UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act File Number: 811-3493

American Federation of Labor and

Congress of Industrial Organizations

Housing Investment Trust

(Exact name of registrant as specified in charter)

1227 25^th Street, N.W., Suite 500

Washington, D.C. 20037

(Address of principal executive offices) (Zip code)

Corey F. Rose, Esq.

Dechert LLP

1900 K Street, NW

Washington, DC 20006-1110

(Name and address of agent for service)

(202) 331-8055

(Registrant’s telephone number, including area code)

Date of fiscal year end: December 31

Date of reporting period: January 1, 2021 – June 30, 2021

Item 1.

Reports to Stockholders.

A copy of the 2021 Semi-Annual Report (the “Report”) of the AFL-CIO Housing Investment Trust (the “Trust” or “Registrant”) transmitted to Trust participants pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (17 CFR 270.30e-1) (the “Act”), is included herewith.

To Our
Investors

I am pleased to report that the AFL-CIO Housing Investment Trust (HIT) achieved many milestones in the first half of 2021. As of June 30, the HIT reached a record level of $7 billion in net assets, outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index (Benchmark), invested more than $385 million in multifamily housing projects and raised $320 million in new capital. At midyear, these levels of multifamily investment and new capital put the HIT on track for 2021 to be one of the most successful years in its history.

The HIT significantly outperformed its Benchmark. Its gross and net returns for the semi-annual period were -0.59% and -0.74 % respectively, compared to the Benchmark’s -1.60%, an outperformance of 101 and 86 basis points (bps). The HIT’s strategic overweight to high credit quality multifamily securities provided investors with a yield advantage and diversification benefits within investment grade fixed income. The rising interest rate environment and unprecedented amounts of fiscal stimulus posed challenges to all fixed income funds, including the HIT. The HIT has continued to reduce operating costs to benefit investors and make the HIT more competitive. Its expense ratio declined from 42 bps in 2018 to an annualized rate of 30 bps as of June 30, 2021.

The HIT’s financing of 40 construction projects in 12 states as of June 30, with total development costs of $2.8 billion, are expected to generate 18.4 million union construction work hours. These projects provide opportunities for careers with secure wages and benefits and will create or renovate 6,400

multifamily housing units, of which 59% are affordable. These impacts in key markets nationwide are of critical importance in increasing economic equity as the U.S. recovers from the pandemic.

With a robust pipeline expected for the remainder of 2021 and into 2022, and important labor- and housing-friendly policy initiatives now underway in our country, we believe that the HIT’s investment strategy and mission position it well for continued success and set the HIT apart from traditional fixed income managers.

Finally, I note with great sadness the passing of AFL-CIO President and HIT Trustee Richard Trumka on August 5. We lost Rich just as the HIT was preparing this report for printing. Rich was a lion in the labor movement his whole life, a member of HIT’s Board of Trustees for two and a half decades, and a personal inspiration to me throughout my career at the HIT. I speak for all of the HIT’s Trustees and staff to say that we will mourn his loss and dedicate our efforts in the second half of 2021 to honor him and his commitment to working men and women in communities across the United States.

Thank you for your vital support for the HIT.

Chang Suh

Chief Executive Officer and Chief Investment Officer

2021 SEMI-ANNUAL REPORT

RELATIVE RETURNS

As of June 30, 2021, periods over one year are annualized

The AAA Index represents the AAA Component of the Bloomberg Barclays U.S. Aggregate Bond Index.

COMPARISON OF A $50,000 INVESTMENT

in the HIT and Barclays Aggregate (10 Years)

Past performance is no guarantee of future results. Economic and market conditions change, and both will cause investment return, principal value, and yield to fluctuate so that a participant’s units, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at www.aflcio-hit. com. Gross performance figures do not reflect the deduction of HIT expenses. Net performance figures reflect the deduction of HIT expenses and are the performance figures investors experience in the HIT. Information about HIT expenses can be found on page 1 of the HIT’s current prospectus. The Barclays Aggregate is an unmanaged index and is not available for direct investment, although certain funds attempt to replicate this index. Returns for the index would be lower if they reflected the actual trading costs or expenses associated with management of an actual portfolio.

PERFORMANCE OVERVIEW

(unaudited)

HIT OUTPERFORMS BENCHMARK IN CHALLENGING FIXED INCOME ENVIRONMENT

In the first six months of 2021, as the COVID pandemic’s challenges to the economy abated, growth picked up and interest rates rose, the AFL-CIO Housing Investment Trust (HIT) delivered strong relative performance. The HIT outperformed its primary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index (Benchmark or Barclays Aggregate) for the year-to-date by 101 and 86 basis points (bps) on a gross and net basis, respectively. The HIT reported a gross return of -0.59% and a net return of -0.74% compared to the Benchmark’s -1.60% for the year-to-date. During the same period, the HIT outperformed the AAA component of the Barclays Aggregate by 115 bps on a gross basis and 100 bps on a net basis. Over 91% of HIT’s investments have a credit quality of AAA or better compared to 71% of the Benchmark. As of June 30, the HIT

reached a record-high $7 billion in net assets.¹

Investment grade fixed income total returns were challenged by higher interest rates over the first half of 2021 as the U.S. economy reopened for business. Absolute returns finished in the negative, reversing a portion of the strong positive total returns generated in 2020. Unprecedented stimulus flowing through the economy, coupled with the expected benefits of widespread COVID vaccinations drove business and consumer spending along with rising inflation expectations, pressuring yields.

The HIT portfolio performed well relative to the Benchmark in this environment by providing investors with a yield advantage and diversification benefits within investment grade fixed income. This was due to its strategic overweight in high credit quality agency multifamily securities, structural underweight in Treasuries and underweight in residential fixed rate mortgages. HIT’s

premium multifamily assets outperformed Treasuries as investor demand drove spreads significantly tighter, more than offsetting strong excess returns by lower credit investments in corporate bonds as spreads reached historic valuations. The HIT portfolio does not invest in corporate bonds. Moreover, the HIT positioned its portfolio duration to be short the Benchmark and overweighted adjustable-rate agency mortgage backed securities (MBS), further benefitting returns and providing investors protection against higher rates and the extended duration of the Barclays Aggregate.

MARKET CONTEXT

Equity and credit markets again set new all-time high valuations driven by the widespread distribution of the COVID vaccine and the continued reopening of the country throughout the first half of the year. Additionally, real interest rates and inflation expectations rose due to

1. The performance data quoted represents past performance and is no guarantee of future results. Periods over one year are annualized. Investment results and principal value will fluctuate so that units in the HIT, when redeemed, may be worth more or less than the original cost. The HIT’s current performance data may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available from the HIT’s website at www.aflcio-hit.com. Gross performance figures do not reflect the deduction of HIT expenses. Net performance figures reflect the deduction of HIT expenses and are the performance returns that HIT’s investors obtain. Information about HIT expenses can be found on page 1 of the HIT’s current prospectus.

TREASURY YIELD CURVE SHIFT

Source: Bloomberg L.P.

HISTORICAL MULTIFAMILY SPREADS

Source: HIT and Securities Dealers

MARKET INFLATION EXPECTATIONS

Source: Bloomberg L.P.

the level of monetary and fiscal stimulus fueling growth expectations. The Federal Reserve’s growth forecast increased to 7.0% GDP in 2021 as compared to 4.2% as of December 2020. Its inflation forecast moved to 3.0% for 2021, up from 1.8% as of December 2020, though it continues to view this increase as largely transitory. Although the Federal Reserve kept monetary policy accommodative at the zero interest rate bound during the period, at its latest meeting the Federal Reserve discussed the possibility of future tapering of asset purchases and potentially raising interest rates at a faster pace if elevated inflation is sustained.

With higher absolute yields, spreads on Federal Housing Administration-insured and Government-Sponsored Enterprise-related multifamily securities in the HIT portfolio benefitted from increased investor demand and slower net issuance from previous periods. Spread assets generally

outperformed Treasuries as the extraordinary market forces that drove Treasury returns at the height of the pandemic have somewhat waned, pressuring returns. The HIT is underweight Treasuries which had the worst total returns of the Benchmark during the period with -2.58%. Investor demand for extension protection shifted as the market adjusted expectations from deflationary forces to inflation. The interest rate sensitivity of both the Treasury and corporate bond sectors continued to increase with high demand for and issuance of long-term financing in the government and corporate sectors. Despite increased interest rate risk that challenged returns, corporate bonds had an excess return of 204 bps, the best of any sector in investment grade fixed income. By contrast, agency residential MBS underperformed as prepayments remained elevated and the risk of the Federal Reserve reducing asset purchases in the sector caused demand to wane.

HIT’S MULTIFAMILY INVESTMENTS

The HIT is on pace to have one of its best production years on record, after a strong first half of 2021. At a time when many other financing sources were on the sidelines, as of June 30, the HIT invested $385 million in nine multifamily housing projects with total development costs of $643 million. These investments are expected to generate 3.7 million hours of union construction work and create or renovate 1,806 housing units, of which 59% are affordable. HIT’s commitment to The Couture in Milwaukee (featured on page 5) is the largest new construction FHA-insured investment in its history.

As of June 30, the HIT had a total of $1.3 billion invested in 40 projects in or ready to start construction nationwide2, with over $2.8 billion in total development costs. These investments are expected to create or renovate 6,400 housing units, of which more than 3,700 are affordable.

2. Including New Markets Tax Credits allocations by the HIT’s subsidiary, Building America CDE, Inc.

2021 SEMI-ANNUAL REPORT

SECTOR ALLOCATION

As of June 30, 2021

RISK COMPARISON

As of June 30, 2021

	HIT	Barclays		HIT	Barclays
CREDIT QUALITY
U.S. Government/Agency/AAA/Cash	91.42%	70.68%	A & Below/Not Rated	3.45%	25.88%
YIELD
Current Yield	2.56%	2.42%	Yield to Worst	1.73%	1.40%
INTEREST RATE RISK
Effective Duration	5.88	6.34	Convexity	0.23	0.07
CALL RISK
Call Protected	81%	73%	Not Call Protected	19%	27%

Source: HIT and Bloomberg L.P.

The calculations of the HIT yield herein represent widely accepted portfolio characteristics information based on coupon rate, current price and, for yield to worst, certain prepayment assumptions, and are not current yield or other performance data as defined by the SEC in Rule 482.

