0001387131-19-004071.txt : 20190530 0001387131-19-004071.hdr.sgml : 20190530 20190530161427 ACCESSION NUMBER: 0001387131-19-004071 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190331 FILED AS OF DATE: 20190530 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AFL CIO HOUSING INVESTMENT TRUST CENTRAL INDEX KEY: 0000225030 IRS NUMBER: 526220193 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-03493 FILM NUMBER: 19866713 BUSINESS ADDRESS: STREET 1: 2401 PENNSYLVANIA AVENUE, NW STREET 2: SUITE 200 CITY: WASHINGTON STATE: DC ZIP: 20037 BUSINESS PHONE: 2023318055 MAIL ADDRESS: STREET 1: 2401 PENNSYLVANIA AVENUE, NW STREET 2: SUITE 200 CITY: WASHINGTON STATE: DC ZIP: 20037 0000225030 S000009768 AFL CIO HOUSING INVESTMENT TRUST C000026832 AFL CIO HOUSING INVESTMENT TRUST ACCESSION NUMBER: 0001387131-19-004008 NPORT-EX 1 aflcio_nportex.htm SCHEDULE OF INVESTMENTS

 

Item 1. Schedule of Investments

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

FHA Permanent Securities (2.3% of net assets)

 

  Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
Multifamily   3.65%  Dec-2037  $8,821   $8,996   $8,628 
    3.75%  Aug-2048   3,860    3,856    3,758 
    4.00%  Dec-2053   63,290    63,265    61,292 
    4.79%  May-2053   5,146    5,376    5,237 
    5.17%  Feb-2050   7,815    8,389    8,160 
    5.35%  Mar-2047   7,081    7,091    7,093 
    5.55%  Aug-2042   7,570    7,572    7,584 
    5.60%  Jun-2038   2,290    2,294    2,295 
    5.80%  Jan-2053   2,001    2,010    2,182 
    5.87%  May-2044   1,709    1,708    1,712 
    5.89%  Apr-2038   4,309    4,314    4,319 
    6.02%  Jun-2035   3,916    3,917    3,926 
    6.20%  Apr-2052   11,307    11,304    12,636 
    6.40%  Aug-2046   3,686    3,688    3,829 
    6.60%  Jan-2050   3,289    3,314    3,645 
    7.20%  Oct-2039   2,709    2,713    2,721 
    7.50%  Sep-2032   1,209    1,206    1,215 
            140,008    141,013    140,232 
Total FHA Permanent Securities          $140,008   $141,013   $140,232 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

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  $11,000   $11,000   $11,009   $8,977 
Total FHA Construction Securities            $11,000   $11,000   $11,009   $8,977 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Ginnie Mae Securities (24.2% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
                    
Single Family   4.00%  Feb-2040 - Jun-2040  $2,979   $3,011   $3,113 
    4.50%  Aug-2040   1,835    1,871    1,942 
    5.50%  Jan-2033 - Jun-2037   1,962    1,957    2,140 
    6.00%  Jan-2032 - Aug-2037   1,218    1,218    1,366 
    6.50%  Jul-2028   50    50    56 
    7.00%  Apr-2026 - Jan-2030   794    799    886 
    7.50%  Aug-2025 - Aug-2030   409    411    452 
    8.00%  Sep-2026 - Nov-2030   334    338    375 
    8.50%  Jun-2022 - Aug-2027   206    207    223 
    9.00%  Mar-2020 - Jun-2025   17    17    18 
    9.50%  Sep-2021 - Sep-2030   23    24    26 
            9,827    9,903    10,597 
                        
