NPORT-EX 2 ahit-nportex_093020.htm SCHEDULE OF INVESTMENTS

 

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