PERFORMANCE OVERVIEW

continued

Additionally, 18.4 million of union on-site construction hours are expected to be generated for union workers throughout the nation.

Despite strong competitive financing sources returning to the market and an uncertain economic environment, with a strong pipeline and innovative financing structures, the HIT expects to be well positioned to invest in additional multifamily developments for the remainder of 2021 and in 2022.

HIT PREPARED TO RETURN TO IN-OFFICE OPERATIONS

After smoothly conducting all operations remotely since March 10, 2020 due to the COVID pandemic, the HIT has scheduled a mid-July return to in-office operations. The HIT will follow safety protocols and procedures to protect staff and all those with whom the HIT interacts and continue to monitor public health guidance. The HIT will

be prepared to adjust as needed based on evolving health conditions, including the emerging virus variants.

LOOKING AHEAD

Coming out of the pandemic, the US economy is on pace to have one of its highest GDP growth periods in decades, with fiscal stimulus making its way through the economy. The HIT expects the reopening of the economy to lead to stronger jobs growth and a lower unemployment rate. However, despite this optimism, uncertainty in the outlook cannot be ignored as the permanent effects of the pandemic are still unknown. Restrictions introduced to stop the spread of the virus variants could weigh on the pace of economic expansion. Inflation expectations could remain elevated, exceeding the Federal Reserve’s goals and leading to a shift in monetary policy. The path of interest rates could be volatile given the possibility of Federal Open Market Committee tapering and already-historic valuations across equity and credit markets.

The HIT believes it is well-positioned to weather potential financial market and economic shocks with a fundamentally sound portfolio of high credit quality and liquid assets, providing capital preservation, attractive risk-adjusted income, and diversification from record high valuations in corporate credit. Affordable and workforce housing development will remain an essential stimulus to the economy as the lingering housing crisis and permanent damage to the economy weigh on low income households. The HIT remains focused on identifying and building a strong pipeline of opportunities in credit-enhanced construction-related multifamily investments. Its expertise in sourcing and structuring these investments, which can generate attractive yield spreads over historically low Treasury rates and offer multiple structures for both construction and permanent financing, are what sets the HIT apart from traditional fixed income managers.

OTHER IMPORTANT INFORMATION

(unaudited)

EXPENSE EXAMPLE

	Beginning Account Value January 1, 2021	Ending Account Value June 30, 2021	Expenses Paid During Six-Month Period Ended June 30, 2021*
Actual Expenses	$1,000.00	$992.65	$1.48
Hypothetical Expenses
(5% annual return before expenses)	$1,000.00	$1,023.31	$1.51

*	Expenses are equal to the HIT’s annualized six-month expense ratio of 0.30%, as of June 30, 2021, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Participants in the HIT incur ongoing expenses related to the management and distribution activities of the HIT, as well as certain other expenses. The expense example in the table above is intended to help participants understand the ongoing costs (in dollars) of investing in the HIT and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period, January 1, 2021, and held for the entire period ended June 30, 2021.

Actual Expenses: The first line of the table above provides information about actual account values and actual expenses. Participants may use the information in this line, together with the amount they invested, to estimate the expenses that they paid over the period. Simply divide the account value by $1,000 (for example, an $800,000 account value divided by $1,000 = 800), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Six-Month Period Ended June 30, 2021” to estimate the expenses paid on a particular account during this period.

Hypothetical Expenses (for Comparison Purposes Only): The second line of the table above provides information about hypothetical account values and hypothetical expenses based on the HIT’s actual expense ratio and an assumed rate of return of

5% per year before expenses, which is not the HIT’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses a participant paid for the period. Participants may use this information to compare the ongoing costs of investing in the HIT and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.

Please note that this example is useful in comparing funds’ ongoing costs only. It does not include any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. The HIT does not have such transactional costs, but many other funds do.

AVAILABILITY OF QUARTERLY
PORTFOLIO SCHEDULE

In addition to disclosure in its Annual and Semi-Annual Reports to Participants, the HIT also files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The HIT’s Form N-PORT Part F is available on the SEC’s website at sec.gov. Participants may also obtain copies of the HIT’s Form N-PORT, without charge, upon request, by calling the HIT collect at 202-331-8055.

PROXY VOTING

Except for its shares in its wholly owned subsidiary, HIT Advisers LLC, and shares in mutual funds holding short-term or overnight cash, if applicable, the HIT invests exclusively in nonvoting securities and has not deemed it necessary to adopt policies and procedures for the voting of portfolio securities. The HIT has reported information regarding how it voted in matters related to its subsidiary in its most recent filing with the SEC on Form N-PX. This filing is available on the SEC’s website at sec.gov. Participants may also obtain a copy of the HIT’s report on Form N-PX, without charge, upon request, by calling the HIT collect at 202-331-8055.

STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM

The HIT Board of Trustees (the “Board” or “HIT Board”) has previously approved and implemented policies and procedures for a Liquidity Risk Management Program (the “Program”) consistent with Rule 22e-4 under the Investment Company Act of 1940. The Program seeks to assess and manage HIT’s liquidity risk. The Board designated the HIT’s Valuation Committee to serve as the Liquidity Program Administrator (the “Administrator”), which, among other duties, is required to provide a written report to the Board, at least annually, in order to assist the Board in assessing the adequacy and effectiveness of the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of liquidity classification determinations.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence HIT’s liquidity risk; (2) the periodic classification of HIT’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) the determination of whether HIT requires a “highly liquid investment minimum” (as defined under Rule 22e-4); and, (5) periodic reporting to the Board.

At a March 2, 2021 meeting of the Board, the Administrator provided a written report to the Board addressing the operation and the adequacy and effectiveness of the implementation of the Program for the 2020 calendar year (the “Reporting Period”). Among other things, the report discussed liquidity classifications of the HIT’s portfolio and provided an assessment of HIT’s liquidity risk and evaluation of the Program.

The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2021 (dollars in thousands, except per share data; unaudited)

Assets
	Investments, at value (cost $6,796,306)	$	7,037,328
	Cash		9,899
	Accrued interest receivable		18,099
	Receivables for investments sold		128
	Right of use asset		4,207
	Other assets		3,260
	Total assets		7,072,921

Liabilities
	Payables for investments purchased		86,724
	Redemptions payable		3,592
	Income distribution and capital gains payable, net of dividends reinvested of $11,363		899
	Refundable deposits		896
	Accrued salaries and fringe benefits		4,060
	Lease Liability		4,756
	Other liabilities and accrued expenses		1,058
	Total liabilities		101,985

	Other commitments and contingencies (Note 5 of financial statements)		—

Net assets applicable to participants’ equity–
	Certificates of participation – authorized unlimited; Outstanding 6,033,828 units	$	6,970,936

Net asset value per unit of participation (in dollars)		$	1,155.31

Participants’ equity
	Participants’ equity consisted of the following:
	Amount invested and reinvested by current participants	$	6,735,050
	Distributable earnings (accumulated losses)		235,886
	Total participants’ equity	$	6,970,936

See accompanying Notes to Financial Statements (unaudited).

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited)

FHA PERMANENT SECURITIES

(2.3% OF NET ASSETS)

	Interest		Maturity	Unfunded		Face		Amortized
	Rate		Date	Commitments¹		Amount		Cost		Value
Multifamily	3.65	%	Dec-2037		$ —	$	8,052	$	8,181	$	8,316
	3.75	%	Aug-2048		—		3,710		3,706		3,791
	4.00	%	Dec-2053		—		61,300		61,276		66,643
	4.10	%	Dec-2060		—		21,872		21,889		23,755
	4.79	%	May-2053		—		4,972		5,177		5,462
	5.17	%	Feb-2050		—		7,570		8,078		8,448
	5.35	%	Mar-2047		—		6,820		6,829		6,876
	5.55	%	Aug-2042		—		7,187		7,189		7,248
	5.60	%	Jun-2038		—		2,131		2,134		2,150
	5.80	%	Jan-2053		—		1,956		1,964		2,240
	5.87	%	May-2044		—		1,638		1,637		1,651
	5.89	%	Apr-2038		—		4,014		4,018		4,052
	6.20	%	Apr-2052		—		11,055		11,052		12,553
	6.40	%	Aug-2046		—		3,567		3,568		3,581
	6.60	%	Jan-2050		—		3,209		3,230		3,635
					—		149,053		149,928		160,401
Forward Commitments	2.50	%	Sep-2063		5,702		—		—		(205	)
	3.72	%	Feb-2062		4,470		—		—		217
	3.90	%	Mar-2062		3,090		—		—		186
					13,262		—		—		198
Total FHA Permanent Securities					$13,262	$	149,053	$	149,928	$	160,599

GINNIE MAE CONSTRUCTION SECURITIES
(3.9% OF NET ASSETS)

	Interest Rates²						Maturity	Unfunded		Face		Amortized
	Permanent			Construction			Date	Commitments¹		Amount		Cost		Value
Multifamily		2.45	%		2.45	%	Apr-2062		$ 14,310	$	2,193	$	2,524	$	2,694
		2.55	%		2.55	%	Mar-2063		37,000		—		1,087		413
		2.58	%		2.58	%	May-2063		28,449		51		977		730
		2.62	%		2.62	%	Feb-2063		9,241		4,559		5,076		5,360
		2.64	%		2.64	%	Feb-2063		18,226		—		552		859
		2.65	%		2.65	%	Oct-2062		3,646		2,854		3,017		3,257
		2.67	%		2.67	%	Mar-2062		17,423		17,560		18,437		19,306
		2.98	%		2.98	%	Apr-2063		30,471		—		1,143		2,107
		3.05	%		3.05	%	Dec-2063		104,645		100		1,147		5,654
		3.41	%		3.41	%	Sep-2061		10,307		31,978		33,670		36,578
		3.43	%		3.43	%	Nov-2061		8,377		45,113		46,920		51,212
		3.60	%		3.60	%	Apr-2061		878		33,307		34,505		37,039
		3.78	%		7.00	%	Aug-2060		751		39,189		39,493		43,435
		4.21	%		4.21	%	May-2061		13,505		38,435		38,700		44,943
		4.35	%		4.35	%	Dec-2060		546		1,754		1,797		2,020
		4.53	%		4.53	%	Jan-2061		269		14,646		15,103		16,372
Total Ginnie Mae Construction Securities									$298,044	$	231,739	$	244,148	$	271,979

