Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

FHA Permanent Securities (2.1% of net assets)

					Unfunded
	Interest Rate			Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
Multifamily		3.65	%	Dec-2037		—	$	8,316	$	8,459	$	8,607
		3.75	%	Aug-2048		—		3,750		3,746		3,816
		4.00	%	Dec-2053		—		62,125		62,101		68,196
		4.79	%	May-2053		—		5,032		5,246		5,733
		5.17	%	Feb-2050		—		7,655		8,185		8,491
		5.35	%	Mar-2047		—		6,911		6,920		6,949
		5.55	%	Aug-2042		—		7,320		7,322		7,363
		5.60	%	Jun-2038		—		2,187		2,190		2,200
		5.80	%	Jan-2053		—		1,971		1,980		2,288
		5.87	%	May-2044		—		1,663		1,662		1,674
		5.89	%	Apr-2038		—		4,117		4,121		4,144
		6.20	%	Apr-2052		—		11,142		11,139		12,846
		6.40	%	Aug-2046		—		3,608		3,610		3,726
		6.60	%	Jan-2050		—		3,237		3,259		3,722
						—		129,034		129,940		139,755
When Issued2		2.50	%	Sep-2063		5,702		—		—		(44	)
		3.72	%	Feb-2062		4,470		—		—		305
		3.90	%	Mar-2062		3,090		—		—		251
						13,262		—		—		512
Total FHA Permanent Securities					$	13,262	$	129,034	$	129,940	$	140,267

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

FHA Construction Securities (0.4% of net assets)

	Interest Rates3
	Permanent			Construction			Maturity Date	Face Amount		Amortized Cost		Value
Multifamily		4.10	%		2.50	%	Oct-2060	$	22,000	$	22,009	$	24,172
Total FHA Construction Securities								$	22,000	$	22,009	$	24,172

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

Ginnie Mae Securities (26.1% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Single Family		4.00	%	Feb-2040 - Jun-2040	$	2,145	$	2,165	$	2,373
		6.00	%	Jan-2032 - Aug-2037		909		911		1,063
		7.00	%	Apr-2026 - Jan-2030		591		592		671
		8.50	%	Jun-2022 - Aug-2027		109		109		120
		9.00	%	Dec-2022 - Jun-2025		7		7		7
		4.50	%	Aug-2040		1,138		1,158		1,283
		9.50	%	Sep-2021		—		—		—
		7.50	%	Aug-2025 - Aug-2030		296		300		332
		8.00	%	Sep-2026 - Nov-2030		260		262		297
		5.50	%	Jan-2033 - Jun-2037		1,362		1,359		1,573
		6.50	%	Jul-2028		44		44		50
						6,861		6,907		7,769
Multifamily		1.73	%	May-2042		329		329		329
		2.15	%	May-2056		4,826		4,817		4,921
		2.20	%	May-2042 - Jun-2056		16,328		16,758		17,014
		2.25	%	Dec-2048		5,752		5,707		5,901
		2.30	%	Mar-2056 - Oct-2056		44,001		43,748		45,155
		2.31	%	Nov-2051		7,076		7,076		7,353
		2.32	%	Sep-2060		27,755		29,347		29,995
		2.35	%	Dec-2040 - Nov-2056		12,797		12,823		13,184
		2.40	%	Aug-2047		6,506		6,515		6,704
		2.50	%	Jul-2045 - Mar-2057		24,009		24,007		24,834
		2.50	%	Sep-2058		34,688		34,096		36,185
		2.51	%	Jan-2053		51,015		51,387		52,952
		2.53	%	Jul-2038 - Feb-2040		14,359		14,518		14,647
		2.60	%	Apr-2048 - Jun-2059		46,562		46,756		48,212
		2.70	%	May-2048 - Jul-2058		38,076		38,298		39,532
		2.72	%	Feb-2044		430		441		442
		2.79	%	Apr-2049		15,135		15,277		15,894
		2.80	%	Feb-2053		60,000		57,087		64,608
		2.80	%	Dec-2059		18,194		17,941		18,875
		2.82	%	Apr-2050		1,500		1,529		1,572
		2.89	%	Mar-2046		31,969		32,156		32,890
		2.99	%	Jul-2048		8,416		9,173		9,228
		3.00	%	Mar-2051 - May-2062		19,999		20,088		21,031
		3.00	%	May-2062		103,637		112,474		112,759
		3.03	%	Jan-2056		31,343		33,506		34,480
		3.05	%	May-2054		11,545		11,596		12,491
		3.10	%	Jan-2044 - May-2059		56,625		57,306		58,508
		3.20	%	Jul-2041 - Sep-2051		22,760		22,888		23,643
		3.25	%	Sep-2054		35,000		34,702		37,641
		3.25	%	Jun-2059		31,038		31,652		34,575
		3.25	%	Apr-2059		45,000		43,177		49,952
		3.26	%	Nov-2043		14,759		14,780		15,476
		3.30	%	May-2055		10,000		9,491		10,972
		3.33	%	Jun-2043		11,602		11,937		11,955
		3.34	%	Sep-2059		17,328		17,671		19,426
		3.35	%	Nov-2042 - Aug-2059		30,633		30,381		32,877
		3.37	%	Dec-2046		19,030		19,253		19,620
		3.38	%	Aug-2059		44,139		45,006		48,747
		3.38	%	Aug-2059		35,097		35,972		39,453
		3.38	%	Jan-2060		59,964		59,974		66,526
		3.39	%	Feb-2059		14,410		14,700		16,121
		3.40	%	Mar-2057		5,006		5,045		5,534
		3.44	%	May-2042		10,000		10,138		10,648
		3.46	%	Feb-2051 - Apr-2051		10,907		10,908		11,267
		3.47	%	Feb-2044		3,115		3,254		3,187
		3.48	%	May-2059		10,987		11,212		12,415
		3.49	%	Aug-2058		11,060		11,324		12,262
		3.50	%	Jan-2054 - Apr-2057		66,480		67,880		72,754
		3.51	%	Mar-2053		46,304		50,024		52,314
		3.53	%	Apr-2042		16,762		17,309		18,701
		3.55	%	Apr-2057		41,618		42,665		42,204
		3.57	%	Sep-2052		6,500		6,727		7,150
		3.57	%	Nov-2059		49,166		49,893		56,002
		3.60	%	Jun-2057		13,794		14,292		15,398
		3.62	%	Dec-2057		28,846		29,365		31,888
		3.65	%	Oct-2058		10,377		10,537		11,693
		3.66	%	Dec-2045		8,583		8,248		9,218
		3.67	%	Nov-2035		14,678		15,162		16,175
		3.74	%	Aug-2059		15,756		16,067		17,975
		3.75	%	Apr-2046		6,557		6,572		7,027
		3.77	%	Jun-2045		2,884		2,917		2,915
		3.92	%	Aug-2039		43,216		45,707		47,733
		4.10	%	May-2051		3,896		4,225		4,376
		4.19	%	May-2060		28,501		28,885		32,420
		4.25	%	Sep-2038		32,874		33,022		35,431
		4.45	%	Jun-2055		2,519		2,424		2,829
		4.50	%	May-2038		17,462		18,698		18,669
		4.63	%	Sep-2037		1,500		1,466		1,505
		4.70	%	Oct-2056		3,283		3,442		3,695
		4.90	%	Mar-2044		1,000		991		1,003
		5.25	%	Apr-2037		17,745		17,740		18,348
		5.34	%	Jul-2040		2,553		2,525		2,617
						1,617,561		1,645,004		1,742,033
Total Ginnie Mae Securities					$	1,624,422	$	1,651,911	$	1,749,802

