Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

FHA Permanent Securities (2.4% of net assets)

					Unfunded
	Interest Rate			Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
						—
Multifamily		3.65	%	Dec-2037	$	—	$	8,141	$	8,274	$	8,468
		3.75	%	Aug-2048		—		3,710		3,706		3,802
		4.00	%	Dec-2053		—		61,715		61,691		66,860
		4.10	%	Dec-2060		—		21,927		21,945		23,552
		4.79	%	May-2053		—		4,992		5,200		5,467
		5.17	%	Feb-2050		—		7,599		8,114		8,486
		5.35	%	Mar-2047		—		6,851		6,860		6,908
		5.55	%	Aug-2042		—		7,232		7,234		7,295
		5.60	%	Jun-2038		—		2,150		2,153		2,169
		5.80	%	Jan-2053		—		1,961		1,969		2,235
		5.87	%	May-2044		—		1,646		1,645		1,660
		5.89	%	Apr-2038		—		4,048		4,053		4,087
		6.20	%	Apr-2052		—		11,085		11,082		12,635
		6.40	%	Aug-2046		—		3,581		3,583		3,639
		6.60	%	Jan-2050		—		3,219		3,240		3,673
						—		149,857		150,749		160,936
When Issued2		2.50	%	Sep-2063		5,702		—		—		(319	)
		3.72	%	Feb-2062		4,470		—		—		103
		3.90	%	Mar-2062		3,090		—		—		108
						13,262		—		—		(108	)
Total FHA Permanent Securities					$	13,262	$	149,857	$	150,749	$	160,828