2021 SEMI-ANNUAL REPORT

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

GINNIE MAE SECURITIES

(27.3% OF NET ASSETS)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Single Family		6.00	%	Jan-2032–Aug-2037	$	797	$	797	$	925
		7.50	%	Aug-2025–Aug-2030		242		244		272
		4.50	%	Aug-2040		878		893		999
		5.50	%	Jan-2033–Jun-2037		1,080		1,079		1,231
		6.50	%	Jul-2028		41		41		46
		9.00	%	Dec-2022–Jun-2025		4		4		4
		4.00	%	Feb-2040–Jun-2040		1,577		1,591		1,731
		7.00	%	Apr-2026–Jan-2030		520		522		589
		8.00	%	Sep-2026–Nov-2030		236		236		265
		8.50	%	Jun-2022–Aug-2027		73		73		80
						5,448		5,480		6,142
Multifamily		2.00	%	Jul-2062–Jun-2063		157,596		161,806		159,426
		2.00	%	Jul-2062		39,672		40,826		40,215
		2.00	%	Oct-2062		69,199		71,655		69,930
		2.00	%	Apr-2063		63,459		64,583		64,531
		2.00	%	Apr-2063		59,753		61,070		60,544
		2.15	%	May-2056		2,586		2,581		2,627
		2.20	%	May-2042–Jun-2056		13,802		14,201		14,249
		2.25	%	Dec-2048		4,078		4,047		4,175
		2.30	%	Mar-2056–Oct-2056		20,365		20,255		20,809
		2.31	%	Nov-2051		7,076		7,076		7,260
		2.32	%	Sep-2060		27,454		28,984		28,549
		2.35	%	Dec-2040–Feb-2061		42,639		43,830		43,900
		2.40	%	Aug-2047		4,233		4,238		4,346
		2.47	%	Jan-2053		50,195		50,543		51,632

GINNIE MAE SECURITIES

continued

Interest Rate		Maturity Date	Face Amount		Amortized Cost		Value
2.50	%	Dec-2052–Jan-2061		80,783		82,178		83,654
2.53	%	Feb-2040		3,456		3,492		3,492
2.60	%	Apr-2048–Jun-2059		26,817		26,920		27,624
2.70	%	May-2048–Jul-2058		18,076		18,154		18,649
2.72	%	Feb-2044		145		149		148
2.74	%	Apr-2057		24,271		26,447		26,379
2.78	%	Aug-2058		10,921		11,908		11,907
2.79	%	Apr-2049		8,469		8,545		8,823
2.80	%	Feb-2053		60,000		57,153		62,329
2.80	%	Dec-2059		7,921		7,813		8,120
2.82	%	Apr-2050		1,500		1,528		1,558
2.89	%	Mar-2046		10,603		10,662		10,759
2.99	%	Jul-2048		8,290		9,006		8,962
3.00	%	Mar-2051		10,814		10,859		11,069
3.00	%	May-2062		79,212		85,807		85,181
3.03	%	Jan-2056		30,921		32,989		33,500
3.05	%	May-2054		11,545		11,595		12,161
3.08	%	Jan-2049		17,025		17,588		17,320
3.10	%	May-2059		10,419		10,372		10,546
3.17	%	Aug-2059		34,784		38,595		39,038
3.20	%	Jul-2041–Sep-2051		11,244		11,201		11,443
3.21	%	Jul-2046		6,014		6,175		6,153
3.25	%	Sep-2054		29,924		29,673		30,906
3.25	%	Apr-2059		45,000		43,215		47,275
3.25	%	Jun-2059		30,752		31,344		33,688

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

GINNIE MAE SECURITIES

continued


Interest Rate		Maturity Date	Face Amount		Amortized Cost		Value
3.26	%	Nov-2043		8,383		8,395		8,710
3.27	%	Apr-2046		25,150		26,582		27,282
3.30	%	May-2055–Sep-2060		17,899		17,657		19,416
3.33	%	Jun-2043		2,093		2,150		2,110
3.34	%	Sep-2059		17,145		17,474		18,888
3.35	%	Nov-2042–Mar-2044		16,287		15,878		17,042
3.37	%	Dec-2046		6,861		6,939		6,966
3.38	%	Aug-2059		43,749		44,586		47,078
3.38	%	Jan-2060		59,456		59,463		64,975
3.39	%	Feb-2059		14,279		14,559		15,655
3.41	%	Feb-2044		1,475		1,538		1,496
3.45	%	Feb-2051		4,035		4,012		4,120
3.48	%	May-2059		10,890		11,108		12,020
3.49	%	May-2042		2,773		2,809		2,810
3.50	%	Jan-2054		9,067		9,024		9,293
3.51	%	Mar-2053		45,751		49,306		50,416
3.53	%	Apr-2042		16,380		16,883		17,982
3.57	%	Nov-2059		48,614		49,315		53,800
3.60	%	Jun-2057		13,664		14,144		15,051
3.62	%	Dec-2057		28,584		29,084		31,510
3.63	%	Sep-2052		6,307		6,520		6,746
3.64	%	Dec-2045		8,583		8,262		8,866
3.65	%	Oct-2058		10,287		10,441		11,396
3.67	%	Nov-2035		14,140		14,564		15,187
3.74	%	Aug-2059		15,627		15,928		17,432

GINNIE MAE SECURITIES

continued


	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
		3.75	%	Apr-2046–Nov-2060		17,693		18,064		19,454
		3.92	%	Aug-2039		42,071		44,334		45,733
		4.10	%	May-2051		3,849		4,163		4,281
		4.19	%	May-2060		28,300		28,673		31,913
		4.20	%	Aug-2060		47,306		48,240		52,800
		4.25	%	Sep-2038		31,969		32,104		33,705
		4.45	%	Jun-2055		2,497		2,406		2,792
		4.63	%³	Sep-2037		1,500		1,467		1,505
		4.90	%³	Mar-2044		1,000		992		1,004
		5.25	%	Apr-2037		17,091		17,086		17,132
		5.34	%	Jul-2040		706		699		711
						1,782,474		1,823,912		1,880,154
When Issued⁴		2.00	%	Jun-2063		15,000		15,220		15,230
Total Ginnie Mae Securities						$1,802,922		$1,844,612		$1,901,526

2021 SEMI-ANNUAL REPORT

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

FANNIE MAE SECURITIES (39.5% OF NET ASSETS)

	Interest Rate⁵			Maturity Date	Unfunded Commitments¹		Face Amount		Amortized Cost		Value
Single Family	0.34	%	1M LIBOR+25	Mar-2037	$	—	$	134	$	134	$	135
	0.41	%	1M LIBOR+32	Jun-2037		—		819		819		823
	0.49	%	1M LIBOR+40	Apr-2037		—		384		382		387
	0.55	%	1M LIBOR+46	Oct-2042		—		2,293		2,301		2,318
	0.59	%	1M LIBOR+50	Jun-2042		—		4,438		4,442		4,492
	0.64	%	1M LIBOR+55	Mar-2042		—		3,107		3,111		3,155
	0.69	%	1M LIBOR+60	Oct-2043		—		5,076		5,097		5,162
	1.80	%	6M LIBOR+155	Nov-2033		—		1,010		1,010		1,035
	1.83	%	12M LIBOR+156	Apr-2034		—		557		566		576
	1.86	%	6M LIBOR+161	Aug-2033		—		127		127		130
	2.00	%		Jul-2050		—		34,625		35,739		35,052
	2.04	%	12M LIBOR+153	Feb-2045		—		3,174		3,227		3,309
	2.05	%	12M LIBOR+168	Nov-2034		—		299		304		310
	2.23	%	1Y UST+211	May-2033		—		261		261		272
	2.31	%	12M LIBOR+170	Oct-2042		—		2,380		2,424		2,489
	2.35	%	12M LIBOR+150	Jul-2033		—		144		143		148
	2.48	%	1Y UST+220	Aug-2033		—		499		498		521
	2.49	%	1Y UST+222	Aug-2033		—		250		250		262
	2.50	%		May-2050–Nov-2050		—		185,825		194,533		192,289
	2.50	%		Jul-2050		—		34,974		36,569		36,285
	2.57	%	1Y UST+222	Jul-2033		—		654		656		684
	3.00	%		Apr-2031–Jun-2051		—		113,100		118,035		118,920
	3.50	%		Oct-2026–Jan-2050		—		106,089		109,503		112,782
	4.00	%		May-2024–Jun-2048		—		56,365		58,174		60,880
	4.50	%		May-2024–Dec-2048		—		40,558		41,843		44,202
	5.00	%		May-2034–Apr-2041		—		7,014		7,190		7,970
	5.50	%		Sep-2032–Jun-2038		—		2,973		2,977		3,416
	6.00	%		Nov-2028–Nov-2037		—		2,307		2,314		2,714
	6.50	%		Sep-2028–Jul-2036		—		403		410		467
	7.00	%		Sep-2027–May-2032		—		543		544		625
	7.50	%		Jan-2027–Sep-2031		—		105		105		114
	8.00	%		Aug-2030–May-2031		—		36		37		37
						—		610,523		633,725		641,961
Multifamily	0.20	%	1M SOFR+19	Mar-2031		—		20,370		20,373		20,319
	0.22	%	1M SOFR+21	Mar-2031		—		23,855		23,859		23,819
	0.23	%	1M SOFR+22	Mar-2031		—		10,075		10,076		10,065
	0.24	%	1M SOFR+23	Apr-2031		—		17,500		17,500		17,509
	0.38	%	1M LIBOR+29	Feb-2028		—		30,420		30,424		30,384

