Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)              

FHA Permanent Securities (1.9% of net assets)

	Interest Rate			Maturity Date	Unfunded Commitments1		Face Amount		Amortized Cost		Value
Multifamily		2.50	%	Sep-2063	$	—	$	5,676	$	5,676	$	4,156
		3.65	%	Dec-2037		—		7,218		7,308		7,181
		3.72	%	Feb-2062		—		4,396		4,406		3,694
		3.90	%	Mar-2062		—		3,063		3,066		2,603
		4.00	%	Dec-2053		—		59,541		59,518		55,016
		4.10	%	Dec-2060		—		21,347		21,366		18,310
		4.70	%	May-2053		—		4,494		4,664		3,427
		5.17	%	Feb-2050		—		7,295		7,736		7,109
		5.60	%	Jun-2038		—		1,951		1,953		1,947
		5.80	%	Jan-2053		—		1,903		1,911		1,870
		5.87	%	May-2044		—		1,557		1,556		1,554
		5.89	%	Apr-2038		—		3,678		3,681		3,672
		6.40	%	Aug-2046		—		3,428		3,430		3,426
		6.60	%	Jan-2050		—		3,117		3,134		3,091
Total FHA Permanent Securities						—		128,664		129,405		117,056

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)

Ginnie Mae Securities (26.8% of net assets)

	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Single Family		4.00	%	Feb-2040 - Jun-2040	$	957	$	964	$	892
		4.50	%	Aug-2040		509		516		485
		5.50	%	Jan-2033 - Jun-2037		763		762		762
		6.00	%	Jan-2032 - Aug-2037		530		530		537
		6.50	%	Jul-2028		30		30		30
		7.00	%	Apr-2026 - Jan-2030		267		267		269
		7.50	%	Aug-2025 - Aug-2030		118		118		118
		8.00	%	Sep-2026 - Nov-2030		114		115		118
		8.50	%	Aug-2024 - Aug-2027		25		25		26
		9.00	%	Sep-2024 - Jun-2025		1		1		1
						3,314		3,328		3,238
Multifamily		1.90	%	Feb-2061		22,712		20,562		12,135
		1.95	%	Mar-2064		34,224		34,678		25,742
		1.95	%	Mar-2064		37,676		37,203		28,604
		2.00	%	Oct-2062		53,130		54,868		39,834
		2.00	%	Apr-2063		48,745		49,737		36,806
		2.00	%	Apr-2063		51,490		52,332		39,382
		2.00	%	Jul-2063		44,493		44,880		33,772
		2.00	%	Oct-2063		42,195		41,795		31,638
		2.00	%	Apr-2062-Mar-2064		301,644		305,025		223,166
		2.08	%	Nov-2056		51,133		53,011		39,895
		2.15	%	May-2056		440		440		428
		2.20	%	Jun-2056		845		843		800
		2.25	%	Dec-2048		2,867		2,847		2,618
		2.30	%	Mar-2056-Oct-2056		3,154		3,126		2,945
		2.31	%	Nov-2051		7,076		7,076		6,049
		2.32	%	Sep-2060		26,515		27,869		21,210
		2.35	%	Nov-2056-Feb-2061		28,360		29,171		23,319
		2.37	%	Jan-2053		22,500		22,639		19,693
		2.40	%	Aug-2047-Dec-2057		18,510		18,916		14,889
		2.45	%	Apr-2062		14,452		14,677		11,249
		2.50	%	Dec-2052-Jan-2061		53,318		54,095		43,785
		2.58	%	May-2063		28,371		29,254		22,465
		2.60	%	Dec-2055-Jun-2059		8,558		8,580		7,673
		2.62	%	Feb-2063		13,692		14,174		10,781
		2.64	%	Jan-2063		18,156		18,668		14,217
		2.65	%	Oct-2062		6,379		6,529		5,302
		2.67	%	Mar-2062		34,720		35,501		28,096
		2.70	%	May-2048-Jul-2058		4,934		4,935		4,676
		2.72	%	Feb-2044		97		98		94
		2.74	%	Apr-2057		23,390		25,298		19,338
		2.75	%	Apr-2063		21,546		22,406		17,135
		2.78	%	Aug-2058		10,460		11,324		8,671
		2.79	%	Apr-2049		4,459		4,494		4,069
		2.80	%	Feb-2053		60,000		57,362		43,982
		2.80	%	Dec-2059		4,518		4,460		4,319
		2.82	%	Apr-2050		759		771		714
		2.94	%	Nov-2059		46,686		51,681		38,329
		2.98	%	Jun-2063		31,638		32,736		25,723
		3.00	%	May-2062		59,245		63,825		49,387
		3.03	%	Jan-2056		29,590		31,388		25,626
		3.05	%	May-2054		11,545		11,589		9,941
		3.17	%	Aug-2059		33,747		37,153		28,648
		3.25	%	Sep-2054		17,408		17,275		16,352
		3.25	%	Apr-2059		32,150		30,963		30,202
		3.26	%	Nov-2043		105		105		104
		3.27	%	Apr-2046		23,665		24,828		19,593
		3.30	%	Sep-2060		7,602		7,780		6,668
		3.33	%	May-2055		6,793		6,472		5,919
		3.34	%	Sep-2059		16,564		16,858		14,501
		3.35	%	Mar-2044		9,841		9,508		9,446
		3.36	%	May-2061		50,657		56,022		43,228
		3.38	%	Jan-2060		57,843		57,849		51,096
		3.39	%	Feb-2059		13,864		14,114		12,257
		3.41	%	Sep-2061		41,133		42,650		35,415
		3.43	%	Nov-2061		51,888		53,432		44,618
		3.48	%	Sep-2052		2,881		2,969		2,682
		3.50	%	Jan-2054		3,307		3,292		3,251
		3.53	%	Apr-2042		15,165		15,553		14,017
		3.60	%	Jun-2057		13,251		13,679		12,299
		3.60	%	Apr-2061		33,274		34,296		28,636
		3.62	%	Dec-2057		27,744		28,192		25,124
		3.63	%	Dec-2045		8,429		8,155		8,120
		3.65	%	Oct-2058		9,999		10,138		9,169
		3.67	%	Nov-2035		12,427		12,703		11,650
		3.74	%	Aug-2059		15,217		15,489		13,622
		3.75	%	Nov-2060		11,033		11,359		9,675
		3.78	%	Aug-2060		38,621		38,886		34,112
		3.92	%	Aug-2039		38,417		40,080		36,032
		4.00	%	Nov-2057		24,242		25,195		21,632
		4.10	%	May-2051		3,701		3,973		3,556
		4.25	%	Sep-2038		29,063		29,162		28,934
		4.35	%	Dec-2060		2,241		2,280		2,106
		4.37	%	Feb-2034		23,005		24,793		21,355
		4.45	%	Jun-2055		2,428		2,345		2,420
		4.53	%	Jan-2061		14,569		14,992		13,738
		4.63	%2	Sep-2037		1,500		1,471		1,482
		4.90	%2	Mar-2044		1,000		992		950
		5.25	%	Apr-2037		15,670		15,666		15,631
						1,994,666		2,041,532		1,636,737
Total Ginnie Mae Securities					$	1,997,980	$	2,044,860	$	1,639,975