Multifamily   1.73%  May-2042   2,136    2,139    2,100 
    2.15%  May-2056   7,117    7,103    6,924 
    2.18%  May-2039   2,754    2,774    2,731 
    2.20%  Jun-2056   7,592    7,575    7,381 
    2.25%  Dec-2048   9,989    9,908    9,712 
    2.30%  Mar-2056 - May-2056   47,976    47,826    46,697 
    2.30%  Oct-2056   28,202    27,892    26,758 
    2.31%  Nov-2051   7,076    7,076    6,538 
    2.35%  Dec-2040 - Nov-2056   16,381    16,436    15,778 
    2.40%  Aug-2047   11,065    11,085    10,799 
    2.43%  Nov-2038   12,347    12,395    12,277 
    2.50%  Jul-2045 -Mar-2057   37,115    37,122    35,609 
    2.50%  Sep-2058   38,560    37,874    36,799 
    2.53%  Jul-2038 - Feb-2040   24,629    24,932    24,304 
    2.60%  Apr-2048 - Apr-2056   50,647    50,919    49,789 
    2.61%  Jan-2053   51,015    51,421    48,968 
    2.70%  May-2048 - Jul-2056   38,279    38,813    37,697 
    2.72%  Feb-2044   512    526    506 
    2.79%  Apr-2049   16,651    16,823    16,354 
    2.80%  Feb-2053   60,000    56,956    55,268 
    2.82%  Apr-2050   1,500    1,532    1,476 
    2.87%  Feb-2036 - Dec-2043   21,732    21,958    21,587 
    2.89%  Mar-2046   32,000    32,204    31,575 
    3.00%  Feb-2041 - Mar-2051   25,728    25,816    25,420 
    3.05%  May-2044   45,093    45,373    44,919 
    3.05%  May-2054   11,545    11,601    11,308 
    3.10%  Jan-2044 - May-2059   48,000    48,195    48,052 
    3.11%  Jan-2049   17,024    17,663    16,855 
    3.13%  Nov-2040   61    62    60 
    3.20%  Jul-2041 - Sep-2051   15,000    14,899    15,066 
    3.25%  Sep-2054   35,000    34,690    34,943 
    3.25%  Apr-2059   45,000    43,101    44,125 
    3.26%  Nov-2043   20,000    20,032    20,045 
    3.30%  May-2055   10,000    9,491    9,846 
    3.33%  Jun-2043   15,000    15,477    15,114 
    3.35%  Nov-2042 - Mar-2044   25,000    24,509    25,120 
    3.36%  Jul-2046   7,760    8,000    7,777 
    3.37%  Dec-2046   19,200    19,448    19,269 
    3.40%  Mar-2057   5,117    5,160    5,155 
    3.49%  Mar-2042 - Aug-2058   18,857    19,464    19,126 
    3.50%  Feb-2051 - Mar-2057   54,138    54,852    55,037 
    3.50%  Apr-2057   24,994    25,721    25,399 
    3.51%  Sep-2041   6,050    6,407    6,092 
    3.52%  May-2042 - Apr-2051   13,852    14,137    14,016 
    3.53%  Apr-2042   17,495    18,130    17,799 
    3.55%  Apr-2057   42,382    43,509    42,764 
    3.57%  Nov-2044   13,978    14,370    14,069 
    3.60%  Jun-2057   14,042    14,577    14,481 
    3.61%  Sep-2052   6,500    6,742    6,568 
    3.62%  Dec-2057   29,351    29,909    30,245 
    3.66%  Jul-2058   23,832    24,137    24,710 
    3.67%  Nov-2035   15,708    16,318    15,854 

 

 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Ginnie Mae Securities (24.2% of net assets)

 

    Interest Rate  Maturity Date  Face Amount   Amortized Cost    Value 
    3.68%  Jun-2057   27,236    28,033    28,229 
    3.68%  Aug-2057   14,506    14,846    15,036 
    3.72%  Dec-2045 - Sep-2051   15,958    15,896    16,434 
    3.75%  Apr-2046   6,890    6,907    6,966 
    3.80%  Sep-2046   3,842    4,112    3,840 
    3.85%  Jan-2056   32,065    32,362    33,465 
    3.87%  Jun-2045   17,845    18,068    18,119 
    3.90%  May-2049   4,225    4,523    4,220 
    3.92%  Aug-2039   45,400    48,358    46,721 
    4.10%  May-2051   3,984    4,343    4,160 
    4.25%  Sep-2038   34,595    34,773    35,765 
    4.29%  Mar-2053   47,263    47,544    50,915 
    4.45%  Jun-2055   2,560    2,458    2,718 
    4.50%  May-2038   18,354    19,833    19,073 
    4.63%3  Sep-2037   1,500    1,465    1,503 
    4.70%  Oct-2056   3,331    3,500    3,592 
    4.90%3  Mar-2044   1,000    991    1,002 
    5.25%  Apr-2037   18,660    18,654    19,252 
    5.34%  Jul-2040   5,988    5,914    6,109 
    5.55%3  May-2049   9,800    9,800    9,814 
            1,465,984    1,477,459    1,463,794 
Total Ginnie Mae Securities      $1,475,811   $1,487,362   $1,474,391 

 

 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Ginnie Mae Construction Securities (5.3% of net assets)

 

   Interest Rates1      Unfunded             
   Permanent   Construction   Maturity Date  Commitments2   Face Amount   Amortized Cost   Value 
                            