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

Ginnie Mae Securities (27.3% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Single Family		4.00	%	Feb-2040 - Jun-2040	$	1,735	$	1,750	$	1,903
		4.50	%	Aug-2040		1,005		1,022		1,149
		5.50	%	Jan-2033 - Jun-2037		1,152		1,151		1,317
		6.00	%	Jan-2032 - Aug-2037		861		862		999
		6.50	%	Jul-2028		42		42		48
		7.00	%	Apr-2026 - Jan-2030		544		545		619
		7.50	%	Aug-2025 - Aug-2030		261		262		293
		8.00	%	Sep-2026 - Nov-2030		244		244		277
		8.50	%	Jun-2022 - Aug-2027		85		85		93
		9.00	%	Dec-2022 - Jun-2025		6		6		6
						5,935		5,969		6,704
Multifamily		2.00	%	Jul-2062		40,000		41,175		40,721
		2.00	%	Sep-2062 - Jun-2063		99,556		102,963		100,915
		2.00	%	Oct-2062		69,906		72,411		70,959
		2.00	%	Apr-2063		60,000		61,336		61,067
		2.15	%	May-2056		3,222		3,216		3,285
		2.20	%	May-2042 - Jun-2056		14,544		14,954		14,788
		2.25	%	Dec-2048		4,735		4,699		4,870
		2.30	%	Mar-2056 - Oct-2056		25,843		25,703		26,528
		2.31	%	Nov-2051		7,076		7,076		7,287
		2.32	%	Sep-2060		27,555		29,106		28,116
		2.35	%	Dec-2040 - Feb-2061		31,352		32,150		32,487
		2.40	%	Aug-2047		5,795		5,803		5,989
		2.47	%	Jan-2053		51,015		51,375		52,847
		2.50	%	Dec-2052 - Aug-2060		66,634		67,293		69,369
		2.53	%	Jul-2038 - Feb-2040		4,620		4,668		4,660
		2.60	%	Apr-2048 - Jun-2059		33,421		33,554		34,608
		2.70	%	May-2048 - Jul-2058		24,421		24,553		25,377
		2.72	%	Feb-2044		150		154		153
		2.74	%	Apr-2057		24,365		26,573		25,351
		2.78	%	Aug-2058		10,970		11,971		11,452
		2.79	%	Apr-2049		8,549		8,626		8,955
		2.80	%	Feb-2053		60,000		57,131		61,637
		2.80	%	Dec-2059		9,728		9,594		10,022
		2.82	%	Apr-2050		1,500		1,528		1,568
		2.89	%	Mar-2046		14,942		15,027		15,230
		2.99	%	Jul-2048		8,337		9,069		8,778
		3.00	%	Mar-2051		17,678		17,753		18,280
		3.00	%	May-2062		84,465		91,554		91,111
		3.03	%	Jan-2056		31,063		33,163		33,315
		3.05	%	May-2054		11,545		11,595		12,238
		3.10	%	Jan-2049 - May-2059		34,195		34,689		35,023
		3.20	%	Jul-2041 - Sep-2051		11,391		11,346		11,645
		3.21	%	Jul-2046		7,760		7,972		8,134
		3.25	%	Sep-2054		35,000		34,706		36,597
		3.25	%	Jun-2059		30,848		31,447		33,511
		3.25	%	Apr-2059		45,000		43,203		47,607
		3.26	%	Nov-2043		9,637		9,651		10,071
		3.29	%	May-2055		10,000		9,491		10,602
		3.30	%	Sep-2060		8,954		9,180		9,777
		3.33	%	Jun-2043		6,250		6,424		6,382
		3.34	%	Sep-2059		17,207		17,540		18,744
		3.35	%	Nov-2042 - Mar-2044		18,154		17,734		19,039
		3.37	%	Dec-2046		18,349		18,559		18,950
		3.38	%	Aug-2059		34,892		35,744		38,087
