NPORT-EX 2 nport-ex.htm SCHEDULE OF INVESTMENTS

 

Item 1. Schedule of Investments

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

FHA Permanent Securities (2.1% of net assets)

 

   Interest Rate  Maturity Date  Face Amount  Amortized Cost  Value
Multifamily   3.65%  Dec-2037  $8,656   $8,820   $8,725 
    3.75%  Aug-2048   3,825    3,821    3,824 
    4.00%  Dec-2053   62,909    62,886    64,760 
    4.79%  May-2053   5,109    5,334    5,725 
    5.17%  Feb-2050   7,763    8,323    8,379 
    5.35%  Mar-2047   7,026    7,035    7,045 
    5.55%  Aug-2042   7,489    7,491    7,511 
    5.60%  Jun-2038   2,257    2,260    2,264 
    5.80%  Jan-2053   1,992    2,001    2,248 
    5.87%  May-2044   1,694    1,693    1,698 
    5.89%  Apr-2038   4,247    4,251    4,262 
    6.20%  Apr-2052   11,254    11,250    12,972 
    6.40%  Aug-2046   3,661    3,663    3,824 
    6.60%  Jan-2050   3,272    3,296    3,700 
    7.50%  Sep-2032   1,182    1,180    1,190 
Total FHA Permanent Securities          $132,336   $133,304   $138,127 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

FHA Construction Securities (0.3% of net assets)

 

   Interest Rates1     Unfunded         
   Permanent  Construction  Maturity Date  Commitments2  Face Amount  Amortized Cost  Value
Multifamily   4.10%   2.50%  Oct-2060  $5,500   $16,500   $16,509   $16,751 
Total FHA Construction Securities               $5,500   $16,500   $16,509   $16,751 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Ginnie Mae Securities (23.1% of net assets)

 

   Interest Rate  Maturity Date  Face Amount  Amortized Cost  Value
                
Single Family   4.00%  Feb-2040 - Jun-2040  $2,770   $2,798   $2,961 
    4.50%  Aug-2040   1,726    1,759    1,889 
    5.50%  Jan-2033 - Jun-2037   1,697    1,693    1,888 
    6.00%  Jan-2032 - Aug-2037   1,172    1,174    1,331 
    6.50%  Jul-2028   48    48    54 
    7.00%  Apr-2026 - Jan-2030   750    750    842 
    7.50%  Aug-2025 - Aug-2030   372    374    414 
    8.00%  Sep-2026 - Nov-2030   311    312    349 
    8.50%  Jun-2022 - Aug-2027   173    174    188 
    9.00%  Dec-2022 - Jun-2025   10    10    12 
    9.50%  Sep-2021 - Sep-2030   19    20    22 
            9,048    9,112    9,950 
                        