Multifamily   3.25%   3.25%  Jun-2059  $6,077   $25,423   $26,058   $25,253 
    3.30%   4.30%  Nov-2058   192    20,333    20,935    20,477 
    3.34%   3.34%  Sep-2059   10,226    32,535    33,392    32,246 
    3.35%   3.35%  Aug-2059   2,386    4,301    4,504    4,240 
    3.38%   3.38%  Aug-2059   25,900    9,636    10,526    8,973 
    3.38%   3.38%  Aug-2059   6,677    38,008    38,906    38,453 
    3.38%   3.38%  Jan-2060   7,799    52,605    52,616    52,126 
    3.39%   3.39%  Feb-2059   1,424    13,251    13,546    13,405 
    3.48%   3.48%  May-2059   1,100    13,478    13,783    13,809 
    3.57%   3.57%  Nov-2059   24,936    24,824    25,572    25,203 
    3.65%   3.65%  Nov-2058   157    10,437    10,602    10,622 
    3.74%   4.24%  Aug-2059   5,091    10,844    11,163    11,350 
    3.78%   7.00%  Aug-2060   39,915    25    328    1,027 
    4.15%   4.15%  Sep-2051   455    17,412    17,474    17,488 
    4.15%   4.15%  Apr-2060   8,187    19,138    19,821    21,313 
    4.19%   4.19%  May-2060   27,847    743    1,129    2,108 
    4.20%   4.20%  Aug-2060   32,504    15,255    16,214    17,297 
    4.29%   4.29%  Jan-2060   5,209    1,716    1,865    2,190 
    4.35%   4.35%  Jul-2060 - Feb-2061   14,190    —    280    365 
    4.40%   4.40%  Sep-2060   8,700    500    707    1,098 
    4.53%   4.53%  Jan-2061   14,552    365    812    1,444 
Total Ginnie Mae Construction Securities         $243,524   $310,829   $320,233   $320,487 

 

 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Fannie Mae Securities (43.7% of net assets)

 

   Interest Rate       Maturity Date  Face Amount   Amortized Cost   Value 
                        
Single Family   2.42%4   12M LIBOR+169   Oct-2042  $9,155   $9,356   $9,411 
    2.74%4   1M LIBOR+25   Mar-2037   255    253    254 
    2.79%4   1M LIBOR+30   Jul-2043   10,637    10,571    10,534 
    2.81%4   1M LIBOR+32   Jun-2037   1,317    1,318    1,310 
    2.84%4   1M LIBOR+35   Mar-2043 - Nov-2047   42,888    42,907    42,559 
    2.87%4   1M LIBOR+38   Nov-2042   5,425    5,427    5,390 
    2.89%4   1M LIBOR+40   Apr-2037 - Oct-2044   14,241    14,265    14,174 
    2.94%4   1M LIBOR+45   Oct-2042   7,904    7,947    7,885 
    2.95%4   1M LIBOR+46   Oct-2042   4,643    4,663    4,646 
    2.99%4   1M LIBOR+50   Dec-2040 - Feb-2043   28,547    28,475    28,565 
    3.00%       Apr-2031 - Jun-2046   52,647    54,315    52,637 
    3.01%4   1M LIBOR+52   Jun-2042   3,313    3,330    3,316 
    3.04%4   1M LIBOR+55   Mar-2042   7,420    7,432    7,437 
    3.08%4   1M LIBOR+59   Mar-2041   4,652    4,686    4,676 
    3.09%4   1M LIBOR+60   Mar-2042 - Oct-2043   11,892    11,934    11,947 
    3.19%4   1M LIBOR+70   Dec-2040   2,305    2,312    2,320 
    3.50%       Oct-2026 - Jan-2048   208,267    213,674    212,045 
    3.88%4   12M LIBOR+158   Apr-2034   709    723    739 
    3.98%4   1Y UST+211   May-2033   349    350    366 
    4.00%       May-2020 - Jun-2048   152,943    158,148    158,470 
    4.10%   6M LIBOR+155   Nov-2033   1,466    1,466    1,507 
    4.11%4   12M LIBOR+153   Feb-2045   7,753    7,903    7,909 
    4.30%4   12M LIBOR+154   Jul-2033   226    226    235 
    4.37%4   1Y UST+222   Jul-2033   1,151    1,154    1,212 
    4.39%4   1Y UST+219   Aug-2033   827    826    870 
    4.47%4   1Y UST+222   Aug-2033   540    540    569 
    4.48%4   6M LIBOR+161   Aug-2033   144    144    148 
    4.50%       May-2024 - Dec-2048   118,392    122,802    124,189 
    4.54%4   12M LIBOR+164   Nov-2034   636    649    664 
    5.00%       Nov-2019 - Apr-2041   11,657    12,002    12,544 
    5.50%       May-2020 - Jun-2038   5,814    5,829    6,345 
    6.00%       Nov-2028 - Nov-2037   4,183    4,204    4,694 
    6.50%       Sep-2028 - Jul-2036   631    644    708 
    7.00%       Sep-2027 - May-2032   755    756    850 
    7.50%       Jan-2027 - Sep-2031   273    273    301 
    8.00%       Apr-2030 - May-2031   51    51    52 
    8.50%       Dec-2021 - Apr-2031   5    5    5 
                 724,013    741,560    741,483 
                             