		3.38	%	Aug-2059		43,880		44,727		46,417
		3.38	%	Jan-2060		59,627		59,635		64,858
		3.39	%	Feb-2059		14,323		14,606		15,634
		3.43	%	Feb-2044		2,428		2,533		2,479
		3.45	%	May-2042 - Apr-2051		10,421		10,567		10,807
		3.48	%	Feb-2051 - May-2059		15,757		15,948		16,918
		3.50	%	Jan-2054		10,356		10,307		10,648
		3.51	%	Mar-2053		45,938		49,547		50,441
		3.53	%	Apr-2042		16,508		17,027		18,028
		3.57	%	Nov-2059		48,799		49,509		53,601
		3.60	%	Jun-2057		13,707		14,194		14,939
		3.62	%	Dec-2057		28,671		29,178		31,479
		3.63	%	Sep-2052		6,359		6,577		6,840
		3.64	%	Dec-2045		8,583		8,258		9,046
		3.65	%	Oct-2058		10,317		10,473		11,324
		3.67	%	Nov-2035		14,321		14,765		15,383
		3.74	%	Aug-2059		15,670		15,975		17,263
		3.75	%	Apr-2046		6,441		6,455		6,899
		3.77	%	Jun-2045		2,157		2,181		2,177
		3.92	%	Aug-2039		42,457		44,794		46,055
		4.10	%	May-2051		3,865		4,184		4,301
		4.15	%	Sep-2051		17,315		17,374		17,420
		4.19	%	May-2060		28,368		28,745		31,587
		4.20	%	Aug-2060		47,444		48,388		52,249
		4.25	%	Sep-2038		32,274		32,414		34,328
		4.45	%	Jun-2055		2,505		2,412		2,814
		4.63	%3	Sep-2037		1,500		1,467		1,504
		4.90	%3	Mar-2044		1,000		992		1,003
		5.25	%	Apr-2037		17,420		17,415		17,662
		5.34	%	Jul-2040		861		852		868
						1,709,896		1,744,958		1,801,104
When Issued2		2.00	%	Jun-2063		30,000		30,492		30,530
		3.27	%	Apr-2046		25,334		26,791		26,845
						55,334		57,283		57,375
Total Ginnie Mae Securities					$	1,771,165	$	1,808,210	$	1,865,183

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

Ginnie Mae Construction Securities (3.3% of net assets)

	Interest Rates4							Unfunded
	Permanent			Construction			Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
Multifamily		2.45	%		2.45	%	Apr-2062	$	16,478	$	25	$	356	$	(222	)
		2.55	%		2.55	%	Mar-2063		37,000		—		1,087		(747	)
		2.58	%		2.58	%	Jun-2063		28,500		—		926		(313	)
		2.62	%		2.62	%	Mar-2063		13,800		—		518		141
		2.65	%		2.65	%	Nov-2062		6,584		—		166		93
		2.67	%		2.67	%	Mar-2062		22,227		12,755		13,632		13,110
		3.41	%		3.41	%	Sep-2061		18,122		24,163		25,855		27,636
		3.43	%		3.43	%	Nov-2061		17,439		36,051		37,857		40,029
		3.60	%		3.60	%	Apr-2061		3,533		30,653		31,851		33,786
		3.75	%		3.75	%	Nov-2060		569		13,939		14,376		15,479
		3.78	%		7.00	%	Aug-2060		1,271		38,669		38,973		42,354
		4.21	%		4.21	%	May-2061		21,180		30,760		31,024		36,570
		4.35	%		4.35	%	Dec-2060		546		1,754		1,797		1,991
		4.53	%		4.53	%	Jan-2061		269		14,646		15,103		16,134
Total Ginnie Mae Construction Securities								$	187,518	$	203,415	$	213,521	$	226,041

