Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

FHA Permanent Securities (2.1% of net assets)

	Interest Rate			Maturity Date		Unfunded Commitments1		Face Amount		Amortized Cost		Value
Multifamily		3.65	%		Dec-2037	$	—	$	7,963	$	8,086	$	8,179
		3.75	%		Aug-2048		—		3,670		3,666		3,728
		4.00	%		Dec-2053		—		61,300		61,277		65,903
		4.10	%		Dec-2060		—		21,816		21,832		23,915
		4.79	%		May-2053				4,951		5,155		5,397
		5.17	%		Feb-2050		—		7,541		8,041		8,330
		5.35	%		Mar-2047		—		6,788		6,798		6,844
		5.55	%		Aug-2042		—		7,141		7,143		7,202
		5.60	%		Jun-2038		—		2,113		2,115		2,131
		5.80	%		Jan-2053		—		1,950		1,958		2,230
		5.87	%		May-2044		—		1,630		1,629		1,642
		5.89	%		Apr-2038		—		3,979		3,983		4,015
		6.40	%		Aug-2046		—		3,552		3,554		3,580
		6.60	%		Jan-2050		—		3,200		3,220		3,609
							—		137,594		138,457		146,705
Forward Commitments		2.50	%		Sep-2063		5,702		—		—		(226	)
		3.72	%		Feb-2062		4,470		—		—		196
		3.90	%		Mar-2062		3,090		—		—		171
							13,262		—		—		141
Total FHA Permanent Securities						$	13,262	$	137,594	$	138,457	$	146,846

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Ginnie Mae Securities (28.5% of net assets)

	Interest Rate			Maturity Date		Face Amount		Amortized Cost		Value
Single Family		4.00	%		Feb-2040 - Jun-2040	$	1,428	$	1,440	$	1,561
		4.50	%		Aug-2040		775		788		878
		5.50	%		Jan-2033 - Jun-2037		1,010		1,008		1,141
		6.00	%		Jan-2032 - Aug-2037		715		716		825
		6.50	%		Jul-2028		40		40		45
		7.00	%		Apr-2026 - Jan-2030		482		483		539
		7.50	%		Aug-2025 - Aug-2030		232		234		261
		8.00	%		Sep-2026 - Nov-2030		223		224		256
		8.50	%		Jun-2022 - Aug-2027		66		67		72
		9.00	%		Dec-2022 - Jun-2025		4		4		4
							4,975		5,004		5,582
Multifamily		1.95	%		Mar-2064		38,751		39,302		38,927
		2.00	%		Jul-2062		39,506		40,645		39,783
		2.00	%		Oct-2062 - Nov-2063		247,518		253,205		249,004
		2.00	%		Oct-2062		68,755		71,174		69,008
		2.00	%		Apr-2063		63,096		64,203		63,805
		2.00	%		Apr-2063		59,470		60,769		59,844
		2.08	%		Dec-2056		53,083		55,206		54,958
		2.15	%		May-2056		1,209		1,207		1,220
		2.20	%		May-2042 - Jun-2056		12,312		12,700		12,620
		2.25	%		Dec-2048		3,665		3,637		3,743
		2.30	%		Mar-2056 - Oct-2056		11,982		11,920		12,203
		2.31	%		Nov-2051		7,076		7,076		7,226
		2.32	%		Sep-2060		27,352		28,862		28,202
		2.35	%		Dec-2040 - Feb-2061		37,431		38,499		38,345
		2.40	%		Aug-2047 - Dec-2057		27,085		27,729		27,809
		2.42	%		Jan-2053		45,854		46,167		46,968
		2.50	%		Dec-2052 - Jan-2061		75,939		77,251		78,189
		2.53	%		Feb-2040		2,428		2,453		2,446
		2.60	%		Apr-2048 - Jun-2059		21,895		21,973		22,477
		2.70	%		May-2048 - Jul-2058		14,119		14,159		14,463
		2.72	%		Feb-2044		140		143		142
		2.74	%		Apr-2057		24,176		26,321		26,188
		2.78	%		Aug-2058		10,871		11,844		11,813
		2.79	%		Apr-2049		8,389		8,462		8,704
		2.80	%		Feb-2053		60,000		57,176		61,630
		2.80	%		Dec-2059		7,032		6,937		7,190
		2.82	%		Apr-2050		1,500		1,527		1,549
		2.89	%		Mar-2046		5,442		5,472		5,485
		2.94	%		Nov-2059		48,363		53,925		52,759
		2.99	%		Jul-2048		8,242		8,943		8,826
		3.00	%		Mar-2051		9,709		9,749		9,915
		3.00	%		May2062		73,804		79,899		78,714
		3.03	%		Jan-2056		30,778		32,814		33,242
		3.05	%		May-2054		11,545		11,593		12,085
		3.06	%		Jan-2049		6,970		7,197		7,022
		3.10	%		May-2059		4,722		4,701		4,750
		3.17	%		Aug-2059		34,673		38,437		38,839
		3.20	%		Jul-2041 - Sep-2051		10,869		10,831		11,050
		3.21	%		Jul-2046		5,894		6,050		6,025
		3.25	%		Sep-2054		26,750		26,529		27,542
		3.25	%		Apr-2059		45,000		43,228		46,696
		3.26	%		Nov-2043		6,767		6,776		6,992
		3.27	%		Apr-2046		24,992		26,391		27,024
		3.30	%		Sep-2060		8,693		8,909		9,663
		3.31	%		May-2055		8,496		8,063		8,924
		3.34	%		Sep-2059		17,083		17,408		18,761
		3.35	%		Nov-2042 - Mar-2044		14,432		14,034		15,070
		3.37	%		Dec-2046		4,352		4,400		4,395
		3.38	%		Aug-2059		43,617		44,442		46,510
		3.38	%		Jan-2060		59,284		59,290		65,084
		3.39	%		Feb-2059		14,234		14,511		15,625
		3.40	%		Feb-2044		986		1,027		995
		3.48	%		May-2059		10,857		11,072		11,883
		3.49	%		May-2042		2,658		2,692		2,690
		3.50	%		Feb-2051 - Jan-2054		11,600		11,542		11,852

