Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
FHA Permanent Securities (2.1% of net assets) |
Unfunded | ||||||||||||||||||||||
Interest Rate | Maturity Date | Commitments1 | Face Amount | Amortized Cost | Value | |||||||||||||||||
Multifamily | 3.65 | % | Dec-2037 | — | $ | 8,316 | $ | 8,459 | $ | 8,607 | ||||||||||||
3.75 | % | Aug-2048 | — | 3,750 | 3,746 | 3,816 | ||||||||||||||||
4.00 | % | Dec-2053 | — | 62,125 | 62,101 | 68,196 | ||||||||||||||||
4.79 | % | May-2053 | — | 5,032 | 5,246 | 5,733 | ||||||||||||||||
5.17 | % | Feb-2050 | — | 7,655 | 8,185 | 8,491 | ||||||||||||||||
5.35 | % | Mar-2047 | — | 6,911 | 6,920 | 6,949 | ||||||||||||||||
5.55 | % | Aug-2042 | — | 7,320 | 7,322 | 7,363 | ||||||||||||||||
5.60 | % | Jun-2038 | — | 2,187 | 2,190 | 2,200 | ||||||||||||||||
5.80 | % | Jan-2053 | — | 1,971 | 1,980 | 2,288 | ||||||||||||||||
5.87 | % | May-2044 | — | 1,663 | 1,662 | 1,674 | ||||||||||||||||
5.89 | % | Apr-2038 | — | 4,117 | 4,121 | 4,144 | ||||||||||||||||
6.20 | % | Apr-2052 | — | 11,142 | 11,139 | 12,846 | ||||||||||||||||
6.40 | % | Aug-2046 | — | 3,608 | 3,610 | 3,726 | ||||||||||||||||
6.60 | % | Jan-2050 | — | 3,237 | 3,259 | 3,722 | ||||||||||||||||
— | 129,034 | 129,940 | 139,755 | |||||||||||||||||||
When Issued2 | 2.50 | % | Sep-2063 | 5,702 | — | — | (44 | ) | ||||||||||||||
3.72 | % | Feb-2062 | 4,470 | — | — | 305 | ||||||||||||||||
3.90 | % | Mar-2062 | 3,090 | — | — | 251 | ||||||||||||||||
13,262 | — | — | 512 | |||||||||||||||||||
Total FHA Permanent Securities | $ | 13,262 | $ | 129,034 | $ | 129,940 | $ | 140,267 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
FHA Construction Securities (0.4% of net assets) |
Interest Rates3 | ||||||||||||||||||||||
Permanent | Construction | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||||||
Multifamily | 4.10 | % | 2.50 | % | Oct-2060 | $ | 22,000 | $ | 22,009 | $ | 24,172 | |||||||||||
Total FHA Construction Securities | $ | 22,000 | $ | 22,009 | $ | 24,172 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
Ginnie Mae Securities (26.1% of net assets) |
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||
Single Family | 4.00 | % | Feb-2040 - Jun-2040 | $ | 2,145 | $ | 2,165 | $ | 2,373 | |||||||||
6.00 | % | Jan-2032 - Aug-2037 | 909 | 911 | 1,063 | |||||||||||||
7.00 | % | Apr-2026 - Jan-2030 | 591 | 592 | 671 | |||||||||||||
8.50 | % | Jun-2022 - Aug-2027 | 109 | 109 | 120 | |||||||||||||
9.00 | % | Dec-2022 - Jun-2025 | 7 | 7 | 7 | |||||||||||||
4.50 | % | Aug-2040 | 1,138 | 1,158 | 1,283 | |||||||||||||
9.50 | % | Sep-2021 | — | — | — | |||||||||||||
7.50 | % | Aug-2025 - Aug-2030 | 296 | 300 | 332 | |||||||||||||
8.00 | % | Sep-2026 - Nov-2030 | 260 | 262 | 297 | |||||||||||||
5.50 | % | Jan-2033 - Jun-2037 | 1,362 | 1,359 | 1,573 | |||||||||||||
6.50 | % | Jul-2028 | 44 | 44 | 50 | |||||||||||||
6,861 | 6,907 | 7,769 | ||||||||||||||||
Multifamily | 1.73 | % | May-2042 | 329 | 329 | 329 | ||||||||||||
2.15 | % | May-2056 | 4,826 | 4,817 | 4,921 | |||||||||||||
2.20 | % | May-2042 - Jun-2056 | 16,328 | 16,758 | 17,014 | |||||||||||||
2.25 | % | Dec-2048 | 5,752 | 5,707 | 5,901 | |||||||||||||
2.30 | % | Mar-2056 - Oct-2056 | 44,001 | 43,748 | 45,155 | |||||||||||||
2.31 | % | Nov-2051 | 7,076 | 7,076 | 7,353 | |||||||||||||
2.32 | % | Sep-2060 | 27,755 | 29,347 | 29,995 | |||||||||||||
2.35 | % | Dec-2040 - Nov-2056 | 12,797 | 12,823 | 13,184 | |||||||||||||
2.40 | % | Aug-2047 | 6,506 | 6,515 | 6,704 | |||||||||||||
2.50 | % | Jul-2045 - Mar-2057 | 24,009 | 24,007 | 24,834 | |||||||||||||
2.50 | % | Sep-2058 | 34,688 | 34,096 | 36,185 | |||||||||||||
2.51 | % | Jan-2053 | 51,015 | 51,387 | 52,952 | |||||||||||||
2.53 | % | Jul-2038 - Feb-2040 | 14,359 | 14,518 | 14,647 | |||||||||||||
2.60 | % | Apr-2048 - Jun-2059 | 46,562 | 46,756 | 48,212 | |||||||||||||
2.70 | % | May-2048 - Jul-2058 | 38,076 | 38,298 | 39,532 | |||||||||||||
2.72 | % | Feb-2044 | 430 | 441 | 442 | |||||||||||||
2.79 | % | Apr-2049 | 15,135 | 15,277 | 15,894 | |||||||||||||
2.80 | % | Feb-2053 | 60,000 | 57,087 | 64,608 | |||||||||||||
2.80 | % | Dec-2059 | 18,194 | 17,941 | 18,875 | |||||||||||||
2.82 | % | Apr-2050 | 1,500 | 1,529 | 1,572 | |||||||||||||
2.89 | % | Mar-2046 | 31,969 | 32,156 | 32,890 | |||||||||||||
2.99 | % | Jul-2048 | 8,416 | 9,173 | 9,228 | |||||||||||||
3.00 | % | Mar-2051 - May-2062 | 19,999 | 20,088 | 21,031 | |||||||||||||
3.00 | % | May-2062 | 103,637 | 112,474 | 112,759 | |||||||||||||
3.03 | % | Jan-2056 | 31,343 | 33,506 | 34,480 | |||||||||||||
3.05 | % | May-2054 | 11,545 | 11,596 | 12,491 | |||||||||||||