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

Fannie Mae Securities (41.6% of net assets)

							Unfunded
	Interest Rate5				Maturity Date		Commitments1		Face Amount		Amortized Cost		Value
Single Family		0.36	%	1M LIBOR+25		Mar-2037	$	—	$	144	$	142	$	144
		0.43	%	1M LIBOR+32		Jun-2037		—		920		920		925
		0.51	%	1M LIBOR+40		Apr-2037		—		388		387		392
		0.57	%	1M LIBOR+46		Oct-2042		—		2,583		2,593		2,614
		0.61	%	1M LIBOR+50		Jun-2042		—		4,876		4,880		4,939
		0.66	%	1M LIBOR+55		Mar-2042		—		3,792		3,798		3,853
		0.71	%	1M LIBOR+60		Oct-2043		—		5,640		5,664		5,739
		1.80	%	6M LIBOR+155		Nov-2033		—		1,056		1,056		1,082
		1.86	%	6M LIBOR+161		Aug-2033		—		129		129		133
		2.00	%			Jul-2050		—		35,479		36,636		35,432
		2.05	%	12M LIBOR+168		Nov-2034		—		309		314		321
		2.06	%	12M LIBOR+153		Feb-2045		—		3,399		3,458		3,537
		2.35	%	12M LIBOR+150		Jul-2033		—		146		146		151
		2.37	%	12M LIBOR+170		Oct-2042		—		2,424		2,470		2,536
		2.49	%	1Y UST+222		Aug-2033		—		255		254		267
		2.50	%			May-2050 - Nov-2050		—		195,602		204,885		200,814
		2.50	%			Jul-2050		—		35,836		37,492		36,841
		2.58	%	1Y UST+220		Aug-2033		—		540		539		564
		2.60	%	1Y UST+222		Jul-2033		—		668		669		699
		3.00	%			Apr-2031 - Jun-2050		—		93,919		97,718		98,719
		3.36	%	12M LIBOR+156		Apr-2034		—		567		576		589
		3.50	%			Oct-2026 - Jan-2050		—		125,233		129,307		133,814
		3.61	%	1Y UST+211		May-2033		—		265		266		278
		4.00	%			May-2024 - Jun-2048		—		65,389		67,508		71,311
		4.50	%			May-2024 - Dec-2048		—		46,461		47,952		51,115
		5.00	%			May-2034 - Apr-2041		—		7,546		7,738		8,678
		5.50	%			Sep-2032 - Jun-2038		—		3,223		3,225		3,704
		6.00	%			Nov-2028 - Nov-2037		—		2,709		2,716		3,178
		6.50	%			Sep-2028 - Jul-2036		—		424		431		492
		7.00	%			Sep-2027 - May-2032		—		557		558		644
		7.50	%			Jan-2027 - Sep-2031		—		111		111		122
		8.00	%			Aug-2030 - May-2031		—		37		37		38
		8.50	%			Dec-2021 - Apr-2031		—		—		—		—
								—		640,627		664,575		673,665
Multifamily		0.21	%	1M SOFR+19		Mar-2031		—		20,370		20,373		20,303
		0.23	%	1M SOFR+21		Mar-2031		—		23,855		23,859		23,802
		0.24	%	1M SOFR+22		Mar-2031		—		10,075		10,077		10,058
		0.40	%	1M LIBOR+29		Feb-2028		—		30,420		30,425		30,372
		0.42	%	1M LIBOR+31		Mar-2028		—		38,275		38,284		38,244
		0.45	%	1M LIBOR+34		Jan-2028		—		22,425		22,428		22,392
		0.46	%	1M LIBOR+35		Dec-2027		—		32,050		32,053		32,073
		0.51	%	1M LIBOR+40		Sep-2028		—		1,822		1,822		1,821
		0.55	%	1M LIBOR+44		May-2027		—		16,840		16,841		16,849
		0.69	%	1M LIBOR+58		May-2029		—		25,000		25,011		25,059
		0.69	%	1M LIBOR+58		Jun-2029		—		41,302		41,336		41,400
		0.96	%	1M LIBOR+85		Jan-2023		—		5,297		5,297		5,332
		1.06	%			Dec-2027		—		21,424		21,436		20,724
		1.17	%			Aug-2030 - Nov-2030		—		34,820		34,824		32,817
		1.22	%			Jul-2030		—		25,610		25,722		24,566
		1.25	%			Jul-2030		—		37,950		38,115		36,035
		1.26	%			Jan-2031		—		25,000		24,992		23,912
		1.27	%			Jul-2030		—		14,235		14,367		13,712
		1.31	%			Aug-2030		—		4,469		4,551		4,282
		1.32	%			Aug-2030		—		21,000		21,360		20,291
		1.38	%			Jul-2030		—		10,500		10,686		10,202
		1.41	%			Jul-2030		—		3,357		3,402		3,266
		1.46	%			Jul-2030		—		7,716		7,853		7,543
		1.47	%			Jul-2030 - Dec-2030		—		15,425		15,598		14,764
		1.50	%			Aug-2030		—		1,187		1,224		1,161
		1.52	%			Jul-2032		—		16,530		16,704		15,889
		1.53	%			Jul-2032		—		10,500		10,694		10,097
		1.55	%			Jul-2032		—		20,500		20,879		19,755
		1.57	%			Jan-2031		—		21,950		22,045		21,265
		1.57	%			Aug-2037		—		48,490		48,738		44,771
		1.65	%			Jul-2030		—		1,284		1,324		1,273
		1.68	%			Sep-2032		—		13,076		13,344		12,473
		1.71	%			Sep-2035 - Nov-2035		—		25,605		25,959		23,974
		1.74	%			Mar-2033		—		6,160		6,263		5,886
		1.76	%			Aug-2035		—		9,100		9,148		8,660
		1.77	%			Sep-2035		—		3,270		3,349		3,122
		1.82	%			Jul-2035		—		4,704		4,749		4,491
		1.94	%			Apr-2035		—		6,400		6,518		6,253
