Item 1. Schedule of Investments

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

FHA Permanent Securities (2.1% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Multifamily		3.65	%	Dec-2037	$	8,656	$	8,820	$	8,725
		3.75	%	Aug-2048		3,825		3,821		3,824
		4.00	%	Dec-2053		62,909		62,886		64,760
		4.79	%	May-2053		5,109		5,334		5,725
		5.17	%	Feb-2050		7,763		8,323		8,379
		5.35	%	Mar-2047		7,026		7,035		7,045
		5.55	%	Aug-2042		7,489		7,491		7,511
		5.60	%	Jun-2038		2,257		2,260		2,264
		5.80	%	Jan-2053		1,992		2,001		2,248
		5.87	%	May-2044		1,694		1,693		1,698
		5.89	%	Apr-2038		4,247		4,251		4,262
		6.20	%	Apr-2052		11,254		11,250		12,972
		6.40	%	Aug-2046		3,661		3,663		3,824
		6.60	%	Jan-2050		3,272		3,296		3,700
		7.50	%	Sep-2032		1,182		1,180		1,190
Total FHA Permanent Securities					$	132,336	$	133,304	$	138,127

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

FHA Construction Securities (0.3% of net assets)

	Interest Rates1							Unfunded
	Permanent			Construction			Maturity Date	Commitments2		Face Amount		Amortized Cost		Value
Multifamily		4.10	%		2.50	%	Oct-2060	$	5,500	$	16,500	$	16,509	$	16,751
Total FHA Construction Securities								$	5,500	$	16,500	$	16,509	$	16,751

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Ginnie Mae Securities (23.1% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Single Family		4.00	%	Feb-2040 - Jun-2040	$	2,770	$	2,798	$	2,961
		4.50	%	Aug-2040		1,726		1,759		1,889
		5.50	%	Jan-2033 - Jun-2037		1,697		1,693		1,888
		6.00	%	Jan-2032 - Aug-2037		1,172		1,174		1,331
		6.50	%	Jul-2028		48		48		54
		7.00	%	Apr-2026 - Jan-2030		750		750		842
		7.50	%	Aug-2025 - Aug-2030		372		374		414
		8.00	%	Sep-2026 - Nov-2030		311		312		349
		8.50	%	Jun-2022 - Aug-2027		173		174		188
		9.00	%	Dec-2022 - Jun-2025		10		10		12
		9.50	%	Sep-2021 - Sep-2030		19		20		22
						9,048		9,112		9,950
Multifamily		1.73	%	May-2042		1,718		1,720		1,707
		2.15	%	May-2056		6,850		6,837		6,804
		2.18	%	May-2039		1,597		1,607		1,593
		2.20	%	Jun-2056		7,322		7,306		7,289
		2.25	%	Dec-2048		9,227		9,153		9,213
		2.30	%	Mar-2056 - Oct-2056		73,953		73,512		73,649
		2.31	%	Nov-2051		7,076		7,076		7,005
		2.35	%	Dec-2040 - Nov-2056		15,917		15,967		15,859
		2.40	%	Aug-2047		9,779		9,796		9,778
		2.43	%	Nov-2038		11,674		11,718		11,675
		2.50	%	Jul-2045 - Mar-2057		35,285		35,290		35,214
		2.50	%	Sep-2058		38,248		37,576		38,551
		2.53	%	Jul-2038 - Feb-2040		23,480		23,758		23,562
		2.60	%	Apr-2048 - Apr-2056		49,998		50,257		50,269
		2.61	%	Jan-2053		51,015		51,410		51,326
		2.70	%	May-2048 - Jul-2058		57,160		57,525		57,811
		2.72	%	Feb-2044		499		512		501
		2.79	%	Apr-2049		16,432		16,596		16,680
		2.80	%	Feb-2053		60,000		57,000		60,971
		2.80	%	Dec-2059		25,649		25,284		26,078
		2.82	%	Apr-2050		1,500		1,531		1,532
		2.87	%	Feb-2036 - Dec-2043		20,798		21,003		20,893
		2.89	%	Mar-2046		32,000		32,198		32,552
		3.00	%	Feb-2041 - Mar-2051		25,239		25,325		25,676
		3.05	%	May-2044 - May-2054		26,012		26,154		26,416
		3.10	%	Jan-2044 - May-2059		47,918		48,107		48,673
		3.11	%	Jan-2049		17,025		17,646		17,608
		3.13	%	Nov-2040		23		23		23
		3.20	%	Jul-2041 - Sep-2051		15,000		14,903		15,358
		3.25	%	Sep-2054		35,000		34,694		36,422
		3.25	%	Apr-2059		45,000		43,126		47,698
		3.26	%	Nov-2043		20,000		20,031		20,716
		3.30	%	May-2055 - Nov-2058		30,328		30,409		32,421
		3.33	%	Jun-2043		15,000		15,462		15,370
		3.35	%	Nov-2042 - Mar-2044		25,000		24,522		25,871
		3.36	%	Jul-2046		7,760		7,993		8,096
		3.37	%	Dec-2046		19,200		19,440		19,908
		3.40	%	Mar-2057		5,081		5,122		5,478
		3.47	%	Apr-2051		2,887		2,984		2,920
		3.49	%	Feb-2044 - Aug-2058		15,226		15,693		16,418
		3.50	%	Sep-2041 - Apr-2057		83,763		85,451		88,830
		3.51	%	May-2042		10,000		10,148		10,490
		3.53	%	Apr-2042 - Jun-2054		41,201		43,486		44,875
		3.55	%	Apr-2057		42,133		43,233		43,918
		3.60	%	Sep-2052 - Jun-2057		20,461		21,221		22,210
		3.61	%	Nov-2044		7,382		7,583		7,455
		3.62	%	Sep-2051		4,602		4,785		4,653
		3.62	%	Dec-2057		29,186		29,732		31,644
		3.67	%	Nov-2035		15,372		15,938		16,457
		3.68	%	Jun-2057		27,082		27,860		29,579
		3.68	%	Aug-2057		14,425		14,757		15,827
		3.75	%	Apr-2046		6,781		6,798		7,053