Multifamily   2.21%       Dec-2022   29,454    29,461    29,082 
    2.24%       Dec-2022   29,669    29,675    29,324 
    2.26%       Nov-2022   6,183    6,192    6,118 
    2.34%       Sep-2026   28,500    28,629    27,669 
    2.38%       Jul-2026   21,840    21,872    21,271 
    2.44%       Aug-2026   22,400    22,400    21,831 
    2.46%       Aug-2026   25,830    25,838    24,827 
    2.48%       Oct-2028   24,990    25,079    24,170 
    2.49%       Dec-2026   16,404    16,442    16,096 
    2.50%       Jun-2026   60,000    60,000    58,795 
    2.50%       Jul-2026   37,680    37,750    36,796 
    2.57%       Sep-2028   40,100    40,600    39,183 
    2.70%       Nov-2025   15,617    15,632    15,585 
    2.72%       Jul-2028   36,400    36,772    35,884 
    2.75%       Jul-2028   15,584    15,758    15,396 
    2.79%4   1M LIBOR+28   Mar-2028   35,971    35,971    36,036 
    2.80%       Apr-2025   15,796    15,956    15,524 
    2.80%4   1M LIBOR+29   Feb-2028   30,420    30,428    30,478 
    2.81%       Sep-2027   12,400    12,490    12,292 
    2.82%4   1M LIBOR+31   Mar-2028   38,275    38,290    38,346 
    2.85%       Mar-2022   33,000    33,004    33,195 
    2.85%       Dec-2027   23,590    23,652    23,536 
    2.85%4   1M LIBOR+34   Dec-2024   60,000    60,006    60,045 
    2.85%4   1M LIBOR+34   Jan-2028   22,425    22,431    22,449 
    2.86%4   1M LIBOR+35   Dec-2027 - Jan-2028   52,050    52,060    52,123 
    2.87%       Oct-2027   9,425    9,528    9,379 
    2.88%       Oct-2024   10,129    10,121    10,072 
    2.91%4   1M LIBOR+40   Sep-2028   26,082    26,086    26,136 
    2.91%       Jun-2031   25,000    25,197    24,070 
    2.92%       Jun-2027   70,228    70,342    70,168 
    2.92%       Apr-2028   15,950    16,050    15,910 
    2.93%4   1M LIBOR+42   Aug-2027   35,483    35,491    35,530 
    2.94%       Jun-2027   29,000    29,049    28,843 
    2.94%       Jul-2039   12,134    12,288    12,020 
    2.94%       Sep-2027   30,000    30,200    30,006 
    2.95%4   1M LIBOR+44   Nov-2022 - May-2027   39,655    39,661    39,678 
    2.97%       May-2026 - Nov-2032   33,105    33,532    32,684 
    2.99%       Jun-2025   2,718    2,724    2,769 
    3.00%       May-2027 - Mar-2028   16,010    16,040    16,111 
    3.02%       Jun-2027 - Nov-2029   40,026    40,213    40,223 
    3.04%       Apr-2030   25,100    25,196    25,036 
    3.05%       Apr-2030   27,818    27,854    27,938 
    3.08%       Jul-2029   12,814    12,859    12,903 

 

 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Fannie Mae Securities (43.7% of net assets)

 

