represents the rate at period end. |
6 | Securities exempt from registration under the Securities Act of 1933 and were privately placed directly by a state housing agency (a not-for-profit public agency) with the HIT. The notes are for construction only and will mature on or prior to November 1, 2019. The notes are backed by mortgages and are general obligations of the state housing agency, and therefore secured by the full faith and credit of said agency. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are considered liquid, under procedures established by and under the general supervision of the HIT’s Board of Trustees. |
7 | Loans insured by Ambac Assurance Corporation, are additionally backed by a repurchase option from the mortgagee for the benefit of the HIT. The repurchase price is defined as the unpaid principal balance of the loan plus all accrued unpaid interest due through the remittance date. The repurchase option can be exercised by the HIT in the event of a payment failure by Ambac Assurance Corporation. |
8 | As of March 31, 2017, HIT held 100% of Building America CDE, Inc. (BACDE), a wholly owned subsidiary of the HIT. Building America is a Community Development Entity, certified by the Community Development Financial Institutions Fund of the U.S. Department of Treasury. The investment in BACDE was valued by the HIT’s valuation committee in accordance with the fair value procedures adopted by the HIT’s Board of Trustees, and approximates its carrying value. The shares of BACDE are not registered under the federal securities laws. |
9 | The HIT has a participation interest in HIT Advisers, LLC, a Delaware limited liability company. HIT Advisers is a New York based adviser currently exempt from investment adviser registration in New York. The investment in HIT Advisers is valued by the HIT’s valuation committee in accordance with the fair value procedures adopted by the HIT’s Board of Trustees, and approximates carrying value. The participation interest is not registered under the federal securities laws. |
10 | Variable rate bond with a weekly interest rate reset and can be redeemed at par, with accrued and unpaid interest, with a seven-day notice. The coupon rate shown represents the rate at period end. |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited
As of March 31, 2017
The accompanying notes are an integral part of this Schedule of Portfolio Investments.
Note 1. Summary of Significant Accounting Policies
The American Federation of Labor and Congress of Industrial Organizations (AFL-CIO) Housing Investment Trust (HIT) is a common law trust created under the laws of the District of Columbia and is registered under the Investment Company Act of 1940, as amended (the Investment Company Act), as a no-load, open-end investment company. The HIT has obtained certain exemptions from the requirements of the Investment Company Act that are described in the HIT’s Prospectus and Statement of Additional Information.
Participation in the HIT is limited to eligible pension plans and labor organizations, including health and welfare, general, and other funds that have beneficiaries who are represented by labor organizations.
The following is a summary of significant accounting policies followed by the HIT in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles (GAAP) in the United States. The HIT follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
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 each month. The HIT’s Board of Trustees is responsible for the valuation process and has delegated the supervision of the valuation process to a Valuation Committee. The Valuation Committee, in accordance with the policies and procedures adopted by the HIT’s Board of Trustees, is responsible for evaluating the effectiveness of the HIT’s pricing policies, determining the reliability of third-party pricing information, and reporting to the Board of Trustees on valuation issues, including fair value determinations. The following is a description of the valuation methods and inputs applied to the HIT’s major categories of assets.
Portfolio securities for which market quotations are readily available are valued by using independent pricing services. For U.S. Treasury securities, pricing services generally base prices on actual transactions, as well as dealer-supplied market information. For state housing finance agency securities, independent pricing services generally base prices using models that utilize trading spreads, new issue scales, verified bid information, and credit ratings. For commercial mortgage-backed securities, independent pricing services generally base prices on cash flow
models that take into consideration benchmark yields and utilize available trade information, dealer quotes, and market color.
