N-Q 1 ahit-nq_093017.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

 

 

 

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, N.W., Suite 200, 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: September 30, 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

 

September 30, 2017 (Dollars in thousands; unaudited)

 

FHA Permanent Securities (2.7% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
                    
Single Family   7.75%  Jul-2021  $6   $6   $6 
                        
Multifamily   3.65%  Dec-2037   9,300    9,511    9,233 
    3.75%  Aug-2048   3,965    3,961    3,964 
    4.00%  Dec-2053   64,379    64,355    65,005 
    4.79%  May-2053   4,775    5,024    4,916 
    5.17%  Feb-2050   7,963    8,581    8,556 
    5.35%  Mar-2047   7,239    7,249    7,271 
    5.55%  Aug-2042   7,800    7,803    7,837 
    5.60%  Jun-2038   2,386    2,390    2,397 
    5.65%  Oct-2038   1,859    1,887    1,860 
    5.80%  Jan-2053   2,029    2,038    2,324 
    5.87%  May-2044   1,752    1,750    1,812 
    5.89%  Apr-2038   4,485    4,490    4,508 
    6.02%  Jun-2035   4,120    4,121    4,143 
    6.20%  Apr-2052   11,456    11,452    13,341 
    6.40%  Aug-2046   3,757    3,759    4,097 
    6.48%  Nov-2041   6,131    6,355    6,167 
    6.60%  Jan-2050   3,335    3,364    3,835 
    6.75%  Jul-2040   3,928    3,916    3,936 
    7.20%  Oct-2039   2,787    2,791    2,808 
    7.50%  Sep-2032   1,282    1,279    1,292 
    7.70%  Dec-2048   5,288    6,072    6,267 
    7.93%  Apr-2042   2,641    2,641    2,664 
            162,657    164,789    168,233 
Total FHA Permanent Securities          $162,663   $164,795   $168,239 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

FHA Construction Securities (less than 0.5% of net assets)

 

   Interest Rates1      Unfunded             
   Permanent   Construction   Maturity Date  Commitments2   Face Amount   Amortized Cost   Value 
                            
Forward Commitments   4.10%   2.50%  Oct-2060   22,000    —    —    (2)
Total FHA Construction Securities               $22,000   $—   $—   $(2)

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

Ginnie Mae Securities (27.1% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
                    
Single Family   4.00%  Feb-2040 - Jun-2040  $4,034   $4,082   $4,296 
    4.50%  Aug-2040   2,775    2,834    3,007 
    5.50%  Jan-2033 - Jun-2037   2,683    2,675    3,020 
    6.00%  Jan-2032 - Aug-2037   1,742    1,741    1,998 
    6.50%  Jul-2028   56    56    64 
    7.00%  Apr-2026 - Jan-2030   1,068    1,072    1,239 
    7.50%  Aug-2025 - Aug-2030   538    543    628 
    8.00%  Sep-2026 - Nov-2030   422    426    498 
    8.50%  Jun-2022 - Aug-2027   332    334    373 
    9.00%  Mar-2020 - Jun-2025   61    61    65 
    9.50%  Sep-2021 - Sep-2030   34    35    39 
            13,745    13,859    15,227 
                        
