NPORT-EX 2 ahit-nportex_093023.htm SCHEDULE OF INVESTMENTS

 

Schedule of Portfolio Investments      

             

Septebmer 30 2023 (dollars in thousands; unaudited)              

             

FHA Permanent Securities (1.9% of net assets)

 

   Interest Rate   Maturity Date  Unfunded Commitments1   Face Amount   Amortized Cost   Value 
Multifamily   2.50%  Sep-2063  $—   $5,676   $5,676   $4,156 
    3.65%  Dec-2037   —    7,218    7,308    7,181 
    3.72%  Feb-2062   —    4,396    4,406    3,694 
    3.90%  Mar-2062   —    3,063    3,066    2,603 
    4.00%  Dec-2053   —    59,541    59,518    55,016 
    4.10%  Dec-2060   —    21,347    21,366    18,310 
    4.70%  May-2053   —    4,494    4,664    3,427 
    5.17%  Feb-2050   —    7,295    7,736    7,109 
    5.60%  Jun-2038   —    1,951    1,953    1,947 
    5.80%  Jan-2053   —    1,903    1,911    1,870 
    5.87%  May-2044   —    1,557    1,556    1,554 
    5.89%  Apr-2038   —    3,678    3,681    3,672 
    6.40%  Aug-2046   —    3,428    3,430    3,426 
    6.60%  Jan-2050   —    3,117    3,134    3,091 
Total FHA Permanent Securities   —    128,664    129,405    117,056 

 

 

 

 

Schedule of Portfolio Investments      

             

Septebmer 30 2023 (dollars in thousands; unaudited)

             

Ginnie Mae Securities (26.8% of net assets)

 

   Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
Single Family   4.00%  Feb-2040 - Jun-2040  $957   $964   $892 
    4.50%  Aug-2040   509    516    485 
    5.50%  Jan-2033 - Jun-2037   763    762    762 
    6.00%  Jan-2032 - Aug-2037   530    530    537 
    6.50%  Jul-2028   30    30    30 
    7.00%  Apr-2026 - Jan-2030   267    267    269 
    7.50%  Aug-2025 - Aug-2030   118    118    118 
    8.00%  Sep-2026 - Nov-2030   114    115    118 
    8.50%  Aug-2024 - Aug-2027   25    25    26 
    9.00%  Sep-2024 - Jun-2025   1    1    1 
            3,314    3,328    3,238 
                        
Multifamily   1.90%  Feb-2061   22,712    20,562    12,135 
    1.95%  Mar-2064   34,224    34,678    25,742 
    1.95%  Mar-2064   37,676    37,203    28,604 
    2.00%  Oct-2062   53,130    54,868    39,834 
    2.00%  Apr-2063   48,745    49,737    36,806 
    2.00%  Apr-2063   51,490    52,332    39,382 
    2.00%  Jul-2063   44,493    44,880    33,772 
    2.00%  Oct-2063   42,195    41,795    31,638 
    2.00%  Apr-2062-Mar-2064   301,644    305,025    223,166 
    2.08%  Nov-2056   51,133    53,011    39,895 
    2.15%  May-2056   440    440    428 
    2.20%  Jun-2056   845    843    800 
    2.25%  Dec-2048   2,867    2,847    2,618 
    2.30%  Mar-2056-Oct-2056   3,154    3,126    2,945 
    2.31%  Nov-2051   7,076    7,076    6,049 
    2.32%  Sep-2060   26,515    27,869    21,210 
    2.35%  Nov-2056-Feb-2061   28,360    29,171    23,319 
    2.37%  Jan-2053   22,500    22,639    19,693 
    2.40%  Aug-2047-Dec-2057   18,510    18,916    14,889 
    2.45%  Apr-2062   14,452    14,677    11,249 
    2.50%  Dec-2052-Jan-2061   53,318    54,095    43,785 
    2.58%  May-2063   28,371    29,254    22,465 
    2.60%  Dec-2055-Jun-2059   8,558    8,580    7,673 
    2.62%  Feb-2063   13,692    14,174    10,781 
    2.64%  Jan-2063   18,156    18,668    14,217 
    2.65%  Oct-2062   6,379    6,529    5,302 
    2.67%  Mar-2062   34,720    35,501    28,096 
    2.70%  May-2048-Jul-2058   4,934    4,935    4,676 
    2.72%  Feb-2044   97    98    94 
    2.74%  Apr-2057   23,390    25,298    19,338 
    2.75%  Apr-2063   21,546    22,406    17,135 
    2.78%  Aug-2058   10,460    11,324    8,671 
    2.79%  Apr-2049   4,459    4,494    4,069 
    2.80%  Feb-2053   60,000    57,362    43,982 
    2.80%  Dec-2059   4,518    4,460    4,319 
    2.82%  Apr-2050   759    771    714 
    2.94%  Nov-2059   46,686    51,681    38,329 
    2.98%  Jun-2063   31,638    32,736    25,723 
    3.00%  May-2062   59,245    63,825    49,387 
    3.03%  Jan-2056   29,590    31,388    25,626 
    3.05%  May-2054   11,545    11,589    9,941 
    3.17%  Aug-2059   33,747    37,153    28,648 
    3.25%  Sep-2054   17,408    17,275    16,352 
    3.25%  Apr-2059   32,150    30,963    30,202 
    3.26%  Nov-2043   105    105    104 
    3.27%  Apr-2046   23,665    24,828    19,593 
    3.30%  Sep-2060   7,602    7,780    6,668 
    3.33%  May-2055   6,793    6,472    5,919 
    3.34%  Sep-2059   16,564    16,858    14,501 
    3.35%  Mar-2044   9,841    9,508    9,446 
    3.36%  May-2061   50,657    56,022    43,228 
    3.38%  Jan-2060   57,843    57,849    51,096 
    3.39%  Feb-2059   13,864    14,114    12,257 
    3.41%  Sep-2061   41,133    42,650    35,415 
    3.43%  Nov-2061   51,888    53,432    44,618 
    3.48%  Sep-2052   2,881    2,969    2,682 
    3.50%  Jan-2054   3,307    3,292    3,251 
    3.53%  Apr-2042   15,165    15,553    14,017 
    3.60%  Jun-2057   13,251    13,679    12,299 
    3.60%  Apr-2061   33,274    34,296    28,636 
    3.62%  Dec-2057   27,744    28,192    25,124 
    3.63%  Dec-2045   8,429    8,155    8,120 
    3.65%  Oct-2058   9,999    10,138    9,169 
    3.67%  Nov-2035   12,427    12,703    11,650 
    3.74%  Aug-2059   15,217    15,489    13,622 
    3.75%  Nov-2060   11,033    11,359    9,675 
    3.78%  Aug-2060   38,621    38,886    34,112 
    3.92%  Aug-2039   38,417    40,080    36,032 
    4.00%  Nov-2057   24,242    25,195    21,632 
    4.10%  May-2051   3,701    3,973    3,556 
    4.25%  Sep-2038   29,063    29,162    28,934 
    4.35%  Dec-2060   2,241    2,280    2,106 
    4.37%  Feb-2034   23,005    24,793    21,355 
    4.45%  Jun-2055   2,428    2,345    2,420 
    4.53%  Jan-2061   14,569    14,992    13,738 
    4.63%2  Sep-2037   1,500    1,471    1,482 
    4.90%2  Mar-2044   1,000    992    950 
    5.25%  Apr-2037   15,670    15,666    15,631 
            1,994,666    2,041,532    1,636,737 
                        