		2.09	%			May-2032 - Jul-2050		—		21,792		22,073		21,279
		2.16	%			Sep-2050		—		14,200		14,372		12,960
		2.19	%			Mar-2027		—		7,150		7,232		7,456
		2.26	%			Nov-2022		—		5,882		5,882		6,046
		2.33	%			Nov-2029 - Feb-2030		—		18,255		18,314		18,883
		2.43	%			Nov-2031		—		18,655		18,664		19,267
		2.46	%			Nov-2034 - Aug-2026		—		35,330		35,439		36,916
		2.48	%			Oct-2028		—		24,370		24,423		25,796
		2.49	%			Dec-2026 - Nov-2031		—		27,711		27,784		29,032
		2.50	%			Jun-2026		—		60,000		60,000		63,465
		2.50	%			Jul-2026		—		37,680		37,714		39,668
		2.53	%			Jan-2030		—		20,550		20,720		21,348
		2.55	%			Sep-2026		—		14,210		14,215		14,993
		2.55	%			Mar-2030		—		51,656		52,017		53,709
		2.57	%			Sep-2028		—		39,754		40,056		42,197
		2.61	%			Nov-2026		—		9,800		9,878		10,405
		2.67	%			Aug-2029		—		37,700		38,080		40,323
		2.70	%			Nov-2025		—		14,969		14,975		15,975
		2.72	%			Jul-2028		—		36,400		36,624		39,007
		2.75	%			Jul-2028		—		15,059		15,160		16,162
		2.76	%			Oct-2031		—		10,189		10,354		10,783
		2.80	%			Apr-2025		—		15,105		15,161		16,047
		2.81	%			Sep-2027		—		12,296		12,346		13,255
		2.85	%			Dec-2027 - Aug-2031		—		32,350		32,440		34,720
		2.87	%			Oct-2027		—		9,364		9,422		10,127
		2.91	%			Jun-2031		—		25,000		25,139		26,660
		2.92	%			May-2026 - Apr-2028		—		25,286		25,475		27,338
		2.92	%			Jun-2027		—		67,787		67,848		73,417
		2.94	%			Jun-2027		—		28,648		28,675		31,058
		2.94	%			Jul-2039		—		3,612		3,651		3,697
		2.94	%			Sep-2027		—		30,000		30,122		32,510
		2.96	%			Sep-2034		—		20,000		20,818		21,473
		2.97	%			Nov-2032 - Sep-2034		—		32,553		32,828		34,796
		2.99	%			Jun-2025		—		2,626		2,629		2,828
		3.00	%			May-2027 - Mar-2028		—		15,838		15,855		17,117
		3.02	%			Jun-2027		—		3,751		3,757		4,072
		3.03	%			Jun-2026		—		12,715		12,863		13,566
		3.04	%			Apr-2030		—		25,100		25,165		27,226
		3.05	%			Apr-2030		—		26,709		26,732		28,905
		3.10	%			Sep-2029		—		8,515		8,543		8,691
		3.12	%			Mar-2025 - Apr-2030		—		25,576		25,631		26,845
		3.14	%			Apr-2029		—		7,778		7,793		8,508
		3.15	%			Jan-2027		—		19,535		19,551		20,882
		3.17	%			Jun-2029 - Sep-2029		—		61,556		61,835		66,029
		3.18	%			May-2035		—		10,019		10,142		10,813
		3.20	%			Oct-2027		—		10,023		10,057		11,001
		3.21	%			May-2030		—		6,699		6,776		7,268
		3.25	%			Nov-2027		—		10,012		10,047		11,021
		3.26	%			Jan-2027		—		7,222		7,235		7,897
		3.31	%			Oct-2027		—		15,466		15,557		17,078
		3.32	%			Apr-2029		—		20,080		20,149		22,070
		3.33	%			May-2026		—		10,743		10,770		11,680
		3.35	%			Feb-2029		—		19,018		19,189		21,082
		3.36	%			May-2029 - Oct-2029		—		34,188		35,251		37,505
		3.40	%			Oct-2026		—		2,843		2,851		3,129
		3.41	%			Sep-2023 - Apr-2029		—		30,774		30,963		33,514
		3.42	%			Apr-2035		—		5,193		5,262		5,678
		3.46	%			Dec-2023 - Apr-2031		—		16,128		16,206		17,660
		3.54	%			Oct-2021		—		6,616		6,616		6,633
		3.61	%			Sep-2023		—		6,098		6,102		6,428
		3.63	%			Jul-2035		—		21,778		21,805		24,083
		3.66	%			Oct-2023		—		4,472		4,476		4,734
		3.68	%			Jul-2028		—		12,011		12,608		13,423
		3.87	%			Sep-2023		—		2,357		2,361		2,492
		4.06	%			Oct-2025		—		22,139		22,160		24,703
		4.27	%			Jan-2034		—		75,058		75,308		77,929
		4.69	%			Jun-2035		—		567		579		641
		5.15	%			Oct-2022		—		560		560		562
		5.29	%			May-2022		—		4,659		4,659		4,778
		5.30	%			Aug-2029		—		4,412		4,378		5,118
		5.69	%			Jun-2041		—		4,362		4,458		5,143
		5.75	%			Jun-2041		—		2,117		2,171		2,502
		5.91	%			Mar-2037		—		1,637		1,659		1,697
		5.96	%			Jan-2029		—		261		262		262
		6.15	%			Jan-2023		—		3,244		3,244		3,257
		8.40	%			Jul-2023		—		131		131		132
								—		2,081,892		2,093,897		2,156,239
When Issued2		0.27	%			Apr-2031		—		17,500		17,500		17,496
		2.21	%			Dec-2039		41,844		—		—		(3,373	)
		2.59	%			Mar-2039		11,409		—		—		(212	)
								53,253		17,500		17,500		13,911
Total Fannie Mae Securities							$	53,253	$	2,740,019	$	2,775,972	$	2,843,815

