# EDGAR Filing Document

**Accession Number:** 0000225030
**File Stem:** 0001387131-23-002646
**Filing Date:** 2023-3
**Character Count:** 15157
**Document Hash:** 8333555a0cf9e4c50f84cd5ad240bcee
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001387131-23-002646.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001387131-23-002646

**CONFORMED SUBMISSION TYPE**: 497

**PUBLIC DOCUMENT COUNT**: 6

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**EFFECTIVENESS DATE**: 20230301

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AFL CIO HOUSING INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000225030
- **IRS NUMBER:** 526220193
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 497
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-59762
- **FILM NUMBER:** 23692197

**BUSINESS ADDRESS:**
- **STREET 1:** 1227 25TH STREET, NW
- **STREET 2:** SUITE 500
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20037
- **BUSINESS PHONE:** (202) 331-8055

**MAIL ADDRESS:**
- **STREET 1:** 1227 25TH STREET, NW
- **STREET 2:** SUITE 500
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20037

## Series and Classes Contracts Data

### AFL CIO HOUSING INVESTMENT TRUST (Series ID: S000009768)

---

|  |  |
|:---|:---|
| Class Name                       | Class ID   |
| AFL CIO HOUSING INVESTMENT TRUST | C000026832 |

---

## Series and Classes Contracts Data

### AFL CIO HOUSING INVESTMENT TRUST (Series ID: S000009768)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000026832 | AFL CIO HOUSING INVESTMENT TRUST |  |

![](hitpco123497001.jpg)

**Performance Commentary \| *January 2023***

For January 2023, the AFL-CIO Housing Investment Trust (HIT) had a gross return of 3.08% and a net return of 3.05%. Its benchmark, the Bloomberg U.S. Aggregate Bond Index\* (Bloomberg Aggregate or Benchmark), reported a return of 3.08% for the month.

![](hitpco123497002.jpg)

*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, November 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.* 

**Positive contributions to HIT's relative performance vs. Bloomberg Aggregate\* included:** 

● The portfolio's ongoing yield advantage over the Bloomberg Aggregate. On January 31, 2023, the HIT had a yield advantage of 66 basis points (bps).

● The portfolio's underweight to Treasuries, the worst performing major asset class in the Benchmark on both a total and excess return basis during January. The HIT portfolio had a 3.5% allocation to the sector versus 40.7% in the Bloomberg Aggregate at month end.

● Performance by agency multifamily mortgage-backed securities (MBS) in the HIT's portfolio as nominal spreads to Treasuries tightened. FHA/Ginnie Mae permanent and construction/permanent loan certificates tightened to Treasuries by approximately 19 and 20 bps, respectively. Spreads on longer maturity Fannie Mae DUS security structures tightened, with the benchmark 10/9.5s tightening by approximately 1 bp. The HIT portfolio had an allocation of 5.3%, 11.6% and 22.7% to CLCs, PLCs and fixed-rate single-asset Fannie Mae DUS securities, respectively at the end of the month. There were no such securities in the Bloomberg Aggregate.

![](hitpco123497003.jpg)

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| | |
|:---|:---|
| ![](hitpco123497004.jpg) | January 2023 Portfolio Commentary |

---

● Performance by Ginnie Mae REMIC structures in the HIT's portfolio as spreads to Treasuries tightened by 17 bps during the month. On January 31, 2023, the portfolio had a 12.9% allocation to REMICS.

● The portfolio's overweight to adjustable-rate securities as rates continue to rise. The HIT had an allocation of 13.1% to adjustable-rate securities at the end of the month while the benchmark only has fixed rate securities.

**Negative impacts to HIT's relative performance vs. Bloomberg Aggregate\* included:** 

● The portfolio's underweight to corporate bonds, the best performing major sector on both an excess return and total return basis, posting an excess return of 120 bps and total return of 401 bps for the month. The HIT does not invest in corporate bonds, whereas the sector comprised 24.5% of the Benchmark on January 31, 2023.

● The portfolio's underweight to agency-insured, fixed-rate single family MBS, the second best performing major asset class in the Benchmark on both an excess and total return basis. The portfolio was underweight the sector with a 14% allocation compared to 27.5% in the Bloomberg Aggregate.

● The portfolio's short relative duration versus the Benchmark as rates rallied across the curve. The 2-, 5-, 7-, 10-, and 30-year rates decreased by approximately 23, 39, 40, 37, and 33 bps, respectively.