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Ginnie Mae Securities (23.1% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
		3.81	%	Jun-2045 - Dec-2045		25,614		25,466		26,715
		3.85	%	Jan-2056		31,837		32,127		34,731
		3.90	%	May-2049		3,658		3,910		3,675
		3.92	%	Aug-2039		44,687		47,488		47,674
		4.10	%	May-2051		3,955		4,304		4,347
		4.25	%	Sep-2038		34,034		34,203		36,159
		4.29	%	Mar-2053		46,968		47,240		52,456
		4.45	%	Jun-2055		2,546		2,448		2,815
		4.50	%	May-2038		18,063		19,462		19,130
		4.63	%3	Sep-2037		1,500		1,465		1,504
		4.70	%	Oct-2056		3,315		3,481		3,732
		4.90	%3	Mar-2044		1,000		991		1,003
		5.25	%	Apr-2037		18,365		18,358		19,277
		5.34	%	Jul-2040		5,665		5,598		5,831
						1,452,471		1,463,799		1,507,624
Total Ginnie Mae Securities					$	1,461,519	$	1,472,911	$	1,517,574

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Ginnie Mae Construction Securities (7.0% of net assets)

	Interest Rates1							Unfunded
	Permanent			Construction			Maturity Date	Commitments2		Face Amount		Amortized Cost		Value
Multifamily		3.25	%		3.25	%	Jun-2059	$	1,233	$	30,267	$	30,902	$	32,550
		3.34	%		3.34	%	Sep-2059		1,419		41,343		42,200		44,874
		3.35	%		3.35	%	Aug-2059		1,376		5,311		5,514		5,846
		3.38	%		3.38	%	Aug-2059		9,383		26,151		27,042		28,977
		3.38	%		3.38	%	Aug-2059		1,104		43,581		44,479		47,367
		3.38	%		3.38	%	Jan-2060		2,695		57,709		57,720		62,958
		3.39	%		3.39	%	Feb-2059		857		13,818		14,113		15,060
		3.48	%		3.48	%	May-2059		476		14,101		14,406		15,451
		3.57	%		3.57	%	Nov-2059		6,520		43,240		43,988		47,966
		3.60	%		3.60	%	Apr-2061		30,875		3,310		4,507		5,764
		3.65	%		3.65	%	Nov-2058		159		10,437		10,602		11,197
		3.74	%		4.24	%	Aug-2059		740		15,195		15,513		16,772
		3.75	%		3.75	%	Nov-2060		14,459		50		485		1,232
		3.78	%		7.00	%	Aug-2060		39,915		25		329		3,384
		4.15	%		4.15	%	Sep-2051		455		17,412		17,474		17,457
		4.15	%		4.15	%	Apr-2060		2,294		25,031		25,718		28,752
		4.19	%		4.19	%	May-2060		19,557		9,033		9,419		12,358
		4.20	%		4.20	%	Aug-2060		11,605		36,155		37,113		42,077
		4.21	%		4.21	%	May-2061		51,435		505		765		5,626
		4.29	%		4.29	%	Jan-2060		506		6,419		6,568		7,322
		4.35	%		4.35	%	Dec-2060		2,185		115		158		378
		4.40	%		4.40	%	Sep-2060		7,700		1,500		1,710		2,609
		4.53	%		4.53	%	Jan-2061		10,691		4,224		4,680		6,126
Total Ginnie Mae Construction Securities								$	217,639	$	404,932	$	415,405	$	462,103

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Fannie Mae Securities (43.1% of net assets)