Total Ginnie Mae Securities  $1,997,980   $2,044,860   $1,639,975 

 

 

 

 

Schedule of Portfolio Investments          

               

Septebmer 30 2023 (dollars in thousands; unaudited)                       

               

Ginnie Mae Construction Securities (1.2% of net assets)               

 

   Interest Rates3      Unfunded             
   Permanent   Construction   Maturity Date  Commitments1   Face Amount   Amortized Cost   Value 
Multifamily   2.25%   4.10%  Apr-2064  $47,800   $18,128   $20,141   $1,097 
    2.59%   3.59%  Aug-2064   33,822    8,491    9,475    (2,421)
    3.05%   3.05%  Dec-2063   61,795    42,950    43,993    32,468 
    3.24%   3.24%  Jan-2064   7,637    18,794    19,332    13,883 
    3.60%   5.70%  Dec-2063   259    4,649    4,816    4,087 
    3.69%   4.75%  Nov-2063   4,327    8,176    8,346    6,430 
    3.75%   5.35%  Jan-2064   290    5,512    5,706    4,864 
    4.08%   4.08%  Feb-2064   7,534    7,893    8,236    6,068 
    4.14%   4.14%  Sep-2063   308    10,889    11,092    9,526 
                 163,772    125,482    131,137    76,002 
                                  
Forward Commitments   5.17%   8.75%  Aug-2065   11,250    —    123    (5)
    5.90%   5.90%  Aug-2065   4,095    —    104    44 
                 15,345    —    227    39 
Total Ginnie Mae Construction Securities          $179,117   $125,482   $131,364   $76,041 

  

 

 

 

Schedule of Portfolio Investments          

               

Septebmer 30 2023 (dollars in thousands; unaudited)                         

               

Fannie Mae Securities (44.7% of net assets)               

 