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Ginnie Mae Securities (28.5% of net assets)

	Interest Rate			Maturity Date		Face Amount		Amortized Cost		Value
		3.51	%		Mar-2053		45,563		49,063		49,816
		3.53	%		Apr-2042		16,250		16,739		17,790
		3.57	%		Nov-2059		48,426		49,118		53,655
		3.60	%		Jun-2057		13,620		14,093		14,954
		3.62	%		Dec-2057		28,493		28,987		31,356
		3.63	%		Sep-2052		5,406		5,586		5,704
		3.64	%		Dec-2045		8,583		8,267		8,830
		3.65	%		Oct-2058		10,256		10,408		11,264
		3.67	%		Nov-2035		13,957		14,361		14,872
		3.74	%		Aug-2059		15,583		15,881		17,243
		3.75	%		Apr-2046 - Nov-2060		17,605		17,971		19,313
		3.92	%		Aug-2039		41,682		43,869		45,016
		4.10	%		May-2051		3,834		4,143		4,225
		4.20	%		Aug-2060		47,167		48,091		52,167
		4.25	%		Sep-2038		31,660		31,792		33,085
		4.45	%		Jun-2055		2,490		2,399		2,758
		4.53	%		Jan-2061		14,833		15,285		16,436
		4.63	%2		Sep-2037		1,500		1,468		1,504
		4.90	%2		Mar-2044		1,000		992		1,003
		5.25	%		Apr-2037		17,090		17,085		17,219
		5.34	%		Jul-2040		550		544		552
							1,906,994		1,956,614		1,995,636
Total Ginnie Mae Securities						$	1,911,969	$	1,961,618	$	2,001,218

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Ginnie Mae Construction Securities (4.4% of net assets)