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

FNMA Construction Securities (0.3% of net assets)

	Interest Rates4
	Permanent			Construction			Maturity Date	Face Amount		Amortized Cost		Value
Multifamily		2.46	%		2.46	%	Jan-2038	$	20,950	$	20,950	$	21,058
Total FNMA Construction Securities								$	20,950	$	20,950	$	21,058

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

Freddie Mac Securities (10.1% of net assets)

						Unfunded
	Interest Rate5				Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
Single Family		0.25	%	1M LIBOR+13	Nov-2027	$	—	$	41,500	$	41,500	$	41,500
		0.27	%	1M SOFR+25	Dec-2030		—		25,000		25,000		24,997
		0.28	%	1M SOFR+24	Jan-2031		—		50,000		50,000		49,913
		0.34	%	1M SOFR+30	Dec-2030		—		27,000		27,000		26,996
		0.38	%	1M SOFR+36	Oct-2030		—		15,000		15,001		15,045
		0.38	%	1M LIBOR+26	Nov-2030				17,999		17,999		17,999
		0.41	%	1M LIBOR+30	Feb-2036		—		489		489		491
		0.44	%	1M LIBOR+33	May-2037		—		74		74		74
		0.44	%		Oct-2030		—		8,500		8,500		8,523
		0.46	%	1M LIBOR+35	Apr-2036 - Jan-2043		—		3,090		3,093		3,110
		0.51	%	1M LIBOR+40	Aug-2043		—		2,975		2,973		2,999
		0.54	%	1M LIBOR+42	May-2027		—		6,391		6,391		6,433
		0.59	%	1M LIBOR+48	Oct-2040		—		2,329		2,327		2,354
		0.61	%	1M LIBOR+50	Oct-2040 - Jun-2044		—		10,647		10,658		10,794
		0.66	%	1M LIBOR+55	Nov-2040		—		2,352		2,370		2,386
		0.77	%	1M LIBOR+65	Jan-2023		—		1,095		1,096		1,099
		0.78	%	1M LIBOR+67	Aug-2037		—		2,550		2,575		2,601
		0.82	%	1M LIBOR+70	Sep-2022		—		552		552		552
		2.36	%	1Y UST+223	Oct-2033		—		229		228		240
		2.50	%		Jan-2043 - Aug-2046		—		9,399		9,514		9,697
		2.52	%	12M LIBOR+178	Jul-2035		—		107		107		112
		2.72	%	1Y UST+223	Jun-2033		—		86		86		90
		3.00	%		Aug-2042 - Sep-2046		—		39,027		39,780		41,343
		3.35	%		Oct-2033		—		33,450		33,299		36,822
		3.50	%		Jan-2026 - Oct-2046		—		81,659		83,495		88,001
		3.50	%		Jan-2026		—		18,000		18,085		19,253
		3.68	%		Oct-2025		—		10,000		10,116		10,847
		4.00	%		Nov-2024 - Aug-2047		—		81,260		84,483		88,882
		4.50	%		Jan-2038 - Dec-2044		—		19,895		20,742		22,228
		5.00	%		May-2022 - Mar-2041		—		3,080		3,075		3,487
		5.50	%		Apr-2033 - Jul-2038		—		2,304		2,298		2,659
		6.00	%		Jul-2021 - Oct-2037		—		3,255		3,280		3,824
		6.50	%		Apr-2028 - Nov-2037		—		547		550		651
		7.00	%		Apr-2028 - Mar-2030		—		22		21		27
		7.50	%		Aug-2029 - Apr-2031		—		36		34		41
		8.00	%		Dec-2029		—		1		1		1
		8.50	%		Jul-2024 - Jan-2025		—		31		31		34
		9.00	%		Mar-2025		—		21		21		23
							—		519,952		526,844		546,128
Multifamily		2.04	%		May-2050		—		20,715		21,250		19,100
		2.40	%		Jun-2031		—		7,444		7,553		7,767
		2.41	%		Jun-2031		—		11,732		11,915		12,252
		2.42	%		Jun-2031		—		11,768		11,961		12,300
		3.28	%		Dec-2029		—		16,273		16,485		17,829
		3.34	%		Dec-2029		—		9,592		9,746		10,554
		3.38	%		Apr-2030		—		14,130		14,391		15,600
		3.48	%		Jun-2030		—		18,450		18,894		20,521
		3.60	%		Apr-2030		—		25,189		25,947		28,125
							—		135,293		138,142		144,048
When Issued2		2.38	%		Feb-2034		43,500		—		163		(854	)
Total Freddie Mac Securities						$	43,500	$	655,245	$	665,149	$	689,322

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

State Housing Finance Agency Securities (7.3% of net assets)