FANNIE MAE SECURITIES continued
	Interest Rate⁵			Maturity Date	Unfunded Commitments¹		Face Amount		Amortized Cost		Value
	0.40	%	1M LIBOR+31	Mar-2028		—		38,275		38,283		38,258
	0.43	%	1M LIBOR+34	Jan-2028		—		22,425		22,428		22,403
	0.44	%	1M LIBOR+35	Dec-2027		—		32,050		32,053		32,084
	0.49	%	1M LIBOR+40	Sep-2028		—		1,822		1,822		1,822
	0.53	%	1M LIBOR+44	May-2027		—		16,815		16,816		16,828
	0.67	%	1M LIBOR+58	May-2029		—		25,000		25,010		25,074
	0.67	%	1M LIBOR+58	Jun-2029		—		41,302		41,334		41,425
	0.95	%	1M LIBOR+85	Jan-2023		—		4,417		4,417		4,442
	1.06	%		Dec-2027		—		21,424		21,435		20,993
	1.17	%		Aug-2030–Nov-2030		—		34,773		34,777		33,853
	1.22	%		Jul-2030		—		25,610		25,716		25,283
	1.25	%		Jul-2030		—		37,950		38,106		37,220
	1.26	%		Jan-2031		—		25,000		24,993		24,657
	1.27	%		Jul-2030		—		14,235		14,359		14,113
	1.31	%		Aug-2030		—		4,456		4,534		4,409
	1.32	%		Aug-2030		—		21,000		21,342		20,886
	1.38	%		Jul-2030		—		10,500		10,676		10,495
	1.41	%		Jul-2030		—		3,340		3,383		3,345
	1.46	%		Jul-2030		—		7,675		7,804		7,717
	1.47	%		Jul-2030–Dec-2030		—		15,425		15,589		15,258
	1.50	%		Aug-2030		—		1,181		1,217		1,190
	1.52	%		Jul-2032		—		16,530		16,696		16,480
	1.53	%		Jul-2032		—		10,500		10,686		10,473
	1.55	%		Jul-2032		—		20,500		20,862		20,487
	1.57	%		Jan-2031		—		21,951		22,041		21,930
	1.57	%		Aug-2037		—		48,279		48,520		47,006
	1.65	%		Jul-2030		—		1,278		1,316		1,303
	1.68	%		Sep-2032		—		13,015		13,270		12,888
	1.71	%		Sep-2035–Nov-2035		—		25,605		25,948		25,092
	1.74	%		Mar-2033		—		6,160		6,259		6,147
	1.76	%		Aug-2035		—		9,100		9,146		9,063
	1.77	%		Sep-2035		—		3,270		3,346		3,267
	1.82	%		Jul-2035		—		4,687		4,731		4,691
	1.94	%		Apr-2035		—		6,400		6,514		6,533
	2.09	%		May-2032–Jul-2050		—		21,792		22,066		22,250
	2.16	%		Sep-2050		—		14,200		14,368		13,778
	2.19	%		Mar-2027		—		7,150		7,224		7,516
	2.26	%		Nov-2022		—		5,843		5,843		5,976

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

FANNIE MAE SECURITIES continued
	Interest Rate⁵		Maturity Date	Unfunded Commitments¹		Face Amount		Amortized Cost		Value
	2.33	%	Nov-2029–Feb-2030		—		18,255		18,311		19,347
	2.43	%	Nov-2031		—		18,655		18,664		19,888
	2.46	%	Aug-2026–Nov-2034		—		35,330		35,435		37,510
	2.49	%	Dec-2026–Nov-2031		—		27,625		27,692		29,571
	2.50	%	Jun-2026		—		60,000		60,000		63,825
	2.50	%	Jul-2026		—		37,680		37,709		39,923
	2.53	%	Jan-2030		—		20,550		20,711		21,984
	2.55	%	Sep-2026		—		14,210		14,214		15,095
	2.55	%	Mar-2030		—		51,656		51,996		55,040
	2.61	%	Nov-2026		—		9,800		9,870		10,476
	2.67	%	Aug-2029		—		37,700		38,055		40,637
	2.70	%	Nov-2025		—		14,885		14,890		15,912
	2.72	%	Jul-2028		—		36,400		36,605		39,458
	2.76	%	Oct-2031		—		10,190		10,346		11,120
	2.80	%	Apr-2025		—		15,015		15,060		15,936
	2.81	%	Sep-2027		—		12,246		12,290		13,299
	2.85	%	Dec-2027–Aug-2031		—		32,350		32,433		35,220
	2.87	%	Oct-2027		—		9,328		9,381		10,167
	2.91	%	Jun-2031		—		25,000		25,131		27,652
	2.92	%	May-2026–Apr-2028		—		25,197		25,368		27,416
	2.92	%	Jun-2027		—		67,471		67,525		73,593
	2.94	%	Jun-2027–Jul-2039		—		32,056		32,118		34,755
	2.96	%	Sep-2034		—		20,000		20,789		22,373
	2.97	%	Nov-2032–Sep-2034		—		32,492		32,755		36,013
	2.99	%	Jun-2025		—		2,615		2,617		2,813
	3.00	%	May-2027–Mar-2028		—		15,813		15,828		17,234
	3.02	%	Jun-2027–Sep-2027		—		30,298		30,403		33,171
	3.03	%	Jun-2026		—		12,671		12,800		13,179
	3.04	%	Apr-2030		—		25,100		25,161		27,823
	3.05	%	Apr-2030		—		26,564		26,585		29,381
	3.12	%	Mar-2025–Apr-2030		—		25,471		25,513		26,987
	3.14	%	Apr-2029		—		7,748		7,761		8,611
	3.15	%	Jan-2027		—		19,440		19,455		21,273
	3.17	%	Jun-2029–Sep-2029		—		61,557		61,815		67,269
	3.18	%	May-2035		—		9,895		10,012		10,913
	3.20	%	Oct-2027		—		9,972		10,003		11,021
	3.21	%	May-2030		—		6,660		6,733		7,392
	3.25	%	Nov-2027		—		9,962		9,993		11,044

FANNIE MAE SECURITIES
continued

	Interest Rate⁵		Maturity Date	Unfunded Commitments¹		Face Amount		Amortized Cost		Value
	3.26	%	Jan-2027		—		7,186		7,197		7,902
	3.31	%	Oct-2027		—		15,399		15,482		17,115
	3.32	%	Apr-2029		—		20,080		20,144		22,420
	3.33	%	May-2026		—		10,693		10,716		11,674
	3.35	%	Feb-2029		—		18,935		19,092		21,292
	3.36	%	May-2029–Oct-2029		—		34,122		35,125		38,029
	3.40	%	Oct-2026		—		2,827		2,834		3,127
	3.41	%	Sep-2023		—		11,188		11,190		11,662
	3.42	%	Apr-2035		—		5,168		5,234		5,871
	3.46	%	Dec-2023–Apr-2031		—		16,116		16,188		17,661
	3.54	%	Oct-2021		—		6,576		6,576		6,593
	3.61	%	Sep-2023		—		6,065		6,067		6,349
	3.63	%	Jul-2035		—		21,701		21,727		24,937
	3.66	%	Oct-2023		—		4,448		4,449		4,679
	3.68	%	Jul-2028		—		12,011		12,560		13,569
	3.87	%	Sep-2023		—		2,345		2,346		2,460
	4.06	%	Oct-2025		—		21,990		22,008		24,506
	4.27	%	Jan-2034		—		75,058		75,298		78,281
	4.69	%	Jun-2035		—		560		572		635
	5.15	%	Oct-2022		—		467		467		468
	5.29	%	May-2022		—		4,633		4,633		4,701
	5.30	%	Aug-2029		—		4,311		4,279		5,001
	5.69	%	Jun-2041		—		4,338		4,433		5,121
	5.75	%	Jun-2041		—		2,106		2,159		2,491
	5.91	%	Mar-2037		—		1,622		1,643		1,669
	5.96	%	Jan-2029		—		255		255		256
	6.15	%	Jan-2023		—		3,221		3,221		3,235
	8.40	%	Jul-2023		—		118		118		119
					—		1,984,551		1,995,202		2,084,875
When Issued⁴	1.76	%	Sep-2031		—		23,623		23,697		23,884
	2.41	%	Apr-2051		—		3,800		3,840		3,840
							27,423		27,537		27,724
Forward
Commitments	2.21	%	Dec-2039		41,844		—		—		(2,393	)
	2.56	%	Jul-2038		10,774		—		—		113
	2.59	%	Mar-2039		11,409		—		—		154
					64,027		—		—		(2,126	)
Total Fannie Mae Securities					$64,027	$	2,622,497	$	2,656,464	$	2,752,434

2021 SEMI-ANNUAL REPORT

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

FANNIE MAE CONSTRUCTION SECURITIES (0.3% OF NET ASSETS)
	Interest Rates²
	Permanent	Construction	Maturity Date	Face Amount	Amortized Cost	Value
Multifamily	2.46%	2.46%	Jan-2038	$20,950	$20,950	$21,716
Total FNMA Construction Securities				$20,950	$20,950	$21,716


FREDDIE MAC SECURITIES (9.4% OF NET ASSETS)

	Interest Rate⁵	Maturity Date	Unfunded Commitments¹		Face Amount		Amortized Cost		Value
Single Family	0.22% 1M LIBOR+13	Nov-2027	$	—	$	41,465	$	41,465	$	41,456
	0.25% 1M SOFR+24	Jan-2031		—		50,000		50,000		50,006
	0.26% 1M SOFR+25	Dec-2030		—		25,000		25,000		25,008
	0.31% 1M SOFR+30	Dec-2030		—		27,000		27,000		27,000
	0.35% 1M LIBOR+26	Nov-2030		—		17,997		17,996		17,997
	0.37% 1M LIBOR+30	Feb-2036		—		452		452		454
	0.37% 1M SOFR+36	Oct-2030		—		15,000		15,000		15,042
	0.40% 1M LIBOR+33	May-2037		—		73		73		74
	0.42% 1M LIBOR+35	Apr-2036–Jan-2043		—		2,863		2,866		2,880
	0.42% 1M LIBOR+33	Oct-2030		—		8,500		8,500		8,521
	0.47% 1M LIBOR+40	Aug-2043		—		2,716		2,715		2,737
	0.51% 1M LIBOR+42	May-2027		—		6,391		6,391		6,431
	0.55% 1M LIBOR+48	Oct-2040		—		2,069		2,068		2,092
	0.57% 1M LIBOR+50	Oct-2040–Jun-2044		—		9,212		9,218		9,332
	0.62%	Nov-2040		—		2,078		2,094		2,107
	0.74% 1M LIBOR+67	Aug-2037		—		2,455		2,478		2,500
	0.74% 1M LIBOR+65	Jan-2023		—		884		884		886
	0.79% 1M LIBOR+70	Sep-2022		—		501		501		501
	2.35% 1Y UST+223	Jun-2033		—		79		79		83
	2.36% 1Y UST+223	Oct-2033		—		215		214		225
	2.50%	Jan-2043–Aug-2046		—		8,346		8,445		8,662
	2.52% 12M LIBOR+178	Jul-2035		—		106		106		110