Multifamily   1.73%  May-2042   3,148    3,154    3,122 
    2.15%  May-2056   9,030    9,014    8,921 
    2.18%  May-2039   3,765    3,795    3,761 
    2.20%  Jun-2056   9,526    9,505    9,408 
    2.25%  Dec-2048   11,235    11,138    11,105 
    2.30%  Mar-2056 - May-2056   51,440    51,282    50,968 
    2.30%  Oct-2056   31,000    30,646    30,501 
    2.31%  Nov-2051   7,076    7,077    6,774 
    2.32%  Apr-2054   22,139    22,733    20,815 
    2.35%  Dec-2040 - Nov-2056   35,029    35,500    34,001 
    2.40%  Aug-2047   11,772    11,800    11,680 
    2.43%  Nov-2038   20,000    20,087    20,005 
    2.50%  Jul-2045 - Mar-2057   40,179    40,226    39,628 
    2.53%  Jul-2038 - Feb-2040   30,165    30,576    30,153 
    2.55%  Feb-2048   22,024    22,192    21,232 
    2.60%  Apr-2048 - Apr-2056   53,844    54,158    53,732 
    2.65%  Jan-2053   51,015    51,456    50,237 
    2.70%  May-2048   27,434    27,897    27,457 
    2.70%  Jul-2056   15,452    15,637    15,403 
    2.72%  Feb-2044   550    567    553 
    2.79%  Apr-2049   19,069    19,284    19,014 
    2.82%  Apr-2050   1,500    1,534    1,497 
    2.87%  Feb-2036 - Dec-2043   25,000    25,309    25,073 
    2.89%  Mar-2046   32,000    32,229    31,985 
    2.98%  May-2052   54,716    55,256    55,870 
    3.00%  Mar-2051   20,000    20,109    19,956 
    3.05%  May-2044   45,500    45,813    45,800 
    3.05%  May-2054   11,545    11,605    11,461 
    3.10%  Jan-2044   23,000    23,341    23,336 
    3.13%  Nov-2040   680    698    681 
    3.15%  Jan-2049   17,025    17,713    17,116 
    3.19%  Apr-2055   4,988    4,990    5,022 
    3.20%  Jul-2041 - Oct-2053   24,586    24,741    25,010 
    3.24%  Apr-2051   5,168    5,247    5,293 
    3.25%  Sep-2054   35,000    34,678    35,431 
    3.26%  Nov-2043   20,000    20,035    20,305 
    3.30%  May-2055   10,000    9,491    10,037 
    3.33%  Jun-2043   15,000    15,520    15,233 
    3.35%  Nov-2042 - Mar-2044   25,000    24,468    25,438 
    3.37%  Dec-2046   19,200    19,472    19,517 
    3.38%  Jul-2046   7,760    8,021    7,888 
    3.47%  Apr-2046   7,736    8,245    8,062 
    3.49%  Mar-2042   28,593    28,639    28,217 
    3.49%  May-2042 - Feb-2044   13,407    14,858    14,779 
    3.50%  Feb-2051 - Jan-2054   31,363    31,192    32,267 
    3.50%  Jul-2057   60,469    64,603    64,454 
    3.52%  Sep-2041   7,083    7,544    7,134 
    3.56%  Nov-2044 - Apr-2051   26,490    27,327    27,016 
    3.57%  Apr-2053   33,372    35,764    35,164 
    3.59%  Sep-2050   7,842    8,286    8,171 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

Ginnie Mae Securities (27.1% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost     Value  
    3.60%  Jun-2057   14,277    14,854     15,327  
    3.62%  Dec-2057   29,750    30,349     31,943  
    3.65%  Sep-2052   6,500    6,757     6,659  
    3.67%  Nov-2035   16,679    17,427     17,186  
    3.70%  Dec-2045 - Sep-2051   15,958    15,889     16,294  
    3.71%  Nov-2052   9,351    10,107     9,763  
    3.77%  Sep-2053   3,916    4,265     4,173  
    3.80%  Sep-2046   6,005    6,460     6,059  
    3.81%  Dec-2053   10,408    10,502     10,806  
    3.83%  Apr-2046   10,000    10,029     10,262  
    3.85%  Oct-2054   30,889    31,036     32,449  
    3.85%  Jan-2056   32,719    33,041     35,495  
    3.86%  Jun-2045 - Oct-2047   21,570    21,848     22,227  
    3.90%  Apr-2055   16,575    17,205     17,450  
    3.92%  Aug-2039   47,451    50,909     49,160  
    3.93%  May-2049   6,413    6,897     6,462  
    3.95%  Jul-2053   5,869    5,881     6,138  
    4.05%  Feb-2052   6,293    6,295     6,543  
    4.09%  Feb-2056   57,199    58,045     62,495  
    4.10%  May-2051   4,066    4,456     4,410  
    4.15%  Jun-2053   2,177    2,208     2,267  
    4.25%  Sep-2038   36,204    36,413     37,739  
    4.29%  Mar-2053   48,110    48,416     54,018  
    4.45%  Jun-2055   2,597    2,492     2,856  
    4.50%  May-2038   19,182    20,918     20,116  
    4.63%  Sep-20373  1,500    1,463     1,536  
    4.70%  Oct-2056   3,375    3,553     3,818  
    4.90%  Mar-20443  1,000    991     1,025  
    5.05%  Apr-20493  2,735    2,735     2,738  
    5.25%  Apr-2037   19,505    19,498     20,984  
    5.34%  Jul-2040   9,780    9,649     10,187  
    5.45%  Sep-2037   12,866    14,035     13,976  
    5.55%  May-20493  9,960    9,960     9,989  
            1,609,794    1,639,035     1,648,233  
Total Ginnie Mae Securities          $1,623,539   $1,652,894   $ 1,663,460  

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

Ginnie Mae Construction Securities (4.2% of net assets)

 

   Interest Rates1      Unfunded             
   Permanent   Construction   Maturity Date  Commitments2   Face Amount   Amortized Cost   Value 
                            