	Interest Rate4				Maturity Date	Face Amount		Amortized Cost		Value
Single Family		2.27	%	1M LIBOR+25	Mar-2037	$	236	$	234	$	234
		2.32	%	1M LIBOR+30	Jul-2043		9,841		9,782		9,774
		2.34	%	1M LIBOR+32	Jun-2037		1,243		1,244		1,238
		2.37	%	1M LIBOR+35	Mar-2043 - Nov-2047		39,945		39,962		39,674
		2.40	%	1M LIBOR+38	Nov-2042		4,986		4,987		4,956
		2.42	%	1M LIBOR+40	Apr-2037 - Oct-2044		13,176		13,197		13,144
		2.47	%	1M LIBOR+45	Oct-2042		7,118		7,157		7,106
		2.48	%	1M LIBOR+46	Oct-2042		4,313		4,331		4,318
		2.52	%	1M LIBOR+50	Dec-2040 - Feb-2043		25,865		25,803		25,906
		2.54	%	1M LIBOR+52	Jun-2042		3,041		3,055		3,046
		2.57	%	1M LIBOR+55	Mar-2042		6,756		6,767		6,778
		2.61	%	1M LIBOR+59	Mar-2041		4,182		4,211		4,203
		2.62	%	1M LIBOR+60	Mar-2042 - Oct-2043		10,878		10,916		10,938
		2.72	%	1M LIBOR+70	Dec-2040		2,037		2,043		2,051
		3.00	%		Apr-2031 - Jun-2046		49,050		50,550		50,297
		3.50	%		Oct-2026 - Apr-2049		200,051		205,095		207,826
		3.59	%	12M LIBOR+170	Oct-2042		6,588		6,728		6,793
		4.00	%		May-2020 - Jun-2048		137,701		142,289		144,942
		4.07	%	12M LIBOR+153	Feb-2045		6,156		6,272		6,343
		4.11	%	6M LIBOR+161	Aug-2033		141		140		145
		4.17	%	6M LIBOR+155	Nov-2033		1,353		1,354		1,391
		4.23	%	12M LIBOR+153	Jul-2033		193		192		201
		4.28	%	1Y UST+222	Aug-2033		527		526		555
		4.46	%	12M LIBOR+156	Apr-2034		625		637		651
		4.50	%		May-2024 - Dec-2048		103,125		106,894		109,740
		4.57	%	12M LIBOR+170	Nov-2034		515		526		539
		4.61	%	1Y UST+222	Jul-2033		1,043		1,046		1,098
		4.61	%	1Y UST+220	Aug-2033		723		722		761
		4.63	%	1Y UST+211	May-2033		340		341		358
		5.00	%		Nov-2019 - Apr-2041		11,027		11,345		12,099
		5.50	%		May-2020 - Jun-2038		5,199		5,213		5,789
		6.00	%		Nov-2028 - Nov-2037		3,520		3,532		4,012
		6.50	%		Sep-2028 - Jul-2036		577		588		654
		7.00	%		Sep-2027 - May-2032		707		708		806
		7.50	%		Jan-2027 - Sep-2031		227		228		254
		8.00	%		Apr-2030 - May-2031		46		46		47
							663,051		678,661		688,667
Multifamily		2.21	%		Dec-2022		29,052		29,058		29,334
		2.24	%		Dec-2022		29,302		29,306		29,611
		2.26	%		Nov-2022		6,111		6,117		6,177
		2.34	%		Sep-2026		28,500		28,610		29,105
		2.37	%	1M LIBOR+28	Mar-2028		35,971		35,971		36,023
		2.38	%		Jul-2026		21,840		21,867		22,346
		2.38	%	1M LIBOR+29	Feb-2028		30,420		30,427		30,466
		2.40	%	1M LIBOR+31	Mar-2028		38,275		38,288		38,331
		2.43	%	1M LIBOR+34	Dec-2024		60,000		60,005		60,028
		2.43	%		Jan-2028		22,425		22,430		22,444
		2.43	%	1M LIBOR+35	Jan-2028		20,000		20,004		20,011
		2.44	%		Aug-2026		22,370		22,370		22,968
		2.44	%	1M LIBOR+35	Dec-2027		32,050		32,055		32,094
		2.46	%		Aug-2026		25,830		25,837		26,067
		2.48	%		Oct-2028		24,990		25,070		25,683
		2.49	%		Dec-2026		16,244		16,277		16,750
		2.49	%	1M LIBOR+40	Sep-2028		26,082		26,085		26,130
		2.50	%		Jun-2026		60,000		60,000		61,828
		2.50	%		Jul-2026		37,679		37,740		38,598
		2.50	%	1M LIBOR+42	Aug-2027		35,483		35,490		35,517
		2.53	%	1M LIBOR+44	May-2027		16,840		16,842		16,860
		2.55	%		Sep-2026		14,210		14,219		14,645
		2.57	%		Sep-2028		40,100		40,549		41,476
		2.60	%		Sep-2024		13,650		13,776		13,829
		2.67	%	1M LIBOR+58	May-2029		25,000		25,015		25,012
		2.67	%		Jun-2029		41,302		41,349		41,357
		2.67	%		Aug-2029		37,700		38,231		39,036
		2.70	%	1M LIBOR+40	Oct-2024		6,934		6,930		6,880
		2.70	%		Nov-2025		15,462		15,475		16,126
		2.72	%		Jul-2028		36,400		36,733		38,169
		2.75	%		Jul-2028		15,459		15,614		16,246
		2.80	%		Apr-2025		15,630		15,762		15,969
		2.81	%		Sep-2027		12,400		12,480		13,087
		2.85	%		Mar-2022		33,000		33,000		33,700
		2.85	%		Dec-2027 - Aug-2031		32,350		32,476		34,018
		2.87	%		Oct-2027		9,425		9,517		9,992
		2.91	%		Jun-2031		25,000		25,182		26,380
		2.92	%		Jun-2027		69,649		69,750		73,991
		2.92	%		Apr-2028		15,950		16,039		16,913
		2.94	%		Jun-2027		29,000		29,044		30,841
		2.94	%		Jul-2039		10,346		10,474		10,893
		2.96	%		Sep-2034		20,000		20,992		21,102
		2.97	%		May-2026 - Sep-2034		46,854		47,510		49,485