FREDDIE MAC SECURITIES continued
	Interest Rate⁵		Maturity Date	Unfunded Commitments¹		Face Amount		Amortized Cost		Value
	3.00	%	Aug-2042–Sep-2046		—		34,709		35,365		36,795
	3.35	%	Oct-2033		—		33,450		33,304		37,605
	3.50	%	Jan-2026–Oct-2046		—		69,495		71,033		74,421
	3.50	%	Jan-2026		—		18,000		18,077		19,235
	3.68	%	Oct-2025		—		10,000		10,104		10,786
	4.00	%	Nov-2024–Aug-2047		—		70,664		73,415		76,500
	4.50	%	Jan-2038–Dec-2044		—		17,935		18,678		19,893
	5.00	%	May-2022–Mar-2041		—		2,862		2,860		3,229
	5.50	%	Apr-2033–Jul-2038		—		2,250		2,246		2,599
	6.00	%	Jul-2021–Oct-2037		—		3,116		3,140		3,662
	6.50	%	Apr-2028–Nov-2037		—		504		509		601
	7.00	%	Apr-2028–Mar-2030		—		22		21		26
	7.50	%	Aug-2029–Apr-2031		—		34		34		39
	8.00	%	Dec-2029		—		—		—		1
	8.50	%	Jul-2024–Jan-2025		—		28		28		30
					—		486,471		492,359		509,526
Multifamily	3.38	%	Apr-2030		—		14,084		14,328		15,881
	2.42	%	Jun-2031		—		11,768		11,951		12,693
	3.34	%	Dec-2029		—		9,562		9,706		10,733
	2.04	%	May-2050		—		20,630		21,153		20,295
	3.28	%	Dec-2029		—		16,213		16,411		18,116
	3.60	%	Apr-2030		—		25,100		25,807		28,605
	2.40	%	Jun-2031		—		7,444		7,547		8,016
	2.41	%	Jun-2031		—		11,732		11,905		12,644
	3.48	%	Jun-2030		—		18,392		18,808		20,905
					—		134,925		137,616		147,888
Forward Commitments	2.38	%	Feb-2034		43,500		—		163		9
Total Freddie Mac Securities					$43,500	$	621,396	$	630,138	$	657,423

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

STATE HOUSING FINANCE AGENCY SECURITIES

(7.6% OF NET ASSETS)

		Interest Rates²			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	$	20,024
	Illinois Housing Development Auth	—	0.40%	Dec-2024		—		470		470		470
	MassHousing	—	0.50%	Dec-2023		—		10,020		10,020		10,029
	MassHousing⁶	—	1.50%	Dec-2022		—		8,750		8,753		8,787
	MassHousing	—	2.15%	Sep-2023		23,193		13,554		13,555		14,314
	Connecticut Housing Finance Auth⁶	—	3.70%	Nov-2021		—		17,800		17,774		17,827
	MassHousing⁶	—	3.55%	Oct-2022		—		13,570		13,571		14,118
	MassHousing⁶	—	4.20%	Sep-2021		—		29,840		29,841		30,112
	Illinois Housing Development Auth	2.06%	—	Jan-2042		—		28,230		28,230		28,157
	Illinois Housing Development Auth	2.07%	—	Jul-2041		—		84,895		84,895		85,738
	MassHousing	2.60%	—	Jun-2063		—		26,410		26,410		26,361
	NYC Housing Development Corp	2.95%	—	Nov-2041–Nov-2045		—		11,275		11,275		11,708
	NYC Housing Development Corp	3.05%	—	Nov-2046		—		13,000		13,000		13,106
	NYC Housing Development Corp	3.10%	—	Oct-2046		—		21,100		21,100		21,357
	NYC Housing Development Corp	3.25%	—	Nov-2049		—		12,000		12,000		12,612
	Connecticut Housing Finance Auth	3.25%	—	May-2050		—		12,310		12,198		12,554
	MassHousing⁶	3.30%	—	Dec-2059		—		8,340		8,345		8,825
	NYC Housing Development Corp	3.35%	—	Nov-2054		—		20,000		20,000		21,014
	NYC Housing Development Corp	3.45%	—	May-2059		—		20,000		20,000		21,098
	NYC Housing Development Corp	3.75%	—	May-2035		—		3,860		3,860		4,017
	MassHousing⁶	3.85%	—	Dec-2058		—		9,680		9,678		10,009
	NYC Housing Development Corp	3.95%	—	Nov-2043		—		15,000		15,000		16,443
	NYC Housing Development Corp	4.00%	—	Dec-2028–Nov-2048		—		15,000		15,103		16,161
	MassHousing	4.04%	—	Nov-2032		—		1,305		1,305		1,315
	MassHousing	4.13%	—	Dec-2036		—		5,000		5,000		5,199
	NYC Housing Development Corp	4.13%	—	Nov-2053		—		10,000		10,000		10,946
	NYC Housing Development Corp	4.20%	—	Dec-2039		—		8,305		8,305		8,640
	NYC Housing Development Corp	4.29%	—	Nov-2037		—		1,190		1,190		1,199
	Chicago Housing Authority	4.36%	—	Jan-2038		—		25,000		25,000		29,775
	NYC Housing Development Corp	4.44%	—	Nov-2041		—		1,120		1,120		1,129
	NYC Housing Development Corp	4.49%	—	Nov-2044		—		455		455		459
	MassHousing	4.50%	—	Jun-2056		—		45,000		45,000		46,732
Total State Housing Finance Agency Securities						$23,193	$	512,479		$512,453	$	530,235

2021 SEMI-ANNUAL REPORT

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

OTHER MULTIFAMILY INVESTMENTS

(1.5% OF NET ASSETS)

	Interest Rates^2,5				Maturity	Unfunded	Face		Amortized
Issuer	Permanent		Construction		Date	Commitments¹	Amount		Cost		Value
Direct Loans
18 Sixth Ave at Pacific Park (Level 3)		—	2.29%	1M LIBOR+220	Dec-2024	$ 12,105	$	5,117		$ 5,073	$	4,935
18 Sixth Ave at Pacific Park (Level 3)		—	2.29%	1M LIBOR+220	Dec-2024	30,251		52,527		52,252		51,652
53 Colton Street (Level 3)		—	2.60%		Nov-2023	15,987		30		(90)		174
53 Colton Street (Level 3)		—	2.80%		Nov-2023	3,042		—		(8)		27
Wilder Square (Level 3)		—	3.25%		Mar-2023	4,115		7,385		7,322		7,473
University and Fairview (Level 3)		—	3.45%		Jun-2024	6,816		8,184		8,090		8,353
University and Fairview (Level 3)		—	3.45%		Dec-2023	20,589		1,925		1,780		1,985
Old Cedar (Level 3)		—	3.50%		Dec-2023	10,950		50		2		76
99 Ocean (Level 3)		—	4.05%		Oct-2024	52,000		—		(520)		783
Lake Street Apartments (Level 3)		3.50%	4.25%		Jul-2039	—		13,500		13,444		14,684
The Block—803 Waimanu (Level 3)		—	4.50%		Sep-2021	5,999		11,938		11,910		11,991
						161,854		100,656		99,255		102,133
Privately Insured Construction/Permanent Mortgages⁷
Illinois Housing Development Auth		6.20%	—		Dec-2047	—		2,926		2,934		2,927
Illinois Housing Development Auth		6.40%	—		Nov-2048	—		889		898		890
						—		3,815		3,832		3,817
Total Other Multifamily Investments						$161,854	$	104,471		$103,087	$	105,950

COMMERCIAL MORTGAGE-BACKED SECURITIES

(1.4% OF NET ASSETS)

Issuer	Interest Rate	Maturity Date	Face Amount		Amortized Cost		Value
Nomura	2.77%	Dec-2045	$	10,000		$10,132	$	10,262
Nomura	3.19%	Mar-2046		20,000		20,317		20,598
JP Morgan	3.48%	Jun-2045		5,254		5,452		5,358
Citigroup	3.62%	Jul-2047		8,000		8,174		8,608
Barclays/ JP Morgan	3.81%	Jul-2047		2,250		2,299		2,395
RBS/ Wells Fargo	3.82%	Aug-2050		5,000		5,115		5,334
Deutsche Bank/UBS	3.96%	Mar-2047		5,000		5,109		5,378
Barclays/ JP Morgan	4.00%	Apr-2047		5,000		5,110		5,372
Cantor/Deutsche Bank	4.01%	Apr-2047		20,000		20,440		21,555
Barclays/ JP Morgan	4.08%	Feb-2047		6,825		7,113		7,344
Cantor/Deutsche Bank	4.24%	Feb-2047		7,000		7,151		7,548
Total Commercial Mortgage Backed Securities			$	94,329		$96,412	$	99,752

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

UNITED STATES TREASURY SECURITIES

(6.5% OF NET ASSETS)

	Interest Rate	Maturity Date	Face Amount		Amortized Cost		Value
	0.63%	May-2030	$	63,000	$	62,382	$	58,871
	0.63%	Aug-2030		30,000		29,778		27,944
	1.13%	Feb-2031		40,000		38,369		38,825
	1.25%	Apr-2028		95,000		94,698		95,299
	1.50%	Feb-2030		35,000		36,581		35,339
	1.63%	May-2031		55,000		55,780		55,851
	1.75%	Nov-2029		30,000		30,032		30,957
	1.88%	Feb-2041		35,000		33,850		34,225
	2.25%	May-2041		62,000		63,861		64,470
	2.88%	Aug-2028		10,000		9,860		11,118
Total United States Treasury Securities			$	455,000	$	455,191	$	452,899

Total Fixed-Income Investments			$	6,614,836	$	6,713,383	$	6,954,513

EQUITY INVESTMENT IN WHOLLY-OWNED SUBSIDIARY

(LESS THAN 0.01% OF NET ASSETS)

Issuer	Face Amount (Cost)	Amount of Dividends or Interest	Value
HIT Advisers⁸(Level 3)	$1	$—	$(107)
Total Equity Investment	$1	$—	$(107)

SHORT-TERM INVESTMENTS

(1.2% OF NET ASSETS)

Issuer	Interest Rate	Maturity Date	Face Amount		Amortized Cost		Value
Blackrock Federal Funds	0.03%⁹	Jul-2021	$	82,922	$	82,922	$	82,922
Total Short-Term Investments			$	82,922	$	82,922	$	82,922

Total Investments			$	6,697,759	$	6,796,306	$	7,037,328

2021 SEMI-ANNUAL REPORT

SCHEDULE OF PORTFOLIO INVESTMENTS

June 30, 2021 (dollars in thousands; unaudited) continued

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 $603.9 million at period end. Generally, Ginnie Mae construction securities fund over a 12- to 24-month period. Funding periods for State Housing Finance Agency construction securities and Direct Loans vary by project, but generally fund over a one- to 48-month period. Forward commitments generally settle within 12 months of the original commitment date.