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

Ginnie Mae Construction Securities (3.5% of net assets)

	Interest Rates3							Unfunded
	Permanent			Construction			Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
Multifamily		2.67	%		2.67	%	Mar-2062	$	29,058	$	5,924	$	6,799	$	8,256
		3.41	%		3.41	%	Sep-2061		30,394		11,892		13,584		16,599
		3.43	%		3.43	%	Nov-2061		38,717		14,771		16,578		21,358
		3.60	%		3.60	%	Apr-2061		16,018		18,167		19,363		22,555
		3.75	%		3.75	%	Nov-2060		2,720		11,789		12,226		13,732
		3.78	%		7.00	%	Aug-2060		3,053		36,887		37,191		42,093
		4.15	%		4.15	%	Sep-2051		455		17,412		17,474		17,505
		4.20	%		4.20	%	Aug-2060		2,212		45,547		46,506		53,005
		4.21	%		4.21	%	May-2061		42,514		9,427		9,691		16,328
		4.35	%		4.35	%	Dec-2060		813		1,487		1,531		1,869
		4.40	%		4.40	%	Sep-2060		2,090		7,110		7,320		8,645
		4.53	%		4.53	%	Jan-2061		1,235		13,680		14,137		16,284
Total Ginnie Mae Construction Securities								$	169,279	$	194,093	$	202,400	$	238,229

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

Fannie Mae Securities (44.1% of net assets)