   Interest Rate4       Maturity Date  Unfunded Commitments1   Face Amount   Amortized Cost   Value
Single Family   2.50%       May-2050 - Jan-2052  $—   $113,660   $117,895 $ 90,743
    2.50%       Jan-2052   —    44,283    44,442   35,447
    3.00%       Apr-2031 - Mar-2052   —    131,376    135,914   110,120
    3.00%       Oct-2051   —    43,252    45,294   35,955
    3.50%       Jan-2042 - Jan-2052   —    94,579    97,315   82,537
    3.50%       Jan-2052   —    37,420    38,346   32,197
    3.87%   Ref. 12M IBOR+162   Nov-2034   —    129    130   130
    4.00%       Jul-2024 - Jul-2052   —    46,575    47,219   42,095
    4.00%       Jun-2052   —    33,039    32,622   29,485
    4.27%   Ref. 12M IBOR+152   Feb-2045   —    1,744    1,768   1,760
    4.50%       May-2024 - Oct-2052   —    142,367    141,807   131,852
    4.77%   Ref. 12M IBOR+155   Apr-2034   —    360    363   360
    4.86%   Ref. 6M IBOR+161   Aug-2033   —    108    107   108
    4.92%   Ref. 12M IBOR+169   Oct-2042   —    1,190    1,208   1,204
    5.00%       May-2034 - Jun-2053   —    134,113    134,869   127,183
    5.23%   1Y UST+223   May-2033   —    113    114   114
    5.50%       Sep-2032 - Jul-2053   —    42,328    42,257   41,080
    5.60%   1Y UST+220   Aug-2033   —    339    339   343
    5.68%   1M SOFR+36   Mar-2037   —    95    95   93
    5.74%   Ref. 12M IBOR+149   Jul-2033   —    99    99   100
    5.75%   1M SOFR+43   Jun-2037   —    447    447   438
    5.83%   1M SOFR+51   Apr-2037   —    216    216   211
    5.89%   1M SOFR+57   Oct-2042   —    1,314    1,318   1,277
    5.93%   1M SOFR+61   Jun-2042   —    2,971    2,973   2,893
    5.97%   1Y UST+222   Jul-2033   —    242    242   245
    5.98%   1M SOFR+66   Mar-2042   —    1,550    1,552   1,517
    6.00%       Nov-2028 - Aug-2053   —    28,165    28,259   27,864
    6.03%   1M SOFR+71   Oct-2043   —    3,092    3,103   3,021
    6.22%   1Y UST+222   Aug-2033   —    160    160   162
    6.46%   Ref. 6M IBOR+155   Nov-2033   —    623    623   630
    6.50%       Sep-2028 - Jul-2036   —    235    239   243
    7.00%       Sep-2027 - May-2032   —    397    398   408
    7.50%       Mar-2030 - Jun-2030   —    4    4   4
    8.00%       Aug-2030 - May-2031   —    30    30   31
                 —    906,615    921,767   801,850
                             