Multifamily   3.25%   3.25%  Jun-2059  $31,475   $25   $655   $485 
    3.30%   3.30%  Mar-2057   1,870    3,318    3,361    3,521 
    3.30%   3.30%  Jul-2057   199    25,728    26,513    27,004 
    3.38%   3.38%  Jan-2060   23,133    37,271    37,271    38,999 
    3.49%   3.49%  Aug-2058   9,287    2,113    2,397    2,667 
    3.50%   3.50%  Mar-2057   1,100    22,197    23,137    23,609 
    3.50%   3.50%  Apr-2057   71    25,471    26,239    27,006 
    3.53%   3.53%  Apr-2042   827    17,473    18,158    18,741 
    3.55%   3.55%  Apr-2057   2,124    39,506    40,663    41,530 
    3.65%   3.65%  Nov-2058   6,389    4,207    4,358    4,622 
    3.66%   3.66%  Jul-2058   4,021    19,978    20,289    21,662 
    3.68%   3.68%  Jun-2057   25    27,730    28,574    29,967 
    3.68%   3.68%   Aug-2057   514    14,308    14,669    15,405 
    4.15%   4.15%  Sep-2051   16,764    1,103    1,157    1,342 
                 97,799    240,428    247,441    256,560 
                                  
Forward Commitments   3.35%   3.35%  May-2059   6,687    —    —    110 
    3.38%   3.38%  Jan-2060   34,120    —    —    655 
Forward Commitments                40,807    —    —    765 
Total Ginnie Mae Construction Securities               $138,606   $240,428   $247,441   $257,325 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

Fannie Mae Securities (39.3% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
                    
Single Family   1.49%4  Mar-2037  $322   $318   $321 
    1.54%4  Jul-2043   13,285    13,195    13,270 
    1.56%4  Jun-2037   1,721    1,721    1,723 
    1.59%4  Mar-2043 - Nov-2044   33,003    32,979    33,055 
    1.62%4  Nov-2042   6,886    6,889    6,908 
    1.64%4  Apr-2037 - Oct-2044   18,136    18,170    18,210 
    1.70%4  Oct-2042   6,095    6,123    6,133 
    1.74%4  Dec-2040 - Feb-2043   37,235    37,126    37,511 
    1.76%4  Jun-2042   4,213    4,236    4,244 
    1.79%4  Mar-2042   9,562    9,580    9,652 
    1.83%4  Mar-2041   6,582    6,635    6,640 
    1.84%4  Mar-2042 - Oct-2043   15,263    15,319    15,454 
    1.94%4  Dec-2040   3,093    3,103    3,129 
    2.83%4  May-2033   428    429    447 
    2.93%4  Nov-2033   2,172    2,173    2,245 
    2.98%4  Aug-2033   234    234    243 
    3.00%  Apr-2031 - Jun-2046   63,472    65,711    64,098 
    3.13%4  Nov-2034   1,248    1,279    1,312 
    3.16%4  Sep-2035   395    394    411 
    3.17%4  Aug-2033   1,418    1,415    1,494 
    3.27%4  Jul-2033   1,583    1,588    1,671 
    3.28%4  Jul-2033   309    308    319 
    3.34%4  Aug-2033   656    655    681 
    3.38%4  Apr-2034   1,242    1,271    1,304 
    3.50%  Oct-2026 - Jul-2047   198,041    203,982    204,750 
    4.00%  Jun-2018 - Dec-2046   131,177    136,511    138,333 
    4.50%  Mar-2018 - May-2044   58,060    60,440    62,550 
    5.00%  Jan-2018 - Apr-2041   16,688    17,216    18,284 
    5.50%  Nov-2017 - Jun-2038   9,009    9,042    10,004 
    6.00%  Mar-2018 - Nov-2037   5,362    5,390    6,098 
    6.50%  Sep-2028 - Jul-2036   917    939    1,033 
    7.00%  Sep-2027 - May-2032   920    922    1,058 
    7.50%  May-2018 - Sep-2031   335    335    379 
    8.00%  Apr-2030 - May-2031   63    64    66 
    8.50%  Dec-2021 - Apr-2031   31    31    32 
            649,156    665,723    673,062 
                        