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Fannie Mae Securities (43.1% of net assets)

	Interest Rate4				Maturity Date	Face Amount		Amortized Cost		Value
		2.99	%		Jun-2025		2,696		2,701		2,833
		3.00	%		May-2027 - Mar-2028		15,981		16,008		16,980
		3.02	%	1M LIBOR+85	Jan-2023		8,016		8,014		8,039
		3.02	%		Jun-2027 - Nov-2029		39,988		40,158		42,617
		3.03	%		Jun-2026		12,976		13,237		13,590
		3.04	%		Sep-2027		30,000		30,179		31,589
		3.04	%		Apr-2030		25,100		25,188		26,943
		3.05	%		Apr-2030		27,549		27,581		29,560
		3.10	%		Sep-2029		8,515		8,555		9,065
		3.12	%		Mar-2025 - Apr-2030		26,121		26,241		27,242
		3.14	%		Apr-2029		7,889		7,910		8,521
		3.15	%		Jan-2027		20,095		20,124		21,572
		3.17	%		Jun-2029 - Sep-2029		61,556		61,947		66,195
		3.18	%		May-2035		10,738		10,895		11,349
		3.20	%		Oct-2027		10,320		10,375		11,119
		3.21	%		May-2030		6,925		7,034		7,474
		3.24	%		Aug-2027		9,352		9,474		10,000
		3.25	%		Nov-2027		10,314		10,369		11,153
		3.26	%		Jan-2027		7,437		7,458		8,053
		3.30	%		Jul-2031		5,512		5,787		6,053
		3.31	%		Oct-2027		15,860		16,006		17,207
		3.32	%		Apr-2029		20,080		20,178		21,740
		3.33	%		May-2026		11,038		11,089		11,780
		3.34	%		Jan-2030		17,200		17,470		18,434
		3.35	%		Feb-2029		19,513		19,763		21,379
		3.36	%		May-2029 - Oct-2029		34,578		36,026		37,999
		3.40	%		Oct-2026		2,937		2,950		3,189
		3.41	%		Sep-2023 - Apr-2029		55,148		55,575		59,530
		3.42	%		Apr-2035		5,340		5,424		5,796
		3.46	%		Dec-2023 - Apr-2031		16,208		16,313		17,778
		3.54	%		Oct-2021		6,847		6,849		7,051
		3.61	%		Sep-2023		6,291		6,312		6,685
		3.63	%		Jul-2035		21,987		22,020		24,437
		3.65	%		Apr-2031		9,700		9,824		10,908
		3.66	%		Oct-2023		4,616		4,635		4,920
		3.67	%		Mar-2028		14,080		14,294		15,232
		3.68	%		Jul-2028		12,011		12,887		13,095
		3.69	%		Jun-2030		24,863		24,863		28,108
		3.77	%		Dec-2033		10,500		10,700		11,792
		3.87	%		Sep-2023		2,429		2,450		2,605
		4.06	%		Oct-2025		23,004		23,048		25,519
		4.15	%		Jun-2021		8,741		8,741		9,012
		4.25	%		May-2021		3,921		3,921		4,035
		4.27	%		Jan-2034		75,058		75,362		83,306
		4.33	%		Mar-2020 - Mar-2021		6,486		6,487		6,584
		4.44	%		May-2020		5,497		5,497		5,545
		4.50	%		Feb-2020		3,873		3,873		3,888
		4.52	%		May-2021		3,856		3,857		3,988
		4.69	%		Jan-2020 - Jun-2035		2,429		2,444		2,513
		4.71	%		Mar-2021		5,407		5,408		5,577
		4.73	%		Feb-2021		1,425		1,425		1,467
		5.15	%		Oct-2022		1,083		1,084		1,134
		5.29	%		May-2022		4,813		4,813		5,162
		5.30	%		Aug-2029		4,989		4,935		5,794
		5.60	%		Jan-2024		9,194		9,195		9,580
		5.69	%		Jun-2041		4,495		4,604		5,341
		5.75	%		Jun-2041		2,181		2,242		2,596
		5.91	%		Mar-2037		1,723		1,749		1,873
		5.96	%		Jan-2029		297		298		300
		6.15	%		Jan-2023		3,375		3,375		3,426
		6.38	%		Jul-2021		4,720		4,722		4,968
		7.20	%		Aug-2029		660		655		677
		7.75	%		Dec-2024		930		930		944
		8.40	%		Jul-2023		201		201		204
							2,021,949		2,033,695		2,118,563
When Issued5		2.33	%		Feb-2030		5,955		5,959		5,907
		2.61	%		Nov-2026		9,800		9,926		10,008
		2.76	%		Oct-2031		10,189		10,399		10,543
							25,944		26,284		26,458
Total Fannie Mae Securities						$	2,710,944	$	2,738,640	$	2,833,688