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                       

Ginnie Mae Construction Securities (1.2% of net assets)               

	Interest Rates3							Unfunded
	Permanent			Construction			Maturity Date	Commitments1		Face Amount		Amortized Cost		Value
Multifamily		2.25	%		4.10	%	Apr-2064	$	47,800	$	18,128	$	20,141	$	1,097
		2.59	%		3.59	%	Aug-2064		33,822		8,491		9,475		(2,421	)
		3.05	%		3.05	%	Dec-2063		61,795		42,950		43,993		32,468
		3.24	%		3.24	%	Jan-2064		7,637		18,794		19,332		13,883
		3.60	%		5.70	%	Dec-2063		259		4,649		4,816		4,087
		3.69	%		4.75	%	Nov-2063		4,327		8,176		8,346		6,430
		3.75	%		5.35	%	Jan-2064		290		5,512		5,706		4,864
		4.08	%		4.08	%	Feb-2064		7,534		7,893		8,236		6,068
		4.14	%		4.14	%	Sep-2063		308		10,889		11,092		9,526
									163,772		125,482		131,137		76,002
Forward Commitments		5.17	%		8.75	%	Aug-2065		11,250		—		123		(5	)
		5.90	%		5.90	%	Aug-2065		4,095		—		104		44
									15,345		—		227		39
Total Ginnie Mae Construction Securities								$	179,117	$	125,482	$	131,364	$	76,041

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                         

Fannie Mae Securities (44.7% of net assets)               

