TO OUR INVESTORS
The HIT is off to a strong start for the first half of 2018, building on its track record of delivering competitive returns to our investors. The HIT’s performance for the period exceeded that of its benchmark, the Bloomberg Barclays US Aggregate Bond Index, on a gross and net basis and the HIT’s investments contributed to nearly $300 million of housing development.
For the first six months of 2018, the HIT continued to implement its strategy of investing predominately in high credit quality multifamily mortgage-backed securities. This business strategy has guided the HIT for more than 25 years. It has helped the HIT build a portfolio with a higher yield and less credit risk than its benchmark while generating union construction jobs and much needed affordable housing. It has also helped grow the HIT more than ten-fold.
Today, the men and women of the construction trades are working on more than a dozen HIT financed-projects across the country, earning a living wage and growing their pensions. Union pension capital invested in union-built projects is a formula that works. The HIT gives America’s union members access to sophisticated portfolio management while also supporting the creation of affordable housing and union jobs.
The more than 500 projects that HIT has financed since its inception in 1984, and the more than 425 financed in my tenure, present a powerful picture of what the labor movement’s pension capital can accomplish: $11.2 billion of union pension capital (in 2017 dollars) invested to create nearly 110,000 units of housing, with most affordable to low- and moderate-income and working families.
Some 82,260 high-wage on-site union construction jobs and over 93,000 estimated related jobs were created through the process. The HIT’s investment program has produced an estimated $28.7 billion of total economic impact. The communities where this capital has been put to work over the years have benefitted from an estimated $3.5 billion in local, state and federal taxes that support schools, police and fire, infrastructure and other critical services.
The HIT is a capable and committed partner of the working men and women of the labor movement and their communities. We are proud to be a steward of their capital.
It has been my privilege to lead this organization and its amazing team of talented and committed professionals for some 26 years. We thank you for your ongoing support and confidence in the HIT and its mission. I ask for your continued support of the HIT in the years ahead. Fare forward.
Steve Coyle, CEO
Economic impacts such as jobs, work hours, personal income, and tax revenue in this report are estimates derived from an IMPLAN model and are based on HIT and subsidiary Building America CDE project data. In 2017 dollars. See page 24 for additional detail.
HIT
PERFORMANCE VS. BARCLAYS
AGGREGATE AS OF JUNE 30, 2018
(Percent)
COMPARISON
OF $50,000 INVESTMENT
IN HIT & BARCLAYS AGGREGATE
(Dollars in thousands)
The performance data quoted represents past performance. Past performance is no guarantee of future results. Returns over one-year are annualized. Economic and market conditions change, and both will cause investment return, principal value, and yield to fluctuate so that a participant’s units, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at www. aflcio-hit.com. Gross performance figures do not reflect the deduction of HIT expenses. Net performance figures reflect the deduction of HIT expenses and are the performance figures investors experience in the HIT. Information about HIT expenses can be found on page 1 of HIT’s current prospectus, which is available on HIT’s website at www.aflcio-hit.com or by calling 202-331-8055. The Barclays Aggregate and its AAA Component are unmanaged indices and not available for direct investment.
MID-YEAR DISCUSSION OF
FUND PERFORMANCE (unaudited)
PERFORMANCE OVERVIEW
For the first half of 2018, the gross and net returns of the AFL-CIO Housing Investment Trust (HIT) exceeded the return for the Bloomberg Barclays US Aggregate Bond Index (Barclays Aggregate or Benchmark), by 24 and 4 basis points, respectively. The HIT’s gross return was -1.38%, its net return was -1.58%, and the Barclays Aggregate’s return was -1.62%. The graph on the left also compares HIT’s returns to the AAA component of the Benchmark, which has similar credit quality and duration to the HIT. We believe this component shows the longer term value of HIT’s strategy of investing in high credit quality securities, particularly multifamily mortgage-backed securities (MBS), which represented over 70% of HIT’s portfolio as of June 30.
Through mid-year, HIT’s ongoing yield advantage continued to contribute positively to its performance relative to the Benchmark (see yield comparisons in Risk Comparison table on page 2). Other contributors to HIT’s solid relative performance were its slightly short duration position as rates rose across the curve and the very poor performance by corporate bonds (-176 basis points excess return), which the HIT does not hold, but which represented 25% of the Benchmark as of June 30. Although HIT’s high credit quality multifamily MBS contributed to its yield advantage, spread widening of these MBS versus Treasuries contributed negatively to performance.
MARKET ENVIRONMENT AND OUTLOOK
The U.S. economy continued to grow slowly in the first quarter of 2018, but growth accelerated above 4% at an annual rate in the second quarter, supported by a strong labor market, tax cuts, a low interest rate environment, and moderate inflation. Global financial markets faced an increase in volatility due to elevated geopolitical tensions, including Italy, North Korea and the Middle East; new tariffs and trade wars; and diverging global growth. While the U.S. economy strengthened, the Eurozone has not recovered from weakness early this year. With persistent U.S. job growth, an unemployment rate close to 4%, and inflation increasing to the Federal Reserve’s target, the Fed has continued to “normalize” monetary policy. So far this year, the Fed has raised the fed funds rate 50 basis points to a target range of 1.75-2.00% and two more 25 basis point hikes are expected before year-end.
Treasury rates rose and the Treasury yield curve flattened over the first six months of 2018. Fed funds rate increases and the likelihood of future hikes lifted shorter rates, while demand for longer Treasuries mitigated the rise of longer rates to some extent. Low global bond rates and still subdued inflation expectations contributed to demand for longer Treasuries. As the Fed remains on a tightening track, an inverted yield curve, which has preceded all nine recessions in the past six decades, is a possibility. With the current recovery nearing the longest on record, some market participants believe a recession may be approaching.
AFL-CIO HOUSING INVESTMENT TRUST 1
RISK
COMPARISON
As of June 30, 2018
| HIT | Barclays | |
| Credit Profile | ||
| U.S. Government/Agency/AAA/Cash | 96.1% | 72.0% |
| A & Below | 0.1% | 24.3% |
| Yield | ||
| Current Yield | 3.37% | 3.11% |
| Yield to Worst | 3.49% | 3.28% |
| Interest Rate Risk | ||
| Effective Duration | 5.54 | 5.99 |
| Convexity | 0.06 | 0.17 |
| Call Risk | ||
| Call Protected | 75% | 72% |
| Not Call Protected | 25% | 28% |
Source: HIT and Barclays Live
The calculations of the HIT yield herein represent widely accepted portfolio characteristics information based on coupon rate, current price and, for yield to worst, certain prepayment assumptions, and are not current yield or other performance data as defined by the SEC in Rule 482.
U.S.
TREASURY YIELD CURVE SHIFT
(Percent)
Source: Bloomberg L.P.
2 SEMI–ANNUAL REPORT 2018
With significant U.S. equity appreciation continuing for more than nine years, an economic slowdown or geopolitical event could lead to a major equity correction. High credit quality fixed income investments have historically performed well during equity market downturns. HIT’s very low credit risk and stable income could help to diversify from equities and other risky assets if such a downturn were to occur.
In the current environment, the HIT plans to continue managing its duration to be slightly shorter than the Barclays Aggregate. This could help contribute to HIT’s performance relative to the Barclays Aggregate if longer-term interest rates rise, while keeping the duration long enough to help generate positive absolute returns if interest rates fall.
| HIT Project Impacts* | |
| 1984 – June 2018 | |
| 502 projects | $11.2B HIT capital invested |
| $28.7B total economic impact | $123.3M Building America NMTC |
| 82,260 union construction jobs | $11.2B total personal income |
| 165.6M union construction hours | $5.6B union wages & benefits |
| 176,100 jobs across industries | $18.9B total development investment |
| 109,200 housing units, 66% affordable | $3.5B local, state & federal taxes |
| *See additional disclosure inside front cover | |
Portfolio Allocation: 72% Multifamily
Based on value of total investments, including unfunded commitments, as of June 30, 2018.
MULTIFAMILY INVESTMENTS
During the first half of 2018, the HIT invested over $143 million in four transactions with total development investment of nearly $300 million that created an estimated 750 union construction jobs* and 862 housing units, of which 141 are affordable. Three of these investments are in Minnesota – consistent with HIT’s MidWest@Work initiative – and one is in New York City. HIT subsidiary Building America CDE also allocated $8 million in New Markets Tax Credits to the Addabbo Family Health Center in New York City this year.
HIT’s specialization in multifamily securities has helped it generate competitive risk-adjusted returns in its portfolio, which is structured to have a superior credit profile, higher yield, and similar interest rate and call risks relative to the Benchmark (as described on page 2). This multifamily focus also differentiates the HIT from other investment vehicles, as HIT’s directly-sourced multifamily construction-related securities have provided jobs for members of the building and construction
trades and created or preserved much-needed affordable and workforce housing. Due to the shortage of affordable housing, the minimum wage employee cannot currently afford the median two bedroom apartment in any metro area market. The HIT’s longstanding strategy of financing affordable housing, which is a critical collateral benefit, therefore continues to link with market demand.
The HIT will seek to identify new investment opportunities for high credit quality multifamily mortgage securities that finance new construction, substantial rehabilitation, and preservation of affordable housing. Through existing relationships and new partnerships with developers, sponsors, mortgage bankers, housing finance agencies, community groups, and the labor community, the HIT endeavors to engage early in the financing process. The HIT hopes that such early engagement will enable it to use its structuring and negotiating expertise to create value for the portfolio while meeting the needs of the borrower.
Surpassing 50 Projects in the Twin Cities Metro
The HIT invested in a milestone 50th project in the Twin Cities metro during the first quarter of 2018. Adding one more to that total in the second quarter, the HIT brought its total investment in the area to nearly $960 million since it began investing in the Twin Cities in 1991. These investments represent $1.5 billion in total development and the creation of an estimated 6,830 union construction jobs.*
Green on Fourth Apartments Minneapolis, MN
The Green on Fourth Apartments lies within Minneapolis’ Towerside Innovation District—a neighborhood integrating development through partnerships with educational institutions, businesses, and government to fuel job growth and redevelopment.
| • | $42.7 million in HIT financing |
| • | $56.2 million total development cost |
| • | 243-units, with 66 units restricted to 60% or less of the Area Median Income |
| • | 250 union construction jobs* |
333 on the Park Saint Paul, MN
The 333 on the Park project is part of the effort to preserve historical buildings in the Lowertown district of Saint Paul. The location offers recreation, transit, shopping, and employment options, and is also connected to the Saint Paul skyway system.
| • | $27.7 million in HIT financing |
| • | $42.3 million total development cost |
| • | 134 units created from a historic rehabilitation of |
| an office building from 1913 |
| • | 191 union construction jobs* |
*See additional disclosure inside front cover
AFL-CIO HOUSING INVESTMENT TRUST 3
Other Important Information
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
In addition to disclosure in the Annual and Semi-Annual Reports to Participants, the HIT also files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The HIT’s reports on Form N-Q are made available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information relating to the hours and operation of the SEC’s Public Reference Room may be obtained by calling 800-SEC-0330. Participants may also obtain copies of the HIT’s Form N-Q reports, without charge, upon request, by calling the HIT collect at 202-331-8055.