		Interest Rates4							Unfunded
	Issuer	Permanent			Construction			Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
Multifamily	Illinois State Housing Finance Auth		—			0.33	%	Aug-2023	$	—	$	20,000	$	20,000	$	20,030
	Mass Housing		—			0.50	%	Dec-2023		—		10,020		10,020		10,027
	Mass Housing6		—			1.50	%	Dec-2022		—		8,750		8,754		8,808
	Mass Housing		—			2.15	%	Sep-2023		28,757		7,990		7,990		8,625
	Connecticut Housing Finance Auth6		—			3.70	%	Nov-2021		—		22,500		22,467		22,779
	Mass Housing6		—			3.55	%	Oct-2022		—		13,570		13,571		14,208
	Mass Housing6		—			4.20	%	Sep-2021		—		29,840		29,842		30,385
	Mass Housing		2.07	%		—		Jul-2041		—		84,895		84,895		83,417
	Mass Housing		2.60	%		—		Jun-2063		—		26,410		26,410		25,747
	NYC Housing Development Corp		2.95	%		—		Nov-2041 - Nov-2045		—		11,275		11,275		11,651
	NYC Housing Development Corp		3.05	%		—		Nov-2046		—		13,000		13,000		12,928
	NYC Housing Development Corp		3.10	%		—		Oct-2046		—		23,770		23,770		24,072
	NYC Housing Development Corp		3.25	%		—		Nov-2049		—		12,000		12,000		12,523
	Connecticut Housing Finance Auth		3.25	%		—		May-2050		—		12,310		12,198		12,222
	Mass Housing6		3.30	%		—		Dec-2059		—		8,340		8,345		8,684
	NYC Housing Development Corp		3.35	%		—		Nov-2054		—		20,000		20,000		20,810
	NYC Housing Development Corp		3.45	%		—		May-2059		—		20,000		20,000		20,849
	NYC Housing Development Corp		3.75	%		—		May-2035		—		3,860		3,860		4,005
	Mass Housing6		3.85	%		—		Dec-2058		—		9,735		9,732		9,941
	NYC Housing Development Corp		3.95	%		—		Nov-2043		—		15,000		15,000		16,143
	NYC Housing Development Corp		4.00	%		—		Dec-2028 - Nov-2048		—		15,000		15,104		16,006
	MassHousing		4.04	%		—		Nov-2032		—		1,305		1,305		1,319
	MassHousing		4.13	%		—		Dec-2036		—		5,000		5,000		5,201
	NYC Housing Development Corp		4.13	%		—		Nov-2053		—		10,000		10,000		10,751
	NYC Housing Development Corp		4.20	%		—		Dec-2039		—		8,305		8,305		8,641
	NYC Housing Development Corp		4.29	%		—		Nov-2037		—		1,190		1,190		1,203
	Chicago Housing Authority		4.36	%		—		Jan-2038		—		25,000		25,000		28,013
	NYC Housing Development Corp		4.44	%		—		Nov-2041		—		1,120		1,120		1,133
	NYC Housing Development Corp		4.49	%		—		Nov-2044		—		455		455		460
	MassHousing		4.50	%		—		Jun-2056		—		45,000		45,000		46,694
Total State Housing Finance Agency Securities									$	28,757	$	485,640	$	485,608	$	497,275

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

Other Mutifamily Investments (1.3% of net assets)

		Interest Rates4,5							Maturity	Unfunded		Face		Amortized
	Issuer	Permanent			Construction				Date	Commitments1		Amount		Cost				Value
Direct Loans
	18 Sixth Ave at Pacific Park (Level 3)		—			2.31	%	1M LIBOR+220	Dec-2024	$	13,045	$	4,177	$	4,131		$	3,982
	18 Sixth Ave at Pacific Park (Level 3)		—			2.31	%	1M LIBOR+220	Dec-2024		38,084		44,695		44,401			43,757
	53 Colton Street (Level 3)		—			2.60	%		Nov-2023		15,987		30		(90	)		39
	53 Colton Street (Level 3)		—			2.80	%		Nov-2023		3,042		—		(8	)		2
	Wilder Square (Level 3)		—			3.25	%		Mar-2023		5,439		6,061		5,989			6,156
	University and Fairview (Level 3)		—			3.45	%		Jun-2024		11,460		3,540		3,439			3,650
	University and Fairview (Level 3)		—			3.45	%		Dec-2023		20,842		1,670		1,517			1,750
	99 Ocean/Ventana (Level 3)		—			4.05	%		Oct-2024		52,000		—		(520	)		923
	Lake Street Apartments (Level 3)		3.50	%		4.25	%		Jul-2039		—		13,500		13,415			14,604
	The Block 803 Waimanu (Level 3)		—			4.50	%		Sep-2021		10,734		7,204		7,154			7,319
											170,633		80,877		79,428			82,182
Privately Insured Construction/ Permanent Mortgages7
	IL Housing Development Authority		6.20	%		—			Dec-2047		—		2,937		2,945			2,938
	IL Housing Development Authority		6.40	%		—			Nov-2048		—		892		902			893
											—		3,829		3,847			3,831
Total Other Multifamily Investments										$	170,633	$	84,706	$	83,275		$	86,013