	Interest Rate4				Maturity Date	Unfunded Commitments1		Face Amount		Amortized Cost			Value
Single Family		2.50	%		May-2050 - Jan-2052	$	—	$	113,660	$	117,895	$	90,743
		2.50	%		Jan-2052		—		44,283		44,442		35,447
		3.00	%		Apr-2031 - Mar-2052		—		131,376		135,914		110,120
		3.00	%		Oct-2051		—		43,252		45,294		35,955
		3.50	%		Jan-2042 - Jan-2052		—		94,579		97,315		82,537
		3.50	%		Jan-2052		—		37,420		38,346		32,197
		3.87	%	Ref. 12M IBOR+162	Nov-2034		—		129		130		130
		4.00	%		Jul-2024 - Jul-2052		—		46,575		47,219		42,095
		4.00	%		Jun-2052		—		33,039		32,622		29,485
		4.27	%	Ref. 12M IBOR+152	Feb-2045		—		1,744		1,768		1,760
		4.50	%		May-2024 - Oct-2052		—		142,367		141,807		131,852
		4.77	%	Ref. 12M IBOR+155	Apr-2034		—		360		363		360
		4.86	%	Ref. 6M IBOR+161	Aug-2033		—		108		107		108
		4.92	%	Ref. 12M IBOR+169	Oct-2042		—		1,190		1,208		1,204
		5.00	%		May-2034 - Jun-2053		—		134,113		134,869		127,183
		5.23	%	1Y UST+223	May-2033		—		113		114		114
		5.50	%		Sep-2032 - Jul-2053		—		42,328		42,257		41,080
		5.60	%	1Y UST+220	Aug-2033		—		339		339		343
		5.68	%	1M SOFR+36	Mar-2037		—		95		95		93
		5.74	%	Ref. 12M IBOR+149	Jul-2033		—		99		99		100
		5.75	%	1M SOFR+43	Jun-2037		—		447		447		438
		5.83	%	1M SOFR+51	Apr-2037		—		216		216		211
		5.89	%	1M SOFR+57	Oct-2042		—		1,314		1,318		1,277
		5.93	%	1M SOFR+61	Jun-2042		—		2,971		2,973		2,893
		5.97	%	1Y UST+222	Jul-2033		—		242		242		245
		5.98	%	1M SOFR+66	Mar-2042		—		1,550		1,552		1,517
		6.00	%		Nov-2028 - Aug-2053		—		28,165		28,259		27,864
		6.03	%	1M SOFR+71	Oct-2043		—		3,092		3,103		3,021
		6.22	%	1Y UST+222	Aug-2033		—		160		160		162
		6.46	%	Ref. 6M IBOR+155	Nov-2033		—		623		623		630
		6.50	%		Sep-2028 - Jul-2036		—		235		239		243
		7.00	%		Sep-2027 - May-2032		—		397		398		408
		7.50	%		Mar-2030 - Jun-2030		—		4		4		4
		8.00	%		Aug-2030 - May-2031		—		30		30		31
							—		906,615		921,767		801,850
Multifamily		1.06	%		Dec-2027		—		21,077		21,081		17,758
		1.17	%		Aug-2030 - Nov-2030		—		34,339		34,341		26,221
		1.22	%		Aug-2028 - Jul-2030		—		35,610		35,685		28,166
		1.25	%		Jul-2030		—		37,950		38,039		29,282
		1.26	%		Jan-2031		—		25,000		24,996		19,374
		1.27	%		Jul-2030		—		14,235		14,306		11,033
		1.31	%		Aug-2030		—		4,333		4,377		3,392
		1.32	%		Aug-2030		—		21,000		21,197		16,410
		1.38	%		Jul-2030		—		10,500		10,601		8,201
		1.41	%		Jul-2030		—		3,186		3,209		2,540
		1.46	%		Jul-2030		—		7,288		7,359		5,839
		1.47	%		Jul-2030 - Dec-2030		—		15,425		15,521		11,776
		1.50	%		Aug-2030		—		1,128		1,147		902
		1.52	%		Jul-2032		—		14,158		14,250		10,633
		1.53	%		Jul-2032		—		10,500		10,621		7,933
		1.55	%		Jul-2032		—		20,435		20,670		15,571
		1.57	%		Aug-2037		—		46,301		46,477		30,915
		1.57	%		Jan-2031		—		21,950		22,004		17,226
		1.58	%		Oct-2031		—		57,950		58,153		43,318
		1.65	%		Jul-2030		—		1,221		1,242		989
		1.71	%		Sep-2035 - Nov-2035		—		25,605		25,856		17,544
		1.74	%		Mar-2033		—		6,160		6,227		4,547
		1.76	%		Aug-2031 - Dec-2036		—		53,229		53,362		40,887
		1.77	%		Sep-2035		—		3,270		3,326		2,256
		1.82	%		Jul-2035		—		4,526		4,557		3,280
		1.88	%		Nov-2031		—		25,400		25,427		19,479
		1.94	%		Apr-2035		—		6,400		6,482		4,736
		2.00	%		Apr-2031		—		18,000		18,466		14,362
		2.09	%		May-2032 - Jul-2050		—		21,792		22,007		15,112
		2.16	%		Sep-2050		—		14,200		14,348		7,408
		2.33	%		Nov-2029 - Feb-2030		—		17,833		17,862		15,036
		2.41	%		Apr-2051		—		3,662		3,697		2,401
		2.43	%		Nov-2031		—		18,655		18,661		15,110
		2.46	%		Aug-2026 - Jan-2038		—		55,975		56,048		46,193
		2.47	%		Dec-2051		—		13,192		13,367		8,738
		2.49	%		Dec-2026 - Nov-2031		—		26,800		26,837		23,265
		2.53	%		Jan-2030		—		20,550		20,640		17,276
		2.55	%		Sep-2026 - Mar-2030		—		25,230		25,274		22,424
		2.56	%		Jul-2038 - Dec-2051		—		24,137		24,166		16,864
		2.57	%		Mar-2042		—		25,155		25,165		16,431
		2.61	%		Nov-2026		—		9,800		9,823		8,995
		2.67	%		Aug-2029		—		37,700		37,887		33,011
		2.70	%		Nov-2025		—		14,080		14,081		13,316
		2.76	%		Oct-2031		—		10,189		10,288		8,612
		2.85	%		Aug-2031		—		8,760		8,792		7,357
		2.91	%		Jun-2031		—		25,000		25,081		21,309