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Freddie Mac Securities (12.3% of net assets)

	Interest Rate4				Maturity Date	Face Amount		Amortized Cost		Value
Single Family		2.33	%	1M LIBOR+30	Feb-2036	$	782	$	782	$	780
		2.36	%	1M LIBOR+33	May-2037		78		78		78
		2.38	%	1M LIBOR+35	Apr-2036 - Mar-2045		22,046		22,060		21,938
		2.43	%	1M LIBOR+40	Aug-2043		4,157		4,156		4,147
		2.50	%		Jan-2043 - Aug-2046		15,738		15,951		15,760
		2.51	%	1M LIBOR+48	Oct-2040		3,392		3,389		3,392
		2.53	%	1M LIBOR+50	Oct-2040 - Jun-2044		29,332		29,346		29,370
		2.58	%	1M LIBOR+55	Nov-2040		3,928		3,962		3,940
		2.70	%	1M LIBOR+67	Aug-2037		3,343		3,380		3,369
		3.00	%		Aug-2042 - Sep-2046		63,499		64,870		65,262
		3.50	%		Jan-2026 - Oct-2046		155,698		159,558		162,344
		4.00	%		Aug-2020 - Aug-2047		163,311		170,097		172,470
		4.40	%	12M LIBOR+177	Jul-2035		115		115		121
		4.50	%		Jan-2038 - Dec-2044		42,470		44,348		45,792
		4.59	%	1Y UST+223	Oct-2033		373		371		393
		4.72	%	1Y UST+222	Jun-2033		143		142		150
		5.00	%		May-2022 - Mar-2041		5,193		5,203		5,642
		5.50	%		May-2020 - Jul-2038		2,927		2,917		3,265
		6.00	%		Jul-2021 - Oct-2037		4,095		4,135		4,668
		6.50	%		Apr-2028 - Nov-2037		613		619		716
		7.00	%		Apr-2028 - Mar-2030		48		46		54
		7.50	%		Aug-2029 - Apr-2031		44		44		51
		8.00	%		Dec-2029		1		1		1
		8.50	%		Jul-2024 - Jan-2025		52		52		56
		9.00	%		Mar-2025		28		28		31
							521,406		535,650		543,790
Multifamily		2.40	%		Jun-2031		7,444		7,586		7,488
		2.41	%		Jun-2031		11,732		11,970		11,814
		2.42	%		Jun-2031		11,768		12,020		11,861
		2.42	%	1M LIBOR+33	Sep-2024		15,130		15,130		15,101
		2.51	%	1M LIBOR+42	May-2027		13,519		13,518		13,470
		2.54	%		Jun-2029		20,000		20,193		20,554
		2.62	%	1M LIBOR+53	Jan-2029		15,000		15,000		14,977
		2.74	%	1M LIBOR+65	Jan-2023		3,431		3,431		3,432
		2.79	%	1M LIBOR+70	Sep-2022		6,607		6,604		6,608
		3.28	%		Dec-2029		16,628		16,925		17,948
		3.34	%		Dec-2029		9,770		9,985		10,610
		3.35	%		Oct-2033		33,450		33,270		35,844
		3.38	%		Apr-2030		14,405		14,764		15,652
		3.48	%		Jun-2030		18,802		19,409		20,561
		3.50	%		Jan-2026		18,000		18,148		19,091
		3.60	%		Apr-2030		25,723		26,765		28,329
		3.68	%		Oct-2025		10,000		10,198		10,718
							251,409		254,916		264,058
Total Freddie Mac Securities						$	772,815	$	790,566	$	807,848