	Interest Rate4				Maturity Date	Face Amount		Amortized Cost		Value
Single Family		0.40	%	1M LIBOR+25	Mar-2037		184		183		185
		0.47	%	1M LIBOR+32	Jun-2037	$	1,014	$	1,014	$	1,019
		0.55	%	1M LIBOR+40	Apr-2037		413		412		417
		0.61	%	1M LIBOR+46	Oct-2042		3,303		3,316		3,349
		0.65	%	1M LIBOR+50	Jun-2042		5,774		5,778		5,841
		0.70	%	1M LIBOR+55	Mar-2042		5,011		5,019		5,099
		0.75	%	1M LIBOR+60	Oct-2043		6,607		6,636		6,740
		2.00	%		Jul-2050		37,204		38,455		38,485
		2.35	%	12M LIBOR+150	Jul-2033		152		151		157
		2.48	%	6M LIBOR+161	Aug-2033		133		133		137
		2.49	%	1Y UST+222	Aug-2033		263		263		276
		2.50	%		May-2050 - Sep-2050		113,128		118,201		118,910
		2.50	%		Jul-2050		39,263		41,129		41,548
		2.50	%		Jul-2050		29,679		30,878		31,235
		2.60	%	1Y UST+222	Jul-2033		699		701		734
		2.86	%	6M LIBOR+155	Nov-2033		1,105		1,105		1,133
		2.87	%	1Y UST+220	Aug-2033		600		600		630
		2.95	%	12M LIBOR+169	Oct-2042		3,195		3,258		3,314
		3.00	%		Apr-2031 - Jun-2050		83,382		86,083		88,433
		3.31	%	12M LIBOR+153	Feb-2045		3,827		3,896		3,970
		3.36	%	12M LIBOR+156	Apr-2034		589		599		616
		3.50	%		Oct-2026 - Jan-2050		175,588		181,375		187,506
		3.61	%	1Y UST+211	May-2033		273		274		285
		3.68	%	12M LIBOR+169	Nov-2034		326		332		338
		4.00	%		May-2024 - Jun-2048		86,634		89,507		94,040
		4.50	%		May-2024 - Dec-2048		60,010		62,005		65,695
		5.00	%		Sep-2022 - Apr-2041		8,943		9,186		10,246
		5.50	%		Sep-2032 - Jun-2038		3,933		3,945		4,562
		6.00	%		Nov-2028 - Nov-2037		3,022		3,031		3,590
		6.50	%		Sep-2028 - Jul-2036		480		489		558
		7.00	%		Sep-2027 - May-2032		586		588		682
		7.50	%		Jan-2027 - Sep-2031		135		135		150
		8.00	%		Aug-2030 - May-2031		38		39		39
		8.50	%		Dec-2021 - Apr-2031		—		—		—
		9.00	%		May-2025		—		—		—
							675,493		698,716		719,919
Multifamily		0.45	%	1M LIBOR+29	Feb-2028		30,420		30,425		30,346
		0.47	%	1M LIBOR+31	Mar-2028		38,275		38,285		38,211
		0.50	%	1M LIBOR+34	Jan-2028		22,425		22,429		22,367
		0.51	%	1M LIBOR+35	Dec-2027		32,050		32,054		32,048
		0.56	%	1M LIBOR+40	Sep-2028		26,082		26,085		26,033
		0.60	%	1M LIBOR+44	May-2027		16,840		16,841		16,841
		0.74	%	1M LIBOR+58	May-2029		25,000		25,012		25,025
		0.74	%	1M LIBOR+58	Jun-2029		41,302		41,340		41,345
		1.01	%	1M LIBOR+85	Jan-2023		7,854		7,853		7,919
		1.17	%		Aug-2030		7,585		7,589		7,681
		1.22	%		Jul-2030		25,610		25,734		25,970
		1.25	%		Jul-2030		37,950		38,133		38,418
		1.27	%		Jul-2030		14,235		14,381		14,495
		1.31	%		Aug-2030		4,496		4,587		4,580
		1.32	%		Aug-2030		21,000		21,400		21,572
		1.38	%		Jul-2030		10,500		10,706		10,793
		1.41	%		Jul-2030		3,390		3,440		3,496
		1.46	%		Jul-2030		7,799		7,952		8,077
		1.47	%		Jul-2030		3,025		3,085		3,124
		1.50	%		Aug-2030		1,198		1,240		1,245
		1.52	%		Jul-2032		16,530		16,719		16,992
		1.53	%		Jul-2032		10,500		10,711		10,806
		1.55	%		Jul-2032		20,500		20,911		21,138
		1.57	%		Aug-2037		48,917		49,181		49,081
		1.65	%		Jul-2030		1,296		1,341		1,363
		1.68	%		Sep-2032		13,200		13,493		13,513
		1.71	%		Sep-2035		16,305		16,641		16,828
		1.76	%		Aug-2035		9,100		9,151		9,331
		1.77	%		Sep-2035		3,270		3,354		3,390
		1.82	%		Jul-2035		4,738		4,787		4,942
		1.94	%		Apr-2035		6,400		6,525		6,772
		2.09	%		May-2032 - Jul-2050		21,792		22,088		22,990
		2.16	%		Sep-2050		14,200		14,377		14,555
		2.19	%		Mar-2027		7,150		7,247		7,693
		2.26	%		Nov-2022		5,961		5,962		6,159
		2.33	%		Nov-2029 - Feb-2030		18,255		18,321		19,837
		2.34	%		Sep-2026		28,010		28,086		30,291
		2.38	%		Jul-2026		21,840		21,859		23,630