		2.92	%		Apr-2028		—		15,270		15,293		13,882
		2.92	%		Jun-2027		—		64,401		64,420		59,442
		2.93	%		Apr-2038		—		35,767		35,786		27,325
		2.94	%		Jun-2027 - Jul-2039		—		28,995		29,018		26,827
		2.96	%		Sep-2034		—		20,000		20,563		15,792
		2.97	%		Sep-2034		—		12,826		12,977		10,559
		2.99	%		Jun-2025		—		2,501		2,501		2,396
		3.00	%		May-2027		—		6,215		6,219		5,735
		3.01	%		Apr-2052		—		7,325		7,330		5,192
		3.02	%		Jun-2027		—		3,531		3,533		3,272
		3.03	%		Sep-2027		—		22,755		22,793		21,056
		3.04	%		Apr-2030		—		24,490		24,523		21,689
		3.05	%		Apr-2030		—		25,191		25,202		22,338
		3.12	%		Apr-2030		—		12,386		12,388		10,960
		3.13	%		May-2026		—		3,115		3,127		2,967
		3.14	%		Apr-2029		—		7,454		7,460		6,746
		3.17	%		Jun-2029		—		22,345		22,404		20,087
		3.18	%		May-2035		—		8,703		8,778		7,681
		3.21	%		May-2030		—		6,291		6,330		5,599
		3.24	%		May-2052		—		6,360		6,484		4,648
		3.30	%		May-2029		—		3,532		3,614		3,241
		3.31	%		Oct-2027		—		14,747		14,779		13,720
		3.36	%		Oct-2029		—		10,287		10,289		9,379
		3.40	%		Oct-2026		—		2,674		2,675		2,535
		3.42	%		Apr-2035		—		4,927		4,973		4,204
		3.46	%		Apr-2031		—		12,666		12,711		11,171
		3.50	%		Aug-2039		—		13,060		13,060		10,511
		3.63	%		Jul-2035		—		20,939		20,958		18,017
		3.66	%		Oct-2023		—		4,208		4,208		4,191
		3.68	%		Jul-2028		—		11,813		12,066		10,923
		3.70	%		Oct-2033		—		19,865		19,922		17,533
		3.91	%		Aug-2032		—		26,250		26,525		23,761
		4.05	%		Jun-2030		—		10,632		10,515		9,918
		4.11	%		Aug-2032		—		15,627		15,693		14,238
		4.31	%		Jun-2033		—		8,587		8,613		7,977
		4.32	%		Mar-2028		—		41,708		41,825		39,767
		4.37	%		Jun-2033		—		21,805		21,831		20,371
		4.39	%		Feb-2030		—		21,148		21,094		19,864
		4.48	%		Jul-2030		—		20,915		20,915		20,001
		4.52	%		Sep-2033		—		11,361		11,252		10,724
		4.55	%		Jul-2030		—		10,699		10,722		10,274
		4.56	%		Feb-2028		—		29,835		29,895		28,741
		4.69	%		Feb-2030 - Jun-2035		—		19,350		19,398		18,624
		4.74	%		Sep-2033		—		13,405		13,441		12,884
		4.76	%		Sep-2030		—		7,757		7,760		7,555
		4.80	%		Oct-2052		—		12,341		12,378		10,783
		4.82	%		Jul-2030		—		4,860		4,864		4,744
		4.86	%		Jun-2033		—		10,000		10,081		9,496
		4.88	%		Jul-2030		—		11,665		11,866		11,421
		4.96	%		Aug-2033		—		3,465		3,465		3,440
		4.99	%		Apr-2033		—		22,738		23,068		21,820
		5.00	%		Sep-2033		—		15,366		15,402		15,152
		5.06	%		Dec-2032		—		46,805		48,332		46,202
		5.13	%		Sep-2028		—		14,584		14,770		14,538
		5.30	%		Aug-2029 - Sep-2033		—		7,076		7,137		7,102
		5.35	%		Dec-2032		—		11,954		12,618		12,047
		5.51	%	1M SOFR+20	Nov-2031		—		40,943		40,947		40,046
		5.52	%	1M SOFR+21	Mar-2031		—		23,855		23,855		23,361
		5.53	%	1M SOFR+22	Mar-2031		—		10,075		10,075		9,893
		5.60	%	1M SOFR+29	Feb-2029		—		20,000		20,004		19,590
		5.69	%		Jun-2041		—		4,105		4,182		4,097
		5.72	%	1M SOFR+40	Feb-2028		—		30,135		30,135		29,665
		5.74	%	1M SOFR+42	Mar-2028		—		37,954		37,954		37,385
		5.75	%		Jun-2041		—		1,994		2,037		1,993
		5.77	%	1M SOFR+45	Jan-2028		—		22,425		22,425		22,120
		5.78	%	1M SOFR+46	Dec-2027		—		17,821		17,821		17,589
		5.78	%	1M SOFR+47	Jun-2029		—		70,000		70,015		69,944
		5.80	%	1M SOFR+49	May-2032		—		28,526		28,529		28,604
		5.83	%	1M SOFR+52	Jun-2032		—		30,975		30,975		30,987
		5.91	%	1M SOFR+60	Apr-2034		—		24,904		24,370		24,428
		5.96	%		Jan-2029		—		193		193		192
		6.01	%	1M SOFR+69	May-2029		—		17,364		17,368		17,383
		6.01	%	1M SOFR+69	Jun-2029		—		41,302		41,302		41,352
		6.16	%	1M SOFR+85	Nov-2032		—		15,800		15,804		15,800
							—		2,231,829		2,240,838		1,948,919
Forward Commitments		2.21	%		Dec-2039		41,587		—		—		(13,229)
		2.58	%		Jan-2040		11,700		—		—		(3,312)
		2.59	%		Feb-2039 - Mar-2039		35,409		—		—		(9,748)
		2.72	%		Jul-2040		27,794		—		278		(7,958)
		4.47	%		Jul-2041		10,058		—		—		(1,359)
							126,548		—		278		(35,606)
When Issued5		5.52	%		Oct-2033		—		3,860		3,960		3,909
		5.16	%		Oct-2030		—		7,899		7,978		7,866
		5.05	%		Oct-2030		—		14,596		14,671		14,448
							—		26,355		26,609		26,223
Total Fannie Mae Securities						$	126,548	$	3,164,799	$	3,189,492	$	2,741,386