Multifamily   1.73%  May-2042   1,718    1,720    1,707 
    2.15%  May-2056   6,850    6,837    6,804 
    2.18%  May-2039   1,597    1,607    1,593 
    2.20%  Jun-2056   7,322    7,306    7,289 
    2.25%  Dec-2048   9,227    9,153    9,213 
    2.30%  Mar-2056 - Oct-2056   73,953    73,512    73,649 
    2.31%  Nov-2051   7,076    7,076    7,005 
    2.35%  Dec-2040 - Nov-2056   15,917    15,967    15,859 
    2.40%  Aug-2047   9,779    9,796    9,778 
    2.43%  Nov-2038   11,674    11,718    11,675 
    2.50%  Jul-2045 - Mar-2057   35,285    35,290    35,214 
    2.50%  Sep-2058   38,248    37,576    38,551 
    2.53%  Jul-2038 - Feb-2040   23,480    23,758    23,562 
    2.60%  Apr-2048 - Apr-2056   49,998    50,257    50,269 
    2.61%  Jan-2053   51,015    51,410    51,326 
    2.70%  May-2048 - Jul-2058   57,160    57,525    57,811 
    2.72%  Feb-2044   499    512    501 
    2.79%  Apr-2049   16,432    16,596    16,680 
    2.80%  Feb-2053   60,000    57,000    60,971 
    2.80%  Dec-2059   25,649    25,284    26,078 
    2.82%  Apr-2050   1,500    1,531    1,532 
    2.87%  Feb-2036 - Dec-2043   20,798    21,003    20,893 
    2.89%  Mar-2046   32,000    32,198    32,552 
    3.00%  Feb-2041 - Mar-2051   25,239    25,325    25,676 
    3.05%  May-2044 - May-2054   26,012    26,154    26,416 
    3.10%  Jan-2044 - May-2059   47,918    48,107    48,673 
    3.11%  Jan-2049   17,025    17,646    17,608 
    3.13%  Nov-2040   23    23    23 
    3.20%  Jul-2041 - Sep-2051   15,000    14,903    15,358 
    3.25%  Sep-2054   35,000    34,694    36,422 
    3.25%  Apr-2059   45,000    43,126    47,698 
    3.26%  Nov-2043   20,000    20,031    20,716 
    3.30%  May-2055 - Nov-2058   30,328    30,409    32,421 
    3.33%  Jun-2043   15,000    15,462    15,370 
    3.35%  Nov-2042 - Mar-2044   25,000    24,522    25,871 
    3.36%  Jul-2046   7,760    7,993    8,096 
    3.37%  Dec-2046   19,200    19,440    19,908 
    3.40%  Mar-2057   5,081    5,122    5,478 
    3.47%  Apr-2051   2,887    2,984    2,920 
    3.49%  Feb-2044 - Aug-2058   15,226    15,693    16,418 
    3.50%  Sep-2041 - Apr-2057   83,763    85,451    88,830 
    3.51%  May-2042   10,000    10,148    10,490 
    3.53%  Apr-2042 - Jun-2054   41,201    43,486    44,875 
    3.55%  Apr-2057   42,133    43,233    43,918 
    3.60%  Sep-2052 - Jun-2057   20,461    21,221    22,210 
    3.61%  Nov-2044   7,382    7,583    7,455 
    3.62%  Sep-2051   4,602    4,785    4,653 
    3.62%  Dec-2057   29,186    29,732    31,644 
    3.67%  Nov-2035   15,372    15,938    16,457 
    3.68%  Jun-2057   27,082    27,860    29,579 
    3.68%   Aug-2057   14,425    14,757    15,827 
    3.75%  Apr-2046   6,781    6,798    7,053 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Ginnie Mae Securities (23.1% of net assets)

 

   Interest Rate  Maturity Date  Face Amount  Amortized Cost  Value
    3.81%  Jun-2045 - Dec-2045   25,614    25,466    26,715 
    3.85%  Jan-2056   31,837    32,127    34,731 
    3.90%  May-2049   3,658    3,910    3,675 
    3.92%  Aug-2039   44,687    47,488    47,674 
    4.10%  May-2051   3,955    4,304    4,347 
    4.25%  Sep-2038   34,034    34,203    36,159 
    4.29%  Mar-2053   46,968    47,240    52,456 
    4.45%  Jun-2055   2,546    2,448    2,815 
    4.50%  May-2038   18,063    19,462    19,130 
    4.63%3  Sep-2037   1,500    1,465    1,504 
    4.70%  Oct-2056   3,315    3,481    3,732 
    4.90%3  Mar-2044   1,000    991    1,003 
    5.25%  Apr-2037   18,365    18,358    19,277 
    5.34%  Jul-2040   5,665    5,598    5,831 
            1,452,471    1,463,799    1,507,624 
Total Ginnie Mae Securities          $1,461,519   $1,472,911   $1,517,574 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Ginnie Mae Construction Securities (7.0% of net assets)

 

   Interest Rates1     Unfunded         
   Permanent  Construction  Maturity Date  Commitments2  Face Amount  Amortized Cost  Value
                      