3.10 | % | Jan-2044 - May-2059 | 56,625 | 57,306 | 58,508 | |||||||||||||
3.20 | % | Jul-2041 - Sep-2051 | 22,760 | 22,888 | 23,643 | |||||||||||||
3.25 | % | Sep-2054 | 35,000 | 34,702 | 37,641 | |||||||||||||
3.25 | % | Jun-2059 | 31,038 | 31,652 | 34,575 | |||||||||||||
3.25 | % | Apr-2059 | 45,000 | 43,177 | 49,952 | |||||||||||||
3.26 | % | Nov-2043 | 14,759 | 14,780 | 15,476 | |||||||||||||
3.30 | % | May-2055 | 10,000 | 9,491 | 10,972 | |||||||||||||
3.33 | % | Jun-2043 | 11,602 | 11,937 | 11,955 | |||||||||||||
3.34 | % | Sep-2059 | 17,328 | 17,671 | 19,426 | |||||||||||||
3.35 | % | Nov-2042 - Aug-2059 | 30,633 | 30,381 | 32,877 | |||||||||||||
3.37 | % | Dec-2046 | 19,030 | 19,253 | 19,620 | |||||||||||||
3.38 | % | Aug-2059 | 44,139 | 45,006 | 48,747 | |||||||||||||
3.38 | % | Aug-2059 | 35,097 | 35,972 | 39,453 | |||||||||||||
3.38 | % | Jan-2060 | 59,964 | 59,974 | 66,526 | |||||||||||||
3.39 | % | Feb-2059 | 14,410 | 14,700 | 16,121 | |||||||||||||
3.40 | % | Mar-2057 | 5,006 | 5,045 | 5,534 | |||||||||||||
3.44 | % | May-2042 | 10,000 | 10,138 | 10,648 | |||||||||||||
3.46 | % | Feb-2051 - Apr-2051 | 10,907 | 10,908 | 11,267 | |||||||||||||
3.47 | % | Feb-2044 | 3,115 | 3,254 | 3,187 | |||||||||||||
3.48 | % | May-2059 | 10,987 | 11,212 | 12,415 | |||||||||||||
3.49 | % | Aug-2058 | 11,060 | 11,324 | 12,262 | |||||||||||||
3.50 | % | Jan-2054 - Apr-2057 | 66,480 | 67,880 | 72,754 | |||||||||||||
3.51 | % | Mar-2053 | 46,304 | 50,024 | 52,314 | |||||||||||||
3.53 | % | Apr-2042 | 16,762 | 17,309 | 18,701 | |||||||||||||
3.55 | % | Apr-2057 | 41,618 | 42,665 | 42,204 | |||||||||||||
3.57 | % | Sep-2052 | 6,500 | 6,727 | 7,150 | |||||||||||||
3.57 | % | Nov-2059 | 49,166 | 49,893 | 56,002 | |||||||||||||
3.60 | % | Jun-2057 | 13,794 | 14,292 | 15,398 | |||||||||||||
3.62 | % | Dec-2057 | 28,846 | 29,365 | 31,888 | |||||||||||||
3.65 | % | Oct-2058 | 10,377 | 10,537 | 11,693 | |||||||||||||
3.66 | % | Dec-2045 | 8,583 | 8,248 | 9,218 | |||||||||||||
3.67 | % | Nov-2035 | 14,678 | 15,162 | 16,175 | |||||||||||||
3.74 | % | Aug-2059 | 15,756 | 16,067 | 17,975 | |||||||||||||
3.75 | % | Apr-2046 | 6,557 | 6,572 | 7,027 | |||||||||||||
3.77 | % | Jun-2045 | 2,884 | 2,917 | 2,915 | |||||||||||||
3.92 | % | Aug-2039 | 43,216 | 45,707 | 47,733 | |||||||||||||
4.10 | % | May-2051 | 3,896 | 4,225 | 4,376 | |||||||||||||
4.19 | % | May-2060 | 28,501 | 28,885 | 32,420 | |||||||||||||
4.25 | % | Sep-2038 | 32,874 | 33,022 | 35,431 | |||||||||||||
4.45 | % | Jun-2055 | 2,519 | 2,424 | 2,829 | |||||||||||||
4.50 | % | May-2038 | 17,462 | 18,698 | 18,669 | |||||||||||||
4.63 | % | Sep-2037 | 1,500 | 1,466 | 1,505 | |||||||||||||
4.70 | % | Oct-2056 | 3,283 | 3,442 | 3,695 | |||||||||||||
4.90 | % | Mar-2044 | 1,000 | 991 | 1,003 | |||||||||||||
5.25 | % | Apr-2037 | 17,745 | 17,740 | 18,348 | |||||||||||||
5.34 | % | Jul-2040 | 2,553 | 2,525 | 2,617 | |||||||||||||
1,617,561 | 1,645,004 | 1,742,033 | ||||||||||||||||
Total Ginnie Mae Securities | $ | 1,624,422 | $ | 1,651,911 | $ | 1,749,802 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
Ginnie Mae Construction Securities (3.5% of net assets) |
Interest Rates3 | Unfunded | |||||||||||||||||||||||||
Permanent | Construction | Maturity Date | Commitments1 | Face Amount | Amortized Cost | Value | ||||||||||||||||||||
Multifamily | 2.67 | % | 2.67 | % | Mar-2062 | $ | 29,058 | $ | 5,924 | $ | 6,799 | $ | 8,256 | |||||||||||||
3.41 | % | 3.41 | % | Sep-2061 | 30,394 | 11,892 | 13,584 | 16,599 | ||||||||||||||||||
3.43 | % | 3.43 | % | Nov-2061 | 38,717 | 14,771 | 16,578 | 21,358 | ||||||||||||||||||
3.60 | % | 3.60 | % | Apr-2061 | 16,018 | 18,167 | 19,363 | 22,555 | ||||||||||||||||||
3.75 | % | 3.75 | % | Nov-2060 | 2,720 | 11,789 | 12,226 | 13,732 | ||||||||||||||||||
3.78 | % | 7.00 | % | Aug-2060 | 3,053 | 36,887 | 37,191 | 42,093 | ||||||||||||||||||
4.15 | % | 4.15 | % | Sep-2051 | 455 | 17,412 | 17,474 | 17,505 | ||||||||||||||||||
4.20 | % | 4.20 | % | Aug-2060 | 2,212 | 45,547 | 46,506 | 53,005 | ||||||||||||||||||
4.21 | % | 4.21 | % | May-2061 | 42,514 | 9,427 | 9,691 | 16,328 | ||||||||||||||||||
4.35 | % | 4.35 | % | Dec-2060 | 813 | 1,487 | 1,531 | 1,869 | ||||||||||||||||||
4.40 | % | 4.40 | % | Sep-2060 | 2,090 | 7,110 | 7,320 | 8,645 | ||||||||||||||||||
4.53 | % | 4.53 | % | Jan-2061 | 1,235 | 13,680 | 14,137 | 16,284 | ||||||||||||||||||
Total Ginnie Mae Construction Securities | $ | 169,279 | $ | 194,093 | $ | 202,400 | $ | 238,229 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