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)

Freddie Mac Securities (8.2% of net assets)

	Interest Rate4				Maturity Date	Unfunded Commitments1		Face Amount		Amortized Cost			Value
Single Family		2.50	%		Jan-2043 - Aug-2046	$	—	$	5,446	$	5,501	$	4,435
		3.00	%		Aug-2042 - Sep-2046		—		22,387		22,741		19,409
		3.50	%		Jan-2026 - Oct-2046		—		41,187		41,972		36,552
		4.00	%		Nov-2024 - Aug-2047		—		39,144		40,469		35,623
		4.46	%	1Y UST+223	Oct-2033		—		132		131		133
		4.50	%		Jan-2038 - Dec-2044		—		10,615		10,991		10,132
		5.00	%		Jun-2026 - Mar-2041		—		1,631		1,629		1,610
		5.35	%	1Y UST+223	Jun-2033		—		29		29		29
		5.50	%		Apr-2033 - Jul-2038		—		1,525		1,523		1,529
		5.73	%	1M SOFR+41	Feb-2036		—		219		219		216
		5.76	%	1M SOFR+44	May-2037		—		67		67		65
		5.78	%	1M SOFR+46	Jan-2043 - Apr-2036		—		1,993		1,994		1,926
		5.83	%	1M SOFR+51	Aug-2043		—		1,808		1,808		1,751
		5.91	%	1M SOFR+59	Oct-2040		—		1,377		1,376		1,332
		5.93	%	1M SOFR+61	Oct-2040 - Jun-2044		—		4,912		4,913		4,783
		5.98	%	1M SOFR+66	Nov-2040		—		1,246		1,253		1,217
		6.00	%		Dec-2033 - Oct-2037		—		2,123		2,139		2,158
		6.02	%	Ref. 12M IBOR+178	Jul-2035		—		92		92		93
		6.10	%	1M SOFR+78	Aug-2037		—		1,525		1,536		1,516
		6.50	%		Apr-2028 - Nov-2037		—		274		275		282
		7.00	%		Apr-2028 - Mar-2030		—		14		14		15
		7.50	%		Aug-2029 - Apr-2031		—		13		13		15
		8.50	%		Jul-2024		—		5		5		5
							—		137,764		140,690		124,826
Multifamily		2.04	%		May-2050		—		19,799		20,243		12,292
		2.40	%		Jun-2031		—		7,444		7,508		6,179
		2.42	%		Jun-2031		—		11,768		11,881		9,783
		3.28	%		Dec-2029		—		15,621		15,728		14,065
		3.34	%		Dec-2029		—		9,266		9,344		8,366
		3.35	%		Oct-2033		—		33,450		33,345		29,737
		3.50	%		Jan-2026		—		17,747		17,767		17,025
		3.60	%		Apr-2030		—		24,212		24,605		22,048
		3.68	%		Oct-2025		—		10,000		10,025		9,591
		4.19	%		Jul-2033		—		13,015		11,993		11,913
		4.25	%		Jan-2028		—		93,650		92,710		89,449
		4.36	%		Dec-2029		—		9,198		9,143		8,745
		4.83	%		Jan-2039		—		9,958		10,052		9,343
		4.90	%		Dec-2032		—		10,207		10,185		9,714
		5.51	%	1M SOFR+20	Aug-2031		—		23,345		23,345		22,890
		5.54	%	1M SOFR+23	Jul-2027		—		3,879		3,880		3,866
		5.55	%	1M SOFR+24	Nov-2027 - Jun-2031		—		61,140		61,142		60,183
		5.56	%	1M SOFR+25	Dec-2030		—		14,299		14,299		14,179
		5.61	%	1M SOFR+30	Dec-2030		—		12,249		12,249		12,135
		5.67	%	1M SOFR+36	Oct-2030		—		6,219		6,219		6,163
		5.69	%	1M SOFR+37	Nov-2030		—		8,849		8,849		8,798
		5.76	%	1M SOFR+44	Oct-2030		—		3,524		3,524		3,501
							—		418,839		418,036		389,965
Forward Commitments		2.38	%		Feb-2034		43,500		—		163		(8,933)
		3.86	%		May-2040		27,450		—		—		(4,023)
							70,950		—		163		(12,956)
Total Freddie Mac Securities						$	70,950	$	556,603	$	558,889	$	501,835