Multifamily   3.25%   3.25%  Jun-2059  $1,233   $30,267   $30,902   $32,550 
    3.34%   3.34%  Sep-2059   1,419    41,343    42,200    44,874 
    3.35%   3.35%  Aug-2059   1,376    5,311    5,514    5,846 
    3.38%   3.38%  Aug-2059   9,383    26,151    27,042    28,977 
    3.38%   3.38%  Aug-2059   1,104    43,581    44,479    47,367 
    3.38%   3.38%  Jan-2060   2,695    57,709    57,720    62,958 
    3.39%   3.39%  Feb-2059   857    13,818    14,113    15,060 
    3.48%   3.48%  May-2059   476    14,101    14,406    15,451 
    3.57%   3.57%  Nov-2059   6,520    43,240    43,988    47,966 
    3.60%   3.60%  Apr-2061   30,875    3,310    4,507    5,764 
    3.65%   3.65%  Nov-2058   159    10,437    10,602    11,197 
    3.74%   4.24%  Aug-2059   740    15,195    15,513    16,772 
    3.75%   3.75%  Nov-2060   14,459    50    485    1,232 
    3.78%   7.00%  Aug-2060   39,915    25    329    3,384 
    4.15%   4.15%  Sep-2051   455    17,412    17,474    17,457 
    4.15%   4.15%  Apr-2060   2,294    25,031    25,718    28,752 
    4.19%   4.19%  May-2060   19,557    9,033    9,419    12,358 
    4.20%   4.20%  Aug-2060   11,605    36,155    37,113    42,077 
    4.21%   4.21%  May-2061   51,435    505    765    5,626 
    4.29%   4.29%  Jan-2060   506    6,419    6,568    7,322 
    4.35%   4.35%  Dec-2060   2,185    115    158    378 
    4.40%   4.40%  Sep-2060   7,700    1,500    1,710    2,609 
    4.53%   4.53%  Jan-2061   10,691    4,224    4,680    6,126 
Total Ginnie Mae Construction Securities     $217,639   $404,932   $415,405   $462,103 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Fannie Mae Securities (43.1% of net assets)

 

   Interest Rate4    Maturity Date  Face Amount  Amortized Cost  Value
                  
Single Family   2.27%  1M LIBOR+25   Mar-2037  $236   $234   $234 
    2.32%  1M LIBOR+30   Jul-2043   9,841    9,782    9,774 
    2.34%  1M LIBOR+32   Jun-2037   1,243    1,244    1,238 
    2.37%  1M LIBOR+35   Mar-2043 - Nov-2047   39,945    39,962    39,674 
    2.40%  1M LIBOR+38   Nov-2042   4,986    4,987    4,956 
    2.42%  1M LIBOR+40   Apr-2037 - Oct-2044   13,176    13,197    13,144 
    2.47%  1M LIBOR+45   Oct-2042   7,118    7,157    7,106 
    2.48%  1M LIBOR+46   Oct-2042   4,313    4,331    4,318 
    2.52%  1M LIBOR+50   Dec-2040 - Feb-2043   25,865    25,803    25,906 
    2.54%  1M LIBOR+52   Jun-2042   3,041    3,055    3,046 
    2.57%  1M LIBOR+55   Mar-2042   6,756    6,767    6,778 
    2.61%  1M LIBOR+59   Mar-2041   4,182    4,211    4,203 
    2.62%  1M LIBOR+60   Mar-2042 - Oct-2043   10,878    10,916    10,938 
    2.72%  1M LIBOR+70   Dec-2040   2,037    2,043    2,051 
    3.00%      Apr-2031 - Jun-2046   49,050    50,550    50,297 
    3.50%      Oct-2026 - Apr-2049   200,051    205,095    207,826 
    3.59%  12M LIBOR+170   Oct-2042   6,588    6,728    6,793 
    4.00%      May-2020 - Jun-2048   137,701    142,289    144,942 
    4.07%  12M LIBOR+153   Feb-2045   6,156    6,272    6,343 
    4.11%  6M LIBOR+161   Aug-2033   141    140    145 
    4.17%  6M LIBOR+155   Nov-2033   1,353    1,354    1,391 
    4.23%  12M LIBOR+153   Jul-2033   193    192    201 
    4.28%  1Y UST+222   Aug-2033   527    526    555 
    4.46%  12M LIBOR+156   Apr-2034   625    637    651 
    4.50%      May-2024 - Dec-2048   103,125    106,894    109,740 
    4.57%  12M LIBOR+170   Nov-2034   515    526    539 
    4.61%  1Y UST+222   Jul-2033   1,043    1,046    1,098 
    4.61%  1Y UST+220   Aug-2033   723    722    761 
    4.63%  1Y UST+211   May-2033   340    341    358 
    5.00%      Nov-2019 - Apr-2041   11,027    11,345    12,099 
    5.50%      May-2020 - Jun-2038   5,199    5,213    5,789 
    6.00%      Nov-2028 - Nov-2037   3,520    3,532    4,012 
    6.50%      Sep-2028 - Jul-2036   577    588    654 
    7.00%      Sep-2027 - May-2032   707    708    806 
    7.50%      Jan-2027 - Sep-2031   227    228    254 
    8.00%      Apr-2030 - May-2031   46    46    47 
                663,051    678,661    688,667 
                            