	Interest Rates3
	Permanent			Construction			Maturity Date		Unfunded Commitments1		Face Amount		Amortized Cost		Value
Multifamily		2.25	%		4.10	%		Dec-2063	$	65,928	$	—	$	1,978	$	737
		2.45	%		2.45	%		Apr-2062		10,302		6,200		6,532		6,737
		2.58	%		2.58	%		May-2063		24,435		4,065		4,992		4,586
		2.59	%		3.59	%		Jan-2064		42,400		—		1,086		2,584
		2.62	%		2.62	%		Feb-2063		5,812		7,988		8,506		8,882
		2.65	%		2.65	%		Oct-2062		2,122		4,378		4,541		4,761
		2.67	%		2.67	%		Mar-2062		8,883		26,100		26,975		28,154
		2.75	%		2.75	%		Apr-2063		21,638		25		1,122		1,087
		2.98	%		2.98	%		Jun-2063		31,677		2,033		3,297		4,208
		3.05	%		3.05	%		Jan-2063 - Dec-2063		118,837		4,284		5,888		9,638
		3.41	%		3.41	%		Sep-2061		3,611		38,674		40,366		43,197
		3.43	%		3.43	%		Nov-2061		3,172		50,317		52,124		56,139
		3.60	%		3.60	%		Apr-2061		729		33,456		34,654		37,466
		3.78	%		7.00	%		Aug-2060		488		39,451		39,755		44,173
		4.21	%		4.21	%		May-2061		5,357		46,584		46,848		52,805
		4.35	%		4.35	%		Dec-2060		546		1,754		1,797		2,009
Total Ginnie Mae Construction Securities									$	345,937	$	265,309	$	280,461	$	307,163

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Fannie Mae Securities (40.2% of net assets)