PROXY VOTING
Except for its shares in its wholly owned subsidiary, HIT Advisers LLC, and shares in mutual funds holding short-term or overnight cash, if applicable, the HIT invests exclusively in non-voting securities and has not deemed it necessary to adopt policies and procedures for the voting of portfolio securities. The HIT has reported information regarding how it voted in matters related to its subsidiary in its most recent filing with the SEC on Form N-PX. This filing is available on the SEC’s website at http://www.sec.gov. Participants may also obtain a copy of the HIT’s report on Form N-PX, without charge, upon request, by calling the HIT collect at 202-331-8055.
EXPENSE EXAMPLE
Participants in the HIT incur ongoing expenses related to the management and distribution activities of the HIT, as well as certain other expenses. The expense example in the table below is intended to help participants understand the ongoing costs (in dollars) of
investing in the HIT and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period, January 1, 2018, and held for the entire period ended June 30, 2018.
Actual Expenses: The first line of the table below provides information about actual account values and actual expenses. Participants may use the information in this line, together with the amount they invested, to estimate the expenses that they paid over the six-month period. Simply divide the account value by $1,000 (for example, an $800,000 account value divided by $1,000 = 800), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Six-Month Period Ended June 30, 2018” to estimate the expenses paid on a particular account during this period.
Hypothetical Expenses (for Comparison Purposes Only):
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the HIT’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the HIT’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses a participant paid for the period. Participants may use this information to compare the ongoing costs of investing in the HIT and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Please note that this example is useful in comparing funds’ ongoing costs only. It does not include any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. The HIT does not have such transactional costs, but many other funds do.
| Beginning Account Value January 1, 2018 | Ending Account Value June 30, 2018 | Expenses
Paid During Six-Month Period Ended June 30, 2018* |
|||||||||||||
| Actual expenses | $ | 1,000.00 | $ | 984.20 | $ | 2.02 | |||||||||
| Hypothetical expenses (5% return before expenses) | $ | 1,000.00 | $ | 1,022.76 | $ | 2.06 | |||||||||
| *Expenses are equal to the HIT’s annualized six-month expense ratio of 0.41%, as of June 30, 2018, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). | |||||||||||||||
2018 SPECIAL MEETING OF PARTICIPANTS
A Special Meeting of the Participants was held in Washington, D.C. on Wednesday, April 4, 2018. The following matter was put to a vote of the Participants at the meeting through the solicitation of proxies:
To elect Jamie S. Rubin as a Class III Management Trustee, to serve until the 2019 Annual Meeting of Participants or until his successor is elected and qualifies. Votes for: 3,372,443.541; votes against: 0.000; votes abstaining: 1,861.230; votes not cast: 2,198,153.688.
4 SEMI–ANNUAL REPORT 2018
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2018 (Dollars in thousands, except per share data; unaudited)
| Assets | ||||
| Investments, at value (cost $6,171,128) | $ | 6,027,297 | ||
| Cash | 321 | |||
| Accrued interest receivable | 18,387 | |||
| Receivables for investments sold | 130 | |||
| Other assets | 2,236 | |||
| Total assets | 6,048,371 | |||
Liabilities |
||||
| Payables for investments purchased | 42,773 | |||
| Redemptions payable | 11,425 | |||
| Income distribution and capital gains payable, net of dividends reinvested of $12,703 | 1,349 | |||
| Refundable deposits | 262 | |||
| Accrued salaries and fringe benefits | 5,377 | |||
| Other liabilities and accrued expenses | 1,180 | |||
| Total liabilities | 62,366 | |||
| Other commitments and contingencies (Note 4 of financial statements) | — | |||
| Net assets applicable to participants’ equity — | ||||
| Certificates of participation—authorized unlimited; | ||||
| Outstanding 5,519,638 units | $ | 5,986,005 | ||
| Net asset value per unit of participation (in dollars) | $ | 1,084 | .49 | |
Participants’ equity
| Participants’ equity consisted of the following: | ||||
| Amount invested and reinvested by current participants | $ | 6,136,675 | ||
| Net unrealized depreciation of investments | (143,831 | ) | ||
| Distribution in excess of net investment income | (1,895 | ) | ||
| Accumulated net realized loss, net of distributions | (4,944 | ) | ||
| Total participants’ equity | $ | 5,986,005 | ||
See accompanying Notes to Financial Statements (unaudited).
6 SEMI–ANNUAL REPORT 2018
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
FHA Permanent Securities (2.5% of net assets)
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
| Single Family | 7.75 | % | Jul-2021 | $ | 3 | $ | 3 | $ | 3 | |||||||||
| Multifamily | 3.65 | % | Dec-2037 | 9,064 | 9,257 | 8,740 | ||||||||||||
| 3.75 | % | Aug-2048 | 3,930 | 3,926 | 3,832 | |||||||||||||
| 4.00 | % | Dec-2053 | 63,660 | 63,635 | 60,761 | |||||||||||||
| 4.79 | % | May-2053 | 4,727 | 4,969 | 4,690 | |||||||||||||
| 5.17 | % | Feb-2050 | 7,890 | 8,487 | 8,150 | |||||||||||||
| 5.35 | % | Mar-2047 | 7,162 | 7,171 | 7,181 | |||||||||||||
| 5.55 | % | Aug-2042 | 7,687 | 7,690 | 7,711 | |||||||||||||
| 5.60 | % | Jun-2038 | 2,339 | 2,343 | 2,346 | |||||||||||||
| 5.80 | % | Jan-2053 | 2,015 | 2,025 | 2,192 | |||||||||||||
| 5.87 | % | May-2044 | 1,731 | 1,730 | 1,751 | |||||||||||||
| 5.89 | % | Apr-2038 | 4,399 | 4,403 | 4,415 | |||||||||||||
| 6.02 | % | Jun-2035 | 4,020 | 4,021 | 4,036 | |||||||||||||
| 6.20 | % | Apr-2052 | 11,383 | 11,379 | 12,786 | |||||||||||||
| 6.40 | % | Aug-2046 | 3,723 | 3,725 | 3,901 | |||||||||||||
| 6.60 | % | Jan-2050 | 3,313 | 3,339 | 3,663 | |||||||||||||
| 6.75 | % | Jul-2040 | 3,874 | 3,861 | 3,879 | |||||||||||||
| 7.20 | % | Oct-2039 | 2,749 | 2,753 | 2,765 | |||||||||||||
| 7.50 | % | Sep-2032 | 1,247 | 1,244 | 1,254 | |||||||||||||
| 7.70 | % | Dec-2048 | 5,256 | 6,019 | 5,962 | |||||||||||||
| 150,169 | 151,977 | 150,015 | ||||||||||||||||
| Total FHA Permanent Securities | $ | 150,172 | $ | 151,980 | $ | 150,018 | ||||||||||||
FHA Construction Securities (0.1% of net assets)
| Interest Rates1 | Unfunded | |||||||||||||||||||||||||
| Permanent | Construction | Maturity Date | Commitments2 | Face Amount | Amortized Cost | Value | ||||||||||||||||||||
| Multifamily | 4.10 | % | 2.50 | % | Oct-2060 | $ | 16,500 | $ | 5,500 | $ | 5,508 | $ | 3,117 | |||||||||||||
| Total FHA Construction Securities | $ | 16,500 | $ | 5,500 | $ | 5,508 | $ | 3,117 | ||||||||||||||||||
Ginnie Mae Securities (25.4% of net assets)
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
| Single Family | 4.00 | % | Feb-2040 - Jun-2040 | $ | 3,418 | $ | 3,456 | $ | 3,535 | |||||||||
| 4.50 | % | Aug-2040 | 2,253 | 2,300 | 2,375 | |||||||||||||
| 5.50 | % | Jan-2033 - Jun-2037 | 2,255 | 2,249 | 2,454 | |||||||||||||
| 6.00 | % | Jan-2032 - Aug-2037 | 1,580 | 1,580 | 1,753 | |||||||||||||
| 6.50 | % | Jul-2028 | 53 | 53 | 59 | |||||||||||||
| 7.00 | % | Apr-2026 - Jan-2030 | 884 | 887 | 995 | |||||||||||||
| 7.50 | % | Aug-2025 - Aug-2030 | 468 | 471 | 527 | |||||||||||||
| 8.00 | % | Sep-2026 - Nov-2030 | 357 | 362 | 410 | |||||||||||||
| 8.50 | % | Jun-2022 - Aug-2027 | 259 | 260 | 284 | |||||||||||||
| 9.00 | % | Mar-2020 - Jun-2025 | 30 | 30 | 33 | |||||||||||||
| 9.50 | % | Sep-2021 - Sep-2030 | 27 | 27 | 31 | |||||||||||||