Multifamily   2.21%      Dec-2022   29,052    29,058    29,334 
    2.24%      Dec-2022   29,302    29,306    29,611 
    2.26%      Nov-2022   6,111    6,117    6,177 
    2.34%      Sep-2026   28,500    28,610    29,105 
    2.37%  1M LIBOR+28   Mar-2028   35,971    35,971    36,023 
    2.38%      Jul-2026   21,840    21,867    22,346 
    2.38%  1M LIBOR+29   Feb-2028   30,420    30,427    30,466 
    2.40%  1M LIBOR+31   Mar-2028   38,275    38,288    38,331 
    2.43%  1M LIBOR+34   Dec-2024   60,000    60,005    60,028 
    2.43%      Jan-2028   22,425    22,430    22,444 
    2.43%  1M LIBOR+35   Jan-2028   20,000    20,004    20,011 
    2.44%      Aug-2026   22,370    22,370    22,968 
    2.44%  1M LIBOR+35   Dec-2027   32,050    32,055    32,094 
    2.46%      Aug-2026   25,830    25,837    26,067 
    2.48%      Oct-2028   24,990    25,070    25,683 
    2.49%      Dec-2026   16,244    16,277    16,750 
    2.49%  1M LIBOR+40   Sep-2028   26,082    26,085    26,130 
    2.50%      Jun-2026   60,000    60,000    61,828 
    2.50%      Jul-2026   37,679    37,740    38,598 
    2.50%  1M LIBOR+42   Aug-2027   35,483    35,490    35,517 
    2.53%  1M LIBOR+44   May-2027   16,840    16,842    16,860 
    2.55%      Sep-2026   14,210    14,219    14,645 
    2.57%      Sep-2028   40,100    40,549    41,476 
    2.60%      Sep-2024   13,650    13,776    13,829 
    2.67%  1M LIBOR+58   May-2029   25,000    25,015    25,012 
    2.67%      Jun-2029   41,302    41,349    41,357 
    2.67%      Aug-2029   37,700    38,231    39,036 
    2.70%  1M LIBOR+40   Oct-2024   6,934    6,930    6,880 
    2.70%      Nov-2025   15,462    15,475    16,126 
    2.72%      Jul-2028   36,400    36,733    38,169 
    2.75%      Jul-2028   15,459    15,614    16,246 
    2.80%      Apr-2025   15,630    15,762    15,969 
    2.81%      Sep-2027   12,400    12,480    13,087 
    2.85%      Mar-2022   33,000    33,000    33,700 
    2.85%      Dec-2027 - Aug-2031   32,350    32,476    34,018 
    2.87%      Oct-2027   9,425    9,517    9,992 
    2.91%      Jun-2031   25,000    25,182    26,380 
    2.92%      Jun-2027   69,649    69,750    73,991 
    2.92%      Apr-2028   15,950    16,039    16,913 
    2.94%      Jun-2027   29,000    29,044    30,841 
    2.94%      Jul-2039   10,346    10,474    10,893 
    2.96%      Sep-2034   20,000    20,992    21,102 
    2.97%      May-2026 - Sep-2034   46,854    47,510    49,485 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Fannie Mae Securities (43.1% of net assets)

 