	Interest Rate4				Maturity Date		Unfunded Commitments1		Face Amount		Amortized Cost		Value
Single Family		0.34	%	1M LIBOR+25		Mar-2037	$	—	$	132	$	131	$	132
		0.41	%	1M LIBOR+32		Jun-2037		—		758		758		762
		0.49	%	1M LIBOR+40		Apr-2037		—		333		332		335
		0.55	%	1M LIBOR+46		Oct-2042		—		2,060		2,068		2,083
		0.59	%	1M LIBOR+50		Jun-2042		—		4,165		4,168		4,216
		0.64	%	1M LIBOR+55		Mar-2042		—		2,488		2,491		2,526
		0.69	%	1M LIBOR+60		Oct-2043		—		4,581		4,600		4,660
		1.73	%	6M LIBOR+161		Aug-2033		—		125		125		128
		1.75	%	12M LIBOR+149		Jul-2033		—		116		115		119
		1.79	%	6M LIBOR+155		Nov-2033		—		926		926		948
		1.83	%	12M LIBOR+156		Apr-2034		—		428		434		442
		1.92	%	12M LIBOR+153		Feb-2045		—		3,025		3,075		3,151
		2.00	%			Jul-2050		—		33,015		34,061		33,164
		2.02	%	12M LIBOR+164		Nov-2034		—		202		205		209
		2.03	%	12M LIBOR+170		Oct-2042		—		2,350		2,393		2,456
		2.22	%	1Y UST+222		Jul-2033 - Aug-2033		—		827		828		864
		2.23	%	1Y UST+211		May-2033 - Aug-2033		—		718		718		750
		2.50	%			May-2050 - Nov-2050		—		178,444		186,920		184,245
		2.50	%			Aug-2051		—		36,055		37,610		37,426
		2.50	%			Sep-2051		—		34,507		35,955		35,610
		3.00	%			Apr-2031 - Jul-2051		—		129,944		135,927		136,870
		3.50	%			Oct-2026 - Sep-2050		—		101,554		105,008		108,752
		4.00	%			May-2024 - Jun-2048		—		50,593		52,202		54,916
		4.50	%			May-2024 - Dec-2048		—		35,483		36,584		38,781
		5.00	%			May-2034 - Apr-2041		—		6,400		6,555		7,272
		5.50	%			Sep-2032 - Jun-2038		—		2,805		2,808		3,221
		6.00	%			Nov-2028 - Nov-2037		—		2,242		2,251		2,622
		6.50	%			Sep-2028 - Jul-2036		—		356		363		417
		7.00	%			Sep-2027 - May-2032		—		521		521		606
		7.50	%			Jan-2027 - Sep-2031		—		57		55		62
		8.00	%			Aug-2030 - May-2031		—		36		36		36
								—		635,246		660,223		667,781
Multifamily		0.24	%	1M SOFR+19		Mar-2031		—		20,370		20,373		20,320
		0.26	%	1M SOFR+21		Mar-2031		—		23,855		23,858		23,820
		0.27	%	1M SOFR+22		Mar-2031		—		10,075		10,076		10,065
		0.28	%	1M SOFR+23		Apr-2031		—		17,500		17,500		17,509
		0.37	%	1M LIBOR+29		Feb-2028		—		30,420		30,424		30,384
		0.39	%	1M LIBOR+31		Mar-2028		—		38,275		38,283		38,258
		0.42	%	1M LIBOR+34		Jan-2028		—		22,425		22,428		22,404
		0.43	%	1M LIBOR+35		Dec-2027		—		18,100		18,101		18,118
		0.48	%	1M LIBOR+40		Sep-2028		—		1,822		1,822		1,822
		0.52	%	1M LIBOR+44		May-2027		—		16,740		16,741		16,753
		0.66	%	1M LIBOR+58		May-2029		—		25,000		25,009		25,071
		0.66	%	1M LIBOR+58		Jun-2029		—		41,302		41,332		41,421
		0.94	%	1M LIBOR+85		Jan-2023		—		1,591		1,591		1,598
		1.06	%			Dec-2027		—		21,425		21,434		20,909
		1.17	%			Aug-2030 - Nov-2030		—		34,726		34,730		33,488
		1.22	%			Aug-2028 - Jul-2030		—		35,610		35,737		34,940
		1.25	%			Jul-2030		—		37,950		38,097		36,883
		1.26	%			Jan-2031		—		25,000		24,993		24,388
		1.27	%			Jul-2030		—		14,235		14,352		13,964
		1.31	%			Aug-2030		—		4,443		4,516		4,349
		1.32	%			Aug-2030		—		21,000		21,322		20,660
		1.38	%			Jul-2030		—		10,500		10,666		10,384
		1.41	%			Jul-2030		—		3,324		3,364		3,292
		1.46	%			Jul-2030		—		7,633		7,754		7,595
		1.47	%			Jul-2030 - Dec-2030		—		15,425		15,580		15,156
		1.50	%			Aug-2030		—		1,176		1,209		1,171
		1.52	%			Jul-2032		—		16,530		16,689		16,269
		1.53	%			Jul-2032		—		10,500		10,677		10,336
		1.55	%			Jul-2032		—		20,500		20,846		20,219
		1.57	%			Jan-2031		—		21,951		22,036		21,775
		1.57	%			Aug-2037		—		48,068		48,300		46,167
		1.58	%			Oct-2031		—		57,950		58,258		56,365
		1.65	%			Jul-2030		—		1,272		1,307		1,283
		1.68	%			Sep-2032		—		12,953		13,196		12,882
		1.71	%			Sep-2035 - Nov-2035		—		25,605		25,937		24,681
		1.74	%			Mar-2033		—		6,160		6,255		6,064
		1.76	%			Aug-2031		—		32,723		32,841		32,546
		1.77	%			Sep-2035		—		3,270		3,344		3,212
		1.82	%			Jul-2035		—		4,670		4,712		4,592
		1.94	%			Apr-2035		—		6,400		6,510		6,413
		2.00	%			Apr-2031		—		18,000		18,725		18,452
		2.09	%			May-2032 - Jul-2050		—		21,792		22,058		21,849
		2.16	%			Sep-2050		—		14,200		14,366		13,401
		2.19	%			Mar-2027		—		7,150		7,216		7,488
		2.33	%			Nov-2029 - Feb-2030		—		18,255		18,306		19,171
		2.41	%			Apr-2051		—		3,790		3,830		3,762
		2.43	%			Nov-2031		—		18,655		18,663		19,672
		2.46	%			Aug-2026 - Nov-2034		—		35,330		35,431		37,216
		2.49	%			Dec-2026 - Nov-2031		—		27,538		27,601		29,170
		2.50	%			Jun-2026		—		60,000		60,000		63,532
		2.50	%			Jul-2026		—		37,576		37,600		39,720

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Fannie Mae Securities (40.2% of net assets)