| 11,584 | 11,675 | 12,456 | ||||||||||||||||
| Multifamily | 1.73 | % | May-2042 | 2,405 | 2,409 | 2,361 | ||||||||||||
| 2.15 | % | May-2056 | 8,497 | 8,481 | 8,173 | |||||||||||||
| 2.18 | % | May-2039 | 2,994 | 3,016 | 2,969 | |||||||||||||
(continued)
AFL-CIO HOUSING INVESTMENT TRUST 7
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
Ginnie Mae Securities (25.4% of net assets), continued
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||
| 2.20 | % | Jun-2056 | $ | 8,986 | $ | 8,966 | $ | 8,628 | ||||||||
| 2.25 | % | Dec-2048 | 10,959 | 10,866 | 10,519 | |||||||||||
| 2.30 | % | Mar-2056 -May-2056 | 50,050 | 49,896 | 48,221 | |||||||||||
| 2.30 | % | Oct-2056 | 30,307 | 29,967 | 28,853 | |||||||||||
| 2.31 | % | Nov-2051 | 7,076 | 7,076 | 6,500 | |||||||||||
| 2.35 | % | Dec-2040 - Nov-2056 | 17,248 | 17,315 | 16,570 | |||||||||||
| 2.40 | % | Aug-2047 | 11,577 | 11,601 | 11,155 | |||||||||||
| 2.43 | % | Nov-2038 | 18,591 | 18,669 | 18,439 | |||||||||||
| 2.50 | % | Jul-2045 - Mar-2057 | 38,728 | 38,755 | 36,839 | |||||||||||
| 2.50 | % | Sep-2058 | 39,012 | 38,304 | 37,069 | |||||||||||
| 2.53 | % | Jul-2038 - Feb-2040 | 25,981 | 26,320 | 25,485 | |||||||||||
| 2.60 | % | Apr-2048 - Apr-2056 | 52,048 | 52,341 | 50,558 | |||||||||||
| 2.61 | % | Jan-2053 | 51,015 | 51,439 | 47,762 | |||||||||||
| 2.70 | % | May-2048 | 25,954 | 26,373 | 25,303 | |||||||||||
| 2.70 | % | Jul-2056 | 13,614 | 13,771 | 13,161 | |||||||||||
| 2.72 | % | Feb-2044 | 531 | 547 | 522 | |||||||||||
| 2.79 | % | Apr-2049 | 18,732 | 18,935 | 18,062 | |||||||||||
| 2.80 | % | Feb-2053 | 60,000 | 56,886 | 53,351 | |||||||||||
| 2.82 | % | Apr-2050 | 1,500 | 1,533 | 1,441 | |||||||||||
| 2.87 | % | Feb-2036 - Dec-2043 | 25,000 | 25,291 | 24,567 | |||||||||||
| 2.89 | % | Mar-2046 | 32,000 | 32,216 | 30,904 | |||||||||||
| 3.00 | % | Mar-2051 | 20,000 | 20,104 | 19,249 | |||||||||||
| 3.05 | % | May-2044 | 45,500 | 45,796 | 45,167 | |||||||||||
| 3.05 | % | May-2054 | 11,545 | 11,604 | 10,972 | |||||||||||
| 3.10 | % | Jan-2044 | 23,000 | 23,327 | 22,757 | |||||||||||
| 3.11 | % | Jan-2049 | 17,025 | 17,688 | 16,384 | |||||||||||
| 3.13 | % | Nov-2040 | 613 | 628 | 610 | |||||||||||
| 3.20 | % | Jul-2041 - Sep-2051 | 15,000 | 14,893 | 14,806 | |||||||||||
| 3.25 | % | Sep-2054 | 35,000 | 34,685 | 33,935 | |||||||||||
| 3.26 | % | Nov-2043 | 20,000 | 20,034 | 19,474 | |||||||||||
| 3.30 | % | May-2055 | 10,000 | 9,491 | 9,559 | |||||||||||
| 3.30 | % | Jul-2057 | 25,665 | 26,433 | 25,449 | |||||||||||
| 3.33 | % | Jun-2043 | 15,000 | 15,498 | 14,778 | |||||||||||
| 3.35 | % | Nov-2042 - Jul-2046 | 32,760 | 32,499 | 32,147 | |||||||||||
| 3.37 | % | Dec-2046 | 19,200 | 19,460 | 18,727 | |||||||||||
| 3.49 | % | Mar-2042 | 28,000 | 29,065 | 27,998 | |||||||||||
| 3.49 | % | Feb-2044 | 4,000 | 4,204 | 3,957 | |||||||||||
| 3.50 | % | Feb-2051 - Mar-2057 | 54,338 | 55,080 | 54,200 | |||||||||||
| 3.50 | % | Jun-2053 | 27,600 | 27,600 | 27,690 | |||||||||||
| 3.50 | % | Apr-2057 | 25,213 | 25,963 | 25,336 | |||||||||||
| 3.51 | % | Sep-2041 | 6,428 | 6,827 | 6,393 | |||||||||||
| 3.52 | % | May-2042 - Apr-2051 | 14,308 | 14,620 | 14,150 | |||||||||||
| 3.55 | % | Nov-2044 | 14,817 | 15,249 | 14,800 | |||||||||||
| 3.55 | % | Apr-2057 | 42,750 | 43,916 | 43,120 | |||||||||||
| 3.60 | % | Jun-2057 | 14,161 | 14,714 | 14,340 | |||||||||||
| 3.62 | % | Sep-2052 | 6,500 | 6,750 | 6,358 | |||||||||||
| 3.62 | % | Dec-2057 | 29,593 | 30,170 | 29,991 | |||||||||||
| 3.67 | % | Nov-2035 | 16,201 | 16,879 | 15,651 | |||||||||||
| 3.68 | % | Jun-2057 | 27,463 | 28,286 | 27,977 | |||||||||||
(continued)
8 SEMI–ANNUAL REPORT 2018
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
Ginnie Mae Securities (25.4% of net assets), continued
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
| 3.68 | % | Aug-2057 | $ | 14,626 | $ | 14,977 | $ | 14,910 | ||||||||||
| 3.70 | % | Sep-2051 | 7,375 | 7,685 | 7,371 | |||||||||||||
| 3.71 | % | Dec-2045 | 8,583 | 8,208 | 8,399 | |||||||||||||
| 3.75 | % | Apr-2046 | 7,050 | 7,069 | 7,004 | |||||||||||||
| 3.82 | % | Sep-2046 | 4,701 | 5,044 | 4,695 | |||||||||||||
| 3.85 | % | Jan-2056 | 32,397 | 32,707 | 33,311 | |||||||||||||
| 3.86 | % | Jun-2045 | 20,000 | 20,256 | 20,157 | |||||||||||||
| 3.91 | % | May-2049 | 5,890 | 6,320 | 5,877 | |||||||||||||
| 3.92 | % | Aug-2039 | 46,441 | 49,650 | 45,804 | |||||||||||||
| 4.09 | % | Feb-2056 | 56,757 | 57,576 | 61,349 | |||||||||||||
| 4.10 | % | May-2051 | 4,026 | 4,400 | 4,211 | |||||||||||||
| 4.25 | % | Sep-2038 | 35,413 | 35,606 | 35,587 | |||||||||||||
| 4.29 | % | Mar-2053 | 47,694 | 47,988 | 50,601 | |||||||||||||
| 4.45 | % | Jun-2055 | 2,579 | 2,476 | 2,733 | |||||||||||||
| 4.50 | % | May-2038 | 18,776 | 20,384 | 18,897 | |||||||||||||
| 4.63 | % | Sep-20373 | 1,500 | 1,464 | 1,529 | |||||||||||||
| 4.70 | % | Oct-2056 | 3,353 | 3,527 | 3,601 | |||||||||||||
| 4.90 | % | Mar-20443 | 1,000 | 991 | 1,023 | |||||||||||||
| 5.25 | % | Apr-2037 | 18,950 | 18,944 | 19,603 | |||||||||||||
| 5.34 | % | Jul-2040 | 6,456 | 6,373 | 6,567 | |||||||||||||
| 5.55 | % | May-20493 | 9,855 | 9,855 | 9,864 | |||||||||||||
| 1,507,907 | 1,523,936 | 1,486,480 | ||||||||||||||||
| When Issued4 | 3.44 | % | Jul-2058 | 20,000 | 20,100 | 19,987 | ||||||||||||
| Total Ginnie Mae Securities | $ | 1,539,491 | $ | 1,555,711 | $ | 1,518,923 | ||||||||||||
Ginnie Mae Construction Securities (2.6% 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 | $ | 660 | $ | (1,397 | ) | ||||||||||||
| 3.30 | % | 3.30 | % | Mar-2057 | 490 | 4,698 | 4,741 | 4,615 | ||||||||||||||||||
| 3.30 | % | 4.30 | % | Nov-2058 | 2,518 | 18,007 | 18,609 | 17,653 | ||||||||||||||||||
| 3.34 | % | 3.34 | % | Sep-2059 | 35,384 | 7,378 | 8,235 | 5,592 | ||||||||||||||||||
| 3.35 | % | 3.35 | % | Aug-2059 | 6,594 | 93 | 296 | (206 | ) | |||||||||||||||||
| 3.38 | % | 3.38 | % | Aug-2059 | 35,509 | 25 | 916 | (1,460 | ) | |||||||||||||||||
| 3.38 | % | 3.38 | % | Aug-2059 | 30,094 | 14,591 | 15,488 | 13,287 | ||||||||||||||||||
| 3.38 | % | 3.38 | % | Jan-2060 | 15,254 | 45,150 | 45,161 | 43,553 | ||||||||||||||||||
| 3.39 | % | 3.39 | % | Feb-2059 | 14,650 | 25 | 320 | (564 | ) | |||||||||||||||||
| 3.48 | % | 3.48 | % | May-2059 | 12,424 | 2,154 | 2,459 | 1,782 | ||||||||||||||||||
| 3.49 | % | 3.49 | % | Aug-2058 | 2,608 | 8,792 | 9,075 | 8,833 | ||||||||||||||||||
| 3.53 | % | 3.53 | % | Apr-2042 | 827 | 17,473 | 18,158 | 17,485 | ||||||||||||||||||
| 3.57 | % | 3.57 | % | Nov-2059 | 42,102 | 7,658 | 8,406 | 6,748 | ||||||||||||||||||
| 3.65 | % | 3.65 | % | Nov-2058 | 294 | 10,302 | 10,464 | 10,353 | ||||||||||||||||||
| 3.66 | % | 3.66 | % | Jul-2058 | 807 | 23,193 | 23,503 | 23,579 | ||||||||||||||||||
| 3.74 | % | 4.24 | % | Aug-2059 | 15,885 | 50 | 369 | (35 | ) | |||||||||||||||||
| 4.15 | % | 4.15 | % | Sep-2051 | 9,702 | 8,164 | 8,226 | 8,058 | ||||||||||||||||||
| 256,617 | 167,778 | 175,086 | 157,876 | |||||||||||||||||||||||
| Forward Commitments | 4.20 | % | 4.20 | % | Jul-2060 | 48,277 | — | 966 | 470 | |||||||||||||||||
| Total Ginnie Mae Construction Securities | $ | 304,894 | $ | 167,778 | $ | 176,052 | $ | 158,346 | ||||||||||||||||||
AFL-CIO HOUSING INVESTMENT TRUST 9
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
Fannie Mae Securities (45.2% of net assets)
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||
| Single Family | 2.34% 5 | 1M LIBOR+25 | Mar-2037 | $ | 283 | $ | 280 | $ | 282 |
| 2.39% 5 | 1M LIBOR+30 | Jul-2043 | 11,865 | 11,788 | 11,872 | ||||
| 2.41% 5 | 1M LIBOR+32 | Jun-2037 | 1,534 | 1,534 | 1,537 | ||||
| 2.44% 5 | 12M LIBOR+169.5 | Oct-2042 | 12,009 | 12,289 | 12,201 | ||||
| 2.44% 5 | 1M LIBOR+35 | Mar-2043 - Sep-2047 | 37,297 | 37,287 | 37,394 | ||||