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                           

State Housing Finance Agency Securities (7.0% of net assets)

		Interest Rates3
	Issuer	Permanent			Construction			Maturity Date	Face Amount		Amortized Cost		Value
Multifamily	Illinois Housing Development Auth		—			0.40	%	Dec-2024	$	470	$	470	$	452
	Mass Housing		—			0.50	%	Dec-2023		3,810		3,810		3,788
	City of St. Louis Park, MN		—			2.93	%	Jan-2026		20,577		20,575		20,259
	Illinois Housing Development Auth		2.06	%		—		Jan-2042		27,175		27,178		17,455
	Illinois Housing Development Auth		2.07	%		—		Jul-2041		84,895		84,894		55,902
	Mass Housing		2.60	%		—		Jun-2063		26,375		26,375		13,758
	Illinois Housing Development Auth		2.65	%		—		Jul-2062		21,455		21,484		12,957
	NYC Housing Development Corp		2.95	%		—		Nov-2041 - Nov-2045		11,275		11,275		8,963
	NYC Housing Development Corp		3.05	%		—		Nov-2046		13,000		13,000		7,968
	NYC Housing Development Corp		3.10	%		—		Oct-2046		20,237		20,238		15,961
	NYC Housing Development Corp		3.25	%		—		May-2050		11,965		11,990		8,664
	Connecticut Housing Finance Auth		3.25	%		—		Nov-2049		10,240		10,240		7,146
	Mass Housing6		3.30	%		—		Dec-2059		8,340		8,345		5,355
	NYC Housing Development Corp		3.35	%		—		Nov-2054		20,000		20,000		13,705
	NYC Housing Development Corp		3.45	%		—		May-2059		20,000		20,000		13,705
	NYC Housing Development Corp		3.75	%		—		May-2035		3,200		3,200		2,936
	Mass Housing6		3.85	%		—		Dec-2058		9,450		9,448		6,667
	NYC Housing Development Corp		3.95	%		—		Nov-2043		12,800		12,800		10,886
	NYC Housing Development Corp		4.00	%		—		Dec-2028 - Nov-2048		14,315		14,418		13,018
	MassHousing		4.13	%		—		Dec-2036		5,000		5,000		4,681
	NYC Housing Development Corp		4.13	%		—		Nov-2040 - Nov-2053		13,305		13,305		11,587
	NYC Housing Development Corp		4.20	%		—		Dec-2039		8,305		8,305		7,549
	NYC Housing Development Corp		4.30	%		—		Nov-2045		3,000		3,000		2,673
	Chicago Housing Authority		4.36	%		—		Jan-2038		25,000		25,000		21,329
	MassHousing		4.50	%		—		Jun-2056		45,000		45,000		39,582
	MassHousing		4.50	%		—		Dec-2065		30,060		30,092		25,162
	Mass Housing6		4.90	%		—		Jun-2066		26,645		26,682		24,362
	Mass Housing6		5.11	%		—		Jun-2066		53,425		53,466		50,716
Total State Housing Finance Agency Securities									$	549,319	$	549,590	$	427,186

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                                   

Other Mutifamily Investments (4.9% of net assets)