	Interest Rate4			Maturity Date		Unfunded Commitments1		Face Amount		Amortized Cost		Value
		2.53	%		Jan-2030		—		20,550		20,701		21,917
		2.55	%		Sep-2026		—		14,210		14,214		15,039
		2.55	%		Mar-2030		—		51,656		51,975		54,812
		2.61	%		Nov-2026		—		9,800		9,861		10,429
		2.67	%		Aug-2029		—		37,700		38,030		40,431
		2.70	%		Nov-2025		—		14,800		14,805		15,752
		2.72	%		Jul-2028		—		36,400		36,586		39,234
		2.76	%		Oct-2031		—		10,189		10,338		10,978
		2.80	%		Apr-2025		—		14,925		14,957		15,765
		2.81	%		Sep-2027		—		12,194		12,234		13,130
		2.85	%		Dec-2027 - Aug-2031		—		32,350		32,428		34,892
		2.87	%		Oct-2027		—		9,292		9,339		10,037
		2.91	%		Jun-2031		—		25,000		25,124		27,264
		2.92	%		Jun-2027		—		67,151		67,199		72,638
		2.92	%		Apr-2028		—		15,839		15,887		17,190
		2.94	%		Jun-2027 - Jul-2039		—		31,596		31,650		34,009
		2.96	%		Sep-2034		—		20,000		20,759		21,741
		2.97	%		Nov-2032 - Sep-2034		—		32,429		32,681		35,436
		2.99	%		Jun-2025		—		2,603		2,604		2,781
		3.00	%		May-2027 - Mar-2028		—		15,789		15,802		17,072
		3.02	%		Jun-2027 - Sep-2027		—		30,230		30,328		32,424
		3.03	%		May-2026 - Jun-2026		—		19,466		19,653		20,410
		3.04	%		Apr-2030		—		25,100		25,157		27,508
		3.05	%		Apr-2030		—		26,418		26,437		28,891
		3.12	%		Apr-2030		—		12,940		12,943		14,163
		3.14	%		Apr-2029		—		7,717		7,730		8,494
		3.15	%		Jan-2027		—		19,344		19,356		20,985
		3.17	%		Jun-2029 - Sep-2029		—		61,557		61,796		66,095
		3.18	%		May-2035		—		9,768		9,880		10,690
		3.20	%		Oct-2027		—		9,921		9,948		10,866
		3.21	%		May-2030		—		6,622		6,689		7,289
		3.26	%		Jan-2027		—		7,149		7,158		7,799
		3.31	%		Oct-2027		—		15,332		15,405		16,884
		3.32	%		Apr-2029		—		20,080		20,139		22,269
		3.33	%		May-2026		—		10,643		10,662		11,538
		3.35	%		Feb-2029		—		18,850		18,994		20,990
		3.36	%		May-2029 - Oct-2029		—		34,055		35,001		37,602
		3.40	%		Oct-2026		—		2,811		2,817		3,084
		3.41	%		Sep-2023		—		11,023		11,023		11,443
		3.42	%		Apr-2035		—		5,143		5,206		5,767
		3.46	%		Dec-2023 - Apr-2031		—		16,102		16,170		17,795
		3.50	%		Aug-2039		—		13,292		13,292		15,139
		3.54	%		Oct-2021		—		6,536		6,536		6,535
		3.61	%		Sep-2023		—		6,032		6,032		6,285
		3.63	%		Jul-2035		—		21,622		21,648		24,708
		3.66	%		Oct-2023		—		4,423		4,423		4,620
		3.68	%		Jul-2028		—		12,011		12,512		13,475
		3.87	%		Sep-2023		—		2,332		2,332		2,435
		4.27	%		Jan-2034		—		75,058		75,290		78,623
		4.69	%		Jun-2035		—		554		565		621
		5.15	%		Oct-2022		—		372		372		373
		5.30	%		Aug-2029		—		4,208		4,180		4,856
		5.69	%		Jun-2041		—		4,314		4,406		5,051
		5.75	%		Jun-2041		—		2,094		2,146		2,458
		5.91	%		Mar-2037		—		1,607		1,627		1,644
		5.96	%		Jan-2029		—		249		249		250
		6.15	%		Jan-2023		—		3,198		3,198		3,211
		8.40	%		Jul-2023		—		105		105		106
							—		2,033,511		2,044,575		2,114,882
When Issued5		1.76	%		Dec-2036		—		22,500		22,570		22,359
		1.88	%		Nov-2031		—		25,400		25,440		25,650
							—		47,900		48,010		48,009
Forward Commitments		2.21	%		Dec-2039		41,844		—		—		(2,896	)
		2.56	%		Jul-2038		10,774		—		—		(20	)
		2.59	%		Mar-2039		11,409		—		—		66
							64,027		—		—		(2,850	)
Total Fannie Mae Securities						$	64,027	$	2,716,657	$	2,752,808	$	2,827,822