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

State Housing Finance Agency Securities (4.7% of net assets)

		Interest Rates1							Unfunded
	Issuer	Permanent			Construction			Maturity Date	Commitments2		Face Amount		Amortized Cost		Value
Multifamily	Connecticut Housing Finance Auth6		—			3.25	%	Nov-2019	$	1,265	$	21,235	$	21,196	$	21,199
	Mass Housing6		—			3.55	%	Oct-2022		13,520		50		50		224
	Mass Housing6		—			4.20	%	Sep-2021		29,809		31		31		261
	NYC Housing Development Corp		2.95	%		—		Nov-2045		—		5,000		5,000		5,265
	NYC Housing Development Corp		3.10	%		—		Oct-2046		—		24,358		24,359		24,609
	NYC Housing Development Corp		3.25	%		—		Nov-2049		—		12,000		12,000		12,240
	Connecticut Housing Finance Auth		3.25	%		—		May-2050		—		12,500		12,385		12,930
	NYC Housing Development Corp		3.35	%		—		Nov-2054		—		20,000		20,000		20,466
	NYC Housing Development Corp		3.45	%		—		May-2059		—		20,000		20,000		20,591
	NYC Housing Development Corp		3.75	%		—		May-2035		—		4,405		4,405		4,606
	Mass Housing6		3.85	%		—		Dec-2058		—		9,895		9,892		10,033
	NYC Housing Development Corp		3.95	%		—		Nov-2043		—		15,000		15,000		16,083
	NYC Housing Development Corp		4.00	%		—		Dec-2028 - Nov-2048		—		15,000		15,104		16,018
	MassHousing		4.04	%		—		Nov-2032		—		1,305		1,305		1,345
	MassHousing		4.13	%		—		Dec-2036		—		5,000		5,000		5,261
	NYC Housing Development Corp		4.13	%		—		Nov-2053		—		10,000		10,000		10,745
	NYC Housing Development Corp		4.20	%		—		Dec-2039		—		8,305		8,305		8,680
	NYC Housing Development Corp		4.25	%		—		Nov-2025		—		1,150		1,150		1,153
	NYC Housing Development Corp		4.29	%		—		Nov-2037		—		1,190		1,190		1,231
	Chicago Housing Authority		4.36	%		—		Jan-2038		—		25,000		25,000		28,955
	NYC Housing Development Corp		4.44	%		—		Nov-2041		—		1,120		1,120		1,158
	NYC Housing Development Corp		4.49	%		—		Nov-2044		—		455		455		470
	NYC Housing Development Corp		4.50	%		—		Nov-2030		—		1,680		1,682		1,684
	MassHousing		4.50	%		—		Jun-2056		—		45,000		45,000		46,922
	NYC Housing Development Corp		4.60	%		—		Nov-2030		—		4,665		4,665		4,677
	NYC Housing Development Corp		4.70	%		—		Nov-2035		—		1,685		1,685		1,690
	NYC Housing Development Corp		4.78	%		—		Aug-2026		—		12,500		12,501		12,899
	NYC Housing Development Corp		4.80	%		—		Nov-2040		—		2,860		2,862		2,868
	NYC Housing Development Corp		4.90	%		—		Nov-2041		—		3,800		3,800		3,811
	NYC Housing Development Corp		4.95	%		—		Nov-2043 - May-2047		—		7,800		7,802		7,863
Total State Housing Finance Agency Securities									$	44,594	$	292,989	$	292,944	$	305,937

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Other Mutifamily Investments (0.2% of net assets)

	Interest Rates1								Unfunded
Issuer	Permanent			Construction			Maturity Date		Commitments2		Face Amount		Amortized Cost			Value
Direct Loans
Lake Street Apartments (Level 3)		—			4.25	%		Jul-2039	$	13,400	$	100	$	(33	)	$	865
The Block 803 Waimanu (Level 3)		—			4.50	%		Sep-2021		15,682		1,455		1,284			1,564
										29,082		1,555		1,251			2,429
Privately Insured Construction/ Permanent Mortgages7
IL Housing Development Authority		5.40	%		—			Mar-2047		—	$	7,866	$	7,869		$	7,850
IL Housing Development Authority		6.20	%		—			Dec-2047		—		2,998		3,006			2,990
IL Housing Development Authority		6.40	%		—			Nov-2048		—		909		919			906
										—		11,773		11,794			11,746
Total Other Multifamily Investments									$	29,082	$	13,328	$	13,045		$	14,175

