# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-26-011426
**Filing Date:** 2026-3
**Character Count:** 119990
**Document Hash:** b62ec75ae29d814558701abb134a14ff
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-011426.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0000940400-26-011426

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND IV
- **CENTRAL INDEX KEY:** 0001517936

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22559
- **FILM NUMBER:** 26792228

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630-765-8000

**MAIL ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187

## Series and Classes Contracts Data

### First Trust Long Duration Opportunities ETF (Series ID: S000064087)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000207230 | First Trust Long Duration Opportunities ETF | LGOV            |

## Nport-Ex

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 78.7%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 78.7%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 78.7%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 78.7%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 78.7%** |
|  | **Collateralized Mortgage Obligations — 56.0%** | **Collateralized Mortgage Obligations — 56.0%** | **Collateralized Mortgage Obligations — 56.0%** |  |
|  | FARM Mortgage Trust |  |  |  |
| $3750000 | &nbsp;&nbsp;&nbsp; Series 2024-1, Class A2 (a) (b) | 4.68% | 10/01/53 | $3467252 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3250000 | &nbsp;&nbsp;&nbsp; Series 2024-2, Class A2 (a) (b) | 5.18% | 08/01/54 | 3049577 |
|  | Federal Home Loan Mortgage Corporation |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3932064 | &nbsp;&nbsp;&nbsp; Series 2015-4471, Class JB | 3.50% | 09/15/43 | 3395798 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6346652 | &nbsp;&nbsp;&nbsp; Series 2015-4499, Class CZ | 3.50% | 08/15/45 | 5618920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4870586 | &nbsp;&nbsp;&nbsp; Series 2017-4680, Class YZ | 3.50% | 05/15/47 | 4424953 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4442000 | &nbsp;&nbsp;&nbsp; Series 2017-4738, Class TY | 3.00% | 12/15/47 | 3623226 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4752762 | &nbsp;&nbsp;&nbsp; Series 2019-4924, Class XB | 3.00% | 10/25/49 | 3557606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7873488 | &nbsp;&nbsp;&nbsp; Series 2021-5135, Class BZ | 2.50% | 08/25/51 | 5102519 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3763647 | &nbsp;&nbsp;&nbsp; Series 2021-5140, Class ZD | 2.00% | 08/25/51 | 2320822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13150586 | &nbsp;&nbsp;&nbsp; Series 2021-5179, Class GZ | 2.00% | 01/25/52 | 7826952 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17992268 | &nbsp;&nbsp;&nbsp; Series 2022-5202, Class ZN | 3.00% | 05/25/51 | 12687391 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6489033 | &nbsp;&nbsp;&nbsp; Series 2022-5204, Class HZ | 2.50% | 03/25/52 | 4123835 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13338822 | &nbsp;&nbsp;&nbsp; Series 2022-5213, Class DB | 3.00% | 04/25/52 | 11798188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7445000 | &nbsp;&nbsp;&nbsp; Series 2022-5224, Class HL | 4.00% | 04/25/52 | 6968533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6289942 | &nbsp;&nbsp;&nbsp; Series 2022-5243, Class ZB | 3.50% | 06/15/43 | 5245743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22713707 | &nbsp;&nbsp;&nbsp; Series 2023-5299, Class ZA | 3.00% | 03/25/52 | 16901806 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Seasoned Loans <br> Structured Transaction Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp; Series 2024-2, Class A2 (a) | 3.25% | 10/25/34 | 8949126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12000000 | &nbsp;&nbsp;&nbsp; Series 2025-1, Class A2 | 3.00% | 05/25/35 | 10450698 |