   Interest Rate4    Maturity Date  Face Amount  Amortized Cost  Value
    2.99%      Jun-2025   2,696    2,701    2,833 
    3.00%      May-2027 - Mar-2028   15,981    16,008    16,980 
    3.02%  1M LIBOR+85   Jan-2023   8,016    8,014    8,039 
    3.02%      Jun-2027 - Nov-2029   39,988    40,158    42,617 
    3.03%      Jun-2026   12,976    13,237    13,590 
    3.04%      Sep-2027   30,000    30,179    31,589 
    3.04%      Apr-2030   25,100    25,188    26,943 
    3.05%      Apr-2030   27,549    27,581    29,560 
    3.10%      Sep-2029   8,515    8,555    9,065 
    3.12%      Mar-2025 - Apr-2030   26,121    26,241    27,242 
    3.14%      Apr-2029   7,889    7,910    8,521 
    3.15%      Jan-2027   20,095    20,124    21,572 
    3.17%      Jun-2029 - Sep-2029   61,556    61,947    66,195 
    3.18%      May-2035   10,738    10,895    11,349 
    3.20%      Oct-2027   10,320    10,375    11,119 
    3.21%      May-2030   6,925    7,034    7,474 
    3.24%      Aug-2027   9,352    9,474    10,000 
    3.25%      Nov-2027   10,314    10,369    11,153 
    3.26%      Jan-2027   7,437    7,458    8,053 
    3.30%      Jul-2031   5,512    5,787    6,053 
    3.31%      Oct-2027   15,860    16,006    17,207 
    3.32%      Apr-2029   20,080    20,178    21,740 
    3.33%      May-2026   11,038    11,089    11,780 
    3.34%      Jan-2030   17,200    17,470    18,434 
    3.35%      Feb-2029   19,513    19,763    21,379 
    3.36%      May-2029 - Oct-2029   34,578    36,026    37,999 
    3.40%      Oct-2026   2,937    2,950    3,189 
    3.41%      Sep-2023 - Apr-2029   55,148    55,575    59,530 
    3.42%      Apr-2035   5,340    5,424    5,796 
    3.46%      Dec-2023 - Apr-2031   16,208    16,313    17,778 
    3.54%      Oct-2021   6,847    6,849    7,051 
    3.61%      Sep-2023   6,291    6,312    6,685 
    3.63%      Jul-2035   21,987    22,020    24,437 
    3.65%      Apr-2031   9,700    9,824    10,908 
    3.66%      Oct-2023   4,616    4,635    4,920 
    3.67%      Mar-2028   14,080    14,294    15,232 
    3.68%      Jul-2028   12,011    12,887    13,095 
    3.69%      Jun-2030   24,863    24,863    28,108 
    3.77%      Dec-2033   10,500    10,700    11,792 
    3.87%      Sep-2023   2,429    2,450    2,605 
    4.06%      Oct-2025   23,004    23,048    25,519 
    4.15%      Jun-2021   8,741    8,741    9,012 
    4.25%      May-2021   3,921    3,921    4,035 
    4.27%      Jan-2034   75,058    75,362    83,306 
    4.33%      Mar-2020 - Mar-2021   6,486    6,487    6,584 
    4.44%      May-2020   5,497    5,497    5,545 
    4.50%      Feb-2020   3,873    3,873    3,888 
    4.52%      May-2021   3,856    3,857    3,988 
    4.69%      Jan-2020 - Jun-2035   2,429    2,444    2,513 
    4.71%      Mar-2021   5,407    5,408    5,577 
    4.73%      Feb-2021   1,425    1,425    1,467 
    5.15%      Oct-2022   1,083    1,084    1,134 
    5.29%      May-2022   4,813    4,813    5,162 
    5.30%      Aug-2029   4,989    4,935    5,794 
    5.60%      Jan-2024   9,194    9,195    9,580 
    5.69%      Jun-2041   4,495    4,604    5,341 
    5.75%      Jun-2041   2,181    2,242    2,596 
    5.91%      Mar-2037   1,723    1,749    1,873 
    5.96%      Jan-2029   297    298    300 
    6.15%      Jan-2023   3,375    3,375    3,426 
    6.38%      Jul-2021   4,720    4,722    4,968 
    7.20%      Aug-2029   660    655    677 
    7.75%      Dec-2024   930    930    944 
    8.40%      Jul-2023   201    201    204 
                2,021,949    2,033,695    2,118,563 
                            
When Issued5   2.33%      Feb-2030   5,955    5,959    5,907 
    2.61%      Nov-2026   9,800    9,926    10,008 
    2.76%      Oct-2031   10,189    10,399    10,543 
                25,944    26,284    26,458 
Total Fannie Mae Securities          $2,710,944   $2,738,640   $2,833,688 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Freddie Mac Securities (12.3% of net assets)

 