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

Commercial Mortgage-Backed Securities (1.5% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Nomura		2.77	%	Dec-2045	$	10,000	$	10,134	$	10,337
Nomura		3.19	%	Mar-2046		20,000		20,322		20,729
JP Morgan		3.48	%	Jun-2045		7,870		8,172		7,980
Citigroup		3.62	%	Jul-2047		8,000		8,177		8,640
Barclays/ JP Morgan		3.81	%	Jul-2047		2,250		2,300		2,429
RBS/ Wells Fargo		3.82	%	Aug-2050		5,000		5,116		5,391
Deutsche Bank/UBS		3.96	%	Mar-2047		5,000		5,111		5,401
Barclays/ JP Morgan		4.00	%	Apr-2047		5,000		5,111		5,406
Cantor/Deutsche Bank		4.01	%	Apr-2047		20,000		20,444		21,671
Barclays/ JP Morgan		4.08	%	Feb-2047		6,825		7,117		7,384
Cantor/Deutsche Bank		4.24	%	Feb-2047		7,000		7,153		7,599
Total Commercial Mortgage Backed Securities					$	96,945	$	99,157	$	102,967

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

United States Treasury Securities (3.8% of net assets)

Interest Rate	Maturity Date			Face Amount	Amortized Cost		Value
0.63%		May-2030		$63,000	$	62,365	$	57,357
0.63%		Aug-2030		30,000		29,772		27,198
1.13%		Feb-2031		20,000		19,130		18,900
1.50%		Feb-2030		35,000		36,625		34,585
1.63%		Aug-2029		15,000		14,772		15,059
1.75%		Nov-2029		30,000		30,033		30,366
2.00%		Feb-2050		20,000		23,113		18,317
2.63%		Feb-2029		25,000		26,143		27,050
2.88%		Aug-2028		10,000		9,855		10,998
3.13%		Nov-2028		20,000		20,390		22,362
Total United States Treasury Securities			$	268,000	$	272,198	$	262,192
Total Fixed-Income Investments			$	6,475,942	$	6,574,789	$	6,754,694

Schedule of Portfolio Investments

March 31, 2021 (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	$	—	$	33
Total Equity Investment	$	1	$	—	$	33

Schedule of Portfolio Investments

March 31, 2021 (dollars in thousands; unaudited)

Short-Term Investments (2.3% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Commercial Paper
Halkin Finance		0.08	%9	Apr-2021	$	40,000	$	40,000	$	40,000
Blackrock Federal Funds		0.04	%10	Apr-2021		118,783		118,783		118,783
Total Short-Term Investments					$	158,783	$	158,783	$	158,783
Total Investments					$	6,634,726	$	6,733,573	$	6,913,510

Schedule of Portfolio Investments

March 31, 2021

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 $496.9 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	Federally tax-exempt bonds collateralized by Ginnie Mae securities.
4	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.
5	For floating and variable rate securities the rate indicated is for the period end. With respect to these securities, the schedule also includes the reference rate and spread in basis points.
6	Securities exempt from registration under the Securities Act of 1933 and were privately placed directly by a state housing agency (a not-for-profit public agency) with the HIT. The securities are backed by mortgages and are general obligations of the state housing agency, and therefore secured by the full faith and credit of said agency. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are considered liquid, under procedures established by and under the general supervision of the HIT's Board of Trustees.
7	Loans insured by Ambac Assurance Corporation, are additionally backed by a repurchase option from the mortgagee for the benefit of the HIT. The repurchase price is defined as the unpaid principal balance of the loan plus all accrued unpaid interest due through the remittance date. The repurchase option can be exercised by the HIT in the event of a payment failure by Ambac Assurance Corporation.
8	The HIT has a participation interest in HIT Advisers, a Delaware limited liability company. HIT Advisers is a New York based adviser currently exempt from investment adviser registration in New York. The investment in HIT Advisers is valued by the HIT's valuation committee in accordance with the fair value procedures adopted by the HIT's Board of Trustees, and approximates carrying value of HIT Advisors and its subsidiary on a consolidated basis. The participation interest is not registered under the federal securities laws.
9	Rate indicated is the effective yield at the time of purchase.
10	Rate indicated is the annualized 1-day yield as of March 31, 2021.

Key to abbreviations

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