2.	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.

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

4.	The HIT records when issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when issued basis are marked to market monthly and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

5.	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.

6.	Securities exempt from registration under the Securities Act of 1933 and were privately placed directly by a state housing agency (a not-for-profit public agency) with the HIT. The securities are backed by mortgages and are general obligations of the state housing agency, and therefore secured by the full faith and credit of said agency. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are considered liquid, under procedures established by and under the general supervision of the HIT’s Board of Trustees.

7.	Loans insured by Ambac Assurance Corporation, are additionally backed by a repurchase option from the mortgagee for the benefit of the HIT. The repurchase price is defined as the unpaid principal balance of the loan plus all accrued unpaid interest due through the remittance date. The repurchase option can be exercised by the HIT in the event of a payment failure by Ambac Assurance Corporation.

8.	The HIT has a participation interest in HIT Advisers, a Delaware limited liability company. HIT Advisers is a New York based adviser currently exempt from investment adviser registration in New York. The investment in HIT Advisers is valued by the HIT’s Valuation Committee in accordance with the fair value procedures adopted by the HIT’s Board of Trustees, and approximates carrying value of HIT Advisors and its subsidiary on a consolidated basis. The participation interest is not registered under the federal securities laws.

9.	Rate indicated is the annualized 1-day yield as of June 30, 2021.

KEY TO ABBREVIATIONS

M	Month
Y	Year
LIBOR	London Interbank Offered Rate
UST	U.S. Treasury
SOFR	Secured Overnight Financing Rate

STATEMENT OF OPERATIONS

For the Six Months Ended June 30, 2021 (dollars in thousands; unaudited)

Investment income			$71,782

Expenses
	Non-officer salaries and fringe benefits		3,790
	Officer salaries and fringe benefits		2,918
	Investment management		762
	Marketing and sales promotion (12b-1)		610
	Consulting fees		272
	Insurance		247
	Auditing, tax and accounting fees		210
	Legal fees		202
	Trustee expenses		49
	Rental expenses		271
	General expenses		948
	Total expenses		10,279

Net investment income			61,503

Net realized and unrealized gains (losses) on investments
	Net realized gains (losses) on investments		8,820
	Net change in unrealized appreciation (depreciation) on investments		(117,218	)
	Net realized and unrealized gains (losses) on investments	(108,398		)

Net increase (decrease) in net assets resulting from operations			$(46,895	)

See accompanying Notes to Financial Statements (unaudited).

2021 SEMI-ANNUAL REPORT

STATEMENT OF CHANGES IN NET ASSETS

(dollars in thousands)

Increase (decrease) in net assets from operations		Six Months Ended June 30, 2021 (unaudited)			Year Ended December 31, 2020
	Net investment income	$	61,503		$	138,911
	Net realized gains (losses) on investments		8,820			53,377
	Net change in unrealized appreciation (depreciation) on investments		(117,218	)		196,505
	Net increase (decrease) in net assets resulting from operations		(46,895	)		388,793

	Distributions to participants or reinvested		(74,268	)		(188,004	)

Increase (decrease) in net assets from unit transactions
	Proceeds from the sale of units of participation		319,915			553,607
	Dividend reinvestment of units of participation		68,667			171,676
	Payments for redemption of units of participation		(45,771	)		(731,710	)
	Net increase (decrease) from unit transactions		342,811			(6,427	)

Total increase (decrease) in net assets			221,648			194,362

Net assets
	Beginning of period	$	6,749,288		$	6,554,926
	End of period	$	6,970,936		$	6,749,288

Unit information
	Units sold		278,038			467,256
	Distributions reinvested		59,440			145,522
	Units redeemed		(39,733	)		(625,419	)
	Increase (decrease) in units outstanding		297,745			(12,641	)

See accompanying Notes to Financial Statements (unaudited).

NOTES TO FINANCIAL STATEMENTS

(unaudited)

NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The American Federation of Labor and Congress of Industrial Organizations (AFL-CIO) Housing Investment Trust (HIT) is a common law trust created under the laws of the District of Columbia and is registered under the Investment Company Act of 1940, as amended (the Investment Company Act), as a no-load, open-end investment company. The HIT has obtained certain exemptions from the requirements of the Investment Company Act that are described in the HIT’s Prospectus and Statement of Additional Information. Participation in the HIT is limited to eligible pension plans and labor organizations, including health and welfare, general, voluntary employees’ benefit associations and other funds that have beneficiaries who are represented by labor organizations. The following is a summary of significant accounting policies followed by the HIT in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles (GAAP) in the United States. The HIT follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services—Investment Companies.

INVESTMENT VALUATION

Net asset value per share (NAV) is determined as of the close of regular trading (normally 4:00 p.m.) of the New York Stock Exchange on the last business day of each calendar month. The HIT’s Board of Trustees is responsible for the valuation process and has delegated the supervision of the valuation process to a Valuation Committee. The Valuation Committee, in accordance with the policies and procedures adopted by the HIT’s Board of Trustees, is responsible for evaluating the effectiveness of the HIT’s pricing policies, determining the reliability of third-party pricing information and reporting to the Board of Trustees on valuation matters, including fair value determinations. Following is a description of the valuation methods and inputs applied to the HIT’s major categories of assets. Portfolio securities for which market quotations are readily available are valued by using independent pricing services. For U.S. Treasury securities, independent pricing services generally base prices on actual transactions as well as dealer-supplied market information. For state housing finance agency securities, independent pricing services generally base prices using models that utilize trading spreads, new issue scales, verified bid information and credit ratings. For commercial mortgage-backed securities, independent pricing services generally base prices on cash flow models that take into consideration benchmark yields and utilize available trade information, dealer quotes and market color.

For U.S. agency and government-sponsored enterprise securities, including single family and multifamily mortgage-backed securities, construction mortgage securities and loans and collateralized mortgage obligations, independent pricing services generally base prices on an active TBA (“to-be-announced”) market for mortgage pools, discounted cash flow models,

or option-adjusted spread models. Independent pricing services examine reference data and use observable inputs such as issue name, issue size, ratings, maturity, call type and spread/ benchmark yields, as well as dealer-supplied market information. The discounted cash flow or option-adjusted spread models utilize inputs from matrix pricing, which consider observable market-based discount and prepayment rates, attributes of the collateral, and yield or price of bonds of comparable quality, coupon, maturity and type.

Investments in registered open-end investment management companies are valued based upon the NAV of such investments.

When the HIT finances the construction and permanent securities or participation interests, value is determined based upon the total amount, funded and/or unfunded, of the commitment.

Portfolio investments for which market quotations are not readily available or deemed unreliable are valued at their fair value determined in good faith by the HIT’s Valuation Committee using consistently applied procedures adopted by the HIT’s Board of Trustees. In determining fair market value, the Valuation Committee will employ a valuation method that it believes reflects fair value for that asset, which may include the use of an independent valuation consultant or the utilization of a discounted cash flow model based on broker and/or other market inputs. The frequency with which these fair value procedures may be used cannot be predicted. However, on June 30, 2021, the Valuation Committee fair valued less than 0.01% of the HIT’s net assets utilizing internally derived unobservable inputs.

Short-term investments acquired with a stated maturity of 60 days or less are generally valued at amortized cost, which approximates fair market value.

The HIT holds a 100% ownership interest, either directly or indirectly in HIT Advisers LLC (HIT Advisers). HIT Advisers is valued at its fair value determined in good faith under consistently applied procedures adopted by the HIT’s Board of Trustees, which approximates its respective carrying value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. The HIT classifies its assets and liabilities into three levels based on the method used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities, interest rates, prepayment speeds, credit risk and quoted prices in inactive markets. Level 3 values are based on significant unobservable inputs that reflect the HIT’s determination of assumptions that market participants might reasonably use in valuing the securities.

2021 SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS

(unaudited)—continued

The following table presents the HIT’s valuation levels as of June 30, 2021:

	Investment Securities
(dollars in thousands)	Level 1		Level 2		Level 3			Total
FHA Permanent Securities	$	—	$	160,401	$	—		$	160,401
Ginnie Mae Securities		—		1,886,296		—			1,886,296
Ginnie Mae Construction Securities		—		271,979		—			271,979
Fannie Mae Securities		—		2,726,836		—			2,726,836
Fannie Mae Construction Securities		—		21,716		—			21,716
Freddie Mac Securities		—		657,414		—			657,414
Commercial Mortgage-Backed Securities		—		99,752		—			99,752
State Housing Finance Agency Securities		—		530,235		—			530,235
Other Multifamily Investments
Direct Loans		—		—		102,133			102,133
Privately Insured Construction/Permanent Mortgages		—		3,817		—			3,817
Total Other Multifamily Investments		—		3,817		102,133			105,950
United States Treasury Securities		—		452,899		—			452,899
Equity Investments		—		—		(107	)		(107	)
Short-Term Investments		82,922		—		—			82,922
Other Financial Instruments*		—		41,035		—			41,035
Total	$	82,922	$	6,852,380	$	102,026		$	7,037,328

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

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended June 30, 2021:

	Investments in Securities
(dollars in thousands)	Other Multifamily Investments		Equity Investment			Total
Beginning Balance, 12/31/2020	$	54,771	$	105		$	54,876
Total Unrealized Gain (Loss)*		1,239		(212	)		1,027
Cost of Purchases		46,123		—			46,123
Ending Balance, 06/30/2021	$	102,133	$	(107	)	$	102,026

Net change in unrealized gain (loss) attributable to Level 3 securities held at June 30, 2021 totaled $1,027,000 and is included on the accompanying Statement of Operations.

For the six months ended June 30, 2021, there were no transfers in levels.

Level 3 securities primarily consists of Direct Loans which were valued by an independent pricing service as of June 30, 2021 utilizing a discounted cash flow model. Weighted average lives for the loans ranged from 0.17 to 18.07 years. Unobservable inputs include spreads to relevant U.S. Treasuries ranging from 110 to 295 basis points. A change in unobservable inputs may impact the value of the loans.