Fannie Mae Securities (44.1% of net assets) |
Interest Rate4 | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||||||
Single Family | 0.40 | % | 1M LIBOR+25 | Mar-2037 | 184 | 183 | 185 | |||||||||||||||
0.47 | % | 1M LIBOR+32 | Jun-2037 | $ | 1,014 | $ | 1,014 | $ | 1,019 | |||||||||||||
0.55 | % | 1M LIBOR+40 | Apr-2037 | 413 | 412 | 417 | ||||||||||||||||
0.61 | % | 1M LIBOR+46 | Oct-2042 | 3,303 | 3,316 | 3,349 | ||||||||||||||||
0.65 | % | 1M LIBOR+50 | Jun-2042 | 5,774 | 5,778 | 5,841 | ||||||||||||||||
0.70 | % | 1M LIBOR+55 | Mar-2042 | 5,011 | 5,019 | 5,099 | ||||||||||||||||
0.75 | % | 1M LIBOR+60 | Oct-2043 | 6,607 | 6,636 | 6,740 | ||||||||||||||||
2.00 | % | Jul-2050 | 37,204 | 38,455 | 38,485 | |||||||||||||||||
2.35 | % | 12M LIBOR+150 | Jul-2033 | 152 | 151 | 157 | ||||||||||||||||
2.48 | % | 6M LIBOR+161 | Aug-2033 | 133 | 133 | 137 | ||||||||||||||||
2.49 | % | 1Y UST+222 | Aug-2033 | 263 | 263 | 276 | ||||||||||||||||
2.50 | % | May-2050 - Sep-2050 | 113,128 | 118,201 | 118,910 | |||||||||||||||||
2.50 | % | Jul-2050 | 39,263 | 41,129 | 41,548 | |||||||||||||||||
2.50 | % | Jul-2050 | 29,679 | 30,878 | 31,235 | |||||||||||||||||
2.60 | % | 1Y UST+222 | Jul-2033 | 699 | 701 | 734 | ||||||||||||||||
2.86 | % | 6M LIBOR+155 | Nov-2033 | 1,105 | 1,105 | 1,133 | ||||||||||||||||
2.87 | % | 1Y UST+220 | Aug-2033 | 600 | 600 | 630 | ||||||||||||||||
2.95 | % | 12M LIBOR+169 | Oct-2042 | 3,195 | 3,258 | 3,314 | ||||||||||||||||
3.00 | % | Apr-2031 - Jun-2050 | 83,382 | 86,083 | 88,433 | |||||||||||||||||
3.31 | % | 12M LIBOR+153 | Feb-2045 | 3,827 | 3,896 | 3,970 | ||||||||||||||||
3.36 | % | 12M LIBOR+156 | Apr-2034 | 589 | 599 | 616 | ||||||||||||||||
3.50 | % | Oct-2026 - Jan-2050 | 175,588 | 181,375 | 187,506 | |||||||||||||||||
3.61 | % | 1Y UST+211 | May-2033 | 273 | 274 | 285 | ||||||||||||||||
3.68 | % | 12M LIBOR+169 | Nov-2034 | 326 | 332 | 338 | ||||||||||||||||
4.00 | % | May-2024 - Jun-2048 | 86,634 | 89,507 | 94,040 | |||||||||||||||||
4.50 | % | May-2024 - Dec-2048 | 60,010 | 62,005 | 65,695 | |||||||||||||||||
5.00 | % | Sep-2022 - Apr-2041 | 8,943 | 9,186 | 10,246 | |||||||||||||||||
5.50 | % | Sep-2032 - Jun-2038 | 3,933 | 3,945 | 4,562 | |||||||||||||||||
6.00 | % | Nov-2028 - Nov-2037 | 3,022 | 3,031 | 3,590 | |||||||||||||||||
6.50 | % | Sep-2028 - Jul-2036 | 480 | 489 | 558 | |||||||||||||||||
7.00 | % | Sep-2027 - May-2032 | 586 | 588 | 682 | |||||||||||||||||
7.50 | % | Jan-2027 - Sep-2031 | 135 | 135 | 150 | |||||||||||||||||
8.00 | % | Aug-2030 - May-2031 | 38 | 39 | 39 | |||||||||||||||||
8.50 | % | Dec-2021 - Apr-2031 | — | — | — | |||||||||||||||||
9.00 | % | May-2025 | — | — | — | |||||||||||||||||
675,493 | 698,716 | 719,919 | ||||||||||||||||||||
Multifamily | 0.45 | % | 1M LIBOR+29 | Feb-2028 | 30,420 | 30,425 | 30,346 | |||||||||||||||
0.47 | % | 1M LIBOR+31 | Mar-2028 | 38,275 | 38,285 | 38,211 | ||||||||||||||||
0.50 | % | 1M LIBOR+34 | Jan-2028 | 22,425 | 22,429 | 22,367 | ||||||||||||||||
0.51 | % | 1M LIBOR+35 | Dec-2027 | 32,050 | 32,054 | 32,048 | ||||||||||||||||
0.56 | % | 1M LIBOR+40 | Sep-2028 | 26,082 | 26,085 | 26,033 | ||||||||||||||||
0.60 | % | 1M LIBOR+44 | May-2027 | 16,840 | 16,841 | 16,841 | ||||||||||||||||
0.74 | % | 1M LIBOR+58 | May-2029 | 25,000 | 25,012 | 25,025 | ||||||||||||||||
0.74 | % | 1M LIBOR+58 | Jun-2029 | 41,302 | 41,340 | 41,345 | ||||||||||||||||
1.01 | % | 1M LIBOR+85 | Jan-2023 | 7,854 | 7,853 | 7,919 | ||||||||||||||||
1.17 | % | Aug-2030 | 7,585 | 7,589 | 7,681 | |||||||||||||||||
1.22 | % | Jul-2030 | 25,610 | 25,734 | 25,970 | |||||||||||||||||
1.25 | % | Jul-2030 | 37,950 | 38,133 | 38,418 | |||||||||||||||||
1.27 | % | Jul-2030 | 14,235 | 14,381 | 14,495 | |||||||||||||||||
1.31 | % | Aug-2030 | 4,496 | 4,587 | 4,580 | |||||||||||||||||
1.32 | % | Aug-2030 | 21,000 | 21,400 | 21,572 | |||||||||||||||||
1.38 | % | Jul-2030 | 10,500 | 10,706 | 10,793 | |||||||||||||||||
1.41 | % | Jul-2030 | 3,390 | 3,440 | 3,496 | |||||||||||||||||
1.46 | % | Jul-2030 | 7,799 | 7,952 | 8,077 | |||||||||||||||||
1.47 | % | Jul-2030 | 3,025 | 3,085 | 3,124 | |||||||||||||||||
1.50 | % | Aug-2030 | 1,198 | 1,240 | 1,245 | |||||||||||||||||
1.52 | % | Jul-2032 | 16,530 | 16,719 | 16,992 | |||||||||||||||||
1.53 | % | Jul-2032 | 10,500 | 10,711 | 10,806 | |||||||||||||||||
1.55 | % | Jul-2032 | 20,500 | 20,911 | 21,138 | |||||||||||||||||
1.57 | % | Aug-2037 | 48,917 | 49,181 | 49,081 | |||||||||||||||||
1.65 | % | Jul-2030 | 1,296 | 1,341 | 1,363 | |||||||||||||||||
1.68 | % | Sep-2032 | 13,200 | 13,493 | 13,513 | |||||||||||||||||