For U.S. agency and government-sponsored enterprise securities, including single family and multifamily mortgage-backed securities, construction mortgage securities and loans, and collateralized mortgage obligations, independent pricing services generally base prices on an active TBA (“to-be-announced”) market for mortgage pools, discounted cash flow models or option-adjusted spread models. Independent pricing services examine reference data and use observable inputs such as issue name, issue size, ratings, maturity, call type and spread/benchmark yields, as well as, dealer supplied market information. The discounted cash flow or option-adjusted spread models utilize inputs from matrix pricing which consider observable market-based discount and prepayment rates, attributes of the collateral, and yield or price of bonds of comparable quality, coupon, maturity and type.
Investments in registered open-end investment management companies are valued based upon the NAVs of such investments.
When the HIT finances construction and permanent securities or participation interests, value is determined based upon the total amount, funded and/or unfunded, of the commitment.
Portfolio investments for which market quotations are not readily available or deemed unreliable are valued at their fair value determined in good faith by the HIT’s Valuation Committee using consistently applied procedures adopted by the HIT’s Board of Trustees. In determining fair value, the Valuation Committee will employ a valuation method that it believes reflects fair value for the particular asset, which may include, among other things, the referral of that asset to an independent valuation consultant or the utilization of a discounted cash flow model based on broker and/or other market inputs. The frequency with which these fair value procedures may be used cannot be predicted. However, on March 31, 2017 the HIT fair valued less than 0.05% of the HIT’s net assets.
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value.
The HIT has two wholly owned subsidiaries, Building America CDE, Inc. (Building America or BACDE) and HIT Advisers, LLC (HIT Advisers). Building America and HIT Advisers are valued at their fair value determined in good faith under consistently applied procedures adopted by the HIT’s Board of Trustees, which approximates their respective carrying value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. The HIT classifies its assets and liabilities into three levels based on the method used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and quoted prices in inactive markets. Level 3 values are based on significant unobservable inputs that may reflect the HIT’s determination of assumptions that market participants might reasonably use in valuing the securities.
The following table presents the HIT’s valuation levels as of March 31, 2017:
Investment Securities: ($ in thousands) |
Level 1 |
Level 2 |
Level 3 |
Total | ||||||||||||
FHA Permanent Securities | $ | — | $ | 169,213 | $ | — | $ | 169,213 | ||||||||
Ginnie Mae Securities | — | 1,662,293 | — | 1,662,293 | ||||||||||||
Ginnie Mae Construction Securities | — | 215,522 | — | 215,522 | ||||||||||||
Fannie Mae Securities | — | 2,099,581 | — | 2,099,581 | ||||||||||||
Freddie Mac Securities | — | 800,971 | — | 800,971 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 142,679 | — | 142,679 | ||||||||||||
State Housing Finance Agency Securities | — | 227,651 | — | 227,651 | ||||||||||||
Other Multifamily Investments | ||||||||||||||||
Direct Loans | — | — | 5,532 | 5,532 | ||||||||||||
Privately Insured Construction/Permanent Mortgages | — | 12,157 | — | 12,157 | ||||||||||||
Total Other Multifamily Investments | — | 12,157 | 5,532 | 17,689 | ||||||||||||
United States Treasury Securities | — | 371,056 | — | 371,056 | ||||||||||||
Equity Investments | — | — | (784 | ) | (784 | ) | ||||||||||
Short-Term Investments | 201,041 | — | — | 201,041 | ||||||||||||
Other Financial Instruments* | — | 257,931 | — | 257,931 | ||||||||||||
Total Investment | $ | 201,041 | $ | 5,959,054 | $ | 4,748 | $ | 6,164,843 |
*If held in the portfolio at report date, other financial instruments include forward commitments, TBA and when-issued securities.
The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended March 31, 2017.
Investments in Securities ($ in thousands) | |||
Other
Multifamily Investments |
Equity Investments |
Total | |
Beginning balance,12/31/2016 | $5,425 | $(478) | $4,947 |
Total Unrealized Gain(Loss)(a) | 2 | (306) | (304) |
Purchase | 105 | — | 105 |
Ending balance, 3/31/2017 | $5,532 | $(784) | $4,748 |
(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at March 31, 2017 totaled $(304,000).