   Interest Rate       Maturity Date  Face Amount   Amortized Cost   Value 
    3.10%       Sep-2029   8,515    8,558    8,573 
    3.12%       Mar-2025 - Apr-2030   26,238    26,382    25,966 
    3.14%       Apr-2029   7,889    7,912    8,002 
    3.15%       Jan-2027   20,269    20,301    20,672 
    3.17%       Jul-2029   25,350    25,529    25,708 
    3.17%       Sep-2029   13,862    13,922    13,869 
    3.18%       Sep-2029 - May-2035   22,292    22,637    22,344 
    3.20%       Oct-2027   10,413    10,474    10,660 
    3.21%       May-2030   6,996    7,115    7,069 
    3.24%       Aug-2027   9,420    9,558    9,463 
    3.25%       Nov-2027   10,407    10,469    10,692 
    3.26%       Jan-2027   7,503    7,528    7,720 
    3.31%       Oct-2027   15,981    16,146    16,484 
    3.32%       Apr-2029   20,080    20,188    20,447 
    3.33%       Jan-2023   9,137    9,135    9,184 
    3.34%       Dec-2029 - Jan-2030   29,350    29,848    29,630 
    3.35%       Feb-2029   19,666    19,945    20,319 
    3.36%       Dec-2023 - Oct-2029   19,318    19,344    19,900 
    3.40%       Oct-2026   2,966    2,981    3,066 
    3.41%       Sep-2023 - Apr-2029   55,601    56,082    57,248 
    3.42%       Apr-2035   5,385    5,475    5,369 
    3.46%       Dec-2023   3,487    3,493    3,625 
    3.54%       Oct-2021   6,917    6,922    7,055 
    3.61%       Sep-2023   6,350    6,378    6,619 
    3.63%       Jul-2035   21,987    22,022    22,427 
    3.66%       Oct-2023   4,660    4,685    4,872 
    3.67%       Mar-2028   14,080    14,318    14,616 
    3.69%       Jun-2030   24,863    24,863    26,264 
    3.77%       Dec-2033   10,500    10,713    10,797 
    3.87%       Sep-2023   2,452    2,478    2,576 
    4.06%       Oct-2025   23,271    23,323    24,917 
    4.15%       Jun-2021   8,803    8,805    9,029 
    4.25%       May-2021   3,963    3,963    4,060 
    4.27%       Jan-2034   75,058    75,378    80,610 
    4.32%       Nov-2019   739    739    743 
    4.33%       Nov-2019 - Mar-2021   11,425    11,425    11,568 
    4.44%       May-2020   5,564    5,565    5,625 
    4.50%       Feb-2020   3,917    3,917    3,943 
    4.52%       May-2021   3,896    3,899    4,017 
    4.56%       Jul-2019   6,790    6,790    6,806 
    4.69%       Jan-2020 - Jun-2035   12,955    12,971    13,108 
    4.71%       Mar-2021   5,464    5,468    5,630 
    4.73%       Feb-2021   1,439    1,440    1,482 
    4.80%       Jun-2019   1,970    1,970    1,973 
    5.12%       Jul-2019   8,008    8,008    8,036 
    5.13%       Jul-2019   810    810    813 
    5.15%       Oct-2022   1,244    1,246    1,298 
    5.25%       Jan-2020   6,291    6,291    6,370 
    5.29%       May-2022   4,861    4,861    5,173 
    5.30%       Aug-2029   5,169    5,109    5,810 
    5.47%       Aug-2024   7,639    7,652    7,692 
    5.60%       Jan-2024   9,350    9,350    9,774 
    5.69%       Jun-2041   4,536    4,649    5,246 
    5.75%       Jun-2041   2,201    2,264    2,525 
    5.91%       Mar-2037   1,750    1,778    1,957 
    5.96%       Jan-2029   308    309    314 
    6.06%       Jul-2034   8,143    8,279    8,211 
    6.15%       Jan-2023   3,414    3,414    3,499 
    6.23%       Sep-2034   1,190    1,220    1,280 
    6.38%       Jul-2021   4,793    4,794    5,042 
    7.20%       Aug-2029   682    676    712 
    7.75%       Dec-2024   999    999    1,017 
    8.40%       Jul-2023   222    222    228 
    8.50%       Nov-2019   403    403    407 
                 1,874,456    1,882,207    1,885,678 
                             
When Issued5   3.33%       May-2026   11,100    11,156    11,356 
    3.46%       Apr-2031   12,746    12,854    12,994 
    3.65%       Apr-2031   9,700    9,833    10,150 
                 33,546    33,843    34,500 
Total Fannie Mae Securities           $2,632,015   $2,657,610   $2,661,661 

 

 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Freddie Mac Securities (13.2% of net assets)

 

   Interest Rate       Maturity Date  Face Amount   Amortized Cost   Value 
                        
Single Family   2.50%       Jan-2043 - Aug-2046  $16,563   $16,796   $16,100 
    2.78%4   1M LIBOR+30   Feb-2036   912    912    910 
    2.81%4   1M LIBOR+33   May-2037   79    79    79 
    2.83%4   1M LIBOR+35   Apr-2036 - Mar-2045   23,976    23,994    23,789 
    2.88%4   1M LIBOR+40   Aug-2043   4,480    4,478    4,460 
    2.96%4   1M LIBOR+48   Oct-2040   3,627    3,624    3,625 
    2.98%4   1M LIBOR+50   Oct-2040 - Jun-2044   32,213    32,229    32,228 
    3.00%       Aug-2042 - Sep-2046   67,751    69,264    67,772 
    3.03%4   1M LIBOR+55   Nov-2040   4,262    4,300    4,273 
    3.15%4   1M LIBOR+67   Aug-2037   3,667    3,708    3,694 
    3.50%       Jan-2026 - Oct-2046   168,816    173,124    172,047 
    4.00%       Aug-2020 - Aug-2047   153,799    160,295    159,486 
    4.00%       Sep-2045   29,301    30,619    30,377 
    4.21%4   1Y UST+222   Jun-2033   223    222    234 
    4.50%       Jan-2038 - Dec-2044   46,943    49,087    49,753 
    4.52%4   12M LIBOR+177   Jul-2035   118    118    124 
    4.60%4   1Y UST+222   Oct-2033   461    458    485 
    5.00%       Nov-2019 - Mar-2041   6,080    6,105    6,488 
    5.50%       May-2020 - Jul-2038   3,146    3,136    3,432 
    6.00%       Jul-2021 - Feb-2038   4,385    4,428    4,913 
    6.50%       Apr-2028 - Nov-2037   626    632    714 
    7.00%       Apr-2028 - Mar-2030   50    48    57 
    7.50%       Aug-2029 - Apr-2031   49    48    54 
    8.00%       Dec-2029   1    1    1 
    8.50%       Jul-2024 - Jan-2025   58    58    63 
    9.00%       Mar-2025   30    30    33 
                 571,616    587,793    585,191 
                             