1.71 | % | Sep-2035 | 16,305 | 16,641 | 16,828 | |||||||||||||||||
1.76 | % | Aug-2035 | 9,100 | 9,151 | 9,331 | |||||||||||||||||
1.77 | % | Sep-2035 | 3,270 | 3,354 | 3,390 | |||||||||||||||||
1.82 | % | Jul-2035 | 4,738 | 4,787 | 4,942 | |||||||||||||||||
1.94 | % | Apr-2035 | 6,400 | 6,525 | 6,772 | |||||||||||||||||
2.09 | % | May-2032 - Jul-2050 | 21,792 | 22,088 | 22,990 | |||||||||||||||||
2.16 | % | Sep-2050 | 14,200 | 14,377 | 14,555 | |||||||||||||||||
2.19 | % | Mar-2027 | 7,150 | 7,247 | 7,693 | |||||||||||||||||
2.26 | % | Nov-2022 | 5,961 | 5,962 | 6,159 | |||||||||||||||||
2.33 | % | Nov-2029 - Feb-2030 | 18,255 | 18,321 | 19,837 | |||||||||||||||||
2.34 | % | Sep-2026 | 28,010 | 28,086 | 30,291 | |||||||||||||||||
2.38 | % | Jul-2026 | 21,840 | 21,859 | 23,630 | |||||||||||||||||
2.43 | % | Nov-2031 | 18,655 | 18,665 | 20,361 | |||||||||||||||||
2.44 | % | Aug-2026 | 21,990 | 21,990 | 23,877 | |||||||||||||||||
2.46 | % | Aug-2026 - Nov-2034 | 35,330 | 35,448 | 38,289 | |||||||||||||||||
2.48 | % | Oct-2028 | 24,598 | 24,658 | 27,158 | |||||||||||||||||
2.49 | % | Dec-2026 - Nov-2031 | 27,886 | 27,968 | 30,691 | |||||||||||||||||
2.50 | % | Jun-2026 | 60,000 | 60,000 | 64,969 | |||||||||||||||||
2.50 | % | Jul-2026 | 37,680 | 37,723 | 40,572 | |||||||||||||||||
2.53 | % | Jan-2030 | 20,550 | 20,742 | 22,532 | |||||||||||||||||
2.55 | % | Sep-2026 | 14,210 | 14,216 | 15,370 | |||||||||||||||||
2.55 | % | Mar-2030 | 51,656 | 52,058 | 56,113 | |||||||||||||||||
2.57 | % | Sep-2028 | 40,100 | 40,453 | 44,389 | |||||||||||||||||
2.61 | % | Nov-2026 | 9,800 | 9,895 | 10,677 | |||||||||||||||||
2.67 | % | Aug-2029 | 37,700 | 38,131 | 41,633 | |||||||||||||||||
2.70 | % | Nov-2025 | 15,139 | 15,148 | 16,461 | |||||||||||||||||
2.72 | % | Jul-2028 | 36,400 | 36,661 | 40,624 | |||||||||||||||||
2.75 | % | Jul-2028 | 15,198 | 15,317 | 16,996 | |||||||||||||||||
2.76 | % | Oct-2031 | 10,189 | 10,370 | 11,456 | |||||||||||||||||
2.80 | % | Apr-2025 | 15,286 | 15,367 | 16,398 | |||||||||||||||||
2.81 | % | Sep-2027 | 12,400 | 12,460 | 13,844 | |||||||||||||||||
2.85 | % | Dec-2027 - Aug-2031 | 32,350 | 32,452 | 36,185 | |||||||||||||||||
2.87 | % | Oct-2027 | 9,425 | 9,495 | 10,351 | |||||||||||||||||
2.91 | % | Jun-2031 | 25,000 | 25,153 | 28,277 | |||||||||||||||||
2.92 | % | May-2026 - Apr-2028 | 25,370 | 25,595 | 28,248 | |||||||||||||||||
2.92 | % | Jun-2027 | 68,433 | 68,507 | 76,511 | |||||||||||||||||
2.94 | % | Jun-2027 | 28,887 | 28,920 | 32,324 | |||||||||||||||||
2.94 | % | Jul-2039 | 5,507 | 5,569 | 5,682 | |||||||||||||||||
2.96 | % | Sep-2034 | 20,000 | 20,877 | 22,827 | |||||||||||||||||
2.97 | % | Nov-2032 - Sep-2034 | 32,680 | 32,976 | 37,079 | |||||||||||||||||
2.99 | % | Jun-2025 | 2,651 | 2,654 | 2,895 | |||||||||||||||||
3.00 | % | May-2027 - Mar-2028 | 15,888 | 15,908 | 17,758 | |||||||||||||||||
3.02 | % | Jun-2027 - Nov-2027 | 19,133 | 19,161 | 20,641 | |||||||||||||||||
3.03 | % | Jun-2026 | 12,807 | 12,992 | 13,968 | |||||||||||||||||
3.04 | % | Sep-2027 | 30,000 | 30,140 | 33,803 | |||||||||||||||||
3.04 | % | Apr-2030 | 25,100 | 25,172 | 28,691 | |||||||||||||||||
3.05 | % | Apr-2030 | 26,995 | 27,021 | 30,674 | |||||||||||||||||
3.10 | % | Sep-2029 | 8,515 | 8,547 | 8,844 | |||||||||||||||||
3.12 | % | Mar-2025 - Apr-2030 | 25,794 | 25,872 | 27,794 | |||||||||||||||||
3.14 | % | Apr-2029 | 7,840 | 7,857 | 8,961 | |||||||||||||||||
3.15 | % | Jan-2027 | 19,729 | 19,748 | 21,658 | |||||||||||||||||
3.17 | % | Jun-2029 - Sep-2029 | 61,558 | 61,873 | 68,579 | |||||||||||||||||
3.18 | % | May-2035 | 10,265 | 10,399 | 11,529 | |||||||||||||||||
3.20 | % | Oct-2027 | 10,126 | 10,167 | 11,492 | |||||||||||||||||
3.21 | % | May-2030 | 6,777 | 6,865 | 7,666 | |||||||||||||||||
3.25 | % | Nov-2027 | 10,117 | 10,158 | 11,524 | |||||||||||||||||
3.26 | % | Jan-2027 | 7,297 | 7,312 | 8,193 | |||||||||||||||||
3.31 | % | Oct-2027 | 15,603 | 15,713 | 17,765 | |||||||||||||||||
3.32 | % | Apr-2029 | 20,080 | 20,159 | 22,982 | |||||||||||||||||
3.33 | % | May-2026 | 10,845 | 10,880 | 12,046 | |||||||||||||||||
3.35 | % | Feb-2029 | 19,190 | 19,388 | 22,215 | |||||||||||||||||
3.36 | % | May-2029 - Oct-2029 | 34,322 | 35,506 | 39,528 | |||||||||||||||||
3.40 | % | Oct-2026 | 2,876 | 2,885 | 3,253 | |||||||||||||||||
3.41 | % | Sep-2023 - Apr-2029 | 31,272 | 31,499 | 35,270 | |||||||||||||||||
3.42 | % | Apr-2035 | 5,244 | 5,318 | 6,071 | |||||||||||||||||
3.46 | % | Dec-2023 - Apr-2031 | 16,156 | 16,243 | 18,455 | |||||||||||||||||
3.54 | % | Oct-2021 | 6,696 | 6,696 | 6,782 | |||||||||||||||||