Multifamily   1.06%       Dec-2027   —    21,077    21,081   17,758
    1.17%       Aug-2030 - Nov-2030   —    34,339    34,341   26,221
    1.22%       Aug-2028 - Jul-2030   —    35,610    35,685   28,166
    1.25%       Jul-2030   —    37,950    38,039   29,282
    1.26%       Jan-2031   —    25,000    24,996   19,374
    1.27%       Jul-2030   —    14,235    14,306   11,033
    1.31%       Aug-2030   —    4,333    4,377   3,392
    1.32%       Aug-2030   —    21,000    21,197   16,410
    1.38%       Jul-2030   —    10,500    10,601   8,201
    1.41%       Jul-2030   —    3,186    3,209   2,540
    1.46%       Jul-2030   —    7,288    7,359   5,839
    1.47%       Jul-2030 - Dec-2030   —    15,425    15,521   11,776
    1.50%       Aug-2030   —    1,128    1,147   902
    1.52%       Jul-2032   —    14,158    14,250   10,633
    1.53%       Jul-2032   —    10,500    10,621   7,933
    1.55%       Jul-2032   —    20,435    20,670   15,571
    1.57%       Aug-2037   —    46,301    46,477   30,915
    1.57%       Jan-2031   —    21,950    22,004   17,226
    1.58%       Oct-2031   —    57,950    58,153   43,318
    1.65%       Jul-2030   —    1,221    1,242   989
    1.71%       Sep-2035 - Nov-2035   —    25,605    25,856   17,544
    1.74%       Mar-2033   —    6,160    6,227   4,547
    1.76%       Aug-2031 - Dec-2036   —    53,229    53,362   40,887
    1.77%       Sep-2035   —    3,270    3,326   2,256
    1.82%       Jul-2035   —    4,526    4,557   3,280
    1.88%       Nov-2031   —    25,400    25,427   19,479
    1.94%       Apr-2035   —    6,400    6,482   4,736
    2.00%       Apr-2031   —    18,000    18,466   14,362
    2.09%       May-2032 - Jul-2050   —    21,792    22,007   15,112
    2.16%       Sep-2050   —    14,200    14,348   7,408
    2.33%       Nov-2029 - Feb-2030   —    17,833    17,862   15,036
    2.41%       Apr-2051   —    3,662    3,697   2,401
    2.43%       Nov-2031   —    18,655    18,661   15,110
    2.46%       Aug-2026 - Jan-2038   —    55,975    56,048   46,193
    2.47%       Dec-2051   —    13,192    13,367   8,738
    2.49%       Dec-2026 - Nov-2031   —    26,800    26,837   23,265
    2.53%       Jan-2030   —    20,550    20,640   17,276
    2.55%       Sep-2026 - Mar-2030   —    25,230    25,274   22,424
    2.56%       Jul-2038 - Dec-2051   —    24,137    24,166   16,864
    2.57%       Mar-2042   —    25,155    25,165   16,431
    2.61%       Nov-2026   —    9,800    9,823   8,995
    2.67%       Aug-2029   —    37,700    37,887   33,011
    2.70%       Nov-2025   —    14,080    14,081   13,316
    2.76%       Oct-2031   —    10,189    10,288   8,612
    2.85%       Aug-2031   —    8,760    8,792   7,357
    2.91%       Jun-2031   —    25,000    25,081   21,309
    2.92%       Apr-2028   —    15,270    15,293   13,882
    2.92%       Jun-2027   —    64,401    64,420   59,442
    2.93%       Apr-2038   —    35,767    35,786   27,325
    2.94%       Jun-2027 - Jul-2039   —    28,995    29,018   26,827
    2.96%       Sep-2034   —    20,000    20,563   15,792
    2.97%       Sep-2034   —    12,826    12,977   10,559
    2.99%       Jun-2025   —    2,501    2,501   2,396
    3.00%       May-2027   —    6,215    6,219   5,735
    3.01%       Apr-2052   —    7,325    7,330   5,192
    3.02%       Jun-2027   —    3,531    3,533   3,272
    3.03%       Sep-2027   —    22,755    22,793   21,056
    3.04%       Apr-2030   —    24,490    24,523   21,689
    3.05%       Apr-2030   —    25,191    25,202   22,338
    3.12%       Apr-2030   —    12,386    12,388   10,960
    3.13%       May-2026   —    3,115    3,127   2,967
    3.14%       Apr-2029   —    7,454    7,460   6,746
    3.17%       Jun-2029   —    22,345    22,404   20,087
    3.18%       May-2035   —    8,703    8,778   7,681
    3.21%       May-2030   —    6,291    6,330   5,599
    3.24%       May-2052   —    6,360    6,484   4,648
    3.30%       May-2029   —    3,532    3,614   3,241
    3.31%       Oct-2027   —    14,747    14,779   13,720
    3.36%       Oct-2029   —    10,287    10,289   9,379
    3.40%       Oct-2026   —    2,674    2,675   2,535
    3.42%       Apr-2035   —    4,927    4,973   4,204
    3.46%       Apr-2031   —    12,666    12,711   11,171
    3.50%       Aug-2039   —    13,060    13,060   10,511
    3.63%       Jul-2035   —    20,939    20,958   18,017
    3.66%       Oct-2023   —    4,208    4,208   4,191
    3.68%       Jul-2028   —    11,813    12,066   10,923
    3.70%       Oct-2033   —    19,865    19,922   17,533
    3.91%       Aug-2032   —    26,250    26,525   23,761
    4.05%       Jun-2030   —    10,632    10,515   9,918
    4.11%       Aug-2032   —    15,627    15,693   14,238
    4.31%       Jun-2033   —    8,587    8,613   7,977
    4.32%       Mar-2028   —    41,708    41,825   39,767
    4.37%       Jun-2033   —    21,805    21,831   20,371
    4.39%       Feb-2030   —    21,148    21,094   19,864
    4.48%       Jul-2030   —    20,915    20,915   20,001
    4.52%       Sep-2033   —    11,361    11,252   10,724
    4.55%       Jul-2030   —    10,699    10,722   10,274
    4.56%       Feb-2028   —    29,835    29,895   28,741
    4.69%       Feb-2030 - Jun-2035   —    19,350    19,398   18,624
    4.74%       Sep-2033   —    13,405    13,441   12,884
    4.76%       Sep-2030   —    7,757    7,760   7,555
    4.80%       Oct-2052   —    12,341    12,378   10,783
    4.82%       Jul-2030   —    4,860    4,864   4,744
    4.86%       Jun-2033   —    10,000    10,081   9,496
    4.88%       Jul-2030   —    11,665    11,866   11,421
    4.96%       Aug-2033   —    3,465    3,465   3,440
    4.99%       Apr-2033   —    22,738    23,068   21,820
    5.00%       Sep-2033   —    15,366    15,402   15,152
    5.06%       Dec-2032   —    46,805    48,332   46,202
    5.13%       Sep-2028   —    14,584    14,770   14,538
    5.30%       Aug-2029 - Sep-2033   —    7,076    7,137   7,102
    5.35%       Dec-2032   —    11,954    12,618   12,047
    5.51%   1M SOFR+20   Nov-2031   —    40,943    40,947   40,046
    5.52%   1M SOFR+21   Mar-2031   —    23,855    23,855   23,361
    5.53%   1M SOFR+22   Mar-2031   —    10,075    10,075   9,893
    5.60%   1M SOFR+29   Feb-2029   —    20,000    20,004   19,590
    5.69%       Jun-2041   —    4,105    4,182   4,097
    5.72%   1M SOFR+40   Feb-2028   —    30,135    30,135   29,665
    5.74%   1M SOFR+42   Mar-2028   —    37,954    37,954   37,385
    5.75%       Jun-2041   —    1,994    2,037   1,993
    5.77%   1M SOFR+45   Jan-2028   —    22,425    22,425   22,120
    5.78%   1M SOFR+46   Dec-2027   —    17,821    17,821   17,589
    5.78%   1M SOFR+47   Jun-2029   —    70,000    70,015   69,944
    5.80%   1M SOFR+49   May-2032   —    28,526    28,529   28,604
    5.83%   1M SOFR+52   Jun-2032   —    30,975    30,975   30,987
    5.91%   1M SOFR+60   Apr-2034   —    24,904    24,370   24,428
    5.96%       Jan-2029   —    193    193   192
    6.01%   1M SOFR+69   May-2029   —    17,364    17,368   17,383
    6.01%   1M SOFR+69   Jun-2029   —    41,302    41,302   41,352
    6.16%   1M SOFR+85   Nov-2032   —    15,800    15,804   15,800
                 —    2,231,829    2,240,838   1,948,919
                             