● The portfolio's overweight to the highest credit quality sector (i.e. AAA-rated) of the investment grade universe, whose excess returns were the lowest among the four credit ratings buckets (AAA, AA, A and BBB) of the Bloomberg Aggregate. Those returns were 37, 64, 106, and 131 bps, respectively. Approximately 89.0% of the HIT portfolio was either AAA-rated or carried a government or GSE guarantee, compared to 73.0% for the Bloomberg Aggregate.

● The portfolio's overweight to spread assets as swap spreads widened during January across most maturities. While the 2-year spread tightened by approximately 2 bps, the 5-, 7-, and 10-year spreads widened by approximately 4, 4, and 2 bps, respectively. The HIT had 95.3% in spread assets to end the month, compared to 59.4% in the Benchmark.

\* Information provided by *Bloomberg Index Services Limited. BLOOMBERG<sup>®</sup> is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg does not approve or endorse this material or guarantee the accuracy or completeness of any information herein, nor does Bloomberg make any warranty, express or implied, as to the results to be obtained therefrom, and, to the maximum extent allowed by law, Bloomberg shall not have any liability or responsibility for injury or damages arising in connection therewith.*

---

| | |
|:---|:---|
| ![](hitpco123497004.jpg) | January 2023 Portfolio Commentary |

---

**Market Data**

**January 2023 Bond Sector Performance**

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Sector** | &nbsp;&nbsp;**Absolute** <br> **Return** | &nbsp;&nbsp;**Excess Return** <br> **(bps)** | &nbsp;&nbsp;**Modified Adjusted** <br> **Duration** |
| &nbsp;&nbsp;**U.S. Treasuries** | &nbsp;&nbsp;2.51% | &nbsp;&nbsp;0 | &nbsp;&nbsp;6.26 |
| &nbsp;&nbsp;**Agencies** | &nbsp;&nbsp;1.54% | &nbsp;&nbsp;15 | &nbsp;&nbsp;3.44 |
| &nbsp;&nbsp;**Single family agency MBS (RMBS)** | &nbsp;&nbsp;3.29% | &nbsp;&nbsp;93 | &nbsp;&nbsp;5.91 |
| &nbsp;&nbsp;**Corporates** | &nbsp;&nbsp;4.01% | &nbsp;&nbsp;120 | &nbsp;&nbsp;7.30 |
| &nbsp;&nbsp;**Commercial MBS (CMBS)** | &nbsp;&nbsp;2.63% | &nbsp;&nbsp;71 | &nbsp;&nbsp;4.61 |
| &nbsp;&nbsp;**Asset-backed securities (ABS)** | &nbsp;&nbsp;1.42% | &nbsp;&nbsp;29 | &nbsp;&nbsp;2.88 |
| &nbsp;&nbsp;*Source: Bloomberg L.P.* |  |  |  |

---

**Change in Treasury Yields**

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Maturity** | &nbsp;&nbsp;***12/31/22*** | &nbsp;&nbsp;***1/31/23*** | &nbsp;&nbsp;***Change*** |
| &nbsp;&nbsp;**1 Month** | &nbsp;&nbsp;3.976% | &nbsp;&nbsp;4.507% | &nbsp;&nbsp;0.530% |
| &nbsp;&nbsp;**3 Month** | &nbsp;&nbsp;4.343% | &nbsp;&nbsp;4.642% | &nbsp;&nbsp;0.299% |
| &nbsp;&nbsp;**6 Month** | &nbsp;&nbsp;4.753% | &nbsp;&nbsp;4.796% | &nbsp;&nbsp;0.043% |
| &nbsp;&nbsp;**1 Year** | &nbsp;&nbsp;4.687% | &nbsp;&nbsp;4.654% | &nbsp;&nbsp;-0.033% |
| &nbsp;&nbsp;**2 Year** | &nbsp;&nbsp;4.426% | &nbsp;&nbsp;4.201% | &nbsp;&nbsp;-0.225% |
| &nbsp;&nbsp;**3 Year** | &nbsp;&nbsp;4.224% | &nbsp;&nbsp;3.900% | &nbsp;&nbsp;-0.324% |
| &nbsp;&nbsp;**5 Year** | &nbsp;&nbsp;4.004% | &nbsp;&nbsp;3.617% | &nbsp;&nbsp;-0.387% |
| &nbsp;&nbsp;**7 Year** | &nbsp;&nbsp;3.965% | &nbsp;&nbsp;3.569% | &nbsp;&nbsp;-0.397% |
| &nbsp;&nbsp;**10 Year** | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;3.507% | &nbsp;&nbsp;-0.368% |
| &nbsp;&nbsp;**20 Year** | &nbsp;&nbsp;4.144% | &nbsp;&nbsp;3.766% | &nbsp;&nbsp;-0.377% |
| &nbsp;&nbsp;**30 Year** | &nbsp;&nbsp;3.963% | &nbsp;&nbsp;3.632% | &nbsp;&nbsp;-0.331% |
| &nbsp;&nbsp;*Source: Bloomberg L.P.* | &nbsp;&nbsp;*Source: Bloomberg L.P.* | &nbsp;&nbsp;*Source: Bloomberg L.P.* | &nbsp;&nbsp;*Source: Bloomberg L.P.* |