3.61 | % | Sep-2023 | 6,165 | 6,175 | 6,618 | |||||||||||||||||
3.63 | % | Jul-2035 | 21,939 | 21,968 | 25,066 | |||||||||||||||||
3.66 | % | Oct-2023 | 4,522 | 4,531 | 4,856 | |||||||||||||||||
3.68 | % | Jul-2028 | 12,011 | 12,702 | 13,710 | |||||||||||||||||
3.87 | % | Sep-2023 | 2,382 | 2,392 | 2,554 | |||||||||||||||||
4.06 | % | Oct-2025 | 22,439 | 22,468 | 25,144 | |||||||||||||||||
4.27 | % | Jan-2034 | 75,058 | 75,325 | 79,978 | |||||||||||||||||
4.33 | % | Mar-2021 | 2,933 | 2,933 | 2,939 | |||||||||||||||||
4.52 | % | May-2021 | 3,771 | 3,771 | 3,781 | |||||||||||||||||
4.69 | % | Jun-2035 | 579 | 592 | 660 | |||||||||||||||||
4.71 | % | Mar-2021 | 5,286 | 5,286 | 5,298 | |||||||||||||||||
4.73 | % | Feb-2021 | 1,395 | 1,395 | 1,410 | |||||||||||||||||
5.15 | % | Oct-2022 | 741 | 741 | 752 | |||||||||||||||||
5.29 | % | May-2022 | 4,713 | 4,712 | 4,912 | |||||||||||||||||
5.30 | % | Aug-2029 | 4,610 | 4,569 | 5,394 | |||||||||||||||||
5.69 | % | Jun-2041 | 4,408 | 4,508 | 5,326 | |||||||||||||||||
5.75 | % | Jun-2041 | 2,139 | 2,196 | 2,591 | |||||||||||||||||
5.91 | % | Mar-2037 | 1,668 | 1,690 | 1,763 | |||||||||||||||||
5.96 | % | Jan-2029 | 274 | 274 | 275 | |||||||||||||||||
6.15 | % | Jan-2023 | 3,290 | 3,290 | 3,356 | |||||||||||||||||
6.38 | % | Jul-2021 | 4,567 | 4,567 | 4,655 | |||||||||||||||||
7.75 | % | Dec-2024 | 784 | 784 | 804 | |||||||||||||||||
8.40 | % | Jul-2023 | 155 | 155 | 160 | |||||||||||||||||
2,046,124 | 2,059,296 | 2,209,830 | ||||||||||||||||||||
When Issued2 | 1.17 | % | Nov-2030 | 27,329 | 27,329 | 27,337 | ||||||||||||||||
Total Fannie Mae Securities | $ | 2,748,946 | $ | 2,785,341 | $ | 2,957,086 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
FNMA Construction Securities (0.3% of net assets) |
Interest Rates3 | ||||||||||||||||||||||
Permanent | Construction | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||||||
Multifamily | 2.46 | % | 2.46 | % | Jan-2038 | $ | 20,950 | $ | 20,950 | $ | 21,368 | |||||||||||
Total FHA Construction Securities | $ | 20,950 | $ | 20,950 | $ | 21,368 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
Freddie Mac Securities (9.0% of net assets) |
Interest Rate4 | Maturity Date | Face Amount | Amortized Cost | Value | ||||||||||||||||||
Single Family | 0.45 | % | 1M LIBOR+30 | Feb-2036 | $ | 573 | $ | 573 | $ | 574 | ||||||||||||
0.48 | % | 1M LIBOR+33 | May-2037 | 75 | 75 | 76 | ||||||||||||||||
0.50 | % | 1M LIBOR+35 | Apr-2036 - Jan-2043 | 3,580 | 3,584 | 3,600 | ||||||||||||||||
0.55 | % | 1M LIBOR+40 | Aug-2043 | 3,406 | 3,405 | 3,434 | ||||||||||||||||
0.63 | % | 1M LIBOR+48 | Oct-2040 | 2,642 | 2,640 | 2,676 | ||||||||||||||||
0.65 | % | 1M LIBOR+50 | Oct-2040 - Jun-2044 | 13,168 | 13,179 | 13,352 | ||||||||||||||||
0.70 | % | 1M LIBOR+55 | Nov-2040 | 2,952 | 2,975 | 2,990 | ||||||||||||||||
0.82 | % | 1M LIBOR+67 | Aug-2037 | 2,843 | 2,871 | 2,893 | ||||||||||||||||
2.50 | % | Jan-2043 - Aug-2046 | 12,675 | 12,836 | 13,385 | |||||||||||||||||
2.52 | % | 12M LIBOR+178 | Jul-2035 | 110 | 110 | 116 | ||||||||||||||||
2.72 | % | 1Y UST+223 | Jun-2033 | 100 | 100 | 105 | ||||||||||||||||
3.00 | % | Aug-2042 - Sep-2046 | 50,130 | 51,133 | 53,325 | |||||||||||||||||
3.50 | % | Jan-2026 - Oct-2046 | 111,866 | 114,476 | 120,408 | |||||||||||||||||
4.00 | % | Nov-2024 - Aug-2047 | 107,887 | 112,300 | 117,565 | |||||||||||||||||
4.12 | % | 1Y UST+223 | Oct-2033 | 269 | 267 | 282 | ||||||||||||||||
4.50 | % | Jan-2038 - Dec-2044 | 24,093 | 25,160 | 26,903 | |||||||||||||||||
5.00 | % | May-2022 - Mar-2041 | 3,688 | 3,687 | 4,174 | |||||||||||||||||
5.50 | % | Apr-2033 - Jul-2038 | 2,528 | 2,524 | 2,948 | |||||||||||||||||
6.00 | % | Jul-2021 - Oct-2037 | 3,549 | 3,578 | 4,207 | |||||||||||||||||
6.50 | % | Apr-2028 - Nov-2037 | 561 | 565 | 673 | |||||||||||||||||
7.00 | % | Apr-2028 - Mar-2030 | 25 | 23 | 28 | |||||||||||||||||
7.50 | % | Aug-2029 - Apr-2031 | 39 | 38 | 45 | |||||||||||||||||
8.00 | % | Dec-2029 | 1 | 1 | 1 | |||||||||||||||||
8.50 | % | Jul-2024 - Jan-2025 | 38 | 38 | 42 | |||||||||||||||||
9.00 | % | Mar-2025 | 23 | 23 | 26 | |||||||||||||||||
346,821 | 356,161 | 373,828 | ||||||||||||||||||||
Multifamily | 0.58 | % | 1M LIBOR+42 | May-2027 | 6,391 | 6,391 | 6,425 | |||||||||||||||
0.81 | % | 1M LIBOR+65 | Jan-2023 | 1,918 | 1,917 | 1,924 | ||||||||||||||||
0.86 | % | 1M LIBOR+70 | Sep-2022 | 1,042 | 1,042 | 1,045 | ||||||||||||||||
2.04 | % | May-2050 | 20,890 | 21,445 | 20,975 | |||||||||||||||||
2.40 | % | Jun-2031 | 7,444 | 7,564 | 8,250 | |||||||||||||||||
2.41 | % | Jun-2031 | 11,732 | 11,933 | 13,014 | |||||||||||||||||