USE OF ESTIMATES

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates.

FEDERAL INCOME TAXES

The HIT’s policy is to comply with the requirements of the Internal Revenue Code of 1986, as amended (the Internal Revenue Code), that are applicable to regulated investment companies, and to distribute all of its taxable income to its participants. Therefore, no federal income tax provision is required.

Tax positions taken or expected to be taken in the course of preparing the HIT’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed for all open years the HIT’s tax positions taken on federal income tax returns and has concluded that no provision for income tax is required in the HIT’s financial statements.

The HIT files U.S. federal, state and local tax returns as required. The HIT’s tax returns are subject to examination by the relevant tax authorities until the expiration of the applicable statutes of limitations, which is generally three years after the filing of the tax return but could be longer in certain circumstances.

DISTRIBUTIONS TO PARTICIPANTS

At the end of each calendar month, a pro-rata distribution is made to participants of the net investment income earned during the month. This pro-rata distribution is based on the participant’s number of units held as of the immediately preceding month-end and excludes realized gains (losses) which are distributed at year-end.

Participants redeeming their investments are paid their pro-rata share of undistributed net income accrued through the month-end of the month in which they redeem. The HIT offers a reinvestment

NOTES TO FINANCIAL STATEMENTS

(unaudited)—continued

plan that permits current participants to automatically reinvest their distributions of income and capital gains, if any, into the HIT’s units of participation. Total reinvestment was approximately 93% of distributed income for the six months ended June 30, 2021.

INVESTMENT TRANSACTIONS AND INCOME

For financial reporting purposes, security transactions are accounted for as of the trade date. Gains and losses on securities sold are determined on the basis of amortized cost. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.

12B-1 PLAN OF DISTRIBUTION

The HIT’s Board of Trustees has approved a Plan of Distribution under Rule 12b-1 under the Investment Company Act to pay for marketing and sales promotion expenses incurred in connection with the offer and sale of units and related distribution activities (12b-1 expenses). For the six months ended June 30, 2021, the HIT was authorized to pay 12b-1 expenses in an annual amount up to $600,000 or 0.05% of its average net assets on an annualized basis per fiscal year, whichever was greater. During the six months ended June 30, 2021, the HIT incurred approximately $610,000, or 0.02% of its average monthly net assets on an annualized basis, in 12b-1 expenses.

NOTE 2. INVESTMENT RISK

INTEREST RATE RISK

As with any fixed-income investment, the market value of the HIT’s investments will generally fall at times when market interest rates rise. Rising interest rates may also reduce prepayment rates, causing the average life of the HIT’s investments to increase. This could in turn further reduce the value of the HIT’s portfolio.

Certain instruments held by the HIT pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is expected to be phased out by the end of 2021. The bulk of LIBOR based instruments held by the Trust are issued and backed by government-sponsored enterprises and will be subject to an industry-wide transition. With regard to other such instruments held by the HIT, which are related to its direct loans, the HIT has included language in its investment loan documentations to provide for an agreed upon

methodology to calculate a new benchmark rate spread. While the effect of the phase out cannot yet be determined, it may result in, among other things, financial market disruptions, increased volatility in risk-free benchmark rates, fluctuations in market liquidity and changes in the value of LIBOR based instruments.

PREPAYMENT AND EXTENSION RISK

The HIT invests in certain fixed-income securities whose value is derived from an underlying pool of mortgage loans that are subject to prepayment and extension risk.

Prepayment risk is the risk that a security will pay more quickly than its assumed payment rate, shortening its expected average life. In such an event, the HIT may be required to reinvest the proceeds of such prepayments in other investments bearing lower interest rates. The majority of the HIT’s securities backed by loans for multifamily projects include restrictions on prepayments for specified periods to mitigate this risk or include prepayment penalties to compensate the HIT. Prepayment penalties, when received, are included in realized gains.

Extension risk is the risk that a security will pay more slowly than its assumed payment rate, extending its expected average life. When this occurs, the HIT’s ability to reinvest principal repayments in higher returning investments may be limited.

These two risks may increase the sensitivity of the HIT’s portfolio to fluctuations in interest rates and negatively affect the value of the HIT’s portfolio.

CREDIT RISK

A majority of HIT’s investments have a form of credit enhancement to protect against losses in the event of a default. However, in the event of a default of an underlying mortgage loan where the investment does not have credit enhancement or that an entity providing credit enhancement for an investment fails to meet its obligations under the credit enhancement, the HIT would be subject to the risks that apply to real estate investments generally with respect to that investment. Certain real estate risks include construction failure, loan non-repayment, foreclosure, and environmental and litigation risk.

2021 SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS
(unaudited)–continued

NOTE 3. TRANSACTIONS WITH RELATED ENTITIES

HIT ADVISERS

HIT Advisers, a Delaware limited liability company, was formed by the HIT to operate as an investment adviser and be registered, as appropriate under applicable federal or state law. HIT Advisers is owned by HIT directly (99.9%), and indirectly through HIT Advisers Managing Member (0.1%) which is also 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 and HIT maintains an allowance for doubtful receivable due to aging balances. Also in accordance with the contract, the HIT may provide the time of certain personnel and allocates operational expenses to HIT Advisers on a cost-reimbursement basis. As of June 30, 2021, HIT Advisers had no assets under management.

Advances to HIT Advisers by HIT	(dollars in thousands)
Ending Balance, 12/31/2020	$340
Advances in 2021	30
Ending Balance, 6/30/2021	$370

BUILDING AMERICA

Building America CDE, Inc. (“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 Building America by HIT	(dollars in thousands)
	Ending Balance, 12/31/2020	$ —
	Advances in 2021	454
	Repayment by Building America in 2021	(375)
	Ending Balance, 6/30/2021	$79

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

		(dollars in thousands)
	As of June 30, 2021
	Assets	$1,200
	Liabilities	$1,307
	Equity	$(107)
	For the six months ended June 30, 2021
	Income	$394
	Expenses	(423)
	Tax Expenses	(54)
	Net Income (Loss)	$(83)

NOTES TO FINANCIAL STATEMENTS
(unaudited)–continued

NOTE 4. LEASES

The HIT leases certain real estate properties for office space which are classified as operating leases. The HIT also leases equipment which is classified as a financing lease. The leases are included in right-of-use (ROU) assets on the HIT’s statement of assets and liabilities. ROU assets represent the HIT’s right to use an underlying asset for the lease term and lease obligations represent the HIT’s obligation to make lease payments arising from the lease. ROU assets and obligations are recognized at the commencement date based on the present value of lease payments over the lease term. As most of the HIT’s leases do not provide an implicit rate, the HIT uses its incremental borrowing rate based on the information available at the commencement date of the lease in determining the present value of lease payments. The HIT determines if an arrangement is a lease at inception. The HIT’s lease terms may include options to extend or terminate the lease when it is reasonably certain that the HIT will exercise that option. Lease expense and amortization expense are recognized on a straight-line basis over the lease term.

(dollars in thousands)	Operating Lease			Financing Lease			Total
ROU Asset, 1/1/2021		$4,659			$85		$	4,744
Reduction/Amortization of ROU Asset		(503	)		(34	)		(537	)
ROU Asset, 6/30/2021		$4,156			$51		$	4,207

Lease Liability, 1/1/2021		$4,998			$92		$	5,090

Lease Payments		(61	)		(35	)		(96	)
Imputed Interest		(239	)		1			(238	)
Reduction of Lease Liability		(300	)		(34	)		(334	)
Lease Liability, 6/30/2021		$4,698			$58		$	4,756

Lease Expense		$(264	)		$(36	)	$	(300	)
Weighted Average Discount Rate		1.99%			3.68%
Weighted Average Remaining Term (Years)		9.8			1.1

NOTE 5. COMMITMENTS

The HIT may make commitments in securities or loans that fund over time on a draw basis or forward commitments that fund at a single point in time. The HIT agrees to an interest rate and purchase price for these securities or loans when the commitment to purchase is originated.

Certain assets of the HIT are invested in liquid investments until they are required to fund these purchase commitments. As of June 30, 2021, the HIT had outstanding unfunded purchase commitments of approximately $603.9 million. The HIT maintains a sufficient level of liquid securities of no less than the total of the outstanding unfunded purchase commitments. As of June 30, 2021, the value of liquid securities, less short-term investments, maintained in a custodial trading account was approximately $6.7 billion.

NOTE 6. INVESTMENT TRANSACTIONS

Purchases and sales of investments, excluding short-term securities and U.S. Treasury securities, for the six months ended June 30, 2021, were $1.0 billion and $122.6 million, respectively.

NOTE 7. INCOME TAXES

No provision for federal income taxes is required since the HIT intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute to shareholders all of its taxable income and gains. Federal income tax regulations differ from GAAP; therefore, distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records were adjusted for permanent book/tax differences of $12.8 million as of June 30, 2021 to reflect tax character. The amount and character of tax-basis distributions and composition of the net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of June 30, 2021.

At June 30, 2021, the cost of investments for federal income tax purposes was $6,796,306,000. Net unrealized gain aggregated $241,022,000 at period-end, of which $274,121,000 related to appreciated investments and $33,099,000 related to depreciated investments.

NOTE 8. RETIREMENT AND DEFERRED COMPENSATION PLANS

The HIT participates in the AFL-CIO Staff Retirement Plan (Plan), which is a multiemployer defined benefit pension plan, under the terms of a collective bargaining agreement. The Plan covers substantially all employees, including non-bargaining unit employees. The risks of participating in a multiemployer plan are different from a single-employer plan in the following aspects:

a. Assets contributed to a multiemployer plan by one employer may be used to provide benefits to employees of other participating employers.

b. If a participating employer stops contributing to the plan, the unfunded obligations of the plan may be borne by the remaining participating employers based on their level of contributions to the plan.

2021 SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS
(unaudited)–continued

c. If the HIT chooses to stop participating in its multiemployer plan, the HIT may be required to pay the plan an amount based on the HIT’s share of the underfunded status of the plan, referred to as a withdrawal liability.