Schedule of Portfolio Investments

September 30, 2021 (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	$	21,372
Total FNMA Construction Securities									$	20,950	$	20,950	$	21,372

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Freddie Mac Securities (9.9% of net assets)

	Interest Rate4				Maturity Date		Unfunded Commitments1		Face Amount		Amortized Cost		Value
Single Family		0.21	%	1M LIBOR+13		Nov-2027	$	—	$	41,430	$	41,430	$	41,423
		0.25	%	1M SOFR+20		Aug-2031		—		32,000		32,000		32,010
		0.29	%	1M SOFR+24		Jan-2031		—		50,000		50,000		50,013
		0.29	%	1M SOFR+24		Jun-2031		—		35,000		35,000		35,080
		0.30	%	1M SOFR+25		Dec-2030		—		25,000		25,000		24,980
		0.34	%	1M LIBOR+26		Nov-2030		—		17,996		17,996		17,996
		0.35	%	1M SOFR+30		Dec-2030		—		27,000		27,000		27,016
		0.38	%	1M LIBOR+30		Feb-2036		—		418		418		419
		0.41	%	1M LIBOR+33		Oct-2030-May-2037		—		8,573		8,573		8,593
		0.41	%	1M SOFR+36		Oct-2030		—		15,000		15,000		15,039
		0.43	%	1M LIBOR+35		Apr-2036 - Jan-2043		—		2,702		2,705		2,718
		0.48	%	1M LIBOR+40		Aug-2043		—		2,575		2,574		2,594
		0.50	%	1M LIBOR+42		May-2027		—		5,964		5,965		6,001
		0.56	%	1M LIBOR+48		Oct-2040		—		1,920		1,919		1,945
		0.58	%	1M LIBOR+50		Oct-2040 - Jun-2044		—		8,152		8,157		8,261
		0.63	%	1M LIBOR+55		Nov-2040		—		1,875		1,888		1,900
		0.73	%	1M LIBOR+65		Jan-2023		—		841		841		843
		0.75	%	1M LIBOR+67		Aug-2037		—		2,293		2,314		2,335
		2.02	%	12M LIBOR+178		Jul-2035		—		104		104		109
		2.34	%	1Y UST+223		Oct-2033		—		191		190		199
		2.35	%	1Y UST+223		Jun-2033		—		78		78		81
		2.50	%			Jan-2043 - Aug-2046		—		7,573		7,661		7,836
		3.00	%			Aug-2042 - Sep-2046		—		31,814		32,408		33,916
		3.35	%			Oct-2033		—		33,450		33,310		37,149
		3.50	%			Jan-2026		—		18,000		18,068		19,051
		3.50	%			Jan-2026 - Oct-2046		—		61,164		62,489		65,868
		3.68	%			Oct-2025		—		10,000		10,093		10,704
		4.00	%			Nov-2024 - Aug-2047		—		61,945		64,323		67,488
		4.50	%			Jan-2038 - Dec-2044		—		16,150		16,804		17,934
		5.00	%			May-2022 - Mar-2041		—		2,692		2,691		3,028
		5.50	%			Apr-2033 - Jul-2038		—		2,131		2,124		2,453
		6.00	%			Dec-2033 - Oct-2037		—		2,960		2,981		3,461
		6.50	%			Apr-2028 - Nov-2037		—		497		501		601
		7.00	%			Apr-2028 - Mar-2030		—		23		21		26
		7.50	%			Aug-2029 - Apr-2031		—		33		33		38
		8.00	%			Dec-2029		—		—		—		1
		8.50	%			Jul-2024 - Jan-2025		—		24		24		26
								—		527,568		532,683		549,135
Multifamily		2.04	%			May-2050		—		20,542		21,056		19,517
		2.40	%			Jun-2031		—		7,444		7,542		7,828
		2.41	%			Jun-2031		—		11,732		11,896		12,347
		2.42	%			Jun-2031		—		11,768		11,941		12,395
		3.28	%			Dec-2029		—		16,152		16,336		17,684
		3.34	%			Dec-2029		—		9,532		9,666		10,481
		3.38	%			Apr-2030		—		14,037		14,265		15,496
		3.48	%			Jun-2030		—		18,332		18,721		20,404
		3.60	%			Apr-2030		—		25,009		25,669		27,904
								—		134,548		137,092		144,056
Forward Commitments		2.38	%			Feb-2034		43,500		—		163		(199	)
Total Freddie Mac Securities							$	43,500	$	662,116	$	669,938	$	692,992