Multifamily   2.82%4   1M LIBOR+33   Sep-2024   19,909    19,910    19,862 
    2.91%4   1M LIBOR+42   May-2027   15,312    15,313    15,294 
    3.02%4   1M LIBOR+53   Jan-2029   15,000    15,000    15,005 
    3.14%4   1M LIBOR+65   Jan-2023   5,157    5,157    5,158 
    3.19%4   1M LIBOR+70   Sep-2022   9,348    9,343    9,352 
    3.28%       Dec-2029   16,737    17,062    16,999 
    3.34%       Dec-2029   9,824    10,060    10,025 
    3.35%       Oct-2033   33,450    33,261    33,615 
    3.38%       Apr-2030   14,489    14,882    14,832 
    3.48%       Jun-2030   18,909    19,572    19,514 
    3.50%       Jan-2026   18,000    18,171    18,587 
    3.60%       Apr-2030   25,885    27,026    26,968 
    3.68%       Oct-2025   10,000    10,230    10,415 
                212,020    214,987    215,626 
Total Freddie Mac Securities           $783,636   $802,780   $800,817 

 

 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

State Housing Finance Agency Securities (4.7% of net assets)

 

      Interest Rates1      Unfunded             
   Issuer  Permanent   Construction   Maturity Date  Commitments2   Face Amount   Amortized Cost   Value 
                               
Multifamily  Connecticut Housing Finance Auth6   —    3.25%  Nov-2019  $1,265   $21,235   $21,196   $21,346 
   NYC Housing Development Corp   2.95%   —   Nov-2045   —    5,000    5,000    5,144 
   NYC Housing Development Corp   3.10%   —   Oct-2046   —    24,542    24,542    24,495 
   Connecticut Housing Finance Auth   3.25%   —   May-2050   —    12,500    12,385    11,495 
   NYC Housing Development Corp   3.75%   —   May-2035   —    4,405    4,405    4,517 
   Mass Housing6   3.85%   —   Dec-2058   —    9,945    9,942    9,417 
   NYC Housing Development Corp   3.95%   —   Nov-2043   —    15,000    15,000    15,503 
   NYC Housing Development Corp   4.00%   —   Dec-2028 - Nov-2048   —    15,000    15,103    15,622 
   MassHousing   4.04%   —   Nov-2032   —    1,305    1,305    1,325 
   MassHousing   4.13%   —   Dec-2036   —    5,000    5,000    5,168 
   NYC Housing Development Corp   4.13%   —   Nov-2053   —    10,000    10,000    10,301 
   NYC Housing Development Corp   4.20%   —   Dec-2039   —    8,305    8,305    8,517 
   NYC Housing Development Corp   4.25%   —   Nov-2025   —    1,150    1,150    1,166 
   NYC Housing Development Corp   4.29%   —   Nov-2037   —    1,190    1,190    1,213 
   Chicago Housing Authority   4.36%   —   Jan-2038   —    25,000    25,000    26,433 
   NYC Housing Development Corp   4.40%   —   Nov-2024   —    4,120    4,120    4,130 
   NYC Housing Development Corp   4.44%   —   Nov-2041   —    1,120    1,120    1,144 
   NYC Housing Development Corp   4.49%   —   Nov-2044   —    455    455    463 
   NYC Housing Development Corp   4.50%   —   Nov-2030   —    1,680    1,682    1,708 
   MassHousing   4.50%   —   Jun-2056   —    45,000    45,000    45,956 
   NYC Housing Development Corp   4.60%   —   Nov-2030   —    4,665    4,665    4,732 
   NYC Housing Development Corp   4.70%   —   Nov-2035   —    1,685    1,685    1,716 
   NYC Housing Development Corp   4.78%   —   Aug-2026   —    12,500    12,502    12,886 
   NYC Housing Development Corp   4.80%   —   Nov-2040   —    2,860    2,862    2,911 
   NYC Housing Development Corp   4.90%   —   Nov-2034 - Nov-2041   —    8,800    8,800    8,872 
   NYC Housing Development Corp   4.95%   —   Nov-2039 - May-2047   —    13,680    13,682    13,795 
   MassHousing   5.55%   —   Nov-2039   —    5,000    4,982    5,016 
   MassHousing   6.42%   —   Nov-2039   —    22,000    22,000    22,068 
Total State Housing Finance Agency Securities               $1,265   $283,142   $283,078   $287,059 