2.42 | % | Jun-2031 | 11,768 | 11,981 | 13,065 | |||||||||||||||||
3.28 | % | Dec-2029 | 16,397 | 16,638 | 18,719 | |||||||||||||||||
3.34 | % | Dec-2029 | 9,655 | 9,829 | 11,086 | |||||||||||||||||
3.35 | % | Oct-2033 | 33,450 | 33,290 | 38,728 | |||||||||||||||||
3.38 | % | Apr-2030 | 14,227 | 14,521 | 16,420 | |||||||||||||||||
3.48 | % | Jun-2030 | 18,575 | 19,073 | 21,622 | |||||||||||||||||
3.50 | % | Jan-2026 | 18,000 | 18,105 | 19,680 | |||||||||||||||||
3.60 | % | Apr-2030 | 25,378 | 26,229 | 29,570 | |||||||||||||||||
3.68 | % | Oct-2025 | 10,000 | 10,142 | 10,964 | |||||||||||||||||
206,867 | 210,100 | 231,487 | ||||||||||||||||||||
Total Freddie Mac Securities | $ | 553,688 | $ | 566,261 | $ | 605,315 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
State Housing Finance Agency Securities (5.7% of net assets) |
Interest Rates3 | Unfunded | |||||||||||||||||||||||||||
Issuer | Permanent | Construction | Maturity Date | Commitments1 | Face Amount | Amortized Cost | Value | |||||||||||||||||||||
Multifamily | Illinois State Housing Finance Auth | — | 0.33 | % | Aug-2023 | $ | — | $ | 20,000 | $ | 20,000 | $ | 19,995 | |||||||||||||||
Mass Housing | — | 0.50 | % | Dec-2023 | — | 10,020 | 10,020 | 10,015 | ||||||||||||||||||||
Mass Housing5 | — | 1.50 | % | Dec-2022 | — | 8,750 | 8,755 | 8,846 | ||||||||||||||||||||
Mass Housing | — | 2.15 | % | Sep-2023 | 35,722 | 1,025 | 1,025 | 962 | ||||||||||||||||||||
Connecticut Housing Finance Auth5 | — | 3.45 | % | Nov-2020 | — | 22,500 | 22,465 | 22,500 | ||||||||||||||||||||
Mass Housing5 | — | 3.55 | % | Oct-2022 | 13,520 | 50 | 51 | 375 | ||||||||||||||||||||
Mass Housing5 | — | 4.20 | % | Sep-2021 | 4,206 | 25,634 | 25,635 | 26,298 | ||||||||||||||||||||
Mass Housing | 2.60 | % | — | Jun-2063 | — | 26,410 | 26,410 | 26,005 | ||||||||||||||||||||
NYC Housing Development Corp | 2.95 | % | — | Nov-2045 | — | 5,000 | 5,000 | 5,449 | ||||||||||||||||||||
NYC Housing Development Corp | 3.10 | % | — | Oct-2046 | — | 23,973 | 23,973 | 23,952 | ||||||||||||||||||||
NYC Housing Development Corp | 3.25 | % | — | Nov-2049 | — | 12,000 | 12,000 | 12,450 | ||||||||||||||||||||
Connecticut Housing Finance Auth | 3.25 | % | — | May-2050 | — | 12,415 | 12,302 | 12,690 | ||||||||||||||||||||
Mass Housing5 | 3.30 | % | — | Dec-2059 | — | 8,340 | 8,345 | 8,735 | ||||||||||||||||||||
NYC Housing Development Corp | 3.35 | % | — | Nov-2054 | — | 20,000 | 20,000 | 20,747 | ||||||||||||||||||||
NYC Housing Development Corp | 3.45 | % | — | May-2059 | — | 20,000 | 20,000 | 20,852 | ||||||||||||||||||||
NYC Housing Development Corp | 3.75 | % | — | May-2035 | — | 4,405 | 4,405 | 4,584 | ||||||||||||||||||||
Mass Housing5 | 3.85 | % | — | Dec-2058 | — | 9,790 | 9,787 | 10,024 | ||||||||||||||||||||
NYC Housing Development Corp | 3.95 | % | — | Nov-2043 | — | 15,000 | 15,000 | 16,263 | ||||||||||||||||||||
NYC Housing Development Corp | 4.00 | % | — | Dec-2028 - Nov-2048 | — | 15,000 | 15,103 | 16,104 | ||||||||||||||||||||
MassHousing | 4.04 | % | — | Nov-2032 | — | 1,305 | 1,305 | 1,339 | ||||||||||||||||||||
MassHousing | 4.13 | % | — | Dec-2036 | — | 5,000 | 5,000 | 5,249 | ||||||||||||||||||||
NYC Housing Development Corp | 4.13 | % | — | Nov-2053 | — | 10,000 | 10,000 | 10,785 | ||||||||||||||||||||
NYC Housing Development Corp | 4.20 | % | — | Dec-2039 | — | 8,305 | 8,305 | 8,717 | ||||||||||||||||||||
NYC Housing Development Corp | 4.29 | % | — | Nov-2037 | — | 1,190 | 1,190 | 1,220 | ||||||||||||||||||||
Chicago Housing Authority | 4.36 | % | — | Jan-2038 | — | 25,000 | 25,000 | 28,705 | ||||||||||||||||||||
NYC Housing Development Corp | 4.44 | % | — | Nov-2041 | — | 1,120 | 1,120 | 1,148 | ||||||||||||||||||||
NYC Housing Development Corp | 4.49 | % | — | Nov-2044 | — | 455 | 455 | 466 | ||||||||||||||||||||
MassHousing | 4.50 | % | — | Jun-2056 | — | 45,000 | 45,000 | 47,126 | ||||||||||||||||||||
NYC Housing Development Corp | 4.78 | % | — | Aug-2026 | — | 12,500 | 12,500 | 12,649 | ||||||||||||||||||||
Total State Housing Finance Agency Securities | $ | 53,448 | $ | 370,187 | $ | 370,151 | $ | 384,250 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
Other Multifamily Investments (0.6% of net assets) |
Interest Rates3,4 | Unfunded | ||||||||||||||||||||||||||
Issuer | Permanent | Construction | Maturity Date | Commitments1 | Face Amount | Amortized Cost | Value | ||||||||||||||||||||
Direct Loans | |||||||||||||||||||||||||||
18 Sixth Ave at Pacific Park (Level 3) | — | 2.35 | % | 1M LIBOR+220 | Dec-2024 | $ | 14,382 | $ | 2,839 | $ | 2,789 | $ | 2,452 | ||||||||||||||