		2.43	%		Nov-2031		18,655		18,665		20,361
		2.44	%		Aug-2026		21,990		21,990		23,877
		2.46	%		Aug-2026 - Nov-2034		35,330		35,448		38,289
		2.48	%		Oct-2028		24,598		24,658		27,158
		2.49	%		Dec-2026 - Nov-2031		27,886		27,968		30,691
		2.50	%		Jun-2026		60,000		60,000		64,969
		2.50	%		Jul-2026		37,680		37,723		40,572
		2.53	%		Jan-2030		20,550		20,742		22,532
		2.55	%		Sep-2026		14,210		14,216		15,370
		2.55	%		Mar-2030		51,656		52,058		56,113
		2.57	%		Sep-2028		40,100		40,453		44,389
		2.61	%		Nov-2026		9,800		9,895		10,677
		2.67	%		Aug-2029		37,700		38,131		41,633
		2.70	%		Nov-2025		15,139		15,148		16,461
		2.72	%		Jul-2028		36,400		36,661		40,624
		2.75	%		Jul-2028		15,198		15,317		16,996
		2.76	%		Oct-2031		10,189		10,370		11,456
		2.80	%		Apr-2025		15,286		15,367		16,398
		2.81	%		Sep-2027		12,400		12,460		13,844
		2.85	%		Dec-2027 - Aug-2031		32,350		32,452		36,185
		2.87	%		Oct-2027		9,425		9,495		10,351
		2.91	%		Jun-2031		25,000		25,153		28,277
		2.92	%		May-2026 - Apr-2028		25,370		25,595		28,248
		2.92	%		Jun-2027		68,433		68,507		76,511
		2.94	%		Jun-2027		28,887		28,920		32,324
		2.94	%		Jul-2039		5,507		5,569		5,682
		2.96	%		Sep-2034		20,000		20,877		22,827
		2.97	%		Nov-2032 - Sep-2034		32,680		32,976		37,079
		2.99	%		Jun-2025		2,651		2,654		2,895
		3.00	%		May-2027 - Mar-2028		15,888		15,908		17,758
		3.02	%		Jun-2027 - Nov-2027		19,133		19,161		20,641
		3.03	%		Jun-2026		12,807		12,992		13,968
		3.04	%		Sep-2027		30,000		30,140		33,803
		3.04	%		Apr-2030		25,100		25,172		28,691
		3.05	%		Apr-2030		26,995		27,021		30,674
		3.10	%		Sep-2029		8,515		8,547		8,844
		3.12	%		Mar-2025 - Apr-2030		25,794		25,872		27,794
		3.14	%		Apr-2029		7,840		7,857		8,961
		3.15	%		Jan-2027		19,729		19,748		21,658
		3.17	%		Jun-2029 - Sep-2029		61,558		61,873		68,579
		3.18	%		May-2035		10,265		10,399		11,529
		3.20	%		Oct-2027		10,126		10,167		11,492
		3.21	%		May-2030		6,777		6,865		7,666
		3.25	%		Nov-2027		10,117		10,158		11,524
		3.26	%		Jan-2027		7,297		7,312		8,193
		3.31	%		Oct-2027		15,603		15,713		17,765
		3.32	%		Apr-2029		20,080		20,159		22,982
		3.33	%		May-2026		10,845		10,880		12,046
		3.35	%		Feb-2029		19,190		19,388		22,215
		3.36	%		May-2029 - Oct-2029		34,322		35,506		39,528
		3.40	%		Oct-2026		2,876		2,885		3,253
		3.41	%		Sep-2023 - Apr-2029		31,272		31,499		35,270
		3.42	%		Apr-2035		5,244		5,318		6,071
		3.46	%		Dec-2023 - Apr-2031		16,156		16,243		18,455
		3.54	%		Oct-2021		6,696		6,696		6,782
		3.61	%		Sep-2023		6,165		6,175		6,618
		3.63	%		Jul-2035		21,939		21,968		25,066
		3.66	%		Oct-2023		4,522		4,531		4,856
		3.68	%		Jul-2028		12,011		12,702		13,710
		3.87	%		Sep-2023		2,382		2,392		2,554
		4.06	%		Oct-2025		22,439		22,468		25,144
		4.27	%		Jan-2034		75,058		75,325		79,978
		4.33	%		Mar-2021		2,933		2,933		2,939
		4.52	%		May-2021		3,771		3,771		3,781
		4.69	%		Jun-2035		579		592		660
		4.71	%		Mar-2021		5,286		5,286		5,298
		4.73	%		Feb-2021		1,395		1,395		1,410
		5.15	%		Oct-2022		741		741		752
		5.29	%		May-2022		4,713		4,712		4,912
		5.30	%		Aug-2029		4,610		4,569		5,394
		5.69	%		Jun-2041		4,408		4,508		5,326
		5.75	%		Jun-2041		2,139		2,196		2,591
		5.91	%		Mar-2037		1,668		1,690		1,763
		5.96	%		Jan-2029		274		274		275
		6.15	%		Jan-2023		3,290		3,290		3,356
		6.38	%		Jul-2021		4,567		4,567		4,655
		7.75	%		Dec-2024		784		784		804
		8.40	%		Jul-2023		155		155		160
							2,046,124		2,059,296		2,209,830
When Issued2		1.17	%		Nov-2030		27,329		27,329		27,337
Total Fannie Mae Securities						$	2,748,946	$	2,785,341	$	2,957,086