 

 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Other Mutifamily Investments (0.3% of net assets)

 

    Interest Rates1                        
Issuer  Permanent   Construction      Maturity Date   Face Amount   Amortized Cost   Value 
Direct Loans                                 
Harry Silver Housing Company, Inc. (Level 3)   —    7.49%4  1M LIBOR+500   May-2019   $5,197   $5,204   $5,154 
Harry Silver Housing Company, Inc. (Level 3)   —    7.49%4  1M LIBOR+500   May-2019    207    208    205 
                      5,404    5,412    5,359 
Privately Insured Construction/Permanent Mortgages7                                 
IL Housing Development Authority   5.40%   —       Mar-2047    7,928    7,930    7,907 
IL Housing Development Authority   6.20%   —       Dec-2047    3,017    3,026    3,007 
IL Housing Development Authority   6.40%   —       Nov-2048    914    925    911 
                      11,859    11,881    11,825 
Total Other Multifamily Investments                    $17,263   $17,293   $17,184 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (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   $10,150   $10,002 
Nomura   3.19%  Mar-2046   20,000    20,359    20,279 
JP Morgan   3.48%  Jun-2045   10,000    10,427    10,140 
Citigroup   3.62%  Jul-2047   8,000    8,195    8,243 
Barclays/ JP Morgan   3.81%  Jul-2047   2,250    2,305    2,340 
RBS/ Wells Fargo   3.82%  Aug-2050   5,000    5,126    5,196 
Deutsche Bank/UBS   3.96%  Mar-2047   5,000    5,122    5,233 
Barclays/ JP Morgan   4.00%  Apr-2047   5,000    5,123    5,241 
Cantor/Deutsche Bank   4.01%  Apr-2047   20,000    20,488    21,002 
Barclays/ JP Morgan   4.08%  Feb-2047   6,825    7,148    7,179 
Cantor/Deutsche Bank   4.24%  Feb-2047   7,000    7,169    7,390 
Deutsche Bank   5.00%  Nov-2046   18,990    19,412    19,524 
Total Commercial Mortgage Backed Securities      $118,065   $121,024   $121,769 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

United States Treasury Securities (3.4% of net assets)

 

 Interest Rate   Maturity Date    Face Amount    Amortized Cost    Value 
                       
 1.63%   May-2026   $10,000   $10,070    9,538 
 2.13%   May-2025    15,000    14,894    14,841 
 2.25%   Nov-2024    30,000    30,528    29,940 
 2.25%   Nov-2025    5,000    5,082    4,977 
 2.38%   Aug-2024    50,000    50,329    50,251 
 2.63%   Feb-2029    20,000    20,364    20,369 
 2.75%   Aug-2047 - Nov-2047    30,000    28,477    29,580 
 2.88%   Aug-2028    10,000    9,820    10,390 
 3.00%   Aug-2048    15,000    14,901    15,535 
 3.13%   Nov-2028    20,000    20,480    21,217 
 Total United States Treasury Securities   $205,000   $204,945   $206,638 
                       
 Total Fixed-Income Investments   $5,976,769   $6,046,347   $6,039,215 

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Equity Investment in Wholly-Owned Subsidiary (less than 0.01% of net assets)

 

      Amount of   
   Face  Dividends   
Issuer  Amount (Cost)  or Interest  Value
          
HIT Advisers8 (Level 3)     $1   $—   $(470)
Total Equity Investment  $1   $—   $(470)

 

 

Schedule of Portfolio Investments

 

March 31, 2019 (dollars in thousands; unaudited)

 

Short-Term Investments (1.4% of net assets)

 

Issuer  Interest Rate  Maturity Date  Face Amount  Amortized Cost  Value
                
Commercial Paper                       
Halkin Finance, LLC   2.45%9  Apr-2019  $40,000   $40,000   $40,000 
Société Genérale S.A.   2.39%9  Apr-2019   20,000    20,000    20,000 
                        
Blackrock Federal Funds   2.40%10  Apr-2019   26,175    26,175    26,175 
Total Short-Term Investments          $86,175   $86,175   $86,175 
                        
Total Investments          $6,062,945   $6,132,523   $6,124,920 

 

 

Schedule of Portfolio Investments

 

March 31, 2019

 

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 $255.8 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.