		Interest Rates3,4							Maturity	Unfunded				Amortized
	Issuer	Permanent			Construction				Date	Commitments1		Face Amount		Cost			Value
Direct Loans	Wilder Square (Level 3)		—			3.25	%		Mar-2024		—		8,023		8,022			7,921
	University and Fairview (Level 3)		—			3.45	%		Jun-2024		—		14,998		14,976			14,884
	University and Fairview (Level 3)		—			3.45	%		Dec-2023		—		22,511		22,458			22,079
	Peregrine Apartments (Level 3)		—			3.60	%		Jun-2024 - Dec-2024		4,860		22,934		22,887			21,924
	The Crest Apartments (Level 3)		—			3.75	%		Dec-2023 - Jun-2024		1,873		11,442		11,404			11,160
	Ladder 260 - Tax Exempt (Level 3)		—			4.04	%		Nov-2025		3,637		4,525		4,529			4,180
	99 Ocean (Level 3)		—			4.05	%		Oct-2024		4,393		47,607		47,349			45,912
	Hudson Exchange (Level 3)		—			5.50	%		Jun-2027		42,857		7,143		7,030			7,353
	53 Colton Street (Level 3)		—			6.95	%	Prime Rate-105	Dec-2023		—		16,017		16,011			15,918
	Soul (Level 3)		—			7.07	%	1M SOFR+225	Apr-2025		13,695		11,055		10,881			10,833
	53 Colton Street (Level 3)		—			7.15	%	Prime Rate-85	Dec-2023		272		1,770		1,762			1,757
	San Cristina (Level 3)		—			7.42	%	1M SOFR+260	Sep-2024		6,671		10,801		10,710			10,723
	18 Sixth Ave at Pacific Park (Level 3)		—			7.35	%	1M Term SOFR+231	Dec-2024		2,829		14,393		14,376			14,281
	18 Sixth Ave at Pacific Park (Level 3)		—			7.35	%	1M Term SOFR+231	Dec-2024		6,666		76,112		76,008			75,574
	311 W 42nd Street (Level 3)		—			8.22	%	1M Term SOFR+311	Nov-2024		28,675		21,325		21,166			21,401
	Granada (Level 3)		—			11.17	%	1M SOFR+635	Jan-2024		—		13,000		12,990			12,951
											116,428		303,656		302,559			298,851
Forward Commitments	Soul (Level 3)		—			7.67	%	1M SOFR+285	Apr-2025		12,501		—		(101	)		(16	)
											12,501		—		(101	)		(16	)
Privately Insured Construction/Permanent Mortgages7	Illinois Housing Development Auth		6.20	%		—			Dec-2047		—		2,820		2,828			2,799
	Illinois Housing Development Auth		6.40	%		—			Nov-2048		—		860		869			854
											—		3,680		3,697			3,653
Total Other Multifamily Investments										$	128,929	$	307,336	$	306,155		$	302,488

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                 

Commercial Mortgage-Backed Securities (0.8% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Citigroup		3.62	%	Jul-2047	$	8,000	$	8,154	$	7,832
Barclays/ JP Morgan		3.80	%	Jul-2047		2,250		2,293		2,199
Deutsche Bank/UBS		3.96	%	Mar-2047		5,000		5,096		4,966
Barclays/ JP Morgan		4.00	%	Apr-2047		3,792		3,866		3,749
Cantor/Deutsche Bank		4.01	%	Apr-2047		20,000		20,388		19,828
Barclays/ JP Morgan		4.08	%	Feb-2047		6,825		7,079		6,762
Cantor/Deutsche Bank		4.24	%	Feb-2047		5,768		5,878		5,730
Total Commercial Mortgage Backed Securities					$	51,635	$	52,754	$	51,066

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                 

United States Treasury Securities (3.8% of net assets)

Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
	1.75	%	Aug-2041	$	20,000	$	19,493	$	12,436
	2.00	%	Nov-2041		7,000		6,670		4,535
	2.25	%	May-2041		42,000		43,249		28,777
	2.38	%	Feb-2042		15,000		15,285		10,352
	2.88	%	May-2032		15,000		14,897		13,165
	3.00	%	Aug-2052		20,000		18,159		14,551
	3.63	%	Feb-2053		10,000		9,694		8,259
	3.88	%	Feb-2043		105,000		105,194		91,291
	4.00	%	Nov-2042		15,000		14,764		13,299
	4.13	%	Aug-2053		40,000		37,005		36,301
Total United States Treasury Securities				$	289,000	$	284,410	$	232,966
Total Fixed-Income Investments				$	7,170,818	$	7,246,919	$	6,089,999

Schedule of Portfolio Investments

Septebmer 30 2023 (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	$	—	$	499
Total Equity Investment	$	1	$	—	$	499

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                   

Short-Term Investments (0.7% of net assets)

Issuer	Interest Rate			Maturity Date	Face Amount		Amortized Cost		Value
Commercial Paper
Halkin Finance		5.33	%9	Oct-2023	$	40,000	$	39,994	$	39,994
Blackrock Federal Funds		5.24	%10	Oct-2023		667		667		667
Total Short-Term Investments					$	40,667	$	40,661	$	40,661
Total Investments					$	7,211,486	$	7,287,581	$	6,131,159

Schedule of Portfolio Investments

Septebmer 30 2023 (dollars in thousands; unaudited)                 

Futures Contracts (Notional Amount 1.6% of net assets)

								Unrealized
	Number							Appreciation
Description	of Contracts		Expiration Date	Notional Amount		Market Value		(Depreciation)
Futures Long
CBOT Ultra 10-Year U.S. Treasury		875	Dec-2023	$	100,686	$	97,617	$	(3,068	)
Total Futures Contracts								$	(3,068	)

Schedule of Portfolio Investments

September 30, 2023

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 $505.5 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 effective yield at the time of purchase.