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Commercial Mortgage-Backed Securities (1.9% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Nomura		2.77	%	Dec-2045	$	10,000	$	10,146	$	10,187
Nomura		3.19	%	Mar-2046		20,000		20,350		20,559
JP Morgan		3.48	%	Jun-2045		9,751		10,156		9,959
Citigroup		3.62	%	Jul-2047		8,000		8,190		8,519
Barclays/ JP Morgan		3.81	%	Jul-2047		2,250		2,304		2,403
RBS/ Wells Fargo		3.82	%	Aug-2050		5,000		5,124		5,332
Deutsche Bank/UBS		3.96	%	Mar-2047		5,000		5,119		5,321
Barclays/ JP Morgan		4.00	%	Apr-2047		5,000		5,120		5,364
Cantor/Deutsche Bank		4.01	%	Apr-2047		20,000		20,478		21,448
Barclays/ JP Morgan		4.08	%	Feb-2047		6,825		7,140		7,340
Cantor/Deutsche Bank		4.24	%	Feb-2047		7,000		7,165		7,551
Deutsche Bank		5.00	%	Nov-2046		18,727		19,134		19,105
Total Commercial Mortgage Backed Securities					$	117,553	$	120,426	$	123,088

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

United States Treasury Securities (4.7% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
		1.63	%	May-2026	$	10,000	$	10,065	10,005
		1.63	%	Aug-2029	$	25,000	$	24,953	24,893
		2.13	%	May-2025		15,000		14,902	15,425
		2.25	%	Nov-2024		30,000		30,483	30,986
		2.25	%	Nov-2025		5,000		5,076	5,186
		2.25	%	Aug-2049		25,000		26,204	25,716
		2.38	%	Aug-2024		50,000		50,300	51,872
		2.38	%	May-2029		40,000		41,642	42,486
		2.63	%	Feb-2029		65,000		66,975	70,361
		2.88	%	Aug-2028		10,000		9,830	10,996
		3.13	%	Nov-2028		20,000		20,458	22,457
Total United States Treasury Securities					$	295,000	$	300,888	$310,383
Total Fixed-Income Investments					$	6,217,916	$	6,294,638	$6,529,674

Schedule of Portfolio Investments

September 30, 2019 (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	$	—	$	(515	)
Total Equity Investment	$	1	$	—	$	(515	)

Schedule of Portfolio Investments

September 30, 2019 (dollars in thousands; unaudited)

Short-Term Investments (0.8% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Commercial Paper
Halkin Finance, LLC		2.00	%9	Oct-2019	$	15,000	$	15,000	$	15,000
Institution Secured Funding, LLC		2.05	%9	Oct-2019		40,000		40,000		40,000
Blackrock Federal Funds		2.07	%10	Oct-2019		412		412		412
Total Short-Term Investments					$	55,412	$	55,412	$	55,412
Total Investments					$	6,273,329	$	6,350,051	$	6,584,571

Schedule of Portfolio Investments

September 30, 2019

Footnotes

1 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.

2 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 $296.8 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.

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

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

5 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.

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 effective yield at the time of purchase.

10 Rate indicated is the annualized 1-day yield as of September 30, 2019

Key to abbreviations

M	Month
Y	Year
LIBOR	London Interbank Offered Rate
UST	U.S. Treasury

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited

As of September 30, 2019

The accompanying notes are an integral part of this Schedule of Portfolio Investments.

Note 1. Summary of Significant Accounting Policies

The American Federation of Labor and Congress of Industrial Organizations (AFL-CIO) Housing Investment Trust (HIT) is a common law trust created under the laws of the District of Columbia and is registered under the Investment Company Act of 1940, as amended (the Investment Company Act), as a no-load, open-end investment company. The HIT has obtained certain exemptions from the requirements of the Investment Company Act that are described in the HIT’s Prospectus and Statement of Additional Information.

Participation in the HIT is limited to eligible pension plans and labor organizations, including health and welfare, general, voluntary employees’ benefit associations and other funds that have beneficiaries who are represented by labor organizations.

The following is a summary of significant accounting policies followed by the HIT in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles (GAAP) in the United States. The HIT follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies

Investment Valuation

Net asset value per share (NAV) is calculated as of the close of business of the major bond markets in New York City on the last business day of each month. The HIT’s Board of Trustees is responsible for the valuation process and has delegated the supervision of the valuation process to a Valuation Committee. The Valuation Committee, in accordance with the policies and procedures adopted by the HIT’s Board of Trustees, is responsible for evaluating the effectiveness of the HIT’s pricing policies, determining the reliability of third-party pricing information, and reporting to the Board of Trustees on valuation matters, including fair value determinations. Following is a description of the valuation methods and inputs applied to the HIT’s major categories of assets.

Portfolio securities for which market quotations are readily available are valued by using independent pricing services. For U.S. Treasury securities, independent pricing services generally base prices on actual transactions as well as dealer supplied market information. For state housing finance agency securities, independent pricing services generally base prices using models that utilize trading spreads, new issue scales, verified bid information, and credit ratings. For commercial mortgage-backed securities, independent pricing services generally base prices on cash flow models that take into consideration benchmark yields and utilize available trade information, dealer quotes, and market color.