Level 3 securities primarily consist of Direct Loans (Other Multifamily Investments) which were valued by an independent pricing service at March 31, 2017 utilizing a discounted cash flow model with spreads to relevant U.S. Treasuries ranging from 120 to 380 basis points and weighted average lives of 0.17 to 1.83 years.
Federal Income Taxes
At March 31, 2017, investments for federal income tax purposes approximated book cost at amortized cost of $6,138,390,000. Net unrealized gains aggregated $26,453,000 at period-end, of which $95,523,000 related to appreciated investments and $69,070,000 related to depreciated investments.
Note 2. Transactions with Related Entities
Building America is a Community Development Entity, certified by the Community Development Financial Institutions Fund (CDFI Fund) of the U.S. Department of the Treasury. Building America has committed $85 million in New Markets Tax Credit (NMTC) awards to qualified transactions. In November 2016, Building America was allocated an additional $45 million in NMTC awards for the 2015 and 2016 combined allocation round. Building America receives fees for committing NMTCs to such qualified transactions and ongoing asset management fees on closed transactions. HIT receives no services from Building America and carries it as a portfolio investment that meets the definition of a controlled affiliate.
The NMTC program(b), which is run by the CDFI Fund, provides tax credits to equity investors that invest in businesses operating in low-income areas, including those that engage in the creation of housing and other construction activities.
(b)The New Markets Tax Credit (NMTC) Program, enacted by Congress as part of the Community Renewal Tax Relief Act of 2000, is incorporated as section 45D of the Internal Revenue Code.
Summarized financial information for Building America on a historical cost basis is included in the table below:
$ in Thousands | |
As of March 31, 2017 | |
Assets | $342 |
Liabilities | $359 |
Equity | $(17) |
For the three months ended March 31, 2017 | |
Income | $141 |
Expenses | (295) |
Tax Expense(Benefit) | (39) |
Net Income(Loss) | $(115) |
In accordance with a contract, in addition to its equity interest, the HIT provides Building America advances to assist with its operations and cash flow management as needed. Advances are repaid as cash becomes available. Also in accordance with the contract, the HIT provides the time of certain personnel to Building America and allocates operational expenses on a cost-reimbursement basis. As of March 31, 2017, advances to Building America by the HIT totaled $261,000, which represents less than 0.01% of HIT’s average monthly net assets. A rollforward of advances to Building America by the HIT is included in the table below:
$ in Thousands | |
Advances to Building America by HIT | |
Beginning Balance, 12/31/2016 | $75 |
Advances in 2017 | 261 |
Repayment by BACDE in 2017 | (156) |
Ending Balance, 3/31/2017 | $180 |
In June 2016, HIT participants authorized it to form a wholly owned subsidiary investment adviser and to register it, as appropriate, under applicable federal or state law. In August 2016, the Securities and Exchange Commission granted no action relief under section 12(d)(3) of the Investment Company Act of 1940 to allow the HIT to organize and acquire the securities issued by a wholly owned subsidiary that will operate as an investment adviser and be registered under the Investment Advisers Act of 1940. HIT wholly owns HIT Advisers, a Delaware limited liability company, directly (99.9%), and indirectly (0.1%) through HIT Advisers Managing Member which is also a wholly owned subsidiary of HIT. This structure is intended to insulate the HIT from any potential liabilities associated with the conduct of HIT Advisers business. HIT receives no services from HIT Advisers and carries it as a portfolio investment that meets the definition of a controlled affiliate.