| 2.44% 5 | 1M LIBOR+35 | Nov-2047 | 28,272 | 28,306 | 28,327 | ||||
| 2.47% 5 | 1M LIBOR+38 | Nov-2042 | 6,011 | 6,013 | 6,037 | ||||
| 2.49% 5 | 1M LIBOR+40 | Apr-2037 - Oct-2044 | 15,756 | 15,784 | 15,835 | ||||
| 2.54% 5 | 1M LIBOR+45 | Oct-2042 | 8,850 | 8,901 | 8,903 | ||||
| 2.55% 5 | 1M LIBOR+46 | Oct-2042 | 5,235 | 5,258 | 5,276 | ||||
| 2.59% 5 | 1M LIBOR+50 | Dec-2040 - Feb-2043 | 32,220 | 32,134 | 32,500 | ||||
| 2.60% 5 | 12M LIBOR+152.6 | Feb-2045 | 14,544 | 14,838 | 14,843 | ||||
| 2.61% 5 | 1M LIBOR+52 | Jun-2042 | 3,684 | 3,703 | 3,718 | ||||
| 2.64% 5 | 1M LIBOR+55 | Mar-2042 | 8,463 | 8,477 | 8,560 | ||||
| 2.68% 5 | 1M LIBOR+59 | Mar-2041 | 5,554 | 5,597 | 5,612 | ||||
| 2.69% 5 | 1M LIBOR+60 | Mar-2042 - Oct-2043 | 13,410 | 13,458 | 13,599 | ||||
| 2.79% 5 | 1M LIBOR+70 | Dec-2040 | 2,584 | 2,592 | 2,621 | ||||
| 3.00% | Apr-2031 - Jun-2046 | 57,987 | 59,928 | 56,608 | |||||
| 3.23% 5 | 6M LIBOR+160.8 | Aug-2033 | 149 | 149 | 154 | ||||
| 3.30% 5 | 12M LIBOR+154.8 | Jul-2033 | 235 | 234 | 244 | ||||
| 3.34% 5 | 1Y UST+221.5 | Aug-2033 | 560 | 559 | 587 | ||||
| 3.35% 5 | 1Y UST+217.3 | Sep-2035 | 266 | 265 | 280 | ||||
| 3.38% 5 | 1Y UST+221.5 | Jul-2033 | 1,269 | 1,273 | 1,315 | ||||
| 3.38% 5 | 12M LIBOR+162.4 | Nov-2034 | 1,090 | 1,115 | 1,133 | ||||
| 3.49% 5 | 1Y UST+219.1 | Aug-2033 | 1,167 | 1,165 | 1,221 | ||||
| 3.50% | Oct-2026 - Jan-2048 | 235,591 | 241,966 | 235,230 | |||||
| 3.83% 5 | 6M LIBOR+155 | Nov-2033 | 1,919 | 1,919 | 1,973 | ||||
| 3.94% 5 | 12M LIBOR+162.7 | Apr-2034 | 1,193 | 1,220 | 1,240 | ||||
| 3.98% 5 | 1Y UST+210.7 | May-2033 | 362 | 363 | 379 | ||||
| 4.00% | Jul-2018 - Oct-2047 | 149,234 | 155,268 | 152,615 | |||||
| 4.50% | Jul-2018 - Sep-2043 | 48,624 | 50,545 | 50,997 | |||||
| 5.00% | Aug-2018 - Apr-2041 | 13,675 | 14,094 | 14,632 | |||||
| 5.50% | May-2020 - Jun-2038 | 7,453 | 7,483 | 8,082 | |||||
| 6.00% | Nov-2028 - Nov-2037 | 4,713 | 4,735 | 5,222 | |||||
| 6.50% | Sep-2028 - Jul-2036 | 724 | 741 | 798 | |||||
| 7.00% | Sep-2027 - May-2032 | 832 | 832 | 931 | |||||
| 7.50% | Jan-2027 - Sep-2031 | 306 | 307 | 337 | |||||
| 8.00% | Apr-2030 - May-2031 | 56 | 57 | 59 | |||||
| 8.50% | Dec-2021 - Apr-2031 | 13 | 13 | 13 | |||||
| 734,989 | 752,470 | 743,167 | |||||||
| Multifamily | 2.19% 5 | 1M LIBOR+28 | Mar-2028 | 35,971 | 35,971 | 36,038 | |||
| 2.20% 5 | 1M LIBOR+29 | Feb-2028 | 30,421 | 30,429 | 30,479 | ||||
| 2.21% | Dec-2022 | 22,807 | 22,815 | 21,973 | |||||
| 2.21% | Dec-2022 | 30,052 | 30,062 | 28,952 | |||||
| 2.22% 5 | 1M LIBOR+31 | Mar-2028 | 38,275 | 38,292 | 38,348 | ||||
| 2.24% | Dec-2022 | 30,216 | 30,227 | 29,143 | |||||
| 2.25% 5 | 1M LIBOR+34 | Jan-2028 | 22,425 | 22,431 | 22,450 | ||||
| 2.25% 5 | 1M LIBOR+34 | Dec-2024 | 60,000 | 60,008 | 60,057 | ||||
| 2.25% 5 | 1M LIBOR+34.5 | Jan-2028 | 20,000 | 20,006 | 20,016 | ||||
| 2.26% 5 | 1M LIBOR+35 | Dec-2027 | 32,050 | 32,058 | 32,109 | ||||
(continued)
10 SEMI–ANNUAL REPORT 2018
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
Fannie Mae Securities (45.2% of net assets), continued
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||
| 2.26% | Nov-2022 | $ | 6,290 | $ | 6,305 | $ | 6,074 | ||||
| 2.32%5 | 1M LIBOR+41.5 | Aug-2027 | 35,483 | 35,492 | 35,532 | ||||||
| 2.34% | Sep-2026 | 28,500 | 28,662 | 26,571 | |||||||
| 2.35%5 | 1M LIBOR+44 | Nov-2022 - May-2027 | 39,655 | 39,663 | 39,688 | ||||||
| 2.35%5 | 1M LIBOR+40 | Oct-2024 | 12,960 | 12,948 | 13,150 | ||||||
| 2.38% | Jul-2026 | 21,840 | 21,880 | 20,379 | |||||||
| 2.44% | Aug-2026 | 22,400 | 22,400 | 21,037 | |||||||
| 2.46% | Aug-2026 | 25,830 | 25,841 | 24,101 | |||||||
| 2.48% | Oct-2028 | 24,990 | 25,095 | 23,047 | |||||||
| 2.49% | Dec-2026 | 16,643 | 16,690 | 15,699 | |||||||
| 2.50% | Jun-2026 | 60,000 | 60,000 | 56,230 | |||||||
| 2.50% | Jul-2026 | 37,680 | 37,771 | 35,476 | |||||||
| 2.57% | Sep-2028 | 40,100 | 40,694 | 37,173 | |||||||
| 2.70% | Nov-2025 | 15,848 | 15,868 | 15,427 | |||||||
| 2.72% | Jul-2028 | 36,400 | 36,845 | 34,055 | |||||||
| 2.75% | Jul-2028 | 15,750 | 15,960 | 14,979 | |||||||
| 2.80%5 | 1M LIBOR+85 | Jan-2023 | 15,706 | 15,700 | 15,838 | ||||||
| 2.80% | Apr-2025 | 16,043 | 16,251 | 15,295 | |||||||
| 2.81% | Sep-2027 | 12,400 | 12,507 | 11,894 | |||||||
| 2.84% | Mar-2022 | 3,486 | 3,494 | 3,455 | |||||||
| 2.85% | Mar-2022 | 33,000 | 33,029 | 32,696 | |||||||
| 2.85% | Dec-2027 | 23,591 | 23,664 | 22,584 | |||||||
| 2.86%5 | 1M LIBOR+95 | Apr-2022 | 9,902 | 9,904 | 9,900 | ||||||
| 2.87% | Oct-2027 | 9,425 | 9,548 | 9,068 | |||||||
| 2.91% | Jun-2031 | 25,000 | 25,223 | 23,187 | |||||||
| 2.92% | Jan-2026 - Apr-2028 | 34,256 | 34,376 | 33,242 | |||||||
| 2.92% | Jun-2027 | 71,096 | 71,234 | 68,873 | |||||||
| 2.94% | Jun-2027 | 29,000 | 29,059 | 28,107 | |||||||
| 2.94% | Jul-2039 | 13,957 | 14,145 | 13,673 | |||||||
| 2.97% | May-2026 - Nov-2032 | 36,889 | 37,530 | 35,142 | |||||||
| 2.99% | Jun-2025 | 2,750 | 2,759 | 2,735 | |||||||
| 3.00% | May-2027 - Mar-2028 | 16,010 | 16,047 | 15,406 | |||||||
| 3.02% | Jun-2027 - Nov-2029 | 40,082 | 40,297 | 38,268 | |||||||
| 3.04% | Sep-2027 | 30,000 | 30,233 | 28,840 | |||||||
| 3.04% | Apr-2030 | 25,100 | 25,211 | 23,919 | |||||||
| 3.05% | Apr-2030 | 28,211 | 28,252 | 27,267 | |||||||
| 3.08% | Jul-2029 | 12,814 | 12,866 | 12,075 | |||||||
| 3.10% | Sep-2029 | 8,515 | 8,565 | 8,049 | |||||||
| 3.12% | Mar-2025 - Apr-2030 | 26,414 | 26,598 | 25,723 | |||||||
| 3.14% | Apr-2029 | 7,889 | 7,916 | 7,614 | |||||||
| 3.15% | Jan-2027 | 20,531 | 20,570 | 20,236 | |||||||
| 3.17% | Jul-2029 - Sep-2029 | 39,212 | 39,486 | 37,201 | |||||||
| 3.18% | Sep-2029 - May-2035 | 22,625 | 23,014 | 21,670 | |||||||
| 3.20% | Oct-2027 | 10,551 | 10,625 | 10,426 | |||||||
| 3.21% | May-2030 | 7,102 | 7,239 | 6,932 | |||||||
| 3.22% | Sep-2026 | 28,098 | 28,141 | 27,859 | |||||||
| 3.24% | Aug-2027 | 9,500 | 9,667 | 9,205 | |||||||
| 3.25% | Nov-2027 | 10,547 | 10,621 | 10,459 | |||||||
| 3.26% | Jan-2027 | 7,603 | 7,633 | 7,527 | |||||||
| 3.31% | Oct-2027 | 16,164 | 16,361 | 16,090 | |||||||
| 3.32% | Apr-2029 | 20,080 | 20,205 | 19,441 | |||||||
| 3.34% | Dec-2029 - Jan-2030 | 29,350 | 29,915 | 28,141 | |||||||
(continued)
AFL-CIO HOUSING INVESTMENT TRUST 11
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
Fannie Mae Securities (45.2% of net assets), continued
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||
| 3.35% | Feb-2029 | $ | 19,897 | $ | 20,225 | $ | 19,665 | ||||
| 3.36% | Dec-2023 - Oct-2029 | 19,619 | 19,655 | 19,631 | |||||||
| 3.40% | Oct-2026 | 3,009 | 3,028 | 3,017 | |||||||
| 3.41% | Sep-2023 - Apr-2029 | 56,272 | 56,852 | 55,832 | |||||||
| 3.42% | Apr-2035 | 5,454 | 5,552 | 5,267 | |||||||
| 3.43% | Oct-2026 | 7,412 | 7,457 | 7,444 | |||||||
| 3.46% | Dec-2023 | 3,500 | 3,509 | 3,578 | |||||||
| 3.54% | Oct-2021 | 7,023 | 7,034 | 7,099 | |||||||
| 3.61% | Sep-2023 | 6,438 | 6,479 | 6,609 | |||||||
| 3.63% | Jul-2035 | 21,987 | 22,024 | 21,735 | |||||||
| 3.66% | Oct-2023 | 4,726 | 4,762 | 4,860 | |||||||
| 3.67% | Mar-2028 | 14,080 | 14,357 | 14,180 | |||||||
| 3.69% | Jun-2030 | 24,863 | 24,863 | 25,085 | |||||||
| 3.77% | Dec-2033 | 10,500 | 10,734 | 10,494 | |||||||
| 3.87% | Sep-2023 | 2,485 | 2,524 | 2,568 | |||||||
| 4.06% | Oct-2025 | 23,669 | 23,735 | 24,701 | |||||||
| 4.15% | Jun-2021 | 8,897 | 8,901 | 9,087 | |||||||
| 4.22% | Jul-2018 | 46 | 46 | 46 | |||||||
| 4.25% | May-2021 | 4,026 | 4,026 | 4,121 | |||||||
| 4.27% | Nov-2019 | 5,626 | 5,626 | 5,694 | |||||||
| 4.32% | Nov-2019 | 1,258 | 1,258 | 1,274 | |||||||
| 4.33% | Nov-2019 - Mar-2021 | 19,959 | 19,958 | 20,324 | |||||||
| 4.38% | Apr-2020 | 9,542 | 9,543 | 9,698 | |||||||
| 4.44% | May-2020 | 5,662 | 5,663 | 5,764 | |||||||
| 4.50% | Feb-2020 | 3,983 | 3,983 | 3,872 | |||||||