For U.S. agency and government-sponsored enterprise securities, including single family and multifamily mortgage-backed securities, construction mortgage securities and loans, and collateralized mortgage obligations, independent pricing services generally base prices on an active TBA (“to-be-announced”) market for mortgage pools, discounted cash flow models or option-adjusted spread models. Independent pricing services examine reference data and use observable inputs such as issue name, issue size, ratings, maturity, call type, and spread/benchmark yields, as well as dealer-supplied market information. The discounted cash flow or option-adjusted spread models utilize inputs from matrix pricing, which consider observable market-based discount and prepayment rates, attributes of the collateral, and yield or price of bonds of comparable quality, coupon, maturity, and type.

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

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

Portfolio investments for which market quotations are not readily available or deemed unreliable are valued at their fair value determined in good faith by the HIT’s Valuation Committee using consistently applied procedures adopted by the HIT’s Board of Trustees. In such circumstances, the Valuation Committee will employ a valuation method that it believes best reflects fair value for that asset, which may include the referral of the asset to an independent valuation consultant or the utilization of a discounted cash flow model based on broker and/or other market inputs. The frequency with which these fair value procedures may be used cannot be predicted. However, on September 30, 2019 the Valuation Committee fair valued less than 0.01% of the HIT’s net assets utilizing internally derived unobservable inputs.

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

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

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

The following table presents the HIT’s valuation levels as of September 30, 2019:

Investment Securities: ($ in thousands)	Level 1	Level 2	Level 3	Total
FHA Permanent Securities	$                 —	$            138,127	$              —	$    138,127
FHA Construction Securities	—	16,751	—	16,751
Ginnie Mae Securities	—	1,517,574	—	1,517,574
Ginnie Mae Construction Securities	—	462,103	—	462,103
Fannie Mae Securities	—	2,807,230	—	2,807,230
Freddie Mac Securities	—	807,848	—	807,848
Commercial Mortgage-Backed Securities	—	123,088	—	123,088
State Housing Finance Agency Securities	—	305,937	—	305,937
Other Multifamily Investments
Direct Loans	—	—	2,429	2,429
Privately Insured Construction/Permanent Mortgages	—	11,746	—	11,746
Total Other Multifamily Investments	—	11,746	2,429	14,175
United States Treasury Securities	—	310,383	—	310,383
Equity Investments	—	—	(515)	(515)
Short-Term Investments	55,412	—	—	55,412
Other Financial Instruments*	—	26,458	—	26,458
Total Investment	$       55,412	$         6,527,245	$        1,914	$6,584,571

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

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended September 30, 2019.

Investments in Securities ($ in thousands)
	Other Multifamily Investments	Equity Investments	Total
Beginning balance,12/31/2018	$4,867	$(367)	$4,500
Paydowns/Settlements	(5,411)	—	(5,411)
Cost of Purchases	1,250	—	1,250
Total Unrealized Gain(Loss)(a)	1,723	(148)	1,575
Ending balance, 9/30/2019	$2,429	$(515)	$1,914

^(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2019 totaled $1,031,000.

Level 3 securities primarily consist of two Direct Loans (Other Multifamily Investments) which were valued by an independent pricing service at September 30, 2019 utilizing a discounted cash flow model. Weighted average lives for the loans were 15.93 and 1.92. Unobservable inputs include spreads to relevant U.S. Treasuries of 132 and 252 basis points. A change in unobservable inputs may impact the value of the loans. Level 3 also consists of an investment in a wholly owned subsidiary that is fair valued in good faith under consistently applied procedures adopted by the HIT’s Board of Trustees, which approximates its respective carrying value.

Federal Income Taxes

At September 30, 2019, investments for federal income tax purposes approximated book cost at amortized cost of $6,350,051,000.  Net unrealized gains aggregated $234,520,000 at period-end, of which $240,449,000 related to appreciated investments and $5,929,000 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 a wholly owned subsidiary of 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, 2019, 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, 12/31/2018	$808
Advances in 2019	78
Repayment by HIT Advisers in 2019	(50)
Ending Balance, 9/30/2019	$836

Building America

Building America, a wholly owned subsidiary of HIT Advisers, is a Community Development Entity, certified by the Community Development Financial Institutions Fund (CFDI Fund) of the U.S. Department of 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, 12/31/2018	$ 64
Advances in 2019	968
Repayment by BACDE in 2019	(576)
Ending Balance, 9/30/2019	$ 456

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, 2019
Assets	$ 659
Liabilities	$1,174
Equity	$ (515)
For the nine months ended September 30, 2019
Income	$ 888
Expenses	(1,003)
Tax Expense	—
Net Income (Loss)	$(115)