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

State Housing Finance Agency Securities (7.1% 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	$	20,014
		Illinois Housing Development Auth		—			0.40	%	Dec-2024		—		470		470		469
		Mass Housing		—			0.50	%	Dec-2023		—		10,020		10,020		10,025
		Mass Housing6		—			1.50	%	Dec-2022		—		8,750		8,752		8,764
		Mass Housing		—			2.15	%	Sep-2023		18,787		17,960		17,960		18,628
		Mass Housing6		—			3.55	%	Oct-2022		—		13,570		13,571		14,001
		Connecticut Housing Finance Auth		—			3.70	%	Nov-2021		—		17,800		17,774		17,825
		Illinois Housing Development Auth		2.06	%		—		Jan-2042		—		28,230		28,230		27,013
		Illinois Housing Development Auth		2.07	%		—		Jul-2041		—		84,895		84,895		84,008
		Mass Housing		2.60	%		—		Jun-2063		—		26,410		26,410		24,850
		NYC Housing Development Corp		2.95	%		—		Nov-2041 - Nov-2045		—		11,275		11,275		11,639
		NYC Housing Development Corp		3.05	%		—		Nov-2046		—		13,000		13,000		13,023
		NYC Housing Development Corp		3.10	%		—		Oct-2046		—		21,011		21,012		21,493
		NYC Housing Development Corp		3.25	%		—		Nov-2049		—		12,000		12,000		12,340
		Connecticut Housing Finance Auth		3.25	%		—		May-2050		—		12,310		12,198		12,641
		Mass Housing6		3.30	%		—		Dec-2059		—		8,340		8,345		8,706
		NYC Housing Development Corp		3.35	%		—		Nov-2054		—		20,000		20,000		20,708
		NYC Housing Development Corp		3.45	%		—		May-2059		—		20,000		20,000		20,706
		NYC Housing Development Corp		3.75	%		—		May-2035		—		3,860		3,860		3,987
		Mass Housing6		3.85	%		—		Dec-2058		—		9,680		9,677		9,994
		NYC Housing Development Corp		3.95	%		—		Nov-2043		—		15,000		15,000		16,247
		NYC Housing Development Corp		4.00	%		—		Dec-2028 - Nov-2048		—		15,000		15,103		15,980
		MassHousing		4.04	%		—		Nov-2032		—		1,305		1,305		1,307
		MassHousing		4.13	%		—		Dec-2036		—		5,000		5,000		5,161
		NYC Housing Development Corp		4.13	%		—		Nov-2053		—		10,000		10,000		10,812
		NYC Housing Development Corp		4.20	%		—		Dec-2039		—		8,305		8,305		8,574
		NYC Housing Development Corp		4.29	%		—		Nov-2037		—		1,190		1,190		1,192
		Chicago Housing Authority		4.36	%		—		Jan-2038		—		25,000		25,000		29,404
		NYC Housing Development Corp		4.44	%		—		Nov-2041		—		1,120		1,120		1,122
		NYC Housing Development Corp		4.49	%		—		Nov-2044		—		455		455		456
		MassHousing		4.50	%		—		Jun-2056		—		45,000		45,000		46,368
Total State Housing Finance Agency Securities										$	18,787	$	486,956	$	486,927	$	497,457

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Other Mutifamily Investments (1.7% of net assets)