Forward Commitments   2.21%       Dec-2039   41,587    —    —   (13,229)
    2.58%       Jan-2040   11,700    —    —   (3,312)
    2.59%       Feb-2039 - Mar-2039   35,409    —    —   (9,748)
    2.72%       Jul-2040   27,794    —    278   (7,958)
    4.47%       Jul-2041   10,058    —    —   (1,359)
                 126,548    —    278   (35,606)
                             
When Issued5   5.52%       Oct-2033   —    3,860    3,960   3,909
    5.16%       Oct-2030   —    7,899    7,978   7,866
    5.05%       Oct-2030   —    14,596    14,671   14,448
                 —    26,355    26,609   26,223
                             
Total Fannie Mae Securities     $126,548   $3,164,799   $3,189,492 $ 2,741,386

 

 

 

 

Schedule of Portfolio Investments          

               

Septebmer 30 2023 (dollars in thousands; unaudited)

               

Freddie Mac Securities (8.2% of net assets)

 

   Interest Rate4       Maturity Date  Unfunded Commitments1   Face Amount   Amortized Cost   Value
Single Family   2.50%       Jan-2043 - Aug-2046  $—   $5,446   $5,501 $ 4,435
    3.00%       Aug-2042 - Sep-2046   —    22,387    22,741   19,409
    3.50%       Jan-2026 - Oct-2046   —    41,187    41,972   36,552
    4.00%       Nov-2024 - Aug-2047   —    39,144    40,469   35,623
    4.46%   1Y UST+223   Oct-2033   —    132    131   133
    4.50%       Jan-2038 - Dec-2044   —    10,615    10,991   10,132
    5.00%       Jun-2026 - Mar-2041   —    1,631    1,629   1,610
    5.35%   1Y UST+223   Jun-2033   —    29    29   29
    5.50%       Apr-2033 - Jul-2038   —    1,525    1,523   1,529
    5.73%   1M SOFR+41   Feb-2036   —    219    219   216
    5.76%   1M SOFR+44   May-2037   —    67    67   65
    5.78%   1M SOFR+46   Jan-2043 - Apr-2036   —    1,993    1,994   1,926
    5.83%   1M SOFR+51   Aug-2043   —    1,808    1,808   1,751
    5.91%   1M SOFR+59   Oct-2040   —    1,377    1,376   1,332
    5.93%   1M SOFR+61   Oct-2040 - Jun-2044   —    4,912    4,913   4,783
    5.98%   1M SOFR+66   Nov-2040   —    1,246    1,253   1,217
    6.00%       Dec-2033 - Oct-2037   —    2,123    2,139   2,158
    6.02%   Ref. 12M IBOR+178   Jul-2035   —    92    92   93
    6.10%   1M SOFR+78   Aug-2037   —    1,525    1,536   1,516
    6.50%       Apr-2028 - Nov-2037   —    274    275   282
    7.00%       Apr-2028 - Mar-2030   —    14    14   15
    7.50%       Aug-2029 - Apr-2031   —    13    13   15
    8.50%       Jul-2024   —    5    5   5
                 —    137,764    140,690   124,826
                             
Multifamily   2.04%       May-2050   —    19,799    20,243   12,292
    2.40%       Jun-2031   —    7,444    7,508   6,179
    2.42%       Jun-2031   —    11,768    11,881   9,783
    3.28%       Dec-2029   —    15,621    15,728   14,065
    3.34%       Dec-2029   —    9,266    9,344   8,366
    3.35%       Oct-2033   —    33,450    33,345   29,737
    3.50%       Jan-2026   —    17,747    17,767   17,025
    3.60%       Apr-2030   —    24,212    24,605   22,048
    3.68%       Oct-2025   —    10,000    10,025   9,591
    4.19%       Jul-2033   —    13,015    11,993   11,913
    4.25%       Jan-2028   —    93,650    92,710   89,449
    4.36%       Dec-2029   —    9,198    9,143   8,745
    4.83%       Jan-2039   —    9,958    10,052   9,343
    4.90%       Dec-2032   —    10,207    10,185   9,714
    5.51%   1M SOFR+20   Aug-2031   —    23,345    23,345   22,890
    5.54%   1M SOFR+23   Jul-2027   —    3,879    3,880   3,866
    5.55%   1M SOFR+24   Nov-2027 - Jun-2031   —    61,140    61,142   60,183
    5.56%   1M SOFR+25   Dec-2030   —    14,299    14,299   14,179
    5.61%   1M SOFR+30   Dec-2030   —    12,249    12,249   12,135
    5.67%   1M SOFR+36   Oct-2030   —    6,219    6,219   6,163
    5.69%   1M SOFR+37   Nov-2030   —    8,849    8,849   8,798
    5.76%   1M SOFR+44   Oct-2030   —    3,524    3,524   3,501
                 —    418,839    418,036   389,965
                             