10 Rate indicated is the annualized 1-day yield as of September 29, 2023.

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

Item 1. Schedule of Investments

(Schedule of Investments)

 NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited

As of September 30, 2023

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 (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 determined as of the close of regular trading (normally 4:00 p.m.) of the New York Stock Exchange on the last business day of each calendar month. The HIT’s Board of Trustees is responsible for the valuation process. The HIT’s Board of Trustees has designated the officers of the HIT that comprise the HIT’s Valuation Committee as the “valuation designee” to perform fair valuations of the HIT’s investments pursuant to Rule 2a-5 under the Investment Company Act. The Valuation Committee, in accordance with the policies and procedures approved by the HIT’s Board of Trustees, is also 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 at market price as supplied by a third-party pricing vendor. 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 deemed unreliable or for which prices from independent pricing services are not available are valued at their fair value determined in good faith by the HIT’s Valuation Committee, as valuation designee, pursuant to procedures approved by the HIT’s Board of Trustees. In determining fair market value, the Valuation Committee will employ a valuation method that it believes reflects fair value for that asset, which may include the use of 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, 2023 the Valuation Committee fair valued less than 0.01% of the HIT’s net assets utilizing internally derived unobservable inputs.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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 approved by the HIT’s Board of Trustees, which approximates its respective carrying value.

The following table presents the HIT’s valuation levels as of September 30, 2023:

Investment Securities: ($ in thousands)	Level 1		Level 2		Level 3		Total
FHA Permanent Securities	$	-	$	117,056	$	-	$	117,056
Ginnie Mae Securities		-		1,639,975		-		1,639,975
Ginnie Mae Construction Securities		-		76,002		-		76,002
Fannie Mae Securities		-		2,750,769		-		2,750,769
Freddie Mac Securities		-		514,791		-		514,791
Commercial Mortgage-Backed Securities		-		51,066		-		51,066
State Housing Finance Agency Securities		-		427,186		-		427,186
Other Multifamily Investments
Direct Loans		-		-		298,851		298,851
Privately Insured Construction/Permanent Mortgages		-		3,653		-		3,653
Total Other Multifamily Investments		-		3,653		298,851		302,504
United States Treasury Securities		-		232,966		-		232,966
Equity Investments		-		-		499		499
Short-Term Investments		40,661		-		-		17,668
Other Financial Instruments1		-		(22,300)		(16)		(22,316)
Total Investment	$	40,661	$	5,791,164	$	299,334	$	6,131,159

Derivative Investments:	Level 1		Level 2	Level 3	Total
Assets
Futures Contracts2	$	(3,068)	-	-	$	(3,068)
Total Derivative Investments	$	(3,068)	-	-	$	(3,068)

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

2. Amounts shown represent unrealized appreciation (depreciation) at period end as presented in the Schedule of Investments. Only initial margin and variation margin on exchange-traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.

The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended September 30, 2023.

	Investments in Securities ($ in thousands)
	Other Multifamily Investments			Equity Investments		Other Financial Instruments			Total
Beginning balance,12/31/2022	$	217,373		$	236	$	(174	)	$	217,435
Cost of Purchases		90,119			—		—			90,119
Paydowns/Settlements		(12,249	)		—		—			(12,249	)
Total Unrealized Gain(Loss)(a)		3,608			263		158			4,029
Ending balance, 9/30//2023	$	298,851		$	499	$	(16	)	$	299,334

^(a)Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2023 totaled $4,029,000 and is included in the Statement of Operations.

For the nine months ended Sepember 30, 2023, there were no transfers in levels.

Level 3 securities primarily consist of Direct Loans which were valued by an independent pricing service at September 30, 2023, utilizing a discounted cash flow model. Weighted average lives for the loans ranged from 0.17 to 3.71. Unobservable inputs include spreads to relevant U.S. Treasuries ranging from 471 to 554 basis points. A change in unobservable inputs may impact the value of the loans.

Federal Income Taxes

At September 30, 2023, investments for federal income tax purposes approximated book cost at amortized cost of $7,287,581,000.  Net unrealized losses aggregated $1,156,422,000 at period-end, of which $1,578,000 related to appreciated investments and $1,158,000,000 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, 2023, 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, 12/31/2022	$500
Advances in 2023	27
Repayment by HIT Advisers in 2023	—
Ending Balance, 9/30/2023	$527

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, 12/31/2022	$100
Advances in 2023	948
Repayment by BACDE in 2023	(853)
Ending Balance, 9/30/2023	$195

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, 2023
Assets		$2,334
Liabilities		$1,835
Equity		$499
For the nine months ended September 30, 2023
Income		$1,344
Expenses		(955)
Tax Expense		(112)
Net Income (Loss)		$277