	Interest Rates3,4							Maturity		Unfunded		Face		Amortized
Issuer	Permanent			Construction				Date		Commitments1		Amount		Cost			Value
Direct Loans
18 Sixth Ave at Pacific Park (Level 3)		—			2.29	%	1M LIBOR+220		Dec-2024	$	11,294	$	5,928	$	5,887		$	5,758
18 Sixth Ave at Pacific Park (Level 3)		—			2.29	%	1M LIBOR+220		Dec-2024		24,034		58,744		58,487			57,928
53 Colton Street (Level 3)		—			2.60	%			Nov-2023		15,986		30		(90	)		107
53 Colton Street (Level 3)		—			2.80	%			Nov-2023		3,042		—		(8	)		14
Wilder Square (Level 3)		—			3.25	%			Mar-2023		726		10,774		10,720			10,904
University and Fairview (Level 3)		—			3.45	%			Jun-2024		562		14,439		14,352			14,748
University and Fairview (Level 3)		—			3.45	%			Dec-2023		18,694		3,819		3,684			3,976
Old Cedar (Level 3)		—			3.50	%			Dec-2023		10,750		251		203			367
Granada (Level 3)		—			3.79	%			Feb-2039		12,000		—		—			(250	)
99 Ocean (Level 3)		—			4.05	%			Oct-2024		52,000		—		(520	)		572
The Block - 803 Waimanu (Level 3)		—			4.50	%			Mar-2022		2,850		15,087		15,080			15,140
Granada (Level 3)		—			6.75	%			Jan-2024		8,724		4,276		4,016			4,364
											160,662		113,348		111,811			113,628
Privately Insured Construction/Permanent Mortgages7
Illinois Housing Development Auth		6.20	%		—				Dec-2047		—		2,915		2,923			2,916
Illinois Housing Development Auth		6.40	%		—				Nov-2048		—		886		895			887
											—		3,801		3,818			3,803
Total Other Multifamily Investments										$	160,662	$	117,149	$	115,629		$	117,431

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Commercial Mortgage-Backed Securities (1.4% of net assets)

Issuer	Interest Rate		Maturity Date	Face Amount		Amortized Cost		Value
Nomura		2.77%	Dec-2045	$	10,000	$	10,130	$	10,208
Nomura		3.19%	Mar-2046		20,000		20,312		20,463
JP Morgan		3.48%	Jun-2045		2,293		2,378		2,326
Citigroup		3.62%	Jul-2047		8,000		8,172		8,560
Barclays/ JP Morgan		3.81%	Jul-2047		2,250		2,299		2,376
RBS/ Wells Fargo		3.82%	Aug-2050		5,000		5,114		5,335
Deutsche Bank/UBS		3.96%	Mar-2047		5,000		5,108		5,348
Barclays/ JP Morgan		4.00%	Apr-2047		5,000		5,108		5,328
Cantor/Deutsche Bank		4.01%	Apr-2047		20,000		20,433		21,398
Barclays/ JP Morgan		4.08%	Feb-2047		6,825		7,109		7,277
Cantor/Deutsche Bank		4.24%	Feb-2047		7,000		7,150		7,488
Total Commercial Mortgage Backed Securities				$	91,368	$	93,313	$	96,107

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

United States Treasury Securities (5.3% of net assets)

	Interest Rate		Maturity Date	Face Amount		Amortized Cost		Value
		0.63%	May-2030	$	63,000	$	62,399	$	58,818
		0.63%	Aug-2030		30,000		29,784		27,920
		1.13%	Feb-2031		40,000		38,409		38,750
		1.25%	Apr-2028		65,000		64,819		64,965
		1.25%	Aug-2031		25,000		24,832		24,395
		1.50%	Feb-2030		35,000		36,536		35,233
		1.63%	May-2031		10,000		10,358		10,118
		1.75%	Nov-2029 - Aug-2041		45,000		44,962		45,165
		2.25%	May-2041		52,000		53,600		54,038
		2.88%	Aug-2028		10,000		9,864		11,048
Total United States Treasury Securities				$	375,000	$	375,563	$	370,450
Total Fixed-Income Investments				$	6,785,068	$	6,895,664	$	7,078,858

Schedule of Portfolio Investments

September 30, 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	$	—	$	(140	)
Total Equity Investment	$	1	$	—	$	(140	)

Schedule of Portfolio Investments

September 30, 2021 (dollars in thousands; unaudited)

Short-Term Investments (1.6% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Blackrock Federal Funds		0.03%	9	Oct-2021	$	113,327	$	113,327	$	113,327
Total Short-Term Investments					$	113,327	$	113,327	$	113,327
Total Investments					$	6,898,396	$	7,008,992	$	7,192,045

Schedule of Portfolio Investments

September 30, 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 $646.2 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	Federally tax-exempt bonds collateralized by Ginnie Mae securities.
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	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 annualized 1-day yield as of September 30, 2021.

Key to abbreviations

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