Forward Commitments   2.38%       Feb-2034   43,500    —    163   (8,933)
    3.86%       May-2040   27,450    —    —   (4,023)
                 70,950    —    163   (12,956)
                             
Total Freddie Mac Securities      $70,950   $556,603   $558,889 $ 501,835

 

 

 

 

Schedule of Portfolio Investments            

               

Septebmer 30 2023 (dollars in thousands; unaudited)                           

               

State Housing Finance Agency Securities (7.0% of net assets)

 

      Interest Rates3                
   Issuer  Permanent   Construction   Maturity Date  Face Amount   Amortized Cost   Value 
Multifamily  Illinois Housing Development Auth   —    0.40%  Dec-2024  $470   $470   $452 
   Mass Housing   —    0.50%  Dec-2023   3,810    3,810    3,788 
   City of St. Louis Park, MN   —    2.93%  Jan-2026   20,577    20,575    20,259 
   Illinois Housing Development Auth   2.06%   —   Jan-2042   27,175    27,178    17,455 
   Illinois Housing Development Auth   2.07%   —   Jul-2041   84,895    84,894    55,902 
   Mass Housing   2.60%   —   Jun-2063   26,375    26,375    13,758 
   Illinois Housing Development Auth   2.65%   —   Jul-2062   21,455    21,484    12,957 
   NYC Housing Development Corp   2.95%   —   Nov-2041 - Nov-2045   11,275    11,275    8,963 
   NYC Housing Development Corp   3.05%   —   Nov-2046   13,000    13,000    7,968 
   NYC Housing Development Corp   3.10%   —   Oct-2046   20,237    20,238    15,961 
   NYC Housing Development Corp   3.25%   —   May-2050   11,965    11,990    8,664 
   Connecticut Housing Finance Auth   3.25%   —   Nov-2049   10,240    10,240    7,146 
   Mass Housing6   3.30%   —   Dec-2059   8,340    8,345    5,355 
   NYC Housing Development Corp   3.35%   —   Nov-2054   20,000    20,000    13,705 
   NYC Housing Development Corp   3.45%   —   May-2059   20,000    20,000    13,705 
   NYC Housing Development Corp   3.75%   —   May-2035   3,200    3,200    2,936 
   Mass Housing6   3.85%   —   Dec-2058   9,450    9,448    6,667 
   NYC Housing Development Corp   3.95%   —   Nov-2043   12,800    12,800    10,886 
   NYC Housing Development Corp   4.00%   —   Dec-2028 - Nov-2048   14,315    14,418    13,018 
   MassHousing   4.13%   —   Dec-2036   5,000    5,000    4,681 
   NYC Housing Development Corp   4.13%   —   Nov-2040 - Nov-2053   13,305    13,305    11,587 
   NYC Housing Development Corp   4.20%   —   Dec-2039   8,305    8,305    7,549 
   NYC Housing Development Corp   4.30%   —   Nov-2045   3,000    3,000    2,673 
   Chicago Housing Authority   4.36%   —   Jan-2038   25,000    25,000    21,329 
   MassHousing   4.50%   —   Jun-2056   45,000    45,000    39,582 
   MassHousing   4.50%   —   Dec-2065   30,060    30,092    25,162 
   Mass Housing6   4.90%   —   Jun-2066   26,645    26,682    24,362 
   Mass Housing6   5.11%   —   Jun-2066   53,425    53,466    50,716 
                                
Total State Housing Finance Agency Securities          $549,319   $549,590   $427,186 

 

 

 

 

Schedule of Portfolio Investments                

                   

Septebmer 30 2023 (dollars in thousands; unaudited)                                   

                   

Other Mutifamily Investments (4.9% of net assets)

 