18 Sixth Ave at Pacific Park (Level 3) | — | 2.35 | % | 1M LIBOR+220 | Dec-2024 | 59,463 | 23,315 | 22,999 | 21,455 | ||||||||||||||||||
Lake Street Apartments (Level 3) | — | 4.25 | % | Jul-2039 | 4,214 | 9,286 | 9,160 | 10,813 | |||||||||||||||||||
The Block 803 Waimanu (Level 3) | — | 4.50 | % | Sep-2021 | 15,615 | 1,522 | 1,351 | 1,484 | |||||||||||||||||||
93,674 | 36,962 | 36,299 | 36,204 | ||||||||||||||||||||||||
Privately Insured Construction/Permanent Mortgages6 | |||||||||||||||||||||||||||
IL Housing Development Authority | 6.20 | % | — | Dec-2047 | — | 2,958 | 2,966 | 2,959 | |||||||||||||||||||
IL Housing Development Authority | 6.40 | % | — | Nov-2048 | — | 898 | 908 | 899 | |||||||||||||||||||
— | 3,856 | 3,874 | 3,858 | ||||||||||||||||||||||||
Total Other Multifamily Investments | $ | 93,674 | $ | 40,818 | $ | 40,173 | $ | 40,062 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
Commercial Mortgage-Backed Securities (1.7% of net assets) |
Issuer | Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||
Nomura | 2.77 | % | Dec-2045 | $ | 10,000 | $ | 10,138 | $ | 10,308 | |||||||||
Nomura | 3.19 | % | Mar-2046 | 20,000 | 20,331 | 20,871 | ||||||||||||
JP Morgan | 3.48 | % | Jun-2045 | 9,317 | 9,684 | 9,514 | ||||||||||||
Citigroup | 3.62 | % | Jul-2047 | 8,000 | 8,181 | 8,692 | ||||||||||||
Barclays/ JP Morgan | 3.81 | % | Jul-2047 | 2,250 | 2,301 | 2,455 | ||||||||||||
RBS/ Wells Fargo | 3.82 | % | Aug-2050 | 5,000 | 5,119 | 5,435 | ||||||||||||
Deutsche Bank/UBS | 3.96 | % | Mar-2047 | 5,000 | 5,113 | 5,447 | ||||||||||||
Barclays/ JP Morgan | 4.00 | % | Apr-2047 | 5,000 | 5,114 | 5,468 | ||||||||||||
Cantor/Deutsche Bank | 4.01 | % | Apr-2047 | 20,000 | 20,456 | 21,732 | ||||||||||||
Barclays/ JP Morgan | 4.08 | % | Feb-2047 | 6,825 | 7,125 | 7,467 | ||||||||||||
Cantor/Deutsche Bank | 4.24 | % | Feb-2047 | 7,000 | 7,157 | 7,681 | ||||||||||||
Deutsche Bank | 5.00 | % | Nov-2046 | 5,775 | 5,895 | 5,782 | ||||||||||||
Total Commercial Mortgage Backed Securities | $ | 104,167 | $ | 106,614 | $ | 110,852 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
United States Treasury Securities (6.1% of net assets) |
Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||
0.63 | % | May-2030 | $ | 63,000 | $ | 62,332 | $ | 62,825 | |||||||||
0.63 | % | Aug-2030 | 30,000 | 29,761 | 29,851 | ||||||||||||
1.13 | % | May-2040 | 27,000 | 26,830 | 26,633 | ||||||||||||
1.50 | % | Feb-2030 | 35,000 | 36,712 | 37,779 | ||||||||||||
1.63 | % | Aug-2029 | 45,000 | 44,753 | 49,010 | ||||||||||||
1.75 | % | Nov-2029 | 30,000 | 30,035 | 33,046 | ||||||||||||
2.00 | % | Feb-2050 | 75,000 | 83,329 | 85,054 | ||||||||||||
2.25 | % | Aug-2049 | 15,000 | 15,653 | 17,883 | ||||||||||||
2.63 | % | Feb-2029 | 25,000 | 26,209 | 29,219 | ||||||||||||
2.88 | % | Aug-2028 | 10,000 | 9,847 | 11,813 | ||||||||||||
3.13 | % | Nov-2028 | 20,000 | 20,413 | 24,100 | ||||||||||||
Total United States Treasury Securities | $ | 375,000 | $ | 385,874 | $ | 407,213 | |||||||||||
Total Fixed-Income Investments | $ | 6,183,305 | $ | 6,281,624 | $ | 6,678,616 |
Schedule of Portfolio Investments |
September 30, 2020 (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 Advisers7 (Level 3) | $ | 1 | $ | — | $ | 90 | ||||||
Total Equity Investment | $ | 1 | $ | — | $ | 90 |
Schedule of Portfolio Investments |
September 30, 2020 (dollars in thousands; unaudited) |
Short-Term Investments (2.2% of net assets) |
Issuer | Interest Rate | Maturity Date | Face Amount | Amortized Cost | Value | |||||||||||||
Commercial Paper | ||||||||||||||||||
Halkin Finance LLC | 0.10 | %8 | Oct-2020 | $ | 40,000 | $ | 40,000 | $ | 40,000 | |||||||||
Blackrock Federal Funds | 0.05 | %9 | OCt-2020 | 109,098 | 109,098 | 109,098 | ||||||||||||
Total Short-Term Investments | $ | 149,098 | $ | 149,098 | $ | 149,098 | ||||||||||||
Total Investments | $ | 6,332,404 | $ | 6,430,723 | $ | 6,827,804 |
Schedule of Portfolio Investments |
September 30, 2020; unaudited |
Footnotes |
1 | 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 $329.7 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. | |
2 | The HIT records when issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when issued basis are marked to market monthly and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. | |
3 | Construction interest rates are the rates charged to the borrower during the construction phase of the project. The permanent interest rates are charged to the borrower during the amortization period of the loan, unless the U.S. Department of Housing and Urban Development requires that such rates be charged earlier. | |