| 4.52% | May-2021 | 3,955 | 3,964 | 4,074 | |||||||
| 4.56% | Jul-2019 | 6,898 | 6,898 | 6,988 | |||||||
| 4.66% | Jul-2021 | 1,194 | 1,197 | 1,172 | |||||||
| 4.68% | Jul-2019 | 12,298 | 12,297 | 12,472 | |||||||
| 4.69% | Jan-2020 - Jun-2035 | 13,176 | 13,195 | 13,429 | |||||||
| 4.71% | Mar-2021 | 5,549 | 5,561 | 5,730 | |||||||
| 4.73% | Feb-2021 | 1,460 | 1,463 | 1,507 | |||||||
| 4.80% | Jun-2019 | 2,006 | 2,006 | 2,035 | |||||||
| 4.94% | Apr-2019 | 3,309 | 3,309 | 3,353 | |||||||
| 5.00% | Jun-2019 | 1,754 | 1,754 | 1,783 | |||||||
| 5.04% | Jun-2019 | 1,738 | 1,738 | 1,767 | |||||||
| 5.05% | Jun-2019 | 1,225 | 1,225 | 1,245 | |||||||
| 5.08% | 5 10Y UST+17 | Apr-2021 | 40,000 | 40,001 | 42,432 | ||||||
| 5.12% | Jul-2019 | 8,138 | 8,138 | 8,282 | |||||||
| 5.13% | Jul-2019 | 824 | 824 | 839 | |||||||
| 5.15% | Oct-2022 | 1,476 | 1,479 | 1,542 | |||||||
| 5.25% | Jan-2020 | 6,388 | 6,389 | 6,549 | |||||||
| 5.29% | May-2022 | 4,931 | 4,931 | 5,227 | |||||||
| 5.30% | Aug-2029 | 5,430 | 5,358 | 5,956 | |||||||
| 5.47% | Aug-2024 | 7,757 | 7,775 | 7,882 | |||||||
| 5.60% | Jan-2024 | 9,574 | 9,575 | 10,047 | |||||||
| 5.69% | Jun-2041 | 4,595 | 4,714 | 5,069 | |||||||
| 5.75% | Jun-2041 | 2,229 | 2,295 | 2,439 | |||||||
| 5.91% | Mar-2037 | 1,789 | 1,819 | 1,934 | |||||||
| 5.96% | Jan-2029 | 324 | 325 | 321 | |||||||
| 6.06% | Jul-2034 | 8,366 | 8,517 | 8,602 | |||||||
| 6.15% | Jan-2023 | 3,473 | 3,473 | 3,369 | |||||||
| 6.23% | Sep-2034 | 1,223 | 1,255 | 1,223 | |||||||
(continued)
12 SEMI–ANNUAL REPORT 2018
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
Fannie Mae Securities (45.2% of net assets), continued
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
| 6.28 | % | Nov-2028 | $ | 2,279 | $ | 2,342 | $ | 2,264 | ||||||||||
| 6.38 | % | Jul-2021 | 4,898 | 4,902 | 5,170 | |||||||||||||
| 6.39 | % | Apr-2019 | 780 | 780 | 763 | |||||||||||||
| 6.52 | % | May-2029 | 4,343 | 4,522 | 4,435 | |||||||||||||
| 7.20 | % | Aug-2029 | 712 | 706 | 716 | |||||||||||||
| 7.75 | % | Dec-2024 | 1,096 | 1,096 | 1,092 | |||||||||||||
| 8.40 | % | Jul-2023 | 252 | 251 | 255 | |||||||||||||
| 8.50 | % | Nov-2019 | 779 | 780 | 809 | |||||||||||||
| 1,981,636 | 1,990,946 | 1,940,637 | ||||||||||||||||
| When Issued4 | 4.50 | % | Jul-2048 | 20,000 | 20,752 | 20,825 | ||||||||||||
| Total Fannie Mae Securities | $ | 2,736,625 | $ | 2,764,168 | $ | 2,704,629 | ||||||||||||
Freddie Mac Securities (13.8% of net assets)
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||
| Single Family | 2.37%5 | 1M LIBOR+30 | Feb-2036 | $ | 1,166 | $ | 1,166 | $ | 1,168 | |||
| 2.40%5 | 1M LIBOR+33 | May-2037 | 81 | 81 | 81 | |||||||
| 2.42%5 | 1M LIBOR+35 | Apr-2036 - Mar-2045 | 26,635 | 26,654 | 26,705 | |||||||
| 2.47%5 | 1M LIBOR+40 | Aug-2043 | 5,050 | 5,048 | 5,073 | |||||||
| 2.50%5 | Jan-2043 - Aug-2046 | 17,713 | 17,975 | 16,615 | ||||||||
| 2.55%5 | 1M LIBOR+48 | Oct-2040 | 3,973 | 3,970 | 4,005 | |||||||
| 2.57%5 | 1M LIBOR+50 | Oct-2040 - Jun-2044 | 36,095 | 36,113 | 36,425 | |||||||
| 2.62%5 | 1M LIBOR+55 | Nov-2040 | 4,665 | 4,709 | 4,716 | |||||||
| 2.74%5 | 1M LIBOR+67 | Aug-2037 | 4,085 | 4,134 | 4,143 | |||||||
| 3.00% | Aug-2042 - Sep-2046 | 73,253 | 74,972 | 71,418 | ||||||||
| 3.47%5 | 1Y UST+222.5 | Oct-2033 | 681 | 677 | 712 | |||||||
| 3.50% | Jan-2026 - Oct-2046 | 185,217 | 190,154 | 185,262 | ||||||||
| 3.52%5 | 12M LIBOR+177.1 | Jul-2035 | 122 | 121 | 127 | |||||||
| 4.00% | Aug-2020 - Aug-2047 | 169,879 | 177,341 | 173,696 | ||||||||
| 4.00% | Sep-2045 | 32,935 | 34,473 | 33,666 | ||||||||
| 4.21%5 | 1Y UST+222.3 | Jun-2033 | 275 | 274 | 288 | |||||||
| 4.50% | Aug-2018 - Dec-2044 | 52,980 | 55,507 | 55,642 | ||||||||
| 5.00% | Jan-2019 - Mar-2041 | 7,502 | 7,552 | 7,931 | ||||||||
| 5.50% | May-2020 - Jul-2038 | 3,503 | 3,490 | 3,796 | ||||||||
| 6.00% | Jul-2021 - Feb-2038 | 5,004 | 5,060 | 5,575 | ||||||||
| 6.50% | Apr-2028 - Nov-2037 | 690 | 697 | 781 | ||||||||
| 7.00% | Apr-2028 - Mar-2030 | 57 | 53 | 63 | ||||||||
| 7.50% | Aug-2029 - Apr-2031 | 52 | 51 | 59 | ||||||||
| 8.00% | Dec-2029 | 1 | 1 | 1 | ||||||||
| 8.50% | Jul-2024 - Jan-2025 | 66 | 66 | 74 | ||||||||
| 9.00% | Mar-2025 | 32 | 32 | 37 | ||||||||
| 631,712 | 650,371 | 638,059 | ||||||||||
| Multifamily | 2.33%5 | 1M LIBOR+33 | Sep-2024 | 24,656 | 24,655 | 24,655 | ||||||
| 2.42%5 | 1M LIBOR+42 | May-2027 | 19,364 | 19,364 | 19,416 | |||||||
| 2.65%5 | 1M LIBOR+65 | Jan-2023 | 10,332 | 10,332 | 10,358 | |||||||
| 2.70%5 | 1M LIBOR+70 | Sep-2022 | 15,781 | 15,769 | 15,822 | |||||||
| 3.35% | Oct-2033 | 33,450 | 33,244 | 32,589 | ||||||||
| 3.28% | Dec-2029 | 16,901 | 17,274 | 16,430 | ||||||||
| 3.34% | Dec-2029 | 9,906 | 10,176 | 9,678 | ||||||||
| 3.38% | Apr-2030 | 14,616 | 15,064 | 14,320 | ||||||||
| 3.48% | Jun-2030 | 19,071 | 19,823 | 18,793 | ||||||||
| 3.60% | Apr-2030 | 26,132 | 27,433 | 25,980 | ||||||||
| 190,209 | 193,134 | 188,041 | ||||||||||
| Total Freddie Mac Securities | $ | 821,921 | $ | 843,505 | $ | 826,100 | ||||||
AFL-CIO HOUSING INVESTMENT TRUST 13
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
State Housing Finance Agency Securities (4.5% of net assets)
| Interest Rates1 | Unfunded |
|||||||||||
| Issuer | Permanent | Construction | Maturity Date | Commitments2 | Face Amount | Amortized Cost | Value | |||||
| Multifamily | City of Rochester, MN | — | 0.84% | Jun-2019 | $ | — | $ | 15,750 | $ | 15,750 | $ | 15,700 |
| City of Chicago | — | 2.00% | May-2019 | — | 5,700 | 5,702 | 5,700 | |||||
| MassHousing | — | 3.00% | Oct-2018 6 | — | 9,464 | 9,422 | 9,458 | |||||
| Connecticut Housing Finance Auth | — | 3.25% | Nov-2019 6 | 7,720 | 14,780 | 14,740 | 14,445 | |||||
| NYC Housing Development Corp | 2.95% | — | Nov-2045 | — | 5,000 | 5,000 | 5,028 | |||||
| NYC Housing Development Corp | 3.10% | — | Oct-2046 | — | 24,805 | 24,805 | 23,775 | |||||
| Connecticut Housing Finance Auth | 3.25% | — | May-2050 | — | 12,500 | 12,385 | 11,314 | |||||
| NYC Housing Development Corp | 3.75% | — | May-2035 | — | 4,405 | 4,405 | 4,459 | |||||
| MassHousing | 3.85% | — | Dec-2058 6 | — | 9,980 | 9,978 | 8,986 | |||||
| NYC Housing Development Corp | 4.00% | — | Dec-2028 | — | 5,000 | 5,103 | 5,262 | |||||
| MassHousing | 4.04% | — | Nov-2032 | — | 1,305 | 1,305 | 1,315 | |||||
| MassHousing | 4.13% | — | Dec-2036 | — | 5,000 | 5,000 | 5,156 | |||||
| NYC Housing Development Corp | 4.20% | — | Dec-2039 | — | 8,305 | 8,305 | 8,569 | |||||
| NYC Housing Development Corp | 4.25% | — | Nov-2025 | — | 1,150 | 1,150 | 1,177 | |||||
| NYC Housing Development Corp | 4.29% | — | Nov-2037 | — | 1,190 | 1,190 | 1,193 | |||||
| NYC Housing Development Corp | 4.40% | — | Nov-2024 | — | 4,120 | 4,120 | 4,187 | |||||
| NYC Housing Development Corp | 4.44% | — | Nov-2041 5 | — | 1,120 | 1,120 | 1,139 | |||||
| NYC Housing Development Corp | 4.49% | — | Nov-2044 | — | 455 | 455 | 459 | |||||
| NYC Housing Development Corp | 4.50% | — | Nov-2030 | — | 1,680 | 1,682 | 1,734 | |||||
| MassHousing | 4.50% | — | Jun-2056 | — | 45,000 | 45,000 | 46,376 | |||||
| NYC Housing Development Corp | 4.60% | — | Nov-2030 | — | 4,665 | 4,665 | 4,785 | |||||
| NYC Housing Development Corp | 4.70% | — | Nov-2035 | — | 1,685 | 1,685 | 1,743 | |||||
| NYC Housing Development Corp | 4.78% | — | Aug-2026 | — | 12,500 | 12,502 | 12,988 | |||||
| NYC Housing Development Corp | 4.80% | — | Nov-2040 | — | 2,860 | 2,862 | 2,964 | |||||
| NYC Housing Development Corp | 4.90% | — | Nov-2034 - Nov-2041 | — | 8,800 | 8,800 | 9,009 | |||||
| NYC Housing Development Corp | 4.95% | — | Nov-2039 - May-2047 | — | 13,680 | 13,682 | 14,009 | |||||
| MassHousing | 5.55% | — | Nov-2039 | — | 5,000 | 4,981 | 5,093 | |||||
| MassHousing | 5.69% | — | Nov-2018 | — | 330 | 330 | 333 | |||||