   Interest Rate4    Maturity Date  Face Amount  Amortized Cost  Value
                  
Single Family   2.33%  1M LIBOR+30   Feb-2036  $782   $782   $780 
    2.36%  1M LIBOR+33   May-2037   78    78    78 
    2.38%  1M LIBOR+35   Apr-2036 - Mar-2045   22,046    22,060    21,938 
    2.43%  1M LIBOR+40   Aug-2043   4,157    4,156    4,147 
    2.50%      Jan-2043 - Aug-2046   15,738    15,951    15,760 
    2.51%  1M LIBOR+48   Oct-2040   3,392    3,389    3,392 
    2.53%  1M LIBOR+50   Oct-2040 - Jun-2044   29,332    29,346    29,370 
    2.58%  1M LIBOR+55   Nov-2040   3,928    3,962    3,940 
    2.70%  1M LIBOR+67   Aug-2037   3,343    3,380    3,369 
    3.00%      Aug-2042 - Sep-2046   63,499    64,870    65,262 
    3.50%      Jan-2026 - Oct-2046   155,698    159,558    162,344 
    4.00%      Aug-2020 - Aug-2047   163,311    170,097    172,470 
    4.40%  12M LIBOR+177   Jul-2035   115    115    121 
    4.50%      Jan-2038 - Dec-2044   42,470    44,348    45,792 
    4.59%  1Y UST+223   Oct-2033   373    371    393 
    4.72%  1Y UST+222   Jun-2033   143    142    150 
    5.00%      May-2022 - Mar-2041   5,193    5,203    5,642 
    5.50%      May-2020 - Jul-2038   2,927    2,917    3,265 
    6.00%      Jul-2021 - Oct-2037   4,095    4,135    4,668 
    6.50%      Apr-2028 - Nov-2037   613    619    716 
    7.00%      Apr-2028 - Mar-2030   48    46    54 
    7.50%      Aug-2029 - Apr-2031   44    44    51 
    8.00%      Dec-2029   1    1    1 
    8.50%      Jul-2024 - Jan-2025   52    52    56 
    9.00%      Mar-2025   28    28    31 
                521,406    535,650    543,790 
                            
Multifamily   2.40%      Jun-2031   7,444    7,586    7,488 
    2.41%      Jun-2031   11,732    11,970    11,814 
    2.42%      Jun-2031   11,768    12,020    11,861 
    2.42%  1M LIBOR+33   Sep-2024   15,130    15,130    15,101 
    2.51%  1M LIBOR+42   May-2027   13,519    13,518    13,470 
    2.54%      Jun-2029   20,000    20,193    20,554 
    2.62%  1M LIBOR+53   Jan-2029   15,000    15,000    14,977 
    2.74%  1M LIBOR+65   Jan-2023   3,431    3,431    3,432 
    2.79%  1M LIBOR+70   Sep-2022   6,607    6,604    6,608 
    3.28%      Dec-2029   16,628    16,925    17,948 
    3.34%      Dec-2029   9,770    9,985    10,610 
    3.35%      Oct-2033   33,450    33,270    35,844 
    3.38%      Apr-2030   14,405    14,764    15,652 
    3.48%      Jun-2030   18,802    19,409    20,561 
    3.50%      Jan-2026   18,000    18,148    19,091 
    3.60%      Apr-2030   25,723    26,765    28,329 
    3.68%      Oct-2025   10,000    10,198    10,718 
                251,409    254,916    264,058 
Total Freddie Mac Securities          $772,815   $790,566   $807,848 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 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   $21,199 
   Mass Housing6   —    3.55%  Oct-2022   13,520    50    50    224 
   Mass Housing6   —    4.20%  Sep-2021   29,809    31    31    261 
   NYC Housing Development Corp   2.95%   —   Nov-2045   —    5,000    5,000    5,265 
   NYC Housing Development Corp   3.10%   —   Oct-2046   —    24,358    24,359    24,609 
   NYC Housing Development Corp   3.25%   —   Nov-2049   —    12,000    12,000    12,240 
   Connecticut Housing Finance Auth   3.25%   —   May-2050   —    12,500    12,385    12,930 
   NYC Housing Development Corp   3.35%   —   Nov-2054   —    20,000    20,000    20,466 
   NYC Housing Development Corp   3.45%   —   May-2059   —    20,000    20,000    20,591 
   NYC Housing Development Corp   3.75%   —   May-2035   —    4,405    4,405    4,606 
   Mass Housing6   3.85%   —   Dec-2058   —    9,895    9,892    10,033 
   NYC Housing Development Corp   3.95%   —   Nov-2043   —    15,000    15,000    16,083 
   NYC Housing Development Corp   4.00%   —   Dec-2028 - Nov-2048   —    15,000    15,104    16,018 
   MassHousing   4.04%   —   Nov-2032   —    1,305    1,305    1,345 
   MassHousing   4.13%   —   Dec-2036   —    5,000    5,000    5,261 
   NYC Housing Development Corp   4.13%   —   Nov-2053   —    10,000    10,000    10,745 
   NYC Housing Development Corp   4.20%   —   Dec-2039   —    8,305    8,305    8,680 
   NYC Housing Development Corp   4.25%   —   Nov-2025   —    1,150    1,150    1,153 
   NYC Housing Development Corp   4.29%   —   Nov-2037   —    1,190    1,190    1,231 
   Chicago Housing Authority   4.36%   —   Jan-2038   —    25,000    25,000    28,955 
   NYC Housing Development Corp   4.44%   —   Nov-2041   —    1,120    1,120    1,158 
   NYC Housing Development Corp   4.49%   —   Nov-2044   —    455    455    470 
   NYC Housing Development Corp   4.50%   —   Nov-2030   —    1,680    1,682    1,684 
   MassHousing   4.50%   —   Jun-2056   —    45,000    45,000    46,922 
   NYC Housing Development Corp   4.60%   —   Nov-2030   —    4,665    4,665    4,677 
   NYC Housing Development Corp   4.70%   —   Nov-2035   —    1,685    1,685    1,690 
   NYC Housing Development Corp   4.78%   —   Aug-2026   —    12,500    12,501    12,899 
   NYC Housing Development Corp   4.80%   —   Nov-2040   —    2,860    2,862    2,868 
   NYC Housing Development Corp   4.90%   —   Nov-2041   —    3,800    3,800    3,811 
   NYC Housing Development Corp   4.95%   —   Nov-2043 - May-2047   —    7,800    7,802    7,863 
Total State Housing Finance Agency Securities      $44,594   $292,989   $292,944   $305,937 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Other Mutifamily Investments (0.2% of net assets)