Summarized financial information for HIT Advisers on a historical cost basis is included in the table below:
$ in Thousands | |
As of March 31, 2017 | |
Assets | $28 |
Liabilities | $795 |
Equity | $(767) |
For the three months ended March 31, 2017 | |
Income | $— |
Expenses | (206) |
Tax Expense(Benefit) | — |
Net Income(Loss) | $(206) |
In accordance with a contract, in addition to its participation interest, the HIT provides HIT Advisers advances to assist with its operations and cash flow management as needed. Advances are expected to be repaid as cash becomes available. However, as with many start-up operations, there is no certainty that HIT Advisers will generate sufficient revenue to cover its operations and liabilities. Also in accordance with the contract, the HIT provides the time of certain personnel and allocates operational expenses to HIT Advisers on a cost-reimbursement basis. As of March 31, 2017, HIT Advisers had no clients or assets under management and did not earn income. A rollforward of advances to HIT Advisers by the HIT is included in the table below:
$ in Thousands | |
Advances to HIT Advisers by HIT | |
Beginning Balance, 12/31/2016 | $607 |
Advances in 2017 | 176 |
Repayment by HIT Advisers in 2017 | — |
Ending Balance, 3/31/2017 | $783 |
Item 2. Controls and Procedures.
(a) | The HIT’s Chief Executive Officer (the principal executive officer) and Chief Financial Officer (the principal financial officer) have concluded that the design and operation of the HIT’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) are generally effective to provide reasonable assurance that information required to be disclosed by the HIT in this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based on their evaluation of the effectiveness of the design and operation of such controls and procedures within 90 days of the filing of this report. |
(b) | There was no change in the HIT’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the HIT’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the HIT’s internal control over financial reporting. |
Item 3. Exhibits.
Separate certifications for the principal executive officer and the principal financial officer of the HIT as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the AFL-CIO Housing Investment Trust has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AFL-CIO HOUSING INVESTMENT TRUST
By: | /s/ Stephen Coyle | ||
Name: | Stephen Coyle | ||
Title: | Chief Executive Officer |
Date: May 30, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the AFL-CIO Housing Investment Trust and in the capacities and on the dates indicated.
/s/ Stephen Coyle | |
Stephen Coyle | |
Chief Executive Officer | |
(Principal Executive Officer) | |
Date: May 30, 2017 | |
/s/ Erica Khatchadouria |
|
Erica Khatchadourian | |
Chief Financial Officer | |
(Principal Financial Officer) | |
Date: May 30, 2017 |
AFL-CIO Housing Investment Trust N-Q
EX-99.CERTS
CERTIFICATION
I, Stephen Coyle, certify that:
1. I have reviewed this report on Form N-Q of the AFL-CIO Housing Investment Trust (the “HIT”);
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedule of investments included in this report fairly presents in all material respects the investments of the HIT as of the end of the fiscal quarter for which the report is filed;
4. The HIT’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the HIT and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the HIT, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the HIT’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the HIT’s internal control over financial reporting that occurred during the HIT’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the HIT’s internal control over financial reporting; and |
5. The HIT’s other certifying officer(s) and I have disclosed to the HIT’s auditors and the audit committee of the HIT’s board of trustees (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the HIT’s ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the HIT’s internal control over financial reporting. |
/s/ Stephen Coyle |
Stephen Coyle
Chief Executive Officer
AFL-CIO Housing Investment Trust
Date: May 30, 2017
CERTIFICATION
I, Erica Khatchadourian, certify that:
1. I have reviewed this report on Form N-Q of the AFL-CIO Housing Investment Trust (the “HIT”);
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedule of investments included in this report fairly presents in all material respects the investments of the HIT as of the end of the fiscal quarter for which the report is filed;
4. The HIT’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the HIT and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the HIT, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the HIT’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the HIT’s internal control over financial reporting that occurred during the HIT’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the HIT’s internal control over financial reporting; and |
5. The HIT’s other certifying officer(s) and I have disclosed to the HIT’s auditors and the audit committee of the HIT’s board of trustees (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the HIT’s ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the HIT’s internal control over financial reporting. |
/s/ Erica Khatchadourian |
Erica Khatchadourian
Chief Financial Officer
AFL-CIO Housing Investment Trust
Date: May 30, 2017