The HIT’s participation in the Plan for the six months ended June 30, 2021, is outlined in the table below. The “EIN/Pension Plan Number” line provides the Employer Identification Number (EIN) and the three-digit plan number. The most recent Pension Protection Act (PPA) zone status available as of June 30, 2021 is for the 2019 Plan year ended at June 30, 2020. The zone status is based on information that the HIT received from the Plan and is certified by the Plan’s actuary. Among other factors, plans in the red zone are generally less than 65% funded, plans in the yellow zone are less than 80% funded, and plans in the green zone are at least 80% funded. The “FIP/RP Status Pending/Implemented” line indicates whether a financial improvement plan (FIP) or a rehabilitation plan (RP) is either pending or has been implemented.

Pension Fund: AFL-CIO Staff Retirement Plan
EIN/Pension Plan Number	53-0228172 / 001
2019 Plan Year PPA Zone Status	Green
FIP/RP Status Pending/ Implemented	No
2021 Contributions	$1,090,932
2021 Contribution Rate	24%
Surcharge Imposed	No
Expiration Date of Collective Bargaining Agreement	03/31/2022

The HIT was listed in the Plan’s Form 5500 as providing more than 5% of the total contributions for the following plan year:

Pension Fund	Years Contributions to Plan Exceeded More Than 5 Percent of Total Contributions
AFL-CIO Staff Retirement Plan	2019¹

¹The 2019 plan year ended at June 30, 2020.

At the date the HIT financial statements were issued, the Plan’s Form 5500 was not available for the plan year ended June 30, 2021.

The HIT also sponsors a deferred compensation plan, referred to as a 401(k) plan, covering all employees. This plan permits employees to defer the lesser of 100% of their total compensation or the applicable Internal Revenue Service limit. During 2021, the HIT matched dollar for dollar the first $6,400 of each employee’s contributions. The HIT’s 401(k) contribution for the six months ended June 30, 2021, was approximately $202,000.

NOTE 9. LOAN FACILITY

The HIT has a $15 million uncommitted loan facility that expires on July 6, 2022. Under this facility, borrowings bear interest per annum equal to 1.25% plus the highest of (a) the Federal Funds Effective Rate, (b) the sum of SOFR plus 0.11448% or (c) 0.00%. The HIT did not borrow against the facility and had no outstanding balance under the facility for the six months ended June 30, 2021. No compensating balances are required.

NOTE 10. CONTRACT OBLIGATIONS

In the ordinary course of business, the HIT enters into contracts that contain a variety of indemnifications. The HIT’s maximum exposure under these arrangements is unknown. However, the HIT has not had any prior claims or losses pursuant to these contracts and expects the risk of loss to be low.

NOTE 11. COVID-19

The outbreak of COVID-19 has caused a global ongoing crisis materially reducing economic output, disrupting supply chains, and resulting in market closures. Investors should be aware that in light of the current uncertainty and distress in economies and financial markets, the value of HIT’s investments is subject to volatility and other adverse events. The HIT, its service providers, the markets in which it invests and market intermediaries are also impacted by measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.

NOTE 12. SUBSEQUENT EVENTS

The HIT evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the HIT’s financial statements.

FINANCIAL HIGHLIGHTS

Selected Per Share Data and Ratios

	Six Months Ended			Years Ended December 31
Per share data	June 30, 2021 (unaudited)			2020			2019			2018			2017			2016
Net asset value, beginning of period	$	1,176.64		$	1,140.24		$	1,087.85		$	1,117.32		$	1,113.29		$	1,121.13
Income from investment operations:
Net investment income *		10.44			25.13			29.65			29.25			27.36			27.46
Net realized and unrealized gains (losses) on investments		(19.15	)		45.18			54.26			(27.99	)		7.58			(5.33	)
Total income (loss) from investment operations		(8.71	)		70.31			83.91			1.26			34.94			22.13
Less distributions from:
Net investment income		(12.62	)		(28.41	)		(31.52	)		(30.73	)		(30.23	)		(29.97	)
Net realized gains on investments		—			(5.50	)		—			-—			(0.68	)		—
Total distributions		(12.62	)		(33.91	)		(31.52	)		(30.73	)		(30.91	)		(29.97	)

Net asset value, end of period	$	1,155.31		$	1,176.64		$	1,140.24		$	1,087.85		$	1,117.32		$	1,113.29

Total return		(0.74%	)		6.20%			7.78%			0.16%			3.17%			1.94%

Net assets, end of period (in thousands)	$	6,970,936		$	6,749,288		$	6,554,926		$	5,889,450		$	6,199,225		$	5,790,753
Ratios/supplemental data^**
Ratio of expenses to average net assets		0.3	0%		0.3	2%		0.3	4%		0.4	2%		0.4	0%		0.4	1%
Ratio of net investment income to average net assets		1.8	%		2.1	%		2.6	%		2.7	%		2.4	%		2.4	%
Portfolio turnover rate		32.9	%		30.3	%		17.6	%		15.2	%		24.6	%		20.3	%

*The average shares outstanding method has been applied for this per share information.

**Percentage amounts for the period, except total return, have been annualized.

See accompanying Notes to Financial Statements (unaudited).

2021 SEMI-ANNUAL REPORT

BOARD OF TRUSTEES

*Executive Committee Member

Chris Coleman* Chair

President & CEO, Twin Cities Habitat for Humanity

Vincent Alvarez

President, New York City Central Labor Council

Kenneth W. Cooper

International Secretary-Treasurer, International Brotherhood of Electrical Workers

Timothy J. Driscoll

President, International Union of Bricklayers and Allied Craftworkers

Sean McGarvey

President, North America’s Building Trades Unions

Terry O’Sullivan

General President, Laborers’ International Union of North America

Kenneth Rigmaiden*

General President, International Union of Painters & Allied Trades for the United States and Canada

Anthony Shelton

International President, Bakery, Confectionery, Tobacco Workers and Grain Millers’ International Union

Liz Shuler* **

Acting President and Secretary-Treasurer

Richard L. Trumka**

President, AFL-CIO

Kevin Filter

Managing Principal, GFW Equities LLC & Mad Duck Capital LLC

Bridget Gainer

Cook County Commissioner and Vice President of Global Affairs, Aon

The Honorable Jack F. Quinn, Jr.*

Senior Advisor for Public & Community Relations, Barclay Damon

Jamie S. Rubin

North American CEO, Meridiam Infrastructure

Deidre L. Schmidt

President & CEO, CommonBond Communities

Tony Stanley*

Director, TransCon Builders, Inc.

Harry W. Thompson

Consultant, Harry Thompson & Associates

William C. Thompson, Jr.

Senior Managing Director/Chief Administrative Officer, Siebert, Cisneros, Shank & Co.

** President Richard Trumka passed away on August 5, 2021 while this report was in production. As of that date, Liz Shuler also became the Acting President of the AFL-CIO.

OFFICERS

Chang Suh, CFA

Chief Executive Officer and Chief Investment Officer

Michael Cook, CFA, FRM

Chief Portfolio Manager

Erica Khatchadourian

Chief Financial Officer

Nicholas C. Milano

General Counsel

Theodore S. Chandler

Senior Managing Director—Strategic Initiatives

John Hanley

Senior Managing Director—Multifamily Origination

Harpreet Singh Peleg, CFA

Senior Managing Director—Finance

Christopher Kaiser, CFA

Chief Compliance Officer and Deputy General Counsel

Julissa Servello

Director of Investor Relations

Lesyllee White

Chief Marketing Officer

SERVICE PROVIDERS

Independent Registered
Public Accounting Firm

Ernst & Young LLP

Tysons, Virginia

Corporate Counsel

Dechert LLP

Washington, D.C.

Transfer Agent

BNY Mellon Investment

Servicing (US) Inc.

Wilmington, Delaware

Custodian

Bank of New York Mellon

New York, New York

Investors should consider the HIT’s investment objectives, risks and expenses carefully before investing. A prospectus containing more complete information may be obtained from the HIT by calling the Marketing and Investor Relations Department collect at (202) 331-8055 or by viewing the HIT’s website at www.aflcio-hit.com. Investors should read the prospectus carefully before investing. The calculations of the HIT yield herein represent widely accepted portfolio characteristics information based on coupon rate, current price and, for yield to worst, certain prepayment assumptions, and are not current yield or other performance data as defined by the SEC in Rule 482.

Job and economic impact figures are estimates calculated using IMPLAN, an input-output model, based on HIT and HIT subsidiary Building America CDE, Inc. project data. Data is current as of June 30, 2021. Economic impact data is in 2020 dollars and all other figures are nominal.

This document contains forecasts, estimates, opinions and/or other information that is subjective. Statements concerning economic, financial, or market trends are based on current conditions, which will fluctuate. There is no guarantee that such statements will be applicable under all market conditions, especially during periods of downturn. Actual outcomes and results may differ significantly from the views expressed. It should not be considered as investment advice or a recommendation of any kind.

AFL-CIO HOUSING INVESTMENT TRUST

NATIONAL OFFICE | 1227 25th Street, NW, Suite 500 | Washington, D.C. 20037 | (202) 331-8055

www.aflcio-hit.com

(GRAPHIC)

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable to open-end investment companies.

Item 6.

Investments.

(a)

Included herein under Item 1.

(b)

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

No material changes have been made to the procedures by which participants may recommend nominees to the Board of Trustees of the Registrant, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (per Item 22(b)(15) of Schedule 14A) or this Item.

Item 11. Controls and Procedures.

(a)

The Registrant’s Chief Executive Officer (the principal executive officer) and Chief Financial Officer (the principal financial officer) have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) are effective to ensure that material information relating to the Registrant is made known to them by appropriate persons, based on their evaluation of such controls and procedures as of a date within 90 days of the filing of this report.

(b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 13. Exhibits.

(a)

(1) Not applicable for semi-annual reports.

(2)

A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)).

(3)

Not applicable.

(4)

There was no change in the Registrant’s independent public accountant for the period covered by this report.

(b)

A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(b) under the Act.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the AFL-CIO Housing Investment Trust has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AFL-CIO HOUSING INVESTMENT TRUST

By:

/s/ Chang Suh

Chang Suh

Chief Executive Officer

Date: September 3, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the AFL-CIO Housing Investment Trust and in the capacities and on the dates indicated.

/s/ Chang Suh

Chang Suh

Chief Executive Officer

(Principal Executive Officer)

AFL-CIO Housing Investment Trust

Date: September 3, 2021

/s/ Erica Khatchadourian

Erica Khatchadourian,

Chief Financial Officer

(Principal Financial Officer)

AFL-CIO Housing Investment Trust

Date: September 3, 2021