4 | For 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. | |
5 | 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. | |
6 | 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. | |
7 | 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 of HIT Advisors and its subsidiary on a consolidated basis. The participation interest is not registered under the federal securities laws. | |
8 | Rate indicated is the effective yield at the time of purchase. | |
9 | Rate indicated is the annualized 1-day yield as of September 30, 2020. | |
Key to abbreviations | ||
M | Month | |
Y | Year | |
LIBOR | London Interbank Offered Rate | |
UST | U.S. Treasury |
Item 1. Schedule of Investments
(Schedule of Investments)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited
As of September 30, 2020
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, 2020 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, 2020:
Investment Securities: ($ in thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
FHA Permanent Securities | $ | — | $ | 139,755 | $ | — | $ | 139,755 | ||||||||
FHA Construction Securities | — | 24,172 | — | 24,172 | ||||||||||||
Ginnie Mae Securities | — | 1,749,802 | — | 1,749,802 | ||||||||||||
Ginnie Mae Construction Securities | — | 238,229 | — | 238,229 | ||||||||||||
Fannie Mae Securities | — | 2,929,749 | — | 2,929,749 | ||||||||||||
Fannie Mae Construction Securities | — | 21,368 | — | 21,368 | ||||||||||||
Freddie Mac Securities | — | 605,315 | — | 605,315 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 110,852 | — | 110,852 | ||||||||||||
State Housing Finance Agency Securities | — | 384,250 | — | 384,250 | ||||||||||||
Other Multifamily Investments | ||||||||||||||||
Direct Loans | — | — | 36,204 | 36,204 | ||||||||||||
Privately Insured Construction/Permanent Mortgages | — | 3,858 | — | 3,858 | ||||||||||||
Total Other Multifamily Investments | — | 3,858 | 36,204 | 40,062 | ||||||||||||
United States Treasury Securities | — | 407,213 | — | 407,213 | ||||||||||||
Equity Investments | — | — | 90 | 90 | ||||||||||||
Short-Term Investments | 149,098 | — | — | 149,098 | ||||||||||||
Other Financial Instruments* | — | 27,849 | — | 27,849 | ||||||||||||
Total Investment | $ | 149,098 | $ | 6,642,412 | $ | 36,294 | $ | 6,827,804 |
*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, 2020.
Investments in Securities ($ in thousands) | ||||||||||||
Other Multifamily Investments | Equity Investments | Total | ||||||||||
Beginning balance,12/31/2019 | $ | 5,753 | $ | (134 | ) | $ | 5,619 | |||||
Cost of Purchases | 31,677 | — | 31,677 | |||||||||
Total Unrealized Gain(Loss)(a) | (1,226 | ) | 224 | (1,002 | ) | |||||||
Ending balance, 9/30/2020 | $ | 36,204 | $ | 90 | $ | 36,294 |
(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2020 totaled ($1,002,000).
Level 3 securities primarily consists of Direct Loans that were valued by an independent pricing service at September 30, 2020, utilizing a discounted cash flow model. Weighted average lives for the loans ranged from 0.92 to 18.82. Unobservable inputs include spreads to relevant U.S. Treasuries ranging from 172 to 463 basis points. A change in unobservable inputs may impact the value of the loans.
Federal Income Taxes
At September 30, 2020, investments for federal income tax purposes approximated book cost at amortized cost of $6,430,723,000. Net unrealized gains aggregated $397,081,000 at period-end, of which $401,939,000 related to appreciated investments and $4,858,000 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 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.
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, 2020, 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, 12/31/2019 | $ | 879 | ||
Advances in 2020 | 28 | |||
Repayment by HIT Advisers in 2020 | — | |||
Ending Balance, 9/30/2020 | $ | 907 |
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 Building America by the HIT is included in the table below:
Advances to BACDE by HIT | $ in Thousands | |||
Beginning Balance, 12/31/2019 | $ | 76 | ||
Advances in 2020 | 909 | |||
Repayment by BACDE in 2020 | (985 | ) | ||
Ending Balance, 9/30/2020 | $ | — |
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, 2020 | ||||
Assets | $ | 1,197 | ||
Liabilities | 1,107 | |||
Equity | $ | 90 | ||
For the nine months ended September 30, 2020 | ||||
Income | $ | 1,308 | ||
Expenses | (921 | ) | ||
Tax Expense | (40 | ) | ||
Net Income (Loss) | $ | 347 |