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

FNMA Construction Securities (0.3% of net assets)

	Interest Rates3
	Permanent			Construction			Maturity Date	Face Amount		Amortized Cost		Value
Multifamily		2.46	%		2.46	%	Jan-2038	$	20,950	$	20,950	$	21,368
Total FHA Construction Securities								$	20,950	$	20,950	$	21,368

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

Freddie Mac Securities (9.0% of net assets)

	Interest Rate4				Maturity Date	Face Amount		Amortized Cost		Value
Single Family		0.45	%	1M LIBOR+30	Feb-2036	$	573	$	573	$	574
		0.48	%	1M LIBOR+33	May-2037		75		75		76
		0.50	%	1M LIBOR+35	Apr-2036 - Jan-2043		3,580		3,584		3,600
		0.55	%	1M LIBOR+40	Aug-2043		3,406		3,405		3,434
		0.63	%	1M LIBOR+48	Oct-2040		2,642		2,640		2,676
		0.65	%	1M LIBOR+50	Oct-2040 - Jun-2044		13,168		13,179		13,352
		0.70	%	1M LIBOR+55	Nov-2040		2,952		2,975		2,990
		0.82	%	1M LIBOR+67	Aug-2037		2,843		2,871		2,893
		2.50	%		Jan-2043 - Aug-2046		12,675		12,836		13,385
		2.52	%	12M LIBOR+178	Jul-2035		110		110		116
		2.72	%	1Y UST+223	Jun-2033		100		100		105
		3.00	%		Aug-2042 - Sep-2046		50,130		51,133		53,325
		3.50	%		Jan-2026 - Oct-2046		111,866		114,476		120,408
		4.00	%		Nov-2024 - Aug-2047		107,887		112,300		117,565
		4.12	%	1Y UST+223	Oct-2033		269		267		282
		4.50	%		Jan-2038 - Dec-2044		24,093		25,160		26,903
		5.00	%		May-2022 - Mar-2041		3,688		3,687		4,174
		5.50	%		Apr-2033 - Jul-2038		2,528		2,524		2,948
		6.00	%		Jul-2021 - Oct-2037		3,549		3,578		4,207
		6.50	%		Apr-2028 - Nov-2037		561		565		673
		7.00	%		Apr-2028 - Mar-2030		25		23		28
		7.50	%		Aug-2029 - Apr-2031		39		38		45
		8.00	%		Dec-2029		1		1		1
		8.50	%		Jul-2024 - Jan-2025		38		38		42
		9.00	%		Mar-2025		23		23		26
							346,821		356,161		373,828
Multifamily		0.58	%	1M LIBOR+42	May-2027		6,391		6,391		6,425
		0.81	%	1M LIBOR+65	Jan-2023		1,918		1,917		1,924
		0.86	%	1M LIBOR+70	Sep-2022		1,042		1,042		1,045
		2.04	%		May-2050		20,890		21,445		20,975
		2.40	%		Jun-2031		7,444		7,564		8,250
		2.41	%		Jun-2031		11,732		11,933		13,014
		2.42	%		Jun-2031		11,768		11,981		13,065
		3.28	%		Dec-2029		16,397		16,638		18,719
		3.34	%		Dec-2029		9,655		9,829		11,086
		3.35	%		Oct-2033		33,450		33,290		38,728
		3.38	%		Apr-2030		14,227		14,521		16,420
		3.48	%		Jun-2030		18,575		19,073		21,622
		3.50	%		Jan-2026		18,000		18,105		19,680
		3.60	%		Apr-2030		25,378		26,229		29,570
		3.68	%		Oct-2025		10,000		10,142		10,964
							206,867		210,100		231,487
Total Freddie Mac Securities						$	553,688	$	566,261	$	605,315

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

State Housing Finance Agency Securities (5.7% of net assets)