Multifamily   1.64%  Aug-2027   35,483    35,494    35,526 
    1.67%  Nov-2022 - May-2027   39,655    39,665    39,691 
    1.83%  Jan-2027   25,000    25,007    25,020 
    2.08%  Jan-2023   19,775    19,765    19,989 
    2.18%  Apr-2022   10,013    10,017    10,013 
    2.21%  Dec-2022   23,250    23,261    23,294 
    2.21%  Dec-2022   30,635    30,649    30,693 
    2.24%  Dec-2022   30,749    30,764    30,839 
    2.26%  Nov-2022   6,395    6,415    6,426 
    2.34%  Sep-2026   28,500    28,696    27,848 
    2.38%  Jul-2026   21,840    21,889    21,357 
    2.44%  Aug-2026   22,400    22,400    22,048 
    2.46%  Aug-2026   25,830    25,843    24,832 
    2.48%  Oct-2028   24,990    25,111    24,128 
    2.49%  Dec-2026   16,876    16,931    16,717 
    2.50%  Jun-2026   60,000    60,000    58,950 
    2.50%  Jul-2026   37,680    37,791    36,634 
    2.57%  Sep-2028   40,100    40,787    38,982 
    2.70%  Nov-2025   16,073    16,097    16,138 
    2.72%  Jul-2028   36,400    36,916    35,792 
    2.75%  Jul-2028   15,750    15,994    15,654 
    2.80%  Mar-2018 - Apr-2025   20,083    20,343    20,088 
    2.81%  Sep-2027   12,400    12,524    12,409 
    2.84%  Mar-2022   3,546    3,557    3,652 
    2.85%  Mar-2022   33,000    33,055    34,037 
    2.91%  Jun-2031   25,000    25,248    24,747 
    2.92%  Jan-2026 - Apr-2028   34,254    34,397    34,645 
    2.92%  Jun-2027   71,936    72,097    73,322 
    2.94%  Jun-2027   29,000    29,069    29,420 
    2.94%   Jul-2039   15,551    15,771    15,407 
    2.97%  May-2026   18,988    19,715    19,416 
    2.99%  Jun-2025   2,750    2,761    2,827 
    3.00%  May-2027 - Mar-2028   16,010    16,052    16,142 
    3.02%  Jun-2027   4,022    4,040    4,138 
    3.04%  Apr-2030   25,100    25,226    25,372 
    3.05%  Apr-2030   28,593    28,639    28,217 
    3.08%  Jul-2029   12,814    12,873    12,996 
    3.10%  Sep-2029   8,515    8,571    8,632 
    3.12%  Jul-2029   25,350    25,582    25,867 
    3.12%  Apr-2030   13,910    13,916    13,813 
    3.14%  Apr-2029   7,889    7,919    8,040 
    3.15%  Jan-2027   20,783    20,829    21,555 
    3.17%  Sep-2029   13,862    13,940    13,894 
    3.18%  Sep-2029 - May-2035   22,946    23,379    23,055 
    3.20%  Oct-2027   10,685    10,770    11,064 
    3.21%  May-2030   7,204    7,360    7,327 
    3.22%  Sep-2026   28,451    28,503    29,560 
    3.24%  Aug-2027   9,500    9,693    9,849 
    3.25%  Nov-2027   10,682    10,769    11,088 
    3.26%  Jan-2027   7,700    7,735    7,973 
    3.31%  Oct-2027   16,320    16,550    16,990 
    3.32%  Apr-2029   20,080    20,221    20,323 
    3.35%  Feb-2029   20,000    20,375    20,693 
    3.36%  Dec-2023 - Oct-2029   19,910    19,956    20,738 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