      Interest Rates3,4     Maturity  Unfunded     Amortized   
   Issuer  Permanent  Construction     Date  Commitments1  Face Amount  Cost  Value
Direct Loans  Wilder Square (Level 3)   —      3.25%     Mar-2024   —      8,023    8,022    7,921 
   University and Fairview (Level 3)   —      3.45%     Jun-2024   —      14,998    14,976    14,884 
   University and Fairview (Level 3)   —      3.45%     Dec-2023   —      22,511    22,458    22,079 
   Peregrine Apartments (Level 3)   —      3.60%     Jun-2024 - Dec-2024   4,860    22,934    22,887    21,924 
   The Crest Apartments (Level 3)   —      3.75%     Dec-2023 - Jun-2024   1,873    11,442    11,404    11,160 
   Ladder 260 - Tax Exempt (Level 3)   —      4.04%     Nov-2025   3,637    4,525    4,529    4,180 
   99 Ocean (Level 3)   —      4.05%     Oct-2024   4,393    47,607    47,349    45,912 
   Hudson Exchange (Level 3)   —      5.50%     Jun-2027   42,857    7,143    7,030    7,353 
   53 Colton Street (Level 3)   —      6.95%  Prime Rate-105  Dec-2023   —      16,017    16,011    15,918 
   Soul (Level 3)   —      7.07%  1M SOFR+225  Apr-2025   13,695    11,055    10,881    10,833 
   53 Colton Street (Level 3)   —      7.15%  Prime Rate-85  Dec-2023   272    1,770    1,762    1,757 
   San Cristina (Level 3)   —      7.42%  1M SOFR+260  Sep-2024   6,671    10,801    10,710    10,723 
   18 Sixth Ave at Pacific Park (Level 3)   —      7.35%  1M Term SOFR+231  Dec-2024   2,829    14,393    14,376    14,281 
   18 Sixth Ave at Pacific Park (Level 3)   —      7.35%  1M Term SOFR+231  Dec-2024   6,666    76,112    76,008    75,574 
   311 W 42nd Street (Level 3)   —      8.22%  1M Term SOFR+311  Nov-2024   28,675    21,325    21,166    21,401 
   Granada (Level 3)   —      11.17%  1M SOFR+635  Jan-2024   —      13,000    12,990    12,951 
                       116,428    303,656    302,559    298,851 
                                        
Forward Commitments  Soul (Level 3)   —      7.67%  1M SOFR+285  Apr-2025   12,501    —      (101)   (16)
                       12,501    —      (101)   (16)
                                        
Privately Insured Construction/Permanent Mortgages7  Illinois Housing Development Auth   6.20%   —        Dec-2047   —      2,820    2,828    2,799 
   Illinois Housing Development Auth   6.40%   —        Nov-2048   —      860    869    854 
                       —      3,680    3,697    3,653 
Total Other Multifamily Investments                     $128,929   $307,336   $306,155   $302,488 

 

 

 

 

Schedule of Portfolio Investments      

           

Septebmer 30 2023 (dollars in thousands; unaudited)                 

           

Commercial Mortgage-Backed Securities (0.8% of net assets)

 

Issuer  Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
Citigroup   3.62%  Jul-2047  $8,000   $8,154   $7,832 
Barclays/ JP Morgan   3.80%  Jul-2047   2,250    2,293    2,199 
Deutsche Bank/UBS   3.96%  Mar-2047   5,000    5,096    4,966 
Barclays/ JP Morgan   4.00%  Apr-2047   3,792    3,866    3,749 
Cantor/Deutsche Bank   4.01%  Apr-2047   20,000    20,388    19,828 
Barclays/ JP Morgan   4.08%  Feb-2047   6,825    7,079    6,762 
Cantor/Deutsche Bank   4.24%  Feb-2047   5,768    5,878    5,730 
Total Commercial Mortgage Backed Securities  $51,635   $52,754   $51,066 

 

 

 

 

Schedule of Portfolio Investments      

           

Septebmer 30 2023 (dollars in thousands; unaudited)                 

           

United States Treasury Securities (3.8% of net assets)

 

Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
 1.75%  Aug-2041  $20,000   $19,493   $12,436 
 2.00%  Nov-2041   7,000    6,670    4,535 
 2.25%  May-2041   42,000    43,249    28,777 
 2.38%  Feb-2042   15,000    15,285    10,352 
 2.88%  May-2032   15,000    14,897    13,165 
 3.00%  Aug-2052   20,000    18,159    14,551 
 3.63%  Feb-2053   10,000    9,694    8,259 
 3.88%  Feb-2043   105,000    105,194    91,291 
 4.00%  Nov-2042   15,000    14,764    13,299 
 4.13%  Aug-2053   40,000    37,005    36,301 
Total United States Treasury Securities  $289,000   $284,410   $232,966 
                     
Total Fixed-Income Investments  $7,170,818   $7,246,919   $6,089,999 

 

 

 

 

Schedule of Portfolio Investments    

         

Septebmer 30 2023 (dollars in thousands; unaudited)             

         

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

 

       Amount of     
   Face   Dividends     
Issuer  Amount (Cost)   or Interest   Value 
HIT Advisers8 (Level 3)     $1   $—   $499 
Total Equity Investment  $1   $—   $499 

 

 

 

 

Schedule of Portfolio Investments      

             

Septebmer 30 2023 (dollars in thousands; unaudited)                   

             

Short-Term Investments (0.7% of net assets)

 

Issuer  Interest Rate   Maturity Date  Face Amount   Amortized Cost   Value 
Commercial Paper                       
Halkin Finance   5.33%9  Oct-2023  $40,000   $39,994   $39,994 
                        
Blackrock Federal Funds   5.24%10  Oct-2023   667    667    667 
Total Short-Term Investments      $40,667   $40,661   $40,661 
                        
Total Investments      $7,211,486   $7,287,581   $6,131,159 

 

 

 

 

Schedule of Portfolio Investments      

           

Septebmer 30 2023 (dollars in thousands; unaudited)                 

           

Futures Contracts (Notional Amount 1.6% of net assets)

 

                  Unrealized 
   Number              Appreciation 
Description  of Contracts   Expiration Date  Notional Amount   Market Value   (Depreciation) 
Futures Long                       
CBOT Ultra 10-Year U.S. Treasury   875   Dec-2023  $100,686   $97,617   $(3,068)
Total Futures Contracts                $(3,068)

 

 

 

 

Schedule of Portfolio Investments

     

September 30, 2023

     

Footnotes  

     

1The 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 $505.5 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.