---

*Investors should consider the HIT's investment objectives, risks and expenses carefully before investing. Investors November view the HIT's current prospectus, which contains more complete information, on its website at www.aflcio-hit.com and November obtain a copy from the HIT by calling the Marketing and Investor Relations Department collect at 202-331-8055. Investors should read the current prospectus carefully before investing. The Bloomberg Aggregate is an unmanaged index and is not available for direct investment, although certain funds attempt to replicate this index. Returns for the Bloomberg Aggregate would be lower if they reflected the actual trading costs or expenses associated with management of an actual portfolio.*

*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. It should not be considered as investment advice or a recommendation of any kind. 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.* 

---

| | |
|:---|:---|
| ![](hitpco123497004.jpg) | January 2023 Portfolio Commentary |

---

**Portfolio Data** *On January 31, 2023*

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Net Assets** | &nbsp;&nbsp;$6,200.06 million |  |  |
| &nbsp;&nbsp;**Portfolio Effective Duration** | &nbsp;&nbsp;6.01 years | &nbsp;&nbsp;**Convexity** | &nbsp;&nbsp;0.236 |
| &nbsp;&nbsp;**Portfolio Average Coupon** | &nbsp;&nbsp;3.17% | &nbsp;&nbsp;**Maturity** | &nbsp;&nbsp;10.64 years |
| &nbsp;&nbsp;**Portfolio Yield to Worst<sup>1</sup>** | &nbsp;&nbsp;4.95% | &nbsp;&nbsp;**Portfolio Current Yield<sup>1</sup>** | &nbsp;&nbsp;3.49% |
| &nbsp;&nbsp;**Number of Holdings** | &nbsp;&nbsp;929 | &nbsp;&nbsp;**Average Price<sup>2</sup>** | &nbsp;&nbsp;90.08 |