Fannie Mae Securities (39.3% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
    3.40%  Oct-2026   3,051    3,073    3,200 
    3.41%  Sep-2023 - Apr-2029   56,747    57,425    59,066 
    3.42%  Apr-2035   5,520    5,626    5,638 
    3.43%  Oct-2026   7,503    7,556    7,881 
    3.46%  Dec-2023   3,500    3,513    3,668 
    3.54%  Oct-2021   7,124    7,141    7,473 
    3.61%  Sep-2023   6,524    6,577    6,895 
    3.63%  Jul-2035   21,987    22,027    23,123 
    3.66%  Oct-2023   4,790    4,837    5,070 
    3.77%  Dec-2033   10,500    10,755    11,244 
    3.84%  May-2018   7,140    7,140    7,225 
    3.87%  Sep-2023   2,517    2,568    2,681 
    4.03%  Oct-2021   6,842    6,845    7,253 
    4.06%  Oct-2025   24,051    24,132    25,868 
    4.15%  Jun-2021   8,988    8,994    9,536 
    4.22%  Jul-2018   454    454    458 
    4.25%  May-2021   4,086    4,086    4,339 
    4.27%  Nov-2019   5,722    5,720    5,940 
    4.32%  Nov-2019   2,825    2,824    2,937 
    4.33%  Nov-2019 - Mar-2021   21,707    21,707    22,701 
    4.38%  Apr-2020   9,705    9,708    10,172 
    4.44%  May-2020   5,757    5,758    6,050 
    4.50%  Feb-2020   4,045    4,045    4,038 
    4.52%  Nov-2019 - May-2021   6,882    6,897    7,283 
    4.55%  Nov-2019   2,711    2,710    2,827 
    4.56%  Jul-2019   7,001    7,002    7,259 
    4.66%  Jul-2021   1,231    1,235    1,249 
    4.68%  Jul-2019   12,501    12,498    12,987 
    4.69%  Jan-2020 - Jun-2035   13,386    13,412    14,072 
    4.71%  Mar-2021   5,631    5,650    6,037 
    4.73%  Feb-2021   1,481    1,485    1,586 
    4.80%  Jun-2019   2,040    2,039    2,120 
    4.86%  May-2019   1,362    1,362    1,414 
    4.89%  Nov-2019   850    851    893 
    4.94%  Apr-2019   3,347    3,346    3,474 
    5.00%  Jun-2019   1,783    1,783    1,858 
    5.04%  Jun-2019   1,766    1,766    1,842 
    5.05%  Jun-2019   1,242    1,242    1,296 
    5.08%  Apr-2021   40,000    40,001    43,181 
    5.11%  Jul-2019   824    824    861 
    5.12%  Jul-2019   8,262    8,260    8,638 
    5.13%  Jul-2019   838    837    876 
    5.15%  Oct-2022   2,120    2,125    2,287 
    5.25%  Jan-2020   6,481    6,482    6,867 
    5.29%  May-2022   4,999    4,999    5,541 
    5.30%  Aug-2029   5,680    5,596    6,433 
    5.45%  May-2033   2,530    2,538    2,649 
    5.47%  Aug-2024   7,870    7,893    8,286 
    5.60%  Feb-2018 - Jan-2024   9,839    9,840    10,756 
    5.63%  Dec-2019   3,310    3,311    3,342 
    5.69%  Jun-2041   4,651    4,776    5,120 
    5.75%  Jun-2041   2,255    2,325    2,534 
    5.91%  Mar-2037   1,826    1,858    1,901 
    5.96%  Jan-2029   340    341    347 
    6.03%  Jun-2036   3,264    3,304    3,289 
    6.06%  Jul-2034   8,579    8,743    9,158 
    6.15%  Jan-2023   3,529    3,529    3,430 
    6.23%  Sep-2034   1,253    1,288    1,304 
    6.28%  Nov-2028   2,389    2,463    2,526 
    6.35%  Aug-2032   9,276    9,296    9,342 
    6.38%  Jul-2021   4,997    5,002    5,477 
    6.39%  Apr-2019   805    805    789 
    6.52%  May-2029   4,501    4,707    4,674 
    7.20%  Aug-2029   741    733    747 
    7.75%  Dec-2024   1,188    1,188    1,185 
    8.40%  Jul-2023   281    279    283 
    8.50%  Nov-2019   1,129    1,138    1,202 
            1,622,284    1,631,197    1,649,545 
                        
When Issued5   2.87%  Oct-2027   9,425    9,566    9,458 
    2.97%  Nov-2032   19,000    19,070    18,713 
    3.02%  Dec-2027   15,340    15,378    15,314 
    3.02%  Nov-2029   20,775    20,957    20,754 
    4.00%  Oct-2047   20,000    21,081    21,055 
            84,540    86,052    85,294 
Total Fannie Mae Securities          $2,355,980   $2,382,972   $2,407,901 

 

 

 

Schedule of Portfolio Investments
 
September 30, 2017 (Dollars in thousands; unaudited)
 
Freddie Mac Securities (13.4% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
                    