		Interest Rates3							Unfunded
	Issuer	Permanent			Construction			Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
Multifamily	Illinois State Housing Finance Auth		—			0.33	%	Aug-2023	$	—	$	20,000	$	20,000	$	19,995
	Mass Housing		—			0.50	%	Dec-2023		—		10,020		10,020		10,015
	Mass Housing5		—			1.50	%	Dec-2022		—		8,750		8,755		8,846
	Mass Housing		—			2.15	%	Sep-2023		35,722		1,025		1,025		962
	Connecticut Housing Finance Auth5		—			3.45	%	Nov-2020		—		22,500		22,465		22,500
	Mass Housing5		—			3.55	%	Oct-2022		13,520		50		51		375
	Mass Housing5		—			4.20	%	Sep-2021		4,206		25,634		25,635		26,298
	Mass Housing		2.60	%		—		Jun-2063		—		26,410		26,410		26,005
	NYC Housing Development Corp		2.95	%		—		Nov-2045		—		5,000		5,000		5,449
	NYC Housing Development Corp		3.10	%		—		Oct-2046		—		23,973		23,973		23,952
	NYC Housing Development Corp		3.25	%		—		Nov-2049		—		12,000		12,000		12,450
	Connecticut Housing Finance Auth		3.25	%		—		May-2050		—		12,415		12,302		12,690
	Mass Housing5		3.30	%		—		Dec-2059		—		8,340		8,345		8,735
	NYC Housing Development Corp		3.35	%		—		Nov-2054		—		20,000		20,000		20,747
	NYC Housing Development Corp		3.45	%		—		May-2059		—		20,000		20,000		20,852
	NYC Housing Development Corp		3.75	%		—		May-2035		—		4,405		4,405		4,584
	Mass Housing5		3.85	%		—		Dec-2058		—		9,790		9,787		10,024
	NYC Housing Development Corp		3.95	%		—		Nov-2043		—		15,000		15,000		16,263
	NYC Housing Development Corp		4.00	%		—		Dec-2028 - Nov-2048		—		15,000		15,103		16,104
	MassHousing		4.04	%		—		Nov-2032		—		1,305		1,305		1,339
	MassHousing		4.13	%		—		Dec-2036		—		5,000		5,000		5,249
	NYC Housing Development Corp		4.13	%		—		Nov-2053		—		10,000		10,000		10,785
	NYC Housing Development Corp		4.20	%		—		Dec-2039		—		8,305		8,305		8,717
	NYC Housing Development Corp		4.29	%		—		Nov-2037		—		1,190		1,190		1,220
	Chicago Housing Authority		4.36	%		—		Jan-2038		—		25,000		25,000		28,705
	NYC Housing Development Corp		4.44	%		—		Nov-2041		—		1,120		1,120		1,148
	NYC Housing Development Corp		4.49	%		—		Nov-2044		—		455		455		466
	MassHousing		4.50	%		—		Jun-2056		—		45,000		45,000		47,126
	NYC Housing Development Corp		4.78	%		—		Aug-2026		—		12,500		12,500		12,649
Total State Housing Finance Agency Securities									$	53,448	$	370,187	$	370,151	$	384,250

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

Other Multifamily Investments (0.6% of net assets)

		Interest Rates3,4								Unfunded
	Issuer	Permanent			Construction				Maturity Date	Commitments1		Face Amount		Amortized Cost			Value
Direct Loans
	18 Sixth Ave at Pacific Park (Level 3)		—			2.35	%	1M LIBOR+220	Dec-2024	$	14,382	$	2,839	$	2,789	$	2,452
	18 Sixth Ave at Pacific Park (Level 3)		—			2.35	%	1M LIBOR+220	Dec-2024		59,463		23,315		22,999		21,455
	Lake Street Apartments (Level 3)		—			4.25	%		Jul-2039		4,214		9,286		9,160		10,813
	The Block 803 Waimanu (Level 3)		—			4.50	%		Sep-2021		15,615		1,522		1,351		1,484
											93,674		36,962		36,299		36,204
Privately Insured Construction/Permanent Mortgages6
	IL Housing Development Authority		6.20	%		—			Dec-2047		—		2,958		2,966		2,959
	IL Housing Development Authority		6.40	%		—			Nov-2048		—		898		908		899
											—		3,856		3,874		3,858
Total Other Multifamily Investments										$	93,674	$	40,818	$	40,173	$	40,062

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

Commercial Mortgage-Backed Securities (1.7% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Nomura		2.77	%	Dec-2045	$	10,000	$	10,138	$	10,308
Nomura		3.19	%	Mar-2046		20,000		20,331		20,871
JP Morgan		3.48	%	Jun-2045		9,317		9,684		9,514
Citigroup		3.62	%	Jul-2047		8,000		8,181		8,692
Barclays/ JP Morgan		3.81	%	Jul-2047		2,250		2,301		2,455
RBS/ Wells Fargo		3.82	%	Aug-2050		5,000		5,119		5,435
Deutsche Bank/UBS		3.96	%	Mar-2047		5,000		5,113		5,447
Barclays/ JP Morgan		4.00	%	Apr-2047		5,000		5,114		5,468
Cantor/Deutsche Bank		4.01	%	Apr-2047		20,000		20,456		21,732
Barclays/ JP Morgan		4.08	%	Feb-2047		6,825		7,125		7,467
Cantor/Deutsche Bank		4.24	%	Feb-2047		7,000		7,157		7,681
Deutsche Bank		5.00	%	Nov-2046		5,775		5,895		5,782
Total Commercial Mortgage Backed Securities					$	104,167	$	106,614	$	110,852