|  | Federal National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1145455 | &nbsp;&nbsp;&nbsp; Series 2005-74, Class NZ | 6.00% | 09/25/35 | 1227055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24884355 | &nbsp;&nbsp;&nbsp; Series 2012-134, Class ZC | 2.50% | 12/25/42 | 19866858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1570549 | &nbsp;&nbsp;&nbsp; Series 2013-19, Class ZD | 3.50% | 03/25/43 | 1441794 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6203000 | &nbsp;&nbsp;&nbsp; Series 2013-95, Class PY | 3.00% | 09/25/43 | 4994591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4701181 | &nbsp;&nbsp;&nbsp; Series 2015-89, Class CZ | 4.00% | 08/25/45 | 4438000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7208539 | &nbsp;&nbsp;&nbsp; Series 2016-94, Class MB | 2.50% | 12/25/46 | 5848174 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3216566 | &nbsp;&nbsp;&nbsp; Series 2018-76, Class ZL | 4.00% | 10/25/58 | 2999422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2371015 | &nbsp;&nbsp;&nbsp; Series 2018-84, Class ZM | 4.00% | 11/25/48 | 2246803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2800000 | &nbsp;&nbsp;&nbsp; Series 2021-91, Class DB | 2.50% | 01/25/42 | 2290074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8614108 | &nbsp;&nbsp;&nbsp; Series 2022-22, Class HZ | 2.50% | 05/25/52 | 6105849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1568199 | &nbsp;&nbsp;&nbsp; Series 2023-44, Class PO, PO | (c) | 10/25/53 | 1310550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10896938 | &nbsp;&nbsp;&nbsp; Series 2023-59, Class CZ | 2.50% | 11/25/49 | 7807389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15500000 | &nbsp;&nbsp;&nbsp; Series 2024-6, Class AL | 2.00% | 03/25/44 | 12108341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11179596 | &nbsp;&nbsp;&nbsp; Series 2024-20, Class QZ | 4.00% | 10/25/45 | 10202864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10983477 | &nbsp;&nbsp;&nbsp; Series 2024-20, Class ZA | 4.00% | 10/25/45 | 10028719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4983774 | &nbsp;&nbsp;&nbsp; Series 2024-20, Class ZQ | 4.00% | 10/25/45 | 4464852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11294129 | &nbsp;&nbsp;&nbsp; Series 2024-26, Class PO, PO | (c) | 05/25/54 | 8911295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14101619 | &nbsp;&nbsp;&nbsp; Series 2025-40, Class EZ | 4.50% | 11/25/48 | 12086378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11863476 | &nbsp;&nbsp;&nbsp; Series 2025-44, Class CZ | 3.50% | 07/25/50 | 9748592 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1869000 | &nbsp;&nbsp;&nbsp; Series 2010-61, Class KE | 5.00% | 05/16/40 | 1886011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7463272 | &nbsp;&nbsp;&nbsp; Series 2014-94, Class Z | 4.50% | 01/20/44 | 7356259 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2332507 | &nbsp;&nbsp;&nbsp; Series 2015-164, Class MZ | 3.00% | 09/20/45 | 1837485 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp; Series 2016-83, Class BP | 3.00% | 06/20/46 | 5068116 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4777122 | &nbsp;&nbsp;&nbsp; Series 2016-111, Class PB | 2.50% | 08/20/46 | 3625859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11400322 | &nbsp;&nbsp;&nbsp; Series 2018-53, Class BZ | 3.50% | 04/20/48 | 10120779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3510000 | &nbsp;&nbsp;&nbsp; Series 2022-30, Class AL | 3.00% | 02/20/52 | 2521843 |