Single Family   1.53%4  Feb-2036  $1,458   $1,458   $1,460 
    1.56%4  May-2037   136    136    136 
    1.58%4  Apr-2036 - Mar-2045   30,201    30,224    30,250 
    1.63%4  Aug-2043   5,693    5,690    5,716 
    1.71%4  Oct-2040   4,546    4,542    4,579 
    1.73%4  Oct-2040 - Jun-2044   41,726    41,745    42,046 
    1.78%4  Nov-2040   5,257    5,309    5,308 
    1.90%4  Aug-2037   4,570    4,628    4,630 
    2.50%  Jan-2043 - Aug-2046   18,675    18,965    18,129 
    2.78%4  Oct-2033   860    854    904 
    3.00%  Aug-2042 - Sep-2046   79,577    81,533    80,211 
    3.21%4  Jun-2033   346    345    365 
    3.50%  Jan-2026 - Oct-2046   180,749    185,788    187,117 
    3.50%  Jun-2046   26,431    27,160    27,290 
    3.52%4  Jul-2035   125    125    132 
    4.00%  Aug-2020 - Dec-2046   169,734    177,356    178,872 
    4.00%  Sep-2045   42,384    44,436    44,670 
    4.50%  Aug-2018 - Dec-2044   61,851    64,906    66,778 
    5.00%  Jan-2019 - Mar-2041   10,153    10,250    10,935 
    5.50%  Oct-2017 - Jul-2038   4,225    4,205    4,703 
    6.00%  Jul-2021 - Feb-2038   5,408    5,468    6,151 
    6.50%  Apr-2028 - Nov-2037   727    734    839 
    7.00%  Apr-2028 - Mar-2030   59    55    69 
    7.50%  Aug-2029 - Apr-2031   58    57    68 
    8.00%  Dec-2029   1    1    2 
    8.50%  Jul-2024 - Jan-2025   74    74    84 
    9.00%  Mar-2025   50    50    57 
            695,074    716,094    721,501 
                        
Multifamily   1.65%  May-2027   19,364    19,365    19,368 
    1.88%  Jan-2023   17,254    17,255    17,292 
    1.93%  Sep-2022   27,149    27,120    27,225 
    1.93%  Nov-2022   35,000    35,000    35,142 
    2.95%  Jan-2018   300    299    300 
            99,067    99,039    99,327 
Total Freddie Mac Securities          $794,141   $815,133   $820,828 

 

 

 

 

Schedule of Portfolio Investments
 
September 30, 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   —    2.00%  May-2019  $—   $5,700   $5,701   $5,723 
   NYC Housing Development Corp   2.95%   —   Nov-2045   —    5,000    5,000    5,106 
   NYC Housing Development Corp   3.10%   —   Oct-2046        25,000    25,000    24,952 
   Connecticut Housing Finance Auth   3.25%   —   May-2050   —    12,500    12,383    11,766 
   NYC Housing Development Corp   3.75%   —   May-2035   —    5,000    5,000    5,186 
   MassHousing   3.85%   —   Dec-2058   —    9,980    9,976    8,840 
   NYC Housing Development Corp   4.00%   —   Dec-2028   —    5,000    5,103    5,293 
   MassHousing   4.04%   —   Nov-2032   —    1,305    1,305    1,318 
   MassHousing   4.13%   —   Dec-2036   —    5,000    5,000    5,197 
   NYC Housing Development Corp   4.20%   —   Dec-2039   —    8,305    8,305    8,644 
   NYC Housing Development Corp   4.25%   —   Nov-2025   —    1,150    1,150    1,218 
   NYC Housing Development Corp   4.29%   —   Nov-2037   —    1,190    1,190    1,203 
   NYC Housing Development Corp   4.40%   —   Nov-2024   —    4,120    4,120    4,317 
   NYC Housing Development Corp   4.44%   —   Nov-2041   —    1,120    1,120    1,136 
   NYC Housing Development Corp   4.49%   —   Nov-2044   —    455    455    462 
   NYC Housing Development Corp   4.50%   —   Nov-2030   —    1,680    1,682    1,784 
   MassHousing   4.50%   —   Dec-2056   —    45,000    45,000    47,056 
   NYC Housing Development Corp   4.60%   —   Nov-2030   —    4,665    4,665    4,962 
   NYC Housing Development Corp   4.70%   —   Nov-2035   —    1,685    1,685    1,792 
   NYC Housing Development Corp   4.78%   —   Aug-2026   —    12,500    12,502    13,222 
   NYC Housing Development Corp   4.80%   —   Nov-2040   —    2,860    2,862    3,048 
   NYC Housing Development Corp   4.90%   —   Nov-2034 - Nov-2041   —    8,800    8,800    9,308 
   NYC Housing Development Corp   4.95%   —   Nov-2039 - May-2047   —    13,680    13,683    14,496 
   MassHousing   5.55%   —   Nov-2039   —    5,000    4,981    5,302 
   MassHousing   5.69%   —   Nov-2018   —    1,345    1,345    1,372 
   MassHousing   5.70%   —   Jun-2040   —    11,635    11,636    12,027 
   MassHousing   6.42%   —   Nov-2039   —    22,000    22,000    23,333 
   MassHousing   6.70%   —   Jun-2040   —    9,380    9,380    9,824 
                    —    231,055    231,029    237,887 
                                     