 

   Interest Rates1     Unfunded         
Issuer  Permanent  Construction  Maturity Date  Commitments2  Face Amount  Amortized Cost  Value
Direct Loans                                   
Lake Street Apartments (Level 3)   —    4.25%   Jul-2039   $13,400   $100   $(33)  $865 
The Block 803 Waimanu (Level 3)   —    4.50%   Sep-2021    15,682    1,455    1,284    1,564 
                   29,082    1,555    1,251    2,429 
Privately Insured Construction/
Permanent Mortgages7		                         
IL Housing Development Authority   5.40%   —    Mar-2047    —   $7,866   $7,869   $7,850 
IL Housing Development Authority   6.20%   —    Dec-2047    —    2,998    3,006    2,990 
IL Housing Development Authority   6.40%   —    Nov-2048    —    909    919    906 
                   —    11,773    11,794    11,746 
Total Other Multifamily Investments                 $29,082   $13,328   $13,045   $14,175 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Commercial Mortgage-Backed Securities (1.9% of net assets)

 

Issuer  Interest Rate  Maturity Date  Face Amount  Amortized Cost  Value
                
Nomura   2.77%  Dec-2045  $10,000   $10,146   $10,187 
Nomura   3.19%  Mar-2046   20,000    20,350    20,559 
JP Morgan   3.48%  Jun-2045   9,751    10,156    9,959 
Citigroup   3.62%  Jul-2047   8,000    8,190    8,519 
Barclays/ JP Morgan   3.81%  Jul-2047   2,250    2,304    2,403 
RBS/ Wells Fargo   3.82%  Aug-2050   5,000    5,124    5,332 
Deutsche Bank/UBS   3.96%  Mar-2047   5,000    5,119    5,321 
Barclays/ JP Morgan   4.00%  Apr-2047   5,000    5,120    5,364 
Cantor/Deutsche Bank   4.01%  Apr-2047   20,000    20,478    21,448 
Barclays/ JP Morgan   4.08%  Feb-2047   6,825    7,140    7,340 
Cantor/Deutsche Bank   4.24%  Feb-2047   7,000    7,165    7,551 
Deutsche Bank   5.00%  Nov-2046   18,727    19,134    19,105 
Total Commercial Mortgage Backed Securities          $117,553   $120,426   $123,088 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

United States Treasury Securities (4.7% of net assets)

 

   Interest Rate  Maturity Date  Face Amount  Amortized Cost  Value
             
    1.63%  May-2026  $10,000   $10,065   10,005
    1.63%  Aug-2029  $25,000   $24,953   24,893
    2.13%  May-2025   15,000    14,902   15,425
    2.25%  Nov-2024   30,000    30,483   30,986
    2.25%  Nov-2025   5,000    5,076   5,186
    2.25%  Aug-2049   25,000    26,204   25,716
    2.38%  Aug-2024   50,000    50,300   51,872
    2.38%  May-2029   40,000    41,642   42,486
    2.63%  Feb-2029   65,000    66,975   70,361
    2.88%  Aug-2028   10,000    9,830   10,996
    3.13%  Nov-2028   20,000    20,458   22,457
Total United States Treasury Securities      $295,000   $300,888   $310,383
                      