 

3Federally tax-exempt bonds collateralized by Ginnie Mae securities.

 

4The interest rate shown on these floating or adjustable rate securities represents the rate at period end.  Referenced rate and spread in basis points is also included.

 

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 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.

 

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 of HIT Advisors and its subsidiary on a consolidated basis. The participation interest is not registered under the federal securities laws.

 

9Rate indicated is the effective yield at the time of purchase.

 

10Rate indicated is the annualized 1-day yield as of March 31, 2019.

     
Key to abbreviations
     
  M Month
  Y Year
  LIBOR London Interbank Offered Rate
  UST U.S. Treasury

 

 

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited

 

As of March 31, 2019

 

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, 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 such circumstances, the Valuation Committee will employ a valuation method that it believes best reflects fair value for that asset, which may include the referral of the asset to an independent valuation consultant or the utilization of a discounted cash flow model based on broker and/or other market inputs. The frequency with which these fair value procedures may be used cannot be predicted. However, on March 31, 2019 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 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.

 

 

The following table presents the HIT’s valuation levels as of March 31, 2019:

 

Investment Securities:

($ in thousands)

 

 

Level 1

 

Level 2

 

Level 3

 

Total

             
FHA Permanent Securities  $—   $140,232   $—   $140,232 
FHA Construction Securities   —    8,977    —    8,977 
Ginnie Mae Securities   —    1,474,391    —    1,474,391 
Ginnie Mae Construction Securities   —    320,487    —    320,487 
Fannie Mae Securities   —    2,627,161    —    2,627,161 
Freddie Mac Securities   —    800,817    —    800,817 
Commercial Mortgage-Backed Securities   —    121,769    —    121,769 
State Housing Finance Agency Securities   —    287,059    —    287,059 
Other Multifamily Investments                    
Direct Loans   —    —    5,359    5,359 
Privately Insured Construction/Permanent Mortgages   —    11,825    —    11,825 
Total Other Multifamily Investments   —    11,825    5,359    17,184 
United States Treasury Securities   —    206,638    —    206,638 
Equity Investments   —    —    (470)   (470)
Short-Term Investments   86,175    —    —    86,175 
Other Financial Instruments*   —    34,500    —    34,500 
Total Investment  $86,175   $6,033,856   $4,889   $6,124,920 

 

*If held in the portfolio at report date, other financial instruments include forward commitments, TBA and when-issued securities.

 

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended March 31, 2019.

 

Investments in Securities ($ in thousands)
   Other
Multifamily Investments		  Equity Investments  Total
Beginning balance,12/31/2018  $4,867   $(367)  $4,500 
Total Unrealized Gain(Loss)(a)   492    (103)   389 
Ending balance, 3/31/2019  $5,359   $(470)  $4,889 

(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at March 31, 2019 totaled $389,000.

 

 

Level 3 securities primarily consist of Direct Loans (Other Multifamily Investments) which were valued by an independent pricing service at March 31, 2019 utilizing a discounted cash flow model. Weighted average lives for the loans were 0.17. Unobservable inputs include spreads to relevant U.S. Treasuries of 750 basis points. A change in unobservable inputs may impact the value of the loans.

 

Federal Income Taxes

 

At March 31, 2019, investments for federal income tax purposes approximated book cost at amortized cost of $6,132,523,000.  Net unrealized losses aggregated $7,603,000 at period-end, of which $59,115,000 related to appreciated investments and $66,718,000 related to depreciated investments.

 

Note 2. 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 subsidiary of 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.

 

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 March 31, 2019, HIT Advisers had no assets under management.

 

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, 12/31/2018  $808 
Advances in 2019   13 
Repayment by HIT Advisers in 2019   — 
Ending Balance, 3/31/2019  $821 

 

 

Building America

 

Building America, a wholly owned subsidiary of HIT Advisers, is a Community Development Entity, certified by the Community Development Financial Institutions Fund (CFDI Fund) of the U.S. Department of 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 Building America by the HIT is included in the table below:

 

Advances to BACDE by HIT $ in Thousands
Beginning Balance, 12/31/2018  $64 
Advances in 2019   270 
Repayment by BACDE in 2019   (334)
Ending Balance, 3/31/2019  $— 

 

Summarized financial information on a consolidated basis for HIT Advisers and Building America is included in the table below:

 

   $ in Thousands
As of March 31, 2019
Assets  $658 
Liabilities  $1,128 
Equity  $(470)
      
For the three months ended March 31, 2019
Income  $200 
Expenses   (301)
Tax Expense   — 
Net Income (Loss)  $(101)