     

2Federally tax-exempt bonds collateralized by Ginnie Mae securities.

     

3Construction 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.

     

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

     

5The HIT records when issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when issued basis are marked to market monthly and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

     

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

     

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

     

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

     

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

     

10Rate indicated is the annualized 1-day yield as of September 29, 2023.

                     

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

 

 

 

Item 1. Schedule of Investments

(Schedule of Investments)

 NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited

As of September 30, 2023

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 (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. The HIT’s Board of Trustees has designated the officers of the HIT that comprise the HIT’s Valuation Committee as the “valuation designee” to perform fair valuations of the HIT’s investments pursuant to Rule 2a-5 under the Investment Company Act. The Valuation Committee, in accordance with the policies and procedures approved by the HIT’s Board of Trustees, is also 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 at market price as supplied by a third-party pricing vendor. 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 deemed unreliable or for which prices from independent pricing services are not available are valued at their fair value determined in good faith by the HIT’s Valuation Committee, as valuation designee, pursuant to procedures approved 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 September 30, 2023 the Valuation Committee fair valued less than 0.01% of the HIT’s net assets utilizing internally derived unobservable inputs.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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 approved by the HIT’s Board of Trustees, which approximates its respective carrying value.

 

 

 

The following table presents the HIT’s valuation levels as of September 30, 2023:

Investment Securities:

($ in thousands)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

                 
FHA Permanent Securities $ - $ 117,056 $ - $ 117,056
Ginnie Mae Securities      -   1,639,975   -   1,639,975
Ginnie Mae Construction Securities      -   76,002   -   76,002
Fannie Mae Securities      -   2,750,769   -   2,750,769
Freddie Mac Securities      -   514,791   -   514,791
Commercial Mortgage-Backed Securities      -   51,066   -   51,066
State Housing Finance Agency Securities      -   427,186   -   427,186
Other Multifamily Investments                
Direct Loans   -   -   298,851   298,851
Privately Insured Construction/Permanent Mortgages   -   3,653   -   3,653
Total Other Multifamily Investments   -   3,653   298,851   302,504
United States Treasury Securities      -   232,966   -   232,966
Equity Investments   -   -   499   499
Short-Term Investments   40,661   -   -   17,668
Other Financial Instruments1      -   (22,300)   (16)   (22,316)
Total Investment $ 40,661 $ 5,791,164 $ 299,334 $ 6,131,159

 

Derivative Investments: Level 1 Level 2 Level 3 Total
  Assets            
  Futures Contracts2 $ (3,068)        -        - $ (3,068)
Total Derivative Investments $ (3,068)        -        - $ (3,068)

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

2. Amounts shown represent unrealized appreciation (depreciation) at period end as presented in the Schedule of Investments. Only initial margin and variation margin on exchange-traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended September 30, 2023.

   Investments in Securities ($ in thousands) 
   Other Multifamily Investments   Equity Investments   Other Financial Instruments   Total 
Beginning balance,12/31/2022  $217,373   $236   $(174)  $217,435 
Cost of Purchases   90,119    —    —    90,119 
Paydowns/Settlements   (12,249)   —    —    (12,249)
Total Unrealized Gain(Loss)(a)   3,608    263    158    4,029 
Ending balance, 9/30//2023  $298,851   $499   $(16)  $299,334 

(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2023 totaled $4,029,000 and is included in the Statement of Operations.

 

 

For the nine months ended Sepember 30, 2023, there were no transfers in levels.

Level 3 securities primarily consist of Direct Loans which were valued by an independent pricing service at September 30, 2023, utilizing a discounted cash flow model. Weighted average lives for the loans ranged from 0.17 to 3.71. Unobservable inputs include spreads to relevant U.S. Treasuries ranging from 471 to 554 basis points. A change in unobservable inputs may impact the value of the loans.

Federal Income Taxes

At September 30, 2023, investments for federal income tax purposes approximated book cost at amortized cost of $7,287,581,000.  Net unrealized losses aggregated $1,156,422,000 at period-end, of which $1,578,000 related to appreciated investments and $1,158,000,000 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, 2023, 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, 12/31/2022 $500
Advances in 2023 27
Repayment by HIT Advisers in 2023 —
Ending Balance, 9/30/2023 $527

 

 

 

 

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, 12/31/2022 $100
Advances in 2023 948
Repayment by BACDE in 2023 (853)
Ending Balance, 9/30/2023 $195

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, 2023
Assets     $2,334  
Liabilities     $1,835  
Equity     $499  
         
For the nine months ended September 30, 2023
Income     $1,344  
Expenses     (955)  
Tax Expense     (112)  
Net Income (Loss)     $277