Forward Commitments  MassHousing   —    3.00%  Oct-20186  9,464    —    (98)   (3)
   Connecticut Housing Finance Auth   —    3.25%  Nov-20196  22,040    460    417    424 
                    31,504    460    319    421 
Total State Housing Finance Agency Securities      $31,504   $231,515   $231,348   $238,308 

 

 

 

 

Schedule of Portfolio Investments
 
September 30, 2017 (Dollars in thousands; unaudited)
 
Other Mutifamily Investments (0.3% of net assets)

 

   Interest Rates1       Unfunded             
Issuer  Permanent   Construction   Maturity Date   Commitments2   Face Amount   Amortized Cost   Value 
                             
Direct Loans                                   
Harry Silver Housing Company, Inc.   —    3.70%   Jun-2018   $—   $5,197   $5,201   $5,210 
Harry Silver Housing Company, Inc.   —    3.70%   Jun-2018    —    207    208    207 
Detroit Home Repair Program   —    5.75%   Dec-2017    133    112    112    113 
Detroit Home Repair Program   —    5.75%   Apr-2018    269    127    127    129 
                   402    5,643    5,648    5,659 
Privately Insured Construction/Permanent Mortgages7                     
IL Housing Development Authority   5.40%   —    Mar-2047    —    8,103    8,106    8,083 
IL Housing Development Authority   6.20%   —    Dec-2047    —    3,072    3,082    3,065 
IL Housing Development Authority   6.40%   —    Nov-2048    —    929    940    917 
                   —    12,104    12,128    12,065 
Total Other Multifamily Investments                 $402   $17,747   $17,776   $17,724 

 

 

 

 

Schedule of Portfolio Investments
 
September 30, 2017 (Dollars in thousands; unaudited)
 
Commercial Mortgage-Backed Securities (2.0% of net assets)

 

Issuer  Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
                    
Nomura   2.77%  Dec-2045  $10,000   $10,162   $10,064 
Nomura   3.19%  Mar-2046   20,000    20,390    20,476 
JP Morgan   3.48%  Jun-2045   10,000    10,460    10,375 
Citigroup   3.62%  Jul-2047   8,000    8,209    8,333 
Barclays/ JP Morgan   3.81%  Jul-2047   2,250    2,309    2,369 
RBS/ Wells Fargo   3.82%  Aug-2050   5,000    5,133    5,275 
Deutsche Bank/UBS   3.96%  Mar-2047   5,000    5,130    5,297 
Barclays/ JP Morgan   4.00%  Apr-2047   5,000    5,131    5,319 
Cantor/Deutsche Bank   4.01%  Apr-2047   20,000    20,522    21,295 
Barclays/ JP Morgan   4.08%  Feb-2047   6,825    7,170    7,294 
Cantor/Deutsche Bank   4.24%  Feb-2047   7,000    7,181    7,554 
Deutsche Bank   5.00%  Nov-2046   18,990    19,438    20,277 
Total Commercial Mortgage Backed Securities      $118,065   $121,235   $123,928 

 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

United States Treasury Securities (4.7% of net assets)

 

Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
                    
1.63%  May-2026  $10,000   $10,083   $9,485 
2.13%  May-2025   40,000    39,462    39,741 
2.25%  Nov-2024   65,000    66,756    65,320 
2.25%  Nov-2025   5,000    5,099    5,000 
2.38%  Aug-2024   70,000    70,475    70,978 
2.50%  Feb-2046   15,000    14,329    13,954 
2.50%  May-2046   15,000    15,793    13,942 
2.88%  Aug-2045   10,000    10,256    10,049 
3.13%  Aug-2044   55,000    56,732    58,038 
Total United States Treasury Securities  $285,000   $288,985   $286,507 
                
Total Fixed-Income Investments  $5,829,078   $5,922,579   $5,984,218 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

Equity Investment in Wholly-Owned Subsidiary (less than 0.5% of net assets)

 

      Amount of     
  Face   Dividends     
Issuer  Amount (Cost)   or Interest   Value 
                
HIT Advisers8  $1   $—   $(799)
Total Equity Investment  $1   $—   $(799)

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017 (Dollars in thousands; unaudited)

 

Short-Term Investments (4.2% of net assets)

 

Issuer  Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
NYS Housing Finance Agency   1.23%9  May-2049  $20,000   $20,000   $20,000 
NYS Housing Finance Agency   1.29%9  Nov-2049   20,000    20,000    20,000 
NYS Housing Finance Agency   1.37%9  May-2050   30,000    30,000    30,000 
                        
Blackrock Federal Funds   0.93%  Oct-2017   187,438    187,438    187,438 
Total Short-Term Investments        $257,438   $257,438   $257,438 
                        
Total Investments       $6,086,517   $6,180,018   $6,240,857 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2017

 

Footnotes

 

1Construction 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.