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

United States Treasury Securities (6.1% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost			Value
		0.63	%	May-2030	$	63,000	$	62,332	$	62,825
		0.63	%	Aug-2030		30,000		29,761		29,851
		1.13	%	May-2040		27,000		26,830		26,633
		1.50	%	Feb-2030		35,000		36,712		37,779
		1.63	%	Aug-2029		45,000		44,753		49,010
		1.75	%	Nov-2029		30,000		30,035		33,046
		2.00	%	Feb-2050		75,000		83,329		85,054
		2.25	%	Aug-2049		15,000		15,653		17,883
		2.63	%	Feb-2029		25,000		26,209		29,219
		2.88	%	Aug-2028		10,000		9,847		11,813
		3.13	%	Nov-2028		20,000		20,413		24,100
Total United States Treasury Securities					$	375,000	$	385,874	$	407,213
Total Fixed-Income Investments					$	6,183,305	$	6,281,624	$	6,678,616

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

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

			Amount of
	Face		Dividends
Issuer	Amount (Cost)		or Interest		Value
HIT Advisers7 (Level 3)	$	1	$	—	$	90
Total Equity Investment	$	1	$	—	$	90

Schedule of Portfolio Investments

September 30, 2020 (dollars in thousands; unaudited)

Short-Term Investments (2.2% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Commercial Paper
Halkin Finance LLC		0.10	%8	Oct-2020	$	40,000	$	40,000	$	40,000
Blackrock Federal Funds		0.05	%9	OCt-2020		109,098		109,098		109,098
Total Short-Term Investments					$	149,098	$	149,098	$	149,098
Total Investments					$	6,332,404	$	6,430,723	$	6,827,804

Schedule of Portfolio Investments

September 30, 2020; unaudited

Footnotes

1	The HIT may make commitments in securities or loans that fund over time on a draw basis or forward commitments that fund at a single point in time.   The unfunded amount of these commitments totaled $329.7 million at period end.  Generally, GNMA  construction securities fund over a 12- to 24-month period.  Funding periods for State Housing Finance Agency construction  securities and Direct Loans vary by project, but generally fund over a one- to 48-month period.  Forward commitments generally settle within 12 months of the original commitment date.
2	The HIT records when issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when issued basis are marked to market monthly and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
3	Construction interest rates are the rates charged to the borrower during the construction phase of the project. The permanent interest rates are charged to the borrower during the amortization period of the loan, unless the U.S. Department of Housing and Urban Development requires that such rates be charged earlier.
4	For floating and variable rate securities the rate indicated is for the period end. With respect to these securities, the schedule also includes the reference rate and spread in basis points.
5	Securities exempt from registration under the Securities Act of 1933 and were privately placed directly by a state housing agency (a not-for-profit public agency) with the HIT. The securities are backed by mortgages and are general obligations of the state housing agency, and therefore secured by the full faith and credit of said agency. These securities may be resold in transactions exempt from  registration, normally to qualified institutional buyers. These securities are considered liquid, under procedures established by and under the general supervision of the HIT's Board of Trustees.
6	Loans insured by Ambac Assurance Corporation, are additionally backed by a repurchase option from the mortgagee for the  benefit of the HIT. The repurchase price is defined as the unpaid principal balance of the loan plus all accrued unpaid interest due through the remittance date. The repurchase option can be exercised by the HIT in the event of a payment failure by Ambac Assurance Corporation.
7	The HIT has a participation interest in HIT Advisers, a Delaware limited liability company. HIT Advisers is a New York based adviser currently exempt from investment adviser registration in New York. The investment in HIT Advisers is valued by the HIT's  valuation committee in accordance with the fair value procedures adopted by the HIT's Board of Trustees, and approximates carrying value of HIT Advisors and its subsidiary on a consolidated basis. The participation interest is not registered under the federal  securities laws.
8	Rate indicated is the effective yield at the time of purchase.
9	Rate indicated is the annualized 1-day yield as of September 30, 2020.
Key to abbreviations
	M	Month
	Y	Year
	LIBOR	London Interbank Offered Rate
	UST	U.S. Treasury

Item 1. Schedule of Investments

(Schedule of Investments)

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited

As of September 30, 2020

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

Note 1. Summary of Significant Accounting Policies

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

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

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

Investment Valuation

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

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

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

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

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

Portfolio investments for which market quotations are not readily available or deemed unreliable are valued at their fair value determined in good faith by the HIT’s Valuation Committee using consistently applied procedures adopted by the HIT’s Board of Trustees. In such circumstances, the Valuation Committee will employ a valuation method that it believes best reflects fair value for that asset, which may include the referral of the asset to an independent valuation consultant or the utilization of a discounted cash flow model based on broker and/or other market inputs. The frequency with which these fair value procedures may be used cannot be predicted. However, on September 30, 2020 the Valuation Committee fair valued less than 0.01% of the HIT’s net assets utilizing internally derived unobservable inputs.