| MassHousing | 5.70% | — | Jun-2040 | — | 11,385 | 11,386 | 11,502 | |||||
| MassHousing | 6.42% | — | Nov-2039 | — | 22,000 | 22,000 | 22,620 | |||||
| MassHousing | 6.70% | — | Jun-2040 | — | 9,200 | 9,200 | 9,341 | |||||
| Total State Housing Finance Agency Securities | $ | 7,720 | $ | 268,814 | $ | 268,710 | $ | 269,819 | ||||
Other Multifamily 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. | — | 5.25% | Mar-2019 | $ | — | $ | 5,197 | $ | 5,202 | $ | 5,204 | |
| Harry Silver Housing Company, Inc. | — | 5.25% | Mar-2019 | — | 207 | 208 | 207 | |||||
| Detroit Home Repair Program | — | 5.75% | Sep-2018 | 129 | 22 | 22 | 22 | |||||
| Detroit Home Repair Program | — | 5.75% | Sep-2018 | 194 | 112 | 112 | 112 | |||||
| 323 | 5,538 | 5,544 | 5,545 | |||||||||
Privately Insured Construction/Permanent Mortgages7 |
||||||||||||
IL Housing Development Authority |
5.40% |
— |
Mar-2047 |
— |
8,017 |
8,019 |
8,000 | |||||
| IL Housing Development Authority | 6.20% | — | Dec-2047 | — | 3,045 | 3,055 | 3,038 | |||||
| IL Housing Development Authority | 6.40% | — | Nov-2048 | — | 922 | 933 | 915 | |||||
| - | 11,984 | 12,007 | 11,953 | |||||||||
| Total Other Multifamily Investments | $ | 323 | $ | 17,522 | $ | 17,551 | $ | 17,498 | ||||
14 SEMI–ANNUAL REPORT 2018
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (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 | $ | 10,156 | $ | 9,776 |
| Nomura | 3.19% | Mar-2046 | 20,000 | 20,373 | 19,833 | |||
| JP Morgan | 3.48% | Jun-2045 | 10,000 | 10,443 | 10,037 | |||
| Citigroup | 3.62% | Jul-2047 | 8,000 | 8,202 | 8,023 | |||
| Barclays/ JP Morgan | 3.81% | Jul-2047 | 2,250 | 2,307 | 2,278 | |||
| RBS/ Wells Fargo | 3.82% | Aug-2050 | 5,000 | 5,130 | 5,081 | |||
| Deutsche Bank/UBS | 3.96% | Mar-2047 | 5,000 | 5,126 | 5,109 | |||
| Barclays/ JP Morgan | 4.00% | Apr-2047 | 5,000 | 5,127 | 5,129 | |||
| Cantor/Deutsche Bank | 4.01% | Apr-2047 | 20,000 | 20,506 | 20,493 | |||
| Barclays/ JP Morgan | 4.08% | Feb-2047 | 6,825 | 7,159 | 7,031 | |||
| Cantor/Deutsche Bank | 4.24% | Feb-2047 | 7,000 | 7,175 | 7,259 | |||
| Deutsche Bank | 5.00% | Nov-2046 | 18,990 | 19,425 | 19,553 | |||
| Total Commercial Mortgage Backed Securities | $ | 118,065 | $ | 121,129 | $ | 119,602 | ||
United States Treasury Securities (3.3% of net assets)
| Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||
| 1.63% | May-2026 | $ | 10,000 | $ | 10,077 | $ | 9,148 | |
| 2.13% | May-2025 | 15,000 | 14,881 | 14,354 | ||||
| 2.25% | Nov-2024 | 65,000 | 66,582 | 62,892 | ||||
| 2.25% | Nov-2025 | 5,000 | 5,090 | 4,809 | ||||
| 2.38% | Aug-2024 | 50,000 | 50,372 | 48,814 | ||||
| 2.88% | Aug-2045 | 20,000 | 19,865 | 20,040 | ||||
| 3.13% | Aug-2044 | 35,000 | 35,927 | 35,909 | ||||
| Total United States Treasury Securities | $200,000 | $202,794 | $195,966 | |||||
| Total Fixed-Income Investments | $ | 6,025,888 | $ | 6,107,108 | $ | 5,964,018 |
AFL-CIO HOUSING INVESTMENT TRUST 15
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2018 (Dollars in thousands; unaudited) |
Equity Investment in Wholly Owned Subsidiary (less than 0.01% of net assets)
| Issuer | Face Amount (Cost) | Amount of Dividends or Interest | Value |
| HIT Advisers8 | $ 1 | $ — | $ (740) |
| Total Equity Investment | $ 1 | $ — | $ (740) |
Short-Term Investments (1.1% of net assets)
| Issuer | Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||
| Blackrock Federal Funds | 1.84%9 | Jul-2018 | $ | 5,022 | $ | 5,022 | $ | 5,022 | |||
| Commercial Paper | |||||||||||
|
Halkin Finance, LLC |
1.92%10 |
Jul-2018 |
40,000 |
|
39,998 |
|
39,998 | ||||
| Institutional Secured Funding, LLC | 2.10%10 | Jul-2018 | 19,000 | 18,999 | 18,999 | ||||||
| Total Short-Term Investments | $ | 64,022 | $ | 64,019 | $ | 64,019 | |||||
| Total Investments | $ | 6,089,911 | $ | 6,171,128 | $ | 6,027,297 | |||||
Footnotes
| 1 | 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. |
| 2 | 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 $329.4 million at period end. Generally, Ginnie Mae 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. |
| 3 | Tax-exempt bonds collateralized by Ginnie Mae securities. |
| 4 | 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 transcations due to changes in market conditions or the failure of counterparties to perform under the contract. |
| 5 | The interest rate shown on these floating or adjustable rate securities represents the rate at period end. Referenced rate and spread in basis points is are included. |
| 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 securities 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 | The 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. |
| 9 | Rate indicated is the annualized 1-day yield as of June 30, 2018. |
| 10 | Rate indicated is the effective yield at the time of purchase. |
Key to Abbreviations
| M | Month |
| Y | Year |
| LIBOR | London Interbank Offered Rate |
| UST | U.S. Treasury |
16 SEMI–ANNUAL REPORT 2018
STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2018 (Dollars in thousands; unaudited) |
| Investment income | $ 92,860 | ||
| Expenses | |||
| Non-officer salaries and fringe benefits | 4,834 | ||
| Officer salaries and fringe benefits | 3,462 | ||
| Consulting fees | 728 | ||
| Marketing and sales promotion (12b-1) | 691 | ||
| Investment management | 661 | ||
| Legal fees | 271 | ||
| Auditing, tax and accounting fees | 265 | ||
| Insurance | 201 | ||
| Trustee expenses | 28 | ||
| Rental expenses | 612 | ||
| General expenses | 818 | ||
| Total expenses | 12,571 | ||
| Net investment income | 80,289 | ||
| Net realized and unrealized gains (losses) on investments | |||
| Net realized gains (losses) on investments | (1,080 | ) | |
| Net change in unrealized appreciation (depreciation) on investments | (177,766 | ) | |
| Net realized and unrealized gains (losses) on investments | (178,846 | ) | |
| Net increase (decrease) in net assets resulting from operations | $ (98,557 | ) | |
See accompanying Notes to Financial Statements (unaudited).
AFL-CIO HOUSING INVESTMENT TRUST 17
STATEMENTS OF CHANGES IN NET ASSETS (Dollars in thousands) |
Increase (decrease) in net assets from operations |
Six
Months Ended (unaudited) |
Year
Ended | ||
| Net investment income | $ | 80,289 | $ | 146,286 |
| Net realized gains (losses) on investments | (1,080) | 21,359 | ||
| Net change in unrealized appreciation (depreciation) on investments | (177,766) | 17,333 | ||
| Net increase (decrease) in net assets resulting from operations | (98,557) | 184,978 | ||
Decrease in net assets from distributions |
||||
Distributions to participants or reinvested from: |
||||
|
Net investment income |
(84,153) |
(161,677) | ||
| Net realized gains on investments | — | (3,720) | ||
| Net decrease in net assets from distributions | (84,153) | (165,397) | ||
Increase (decrease) in net assets from unit transactions |
||||
| Proceeds from the sale of units of participation | 56,203 | 330,734 | ||
| Dividend reinvestment of units of participation | 75,145 | 145,704 | ||
| Payments for redemption of units of participation | (161,858) | (87,547) | ||
| Net increase (decrease) from unit transactions | (30,510) | 388,891 | ||
| Total increase (decrease) in net assets | (213,220) | 408,472 | ||
Net assets |
||||
| Beginning of period | 6,199,225 | $ | 5,790,753 | |
| End of period | 5,986,005 | $ | 6,199,225 | |
| Distribution in excess of net investment income | $ | (1,895) | $ | (2,062) |
Unit information |
||||
| Units sold | 51,458 | 294,942 | ||
| Distributions reinvested | 68,855 | 130,001 | ||
| Units redeemed | (148,966) | (78,150) | ||
| Increase in units outstanding | (28,653) | 346,793 | ||
See accompanying Notes to Financial Statements (unaudited).