 

2The 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 $192.5 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.

 

3Tax-exempt bonds collateralized by Ginnie Mae securities.

 

4The interest rate shown on these floating or adjustable rate securities represents the rate at period end.

 

5The 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.

 

6Securities 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.

 

7Loans 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.

 

8The HIT has a participation interest in HIT Advisers, 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.

 

9Variable 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 interest rate shown represents the rate at period end.

 

 

 

  

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited

 

As of September 30, 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, independent 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 September 30, 2017 the Valuation Committee fair valued less than 0.05% of the HIT’s net assets.

 

Short-term investments acquired with a stated maturity of 60 days or less are valued at amortized cost, which approximates fair market value.

 

The HIT holds 100% of the ownership interests in HIT Advisers LLC (HIT Advisers). HIT Advisers is valued at its fair value determined in good faith under consistently applied procedures adopted by the HIT’s Board of Trustees, which approximates its 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 September 30, 2017:

 

Investment Securities:

($ in thousands)

 

Level 1

  

Level 2

  

Level 3

  

Total

 
                 
FHA Permanent Securities  $—   $168,239   $—   $168,239 
Ginnie Mae Securities   —    1,663,460    —    1,663,460 
Ginnie Mae Construction Securities   —    256,560    —    256,560 
Fannie Mae Securities   —    2,322,607    —    2,322,607 
Freddie Mac Securities   —    820,828    —    820,828 
Commercial Mortgage-Backed Securities   —    123,928    —    123,928 
State Housing Finance Agency Securities   —    237,887    —    237,887 
Other Multifamily Investments                    
Direct Loans   —    —    5,659    5,659 
Privately Insured Construction/Permanent Mortgages   —    12,065    —    12,065 
Total Other Multifamily Investments   —    12,065    5,532    17,724 
United States Treasury Securities   —    286,507    —    286,507 
Equity Investments   —    —    (799)   (799)
Short-Term Investments   257,438    —    —    257,438 
Other Financial Instruments*   —    86,478    —    86,438 
Total Investment  $257,438   $5,978,559   $4,860   $6,240,857 

 

*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 September 30, 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)   (5)   (322)   (327)
Cost of Purchases   239    —    239 
Proceeds of Sales   —    1    1 
Ending balance, 9/30/2017  $5,659    $(799)   $4,860 

 

(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2017 totaled $(327,000).

 

Level 3 securities primarily consist of Direct Loans (Other Multifamily Investments) which were valued by an independent pricing service at September 30, 2017 utilizing a discounted cash flow model. Weighted average lives for the loans ranged from 0.16 to 1.34. Unobservable inputs include spreads to relevant U.S. Treasuries ranging from 107 to 387 basis points. A change in unobservable inputs may impact the value of the loans.

 

Federal Income Taxes

 

At September 30, 2017, investments for federal income tax purposes approximated book cost at amortized cost of $6,180,018,000.  Net unrealized gains aggregated $60,839,000 at period-end, of which $104,802,000 related to appreciated investments and $43,963,000 related to depreciated investments.

 

Note 2. Transactions with Related Entities

 

HIT Advisers

 

In June 2016, the HIT’s 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. As such, the 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. The 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 September 30, 2017
Assets   $30 
Liabilities   $829 
Equity   $(799)
      
For the nine months ended September 30, 2017
Income   $— 
Expenses   (223)
Tax Expense(Benefit)   $— 
Net Income(Loss)   $(223)

 

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 September 30, 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:

 

Advances to HIT Advisers by HIT     $ in Thousands
Beginning Balance, 12/31/2016  $607 
Advances in 2017   219 
Repayment by HIT Advisers in 2017   — 
Ending Balance, 9/30/2017  $826 

 

Building America

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. On April 7, 2017, the HIT transferred ownership of its wholly-owned subsidiary, Building America, to HIT Advisers for consideration.

 

In accordance with a contract, 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. A rollforward of advances to Building America by the HIT is included in the table below:

 

Advances to Building America by HIT     $ in Thousands
Beginning Balance, 12/31/2016  $75 
Advances in 2017   905 
Repayment by BACDE in 2017   (669)
Ending Balance, 9/30/2017  $311 

 

 

 

 

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:     November 28, 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: November 28, 2017  
   
/s/Erica Khatchadourian  
Erica Khatchadourian  
Chief Financial Officer  
(Principal Financial Officer)  
Date: November 28, 2017