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

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

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

The following table presents the HIT’s valuation levels as of September 30, 2020:

Investment Securities:  ($ in thousands)	Level 1		Level 2		Level 3		Total
FHA Permanent Securities	$	—	$	139,755	$	—	$	139,755
FHA Construction Securities		—		24,172		—		24,172
Ginnie Mae Securities		—		1,749,802		—		1,749,802
Ginnie Mae Construction Securities		—		238,229		—		238,229
Fannie Mae Securities		—		2,929,749		—		2,929,749
Fannie Mae Construction Securities		—		21,368		—		21,368
Freddie Mac Securities		—		605,315		—		605,315
Commercial Mortgage-Backed Securities		—		110,852		—		110,852
State Housing Finance Agency Securities		—		384,250		—		384,250
Other Multifamily Investments
Direct Loans		—		—		36,204		36,204
Privately Insured Construction/Permanent Mortgages		—		3,858		—		3,858
Total Other Multifamily Investments		—		3,858		36,204		40,062
United States Treasury Securities		—		407,213		—		407,213
Equity Investments		—		—		90		90
Short-Term Investments		149,098		—		—		149,098
Other Financial Instruments*		—		27,849		—		27,849
Total Investment	$	149,098	$	6,642,412	$	36,294	$	6,827,804

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

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended September 30, 2020.

Investments in Securities ($ in thousands)
	Other Multifamily Investments			Equity Investments			Total
Beginning balance,12/31/2019	$	5,753		$	(134	)	$	5,619
Cost of Purchases		31,677			—			31,677
Total Unrealized Gain(Loss)(a)		(1,226	)		224			(1,002	)
Ending balance, 9/30/2020	$	36,204		$	90		$	36,294

^(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2020 totaled ($1,002,000).

Level 3 securities primarily consists of Direct Loans that were valued by an independent pricing service at September 30, 2020, utilizing a discounted cash flow model. Weighted average lives for the loans ranged from 0.92 to 18.82. Unobservable inputs include spreads to relevant U.S. Treasuries ranging from 172 to 463 basis points. A change in unobservable inputs may impact the value of the loans.

Federal Income Taxes

At September 30, 2020, investments for federal income tax purposes approximated book cost at amortized cost of $6,430,723,000.  Net unrealized gains aggregated $397,081,000 at period-end, of which $401,939,000 related to appreciated investments and $4,858,000 related to depreciated investments.

Note 2. Transactions with Related Entities

HIT Advisers

HIT Advisers, a Delaware limited liability company, was formed by the HIT to operate as an investment adviser and be registered, as appropriate under applicable federal or state law. HIT Advisers is owned by HIT directly (99.9%), and indirectly through HIT Advisers Managing Member (0.1%) which is also wholly owned by the HIT. This ownership structure is intended to insulate the HIT from any potential liabilities associated with the conduct of HIT Advisers’ business. The HIT receives no services from HIT Advisers and carries it as a portfolio investment that meets the definition of a controlled affiliate.

In accordance with a contract, in addition to its membership interest, the HIT provides HIT Advisers advances to assist with its operations and cash flow management as needed. Advances are expected to be repaid as cash becomes available. However, as with many start-up operations, there is no certainty that HIT Advisers will generate sufficient revenue to cover its operations and liabilities. Also in accordance with the contract, the HIT provides the time of certain personnel and allocates operational expenses to HIT Advisers on a cost-reimbursement basis. As of September 30, 2020, HIT Advisers had no assets under management.

A rollforward of advances to HIT Advisers by the HIT is included in the table below:

Advances to HIT Advisers by HIT	$ in Thousands
Beginning Balance, 12/31/2019	$	879
Advances in 2020		28
Repayment by HIT Advisers in 2020		—
Ending Balance, 9/30/2020	$	907

Building America

Building America, a wholly owned subsidiary of HIT Advisers, is a Community Development Entity, certified by the Community Development Financial Institutions Fund (CDFI Fund) of the U.S. Department of the Treasury.

In accordance with a contract, the HIT provides the time of certain personnel to Building America and allocates operational expenses on a cost-reimbursement basis. Also, in accordance with the contract, the HIT provides Building America advances to assist with its operations and cash flow management as needed. Advances are repaid as cash becomes available.

A rollforward of advances to Building America by the HIT is included in the table below:

Advances to BACDE by HIT	$ in Thousands
Beginning Balance, 12/31/2019	$	76
Advances in 2020		909
Repayment by BACDE in 2020		(985	)
Ending Balance, 9/30/2020	$	—

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

	$ in Thousands
As of September 30, 2020
Assets	$	1,197
Liabilities		1,107
Equity	$	90
For the nine months ended September 30, 2020
Income	$	1,308
Expenses		(921	)
Tax Expense		(40	)
Net Income (Loss)	$	347