18 SEMI–ANNUAL REPORT 2018
Notes To Financial Statements (unaudited) |
NOTE 1. Summary of Significant Accounting Policies
The American Federation of Labor and Congress of Industrial Organizations (AFL-CIO) Housing Investment Trust (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, voluntary employees’ benefit associations 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 matters, including fair value determinations. 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 NAV of such investments.
When the HIT finances the 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 market value, the Valuation Committee will employ a valuation method that it believes reflects fair value for that asset, which may include the use of 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 June 30, 2018, the Valuation Committee fair valued less than 0.01% of the HIT’s net assets utilizing internally derived unobservable inputs.
Short-term investments acquired with a stated maturity of 60 days or less are generally valued at amortized cost, which approximates fair market value.
The HIT holds a 100% ownership interest, either directly or indirectly 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 reflect the HIT’s determination of assumptions that market participants might reasonably use in valuing the securities.
AFL-CIO HOUSING INVESTMENT TRUST 19
Notes To Financial Statements (unaudited) |
| The following table presents the HIT’s valuation levels as of June 30, 2018: | ||||||||||||||||
| Investment securities: ($ in thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| FHA Permanent Securities | $ | — | $ | 150,018 | $ | — | $ | 150,018 | ||||||||
| FHA Construction Securities | — | 3,117 | — | 3,117 | ||||||||||||
| Ginnie Mae Securities | — | 1,498,936 | — | 1,498,936 | ||||||||||||
| Ginnie Mae Construction Securities | — | 157,876 | — | 157,876 | ||||||||||||
| Fannie Mae Securities | — | 2,683,804 | — | 2,683,804 | ||||||||||||
| Freddie Mac Securities | — | 826,100 | — | 826,100 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 119,602 | — | 119,602 | ||||||||||||
| State Housing Finance Agency Securities | — | 269,819 | — | 269,819 | ||||||||||||
| Other Multifamily Investments | ||||||||||||||||
| Direct Loans | — | — | 5,545 | 5,545 | ||||||||||||
| Privately Insured Construction/Permanent Mortgages | — | 11,953 | — | 11,953 | ||||||||||||
| Total Other Multifamily Investments | — | 11,953 | 5,545 | 17,498 | ||||||||||||
| United States Treasury Securities | — | 195,966 | — | 195,966 | ||||||||||||
| Equity Investments | — | — | (740 | ) | (740 | ) | ||||||||||
| Short-Term Investments | 64,019 | — | — | 64,019 | ||||||||||||
| Other Financial Instruments* | — | 41,282 | — | 41,282 | ||||||||||||
| Total | $ | 64,019 | $ | 5,958,473 | $ | 4,805 | $ | 6,027,297 | ||||||||
*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 June 30, 2018:
| Investments in Securities ($ in thousands) | Direct Loans | Equity Investment | Total |
| Beginning Balance, 12/31/2017 | $ 5,620 | $ (843) | $ 4,777 |
| Paydown | (126) | — | (126) |
| Total Unrealized Gain (Loss)* | (5) | 103 | 98 |
| Cost of Purchases | 56 | — | 56 |
| Ending Balance, 06/30/2018 | $ 5,545 | $ (740) | $ 4,805 |
* Net change in unrealized gain (loss) attributable to Level 3 securities held at June 30, 2018 totaled $98,000 and is included on the accompanying Statement of Operations.
Level 3 securities primarily consist of Direct Loans which were valued using an independent pricing service as of June 30, 2018 utilizing a discounted cash flow model. Weighted average lives for the loans ranged from 0.06 to 0.16 years. Unobservable inputs include spreads to relevant U.S. Treasuries ranging from 115 to 400 basis points. A change in unobservable inputs may impact the value of the loans.
The HIT’s policy is to recognize transfers between levels at the beginning of the reporting period. For the six months ended June 30, 2018, there were no transfers in levels.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates.
Federal Income Taxes
The HIT’s policy is to comply with the requirements of the Internal Revenue Code of 1986, as amended (the Internal Revenue Code), that are applicable to regulated investment companies, and to distribute all of its taxable income to its participants. Therefore, no federal income tax provision is required.
Tax positions taken or expected to be taken in the course of preparing the HIT’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed for all open years the HIT’s tax positions taken on federal income tax returns and has concluded that no provision for income tax is required in the HIT’s financial statements.
The HIT files U.S. federal, state, and local tax returns as required. The HIT’s tax returns are subject to examination by the relevant tax authorities until the expiration of the applicable statutes of limitations, which is generally three years after the filing of the tax return but could be longer in certain circumstances.
20 SEMI–ANNUAL REPORT 2018
Notes To Financial Statements (unaudited) |
Distributions to Participants
At the end of each calendar month, a pro-rata distribution is made to participants of the net investment income earned during the month. This pro-rata distribution is based on the participant’s number of units held as of the immediately preceding month-end and excludes realized gains (losses) which are distributed at year-end.
Participants redeeming their investments are paid their pro-rata share of undistributed net income accrued through the month-end of the month in which they redeem.
The HIT offers a reinvestment plan that permits current participants to automatically reinvest their distributions of income and capital gains, if any, into the HIT’s units of participation. Total reinvestment was approximately 89% of distributed income and capital gains, if any, for the six months ended June 30, 2018.
Investment Transactions and Income
For financial reporting purposes, security transactions are accounted for as of the trade date. Gains and losses on securities sold are determined on the basis of amortized cost. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
12b-1 Plan of Distribution
The HIT’s Board of Trustees has approved a Plan of Distribution under Rule 12b-1 under the Investment Company Act to pay for marketing and sales promotion expenses incurred in connection with the offer and sale of units and related distribution activities (12b-1 expenses). For the six months ended June 30, 2018, the HIT was authorized to pay 12b-1 expenses in an annual amount up to $600,000 or 0.05% of its average monthly net assets, whichever was greater. During the six months ended June 30, 2018, the HIT incurred approximately $690,500, or 0.02% of its average monthly net assets, in 12b-1 expenses.
NOTE 2. Investment Risk
Interest Rate Risk
As with any fixed-income investment, the market value of the HIT’s investments will generally fall at times when market interest rates rise. Rising interest rates may also reduce prepayment rates, causing the average life of the HIT’s investments to increase. This could in turn further reduce the value of the HIT’s portfolio.
Prepayment and Extension Risk
The HIT invests in certain fixed-income securities whose value is derived from an underlying pool of mortgage loans that are subject to prepayment and extension risk.
Prepayment risk is the risk that a security will pay more quickly than its assumed payment rate, shortening its expected average life. In such an event, the HIT may be required to reinvest the proceeds of such prepayments in other investments bearing lower interest rates. The majority of the HIT’s securities backed by loans for multifamily projects include restrictions on prepayments for specified periods to mitigate this risk or include prepayment penalties to compensate the HIT. Prepayment penalties, when received, are included in realized gains.
Extension risk is the risk that a security will pay more slowly than its assumed payment rate, extending its expected average life. When this occurs, the HIT’s ability to reinvest principal repayments in higher returning investments may be limited.
These two risks may increase the sensitivity of the HIT’s portfolio to fluctuations in interest rates and negatively affect the value of the HIT’s portfolio.
NOTE 3. Transactions with Related Entities
HIT Advisers
HIT Advisers, a Delaware limited liability company, was formed by the HIT to operate as an investment adviser and be registered, as appropriate under applicable federal or state law. HIT Advisers is owned by HIT directly (99.9%), and indirectly through HIT Advisers Managing Member (0.1%) which is also a wholly owned by the HIT. This ownership 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.
AFL-CIO HOUSING INVESTMENT TRUST 21
Notes To Financial Statements (unaudited) |
In accordance with a contract, in addition to its membership 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 June 30, 2018, HIT Advisers had no assets under management.
Building America
Building America, a wholly owned subsidiary of HIT Advisers, is a Community Development Entity, certified by the Community Development Financial Institutions Fund (CDFI Fund) of the U.S. Department of the Treasury.
In accordance with a contract, the HIT provides the time of certain personnel to Building America and allocates operational expenses on a cost-reimbursement basis. Also, in accordance with the 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.
| A rollforward of advances to HIT Advisers by the HIT is included in the table below: | Summarized financial information on a consolidated basis for HIT Advisers and Building America is included in the table below: | |||||||||||
| Advances to HIT Advisers by HIT | $ in Thousands | |||||||||||
| Beginning Balance, 12/31/2017 | $ | 872 | $ in Thousands | |||||||||
| Advances in 2018 | 39 | As of June 30, 2018 | ||||||||||
| Repayment by HIT Advisers in 2018 | (145 | ) | Assets | $ | 599 | |||||||
| Ending Balance, 6/30/2018 | $ | 766 | Liabilities | $ | 1,098 | |||||||
| Equity | $ | (499 | ) | |||||||||
| A rollforward of advances to Building America by the HIT is included in the table below: | ||||||||||||
| For the six months ended June 30, 2018 | ||||||||||||
| Advances to Building America by HIT | $ in Thousands | Income | $ | 688 | ||||||||
| Beginning Balance, 12/31/2017 | $ | 45 | Expenses | (707 | ) | |||||||
| Advances in 2018 | 747 | Tax expenses | — | |||||||||
| Repayment by Building America in 2018 | (601 | ) | Net Income (Loss) | $ | (19 | ) | ||||||
| Ending Balance, 6/30/2018 | $ | 191 | ||||||||||
NOTE 4. Commitments
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 HIT agrees to an interest rate and purchase price for these securities or loans when the commitment to purchase is originated.
Certain assets of the HIT are invested in liquid investments until they are required to fund these purchase commitments. As of June 30, 2018, the HIT had outstanding unfunded purchase commitments of approximately $329.4 million. The HIT maintains a sufficient level of liquid securities of no less than the total of the outstanding unfunded purchase commitments. As of June 30, 2018, the value of liquid securities, less short-term investments, maintained in a custodial trading account was approximately $5.8 billion.
NOTE 5. Investment Transactions
Purchases and sales of investments, excluding short-term securities and U.S. Treasury securities, for the six months ended June 30, 2018, were $462.7 million and $66.5 million, respectively.
NOTE 6. Income Taxes
No provision for federal income taxes is required since the HIT intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute to shareholders all of its taxable income and gains. Federal income tax regulations differ from GAAP; therefore, distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records were adjusted for permanent book/tax differences of $3.9 million as of June 30, 2018 to reflect tax character. The amount and character of tax-basis distributions and composition of the net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of June 30, 2018.
At June 30, 2018, the cost of investments for federal income tax purposes was $6,171,128,000 which approximated book cost at amortized cost. Net unrealized loss aggregated $143,831,000 at period-end, of which $33,415,000 related to appreciated investments and $177,246,000 related to depreciated investments.