Total Fixed-Income Investments      $6,217,916   $6,294,638   $6,529,674

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 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   $—   $(515)
Total Equity Investment  $1   $—   $(515)

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 2019 (dollars in thousands; unaudited)

 

Short-Term Investments (0.8% of net assets)

 

Issuer  Interest Rate  Maturity Date  Face Amount  Amortized Cost  Value
                
Commercial Paper                       
Halkin Finance, LLC   2.00%9  Oct-2019  $15,000   $15,000   $15,000 
Institution Secured Funding, LLC   2.05%9  Oct-2019   40,000    40,000    40,000 
                        
Blackrock Federal Funds   2.07%10  Oct-2019   412    412    412 
Total Short-Term Investments          $55,412   $55,412   $55,412 
                        
Total Investments          $6,273,329   $6,350,051   $6,584,571 

 

 

 

 

Schedule of Portfolio Investments

 

September 30, 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 $296.8 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.

 

4For floating and variable rate securities the rate indicated is for the period end. With respect to these securities, the schedule also includes the reference rate and spread in basis points.

 

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 September 30, 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 September 30, 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 September 30, 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 September 30, 2019:

 

Investment Securities:

($ in thousands)

Level 1

 

Level 2

 

Level 3

 

Total

 

         
FHA Permanent Securities $                 — $            138,127 $              — $    138,127
FHA Construction Securities — 16,751 — 16,751
Ginnie Mae Securities    — 1,517,574 — 1,517,574
Ginnie Mae Construction Securities    — 462,103 — 462,103
Fannie Mae Securities    — 2,807,230 — 2,807,230
Freddie Mac Securities    — 807,848 — 807,848
Commercial Mortgage-Backed Securities    — 123,088 — 123,088
State Housing Finance Agency Securities    — 305,937 — 305,937
Other Multifamily Investments        
Direct Loans — — 2,429 2,429
Privately Insured Construction/Permanent Mortgages — 11,746 — 11,746
Total Other Multifamily Investments — 11,746 2,429 14,175
United States Treasury Securities    — 310,383 — 310,383
Equity Investments — — (515) (515)
Short-Term Investments 55,412 — — 55,412
Other Financial Instruments*    — 26,458 —

26,458

Total Investment $       55,412 $         6,527,245 $        1,914   $6,584,571

 

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

 

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended September 30, 2019.

 

Investments in Securities ($ in thousands)
  Other Multifamily Investments Equity Investments Total
Beginning balance,12/31/2018               $4,867    $(367)   $4,500
Paydowns/Settlements (5,411) — (5,411)
Cost of Purchases 1,250 — 1,250
Total Unrealized Gain(Loss)(a) 1,723                        (148) 1,575
Ending balance, 9/30/2019                  $2,429   $(515)  $1,914

(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2019 totaled $1,031,000.

 

 

 

 

Level 3 securities primarily consist of two Direct Loans (Other Multifamily Investments) which were valued by an independent pricing service at September 30, 2019 utilizing a discounted cash flow model. Weighted average lives for the loans were 15.93 and 1.92. Unobservable inputs include spreads to relevant U.S. Treasuries of 132 and 252 basis points. A change in unobservable inputs may impact the value of the loans. Level 3 also consists of an investment in a wholly owned subsidiary that is fair valued in good faith under consistently applied procedures adopted by the HIT’s Board of Trustees, which approximates its respective carrying value.

 

Federal Income Taxes

 

At September 30, 2019, investments for federal income tax purposes approximated book cost at amortized cost of $6,350,051,000.  Net unrealized gains aggregated $234,520,000 at period-end, of which $240,449,000 related to appreciated investments and $5,929,000 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 September 30, 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 78
Repayment by HIT Advisers in 2019 (50)
Ending Balance, 9/30/2019 $836

 

 

 

 

 

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 968
Repayment by BACDE in 2019 (576)
Ending Balance, 9/30/2019 $ 456

 

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

 

  $ in Thousands
As of September 30, 2019
Assets $ 659
Liabilities $1,174
Equity $ (515)
   
For the nine months ended September 30, 2019
Income $ 888
Expenses (1,003)
Tax Expense —
Net Income (Loss) $(115)