---

**Sector Allocations: <sup>3</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Multifamily Investments** | &nbsp;&nbsp;80.01% | &nbsp;&nbsp;80.01% | &nbsp;&nbsp;**CMBS – Agency Multifamily\*\*** | &nbsp;&nbsp;67.24% |
| &nbsp;&nbsp;**Agency Single-Family MBS** | &nbsp;&nbsp;14.45% | &nbsp;&nbsp;14.45% | &nbsp;&nbsp;**Agency Single-Family MBS** | &nbsp;&nbsp;14.45% |
| &nbsp;&nbsp;**U.S. Treasury** | &nbsp;&nbsp;3.45% | &nbsp;&nbsp;3.45% | &nbsp;&nbsp;**U.S. Treasury Notes/Bonds** | &nbsp;&nbsp; 3.45% |
| &nbsp;&nbsp;**AAA Private-Label CMBS** | &nbsp;&nbsp;0.83% | &nbsp;&nbsp;0.83% | &nbsp;&nbsp;**State Housing Permanent Bonds** | &nbsp;&nbsp; 4.48% |
| &nbsp;&nbsp;**Cash & Short-Term Securities** | &nbsp;&nbsp;1.26% | &nbsp;&nbsp;1.26% | &nbsp;&nbsp;**State Housing Construction Bonds** | &nbsp;&nbsp;3.54% |
|  |  |  | &nbsp;&nbsp;**Direct Construction Loans** | &nbsp;&nbsp;5.58% |
|  |  |  | &nbsp;&nbsp;**Cash & Short-Term Securities** | &nbsp;&nbsp;1.26% |
|  |  |  | \*\*Includes multifamily MBS (58.57%), MF Construction MBS (7.84%), and AAA Private-Label CMBS (0.83%). | \*\*Includes multifamily MBS (58.57%), MF Construction MBS (7.84%), and AAA Private-Label CMBS (0.83%). |
| &nbsp;&nbsp;**Quality Distribution: <sup>3</sup>** | &nbsp;&nbsp;**Quality Distribution: <sup>3</sup>** |  |  |  |
| &nbsp;&nbsp;**U.S. Government or Agency** | &nbsp;&nbsp;**U.S. Government or Agency** | &nbsp;&nbsp;85.23% |  |  |
| &nbsp;&nbsp;**AAA** | &nbsp;&nbsp;**AAA** | &nbsp;&nbsp;2.57% |  |  |
| &nbsp;&nbsp;**AA** | &nbsp;&nbsp;**AA** | &nbsp;&nbsp;5.37% |  |  |
| &nbsp;&nbsp;**A** | &nbsp;&nbsp;**A** | &nbsp;&nbsp;0.00% |  |  |
| &nbsp;&nbsp;**Not Rated** | &nbsp;&nbsp;**Not Rated** | &nbsp;&nbsp;5.58% |  |  |
| &nbsp;&nbsp;**Cash** | &nbsp;&nbsp;**Cash** | &nbsp;&nbsp;1.26% |  |  |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Portfolio Duration Distribution,** <br> *by Percentage in Each Category***:** <sup>3</sup>  | &nbsp;&nbsp;**Portfolio Duration Distribution,** <br> *by Percentage in Each Category***:** <sup>3</sup>  | &nbsp;&nbsp;**Portfolio Duration Distribution,** <br> *by Percentage in Each Category***:** <sup>3</sup>  | &nbsp;&nbsp;**Portfolio Duration Distribution,** <br> *by Percentage in Each Category***:** <sup>3</sup>  | &nbsp;&nbsp;**Maturity Distribution** <br> (based on average life):  | &nbsp;&nbsp;**Maturity Distribution** <br> (based on average life):  |
| &nbsp;&nbsp;**Cash** | &nbsp;&nbsp;1.26% | &nbsp;&nbsp;**5-5.99 years** | &nbsp;&nbsp;17.85% | &nbsp;&nbsp;**0 – 1 year** | &nbsp;&nbsp;3.41% |
| &nbsp;&nbsp;**0-0.99 years** | &nbsp;&nbsp;16.49% | &nbsp;&nbsp;**6-6.99 years** | &nbsp;&nbsp;15.12% | &nbsp;&nbsp;**1 – 2.99 years** | &nbsp;&nbsp;7.85% |
| &nbsp;&nbsp;**1-1.99 years** | &nbsp;&nbsp;3.33% | &nbsp;&nbsp;**7-7.99 years** | &nbsp;&nbsp;8.53% | &nbsp;&nbsp;**3 – 4.99 years** | &nbsp;&nbsp;10.94% |
| &nbsp;&nbsp;**2-2.99 years** | &nbsp;&nbsp;3.90% | &nbsp;&nbsp;**8-8.99 years** | &nbsp;&nbsp;4.44% | &nbsp;&nbsp;**5 – 6.99 years** | &nbsp;&nbsp;22.01% |
| &nbsp;&nbsp;**3-3.99 years** | &nbsp;&nbsp;7.47% | &nbsp;&nbsp;**9-9.99 years** | &nbsp;&nbsp;0.82% | &nbsp;&nbsp;**7 – 9.99 years** | &nbsp;&nbsp;41.24% |
| &nbsp;&nbsp;**4-4.99 years** | &nbsp;&nbsp;8.51% | &nbsp;&nbsp;**Over 10 years** | &nbsp;&nbsp;12.28% | &nbsp;&nbsp;**10 – 19.99 years** | &nbsp;&nbsp;9.80% |
|  |  |  |  | &nbsp;&nbsp;**Greater than 20 years** | &nbsp;&nbsp;4.75% |

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<sup>1</sup> 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.

<sup>2</sup> Portfolio market value weighted by current face.

<sup>3</sup> Based on value of total investments and includes unfunded commitments but does not include U.S. treasury futures contracts.

![](hitpco123497005.jpg)