22 SEMI–ANNUAL REPORT 2018
Notes To Financial Statements (unaudited) |
NOTE 7. Retirement and Deferred Compensation Plans
The HIT participates in the AFL-CIO Staff Retirement Plan (Plan), which is a multiemployer defined benefit pension plan, under the terms of a collective-bargaining agreement. The Plan covers substantially all employees, including non-bargaining unit employees. The risks of participating in a multiemployer plan are different from a single-employer plan in the following aspects:
a. Assets contributed to a multiemployer plan by one employer may be used to provide benefits to employees of other participating employers.
b. If a participating employer stops contributing to the plan, the unfunded obligations of the plan may be borne by the remaining participating employers based on their level of contributions to the plan.
c. If the HIT chooses to stop participating in its multiemployer plan, the HIT may be required to pay the plan an amount based on the HIT’s share of the underfunded status of the plan, referred to as a withdrawal liability.
The HIT’s participation in the Plan for the six months ended June 30, 2018, is outlined in the table below. The “EIN/Pension Plan Number” line provides the Employer Identification Number (EIN) and the three-digit plan number. The most recent Pension Protection Act (PPA) zone status available as of June 30, 2018 is for the 2016 Plan year-ended at June 30, 2017. The zone status is based on information that the HIT received from the Plan and is certified by the Plan’s actuary. Among other factors, plans in the red zone are generally less than 65% funded, plans in the yellow zone are less than 80% funded, and plans in the green zone are at least 80% funded. The “FIP/RP Status Pending/Implemented” line indicates whether a financial improvement plan (FIP) or a rehabilitation plan (RP) is either pending or has been implemented.
| Pension Fund: AFL-CIO Staff Retirement Plan | ||
| EIN/Pension Plan Number | 53-0228172 / 001 | |
| 2016 Plan Year PPA Zone Status | Green | |
| FIP/RP Status Pending/ Implemented | No | |
| 2018 Contributions | $ 1,235,993 | |
| 2018 Contribution Rate | 24% | |
| Surcharge Imposed | no | |
| Expiration Date of Collective Bargaining Agreement | 03/31/2022 |
The HIT was listed in the Plan’s Form 5500 as providing more than 5% of the total contributions for the following plan year:
Pension Fund |
Years Contributions to Plan Exceeded More Than 5 Percent of Total Contributions |
| AFL-CIO Staff Retirement Plan | 2016 1 |
1The 2016 plan year ended at June 30, 2017.
At the date the HIT financial statements were issued, the Plan’s Form 5500 was not available for the plan year ended June 30, 2018.
The HIT also sponsors a deferred compensation plan, referred to as a 401(k) plan, covering substantially all employees. This plan permits employees to defer the lesser of 100% of their total compensation or the applicable Internal Revenue Service limit. During 2018, the HIT matched dollar for dollar the first $6,000 of each employee’s contributions. The HIT’s 401(k) contribution for the six months ended June 30, 2018, was approximately $248,000.
NOTE 8. Loan Facility
The HIT has a $15 million uncommitted loan facility which expires on June 10, 2019. Under this facility, borrowings bear interest per annum equal to 1.25% plus the highest of (a) the Federal Funds Effective Rate, (b) the Overnight Eurodollar Rate, or (c) the one-month LIBOR. The HIT did not borrow against the facility during, and had no outstanding balance under the facility for, the six months ended June 30, 2018. No compensating balances are required.
NOTE 9. Contract Obligations
In the ordinary course of business, the HIT enters into contracts that contain a variety of indemnifications. The HIT’s maximum exposure under these arrangements is unknown. However, the HIT has not had any prior claims or losses pursuant to these contracts and expects the risk of loss to be low.
NOTE 10. New Accounting Pronouncement
In February 2016, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) No. 2016-02, Leases, which intends to improve financial reporting about leasing transactions. The ASU affects all companies and other organizations that lease assets such as real estate and equipment. The new disclosure is effective for annual or interim periods beginning on or after December 15, 2019. The HIT plans to adopt the new lease standard in 2019 and does not expect it to have a material effect its statement of assets and liabilities or its statement of operations.
AFL-CIO HOUSING INVESTMENT TRUST 23
FINANCIAL HIGHLIGHTS Selected Per Share Data and Ratios |
| Six
Months Ended June 30, 2018** | Year Ended December 31 | |||||||||||||||||||||||
| Per share data | (unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
| Net asset value, beginning of period | $ | 1,117.32 | $ | 1,113.29 | $ | 1,121.13 | $ | 1,140.10 | $ | 1,107.45 | $ | 1,171.21 | ||||||||||||
Income from investment operations: Net investment income * | 14.47 | 27.36 | 27.46 | 29.41 | 32.48 | 34.11 | ||||||||||||||||||
| Net realized and unrealized gains (losses) on investments | (32.11 | ) | 7.58 | (5.33 | ) | (16.43 | ) | 34.38 | (61.53 | ) | ||||||||||||||
| Total income (loss) from investment operations | (17.64 | ) | 34.94 | 22.13 | 12.98 | 66.86 | (27.42 | ) | ||||||||||||||||
| Less distributions from: | ||||||||||||||||||||||||
| Net investment income | (15.19 | ) | (30.23 | ) | (29.97 | ) | (31.95 | ) | (34.21 | ) | (36.33 | ) | ||||||||||||
| Net realized gains on investments | — | (0.68 | ) | — | — | — | (0.01 | ) | ||||||||||||||||
| Total distributions | (15.19 | ) | (30.91 | ) | (29.97 | ) | (31.95 | ) | (34.21 | ) | (36.34 | ) | ||||||||||||
| Net asset value, end of period | $ | 1,084.49 | $ | 1,117.32 | $ | 1,113.29 | $ | 1,121.13 | $ | 1,140.10 | $ | 1,107.45 | ||||||||||||
| Total return | (1.58 | )% | 3.17 | % | 1.94 | % | 1.13 | % | 6.10 | % | (2.37 | )% | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
| Net assets, end of period (in thousands) | $ | 5,986,005 | $ | 6,199,225 | $ | 5,790,753 | $ | 5,455,282 | $ | 4,859,337 | $ | 4,515,201 | ||||||||||||
| Ratio of expenses to average net assets | 0.41 | % | 0.40 | % | 0.41 | % | 0.43 | % | 0.43 | % | 0.43 | % | ||||||||||||
| Ratio of net investment income to average net assets | 2.6 | % | 2.4 | % | 2.4 | % | 2.6 | % | 2.9 | % | 3.0 | % | ||||||||||||
| Portfolio turnover rate | 12.4 | % | 24.6 | % | 20.3 | % | 18.9 | % | 18.3 | % | 29.5 | % | ||||||||||||
*The average shares outstanding method has been applied for this per share information.
**Percentage amounts for the period, except total return, have been annualized.
See accompanying Notes to Financial Statements (unaudited).
Job and economic benefit figures in this report are calculated using an IMPLAN input-output model developed by Pinnacle Economics, Inc. Estimates are calculated using HIT and Building America project data and are in 2017 dollars.
Investors should consider the HIT’s investment objectives, risks, and expenses carefully before investing. A prospectus containing more complete information may be obtained from the HIT by calling the Marketing and Investor Relations Department collect at (202) 331-8055 or by viewing the HIT’s website at www.aflcio-hit.com. The prospectus should be read carefully before investing. Performance shown represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate, so units, when redeemed, may be worth more or less than their original cost. All investments involve risk, including loss of principal.
This report contains forecasts, estimates, opinions, and/or other information that is subjective. Statements concerning economic, financial, or market trends are based on current conditions, which will fluctuate. There is no guarantee that such statements will be applicable under all market conditions, especially during periods of downturn. Actual outcomes and results may differ significantly from the views expressed. This report should not be considered as investment advice or a recommendation of any kind.
24 SEMI–ANNUAL REPORT 2018
| BOARD OF TRUSTEES | ||||
| Helen R. Kanovsky*, Chair | James Boland | The Honorable Jack F. Quinn, Jr. | ||
| General Counsel, Mortgage Bankers Association | President, International Union of Bricklayers and Allied Craftworkers | Senior Advisor for Public & Community Relations, Barclay Damon | ||
| Richard L. Trumka* | Kenneth W. Cooper | Kenneth Rigmaiden | ||
| President, AFL-CIO | International Secretary-Treasurer, International Brotherhood of Electrical Workers | General President, International Union of Painters & Allied Trades for the United States and Canada | ||
Marlyn Spear, CFA* |
David B. Durkee | Jamie S. Rubin | ||
| Director, Baird Fund, Inc. | International President, Bakery, Confectionery, Tobacco Workers and Grain Millers’ International Union | North American CEO, Meridiam Infrastructure | ||
| Tony Stanley* | ||||
| Director, TransCon Builders, Inc. | Bridget Gainer | Deidre L. Schmidt | ||
| Cook County Commissioner/Vice President of Global Affairs, Aon | President & CEO, CommonBond Communities | |||
| Liz Shuler | ||||
| Secretary-Treasurer, AFL-CIO | Sean McGarvey | William C. Thompson, Jr. | ||
| President, North America’s Building Trades Unions | Senior Managing Director/Chief Administrative Officer, Siebert, Cisneros, Shank & Co. | |||
| Vincent Alvarez | ||||
| President, New York City Central Labor Council | * Executive Committee member | |||
| OFFICERS | ||||
| Stephen Coyle | Debbie Cohen | Harpreet Singh Peleg, CFA | ||
| Chief Executive Officer | Chief Development Officer | Controller | ||
| Theodore S. Chandler | Emily Johnstone | Eric W. Price | ||
| Chief Operating Officer | Executive Vice President & Managing Director | Executive Vice President | ||
| of Defined Contribution Marketing | ||||
| Lesyllee White | ||||
| Erica Khatchadourian | Christopher Kaiser, CFA | Executive Vice President & | ||
| Chief Financial Officer | Chief Compliance Officer & | Managing Director of Defined Benefit Marketing | ||
| Deputy General Counsel | ||||
| Chang Suh, CFA | Stephanie H. Wiggins | |||
| Senior Executive Vice President & Chief Portfolio Manager | Thalia B. Lankin | Executive Vice President & Chief Investment Officer | ||
| Chief Business Development Officer | ||||
| Nicholas C. Milano | ||||
| General Counsel | ||||
| SERVICE PROVIDERS | ||||||
| Independent Registered Public Accounting Firm | Corporate Counsel | Transfer Agent | Custodian | |||
| Ernst & Young LLP Tysons, Virginia |
Katten Muchin Rosenman LLP Washington, D.C. |
BNY Mellon Investment Servicing (US) Inc. |
Bank of New York Mellon New York, New York | |||
| Wilmington, Delaware | ||||||
| AFL-CIO HOUSING INVESTMENT TRUST | ||||
| National Office | New England Regional Office | Southern California Office | ||
| 2401 Pennsylvania Avenue, N.W., Suite 200 | Ten Post Office Square, Suite 800 | 155 N. Lake Avenue, Suite 800 | ||
| Washington, D.C. 20037 | Boston, Massachusetts 02109 | Pasadena, California 91101 | ||
| (202) 331-8055 | (617) 850-9071 | (626) 993-6676 | ||
| New York City Office | Western Regional Office | |||
| 1270 Avenue of the Americas, Suite 210 | One Sansome Street, Suite 3500 | |||
| New York, New York 10020 | San Francisco, California 94104 | |||
| (212) 554-2750 | (415) 433-3044 | |||
AFL-CIO HOUSING INVESTMENT TRUST 25