---

------

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Government National Mortgage Association (Continued) |  |  |  |
| $13475374 | &nbsp;&nbsp;&nbsp; Series 2022-124, Class MY | 3.50% | 07/20/52 | $11716369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10147137 | &nbsp;&nbsp;&nbsp; Series 2022-128, Class PN | 4.00% | 07/20/52 | 8966240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4775400 | &nbsp;&nbsp;&nbsp; Series 2022-137, Class JY | 4.00% | 08/20/52 | 4249538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3200000 | &nbsp;&nbsp;&nbsp; Series 2022-139, Class AL | 4.00% | 07/20/51 | 2924853 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13700000 | &nbsp;&nbsp;&nbsp; Series 2023-81, Class YD | 4.00% | 06/20/53 | 12363631 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17318353 | &nbsp;&nbsp;&nbsp; Series 2023-164, Class AZ | 3.00% | 01/20/52 | 12646075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5291786 | &nbsp;&nbsp;&nbsp; Series 2024-1, Class ZE | 4.00% | 01/20/44 | 4899869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7967636 | &nbsp;&nbsp;&nbsp; Series 2024-1, Class ZH | 5.00% | 05/20/46 | 8091742 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10426916 | &nbsp;&nbsp;&nbsp; Series 2024-43, Class EZ | 3.50% | 04/20/52 | 8309557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 19619614 | &nbsp;&nbsp;&nbsp; Series 2024-59, Class Z | 1.25% | 07/20/50 | 11421084 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3090515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-83, Class SB, (30 Day Average SOFR) ×-2.50+ <br> 14.50% (d) | 5.24% | 05/20/55 | 3026244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2707128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-95, Class DC, (30 Day Average SOFR) ×-2.50+ <br> 14.63% (d) | 5.37% | 05/20/55 | 2552998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4684360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-98, Class SX, (30 Day Average SOFR) ×-1.80+ <br> 10.44% (d) | 3.77% | 06/20/55 | 4359286 |
|  |  |  |  | 375584383 |
|  | **Commercial Mortgage-Backed Securities — 8.7%** | **Commercial Mortgage-Backed Securities — 8.7%** | **Commercial Mortgage-Backed Securities — 8.7%** |  |
|  | Federal Home Loan Mortgage Corporation Multiclass Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4722428 | &nbsp;&nbsp;&nbsp; Series 2020-RR14, Class X, IO (b) | 2.13% | 03/27/34 | 606199 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Multifamily Structured <br> Pass Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3727000 | &nbsp;&nbsp;&nbsp; Series 2018-K155, Class A3 | 3.75% | 04/25/33 | 3584126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1936000 | &nbsp;&nbsp;&nbsp; Series 2019-K095, Class XAM, IO (b) | 1.23% | 06/25/29 | 77263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2050000 | &nbsp;&nbsp;&nbsp; Series 2019-K1510, Class A3 | 3.79% | 01/25/34 | 1954889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 16990154 | &nbsp;&nbsp;&nbsp; Series 2019-K1511, Class X1, IO (b) | 0.77% | 03/25/34 | 753140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 485000 | &nbsp;&nbsp;&nbsp; Series 2019-K1512, Class A3 | 3.06% | 04/25/34 | 438502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1800000 | &nbsp;&nbsp;&nbsp; Series 2019-K1514, Class A2 | 2.86% | 10/25/34 | 1594088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9960382 | &nbsp;&nbsp;&nbsp; Series 2020-K111, Class XAM, IO (b) | 1.80% | 05/25/30 | 693105 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7550000 | &nbsp;&nbsp;&nbsp; Series 2020-K120, Class XAM, IO (b) | 1.21% | 10/25/30 | 382553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7574965 | &nbsp;&nbsp;&nbsp; Series 2020-K1515, Class X1, IO (b) | 1.51% | 02/25/35 | 727561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18147826 | &nbsp;&nbsp;&nbsp; Series 2020-K1516, Class X1, IO (b) | 1.50% | 05/25/35 | 1911801 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2142000 | &nbsp;&nbsp;&nbsp; Series 2020-K1517, Class A2 | 1.72% | 07/25/35 | 1704843 |
| &nbsp;&nbsp;&nbsp;&nbsp; 43905275 | &nbsp;&nbsp;&nbsp; Series 2021-K129, Class X1, IO (b) | 1.03% | 05/25/31 | 1802114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 25500000 | &nbsp;&nbsp;&nbsp; Series 2021-K131, Class XAM, IO (b) | 0.94% | 07/25/31 | 1178893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2570000 | &nbsp;&nbsp;&nbsp; Series 2021-K1519, Class A2 | 2.01% | 12/25/35 | 2057064 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; Series 2021-K1520, Class A2 | 2.44% | 02/25/36 | 4151210 |
| &nbsp;&nbsp; 186944000 | &nbsp;&nbsp;&nbsp; Series 2022-K140, Class XAM, IO (b) | 0.29% | 01/25/32 | 3047552 |
| &nbsp;&nbsp; 120764827 | &nbsp;&nbsp;&nbsp; Series 2023-K153, Class X1, IO (b) | 0.44% | 12/25/32 | 3470419 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; Series 2023-KG08, Class A2 | 4.13% | 05/25/33 | 4917971 |
| &nbsp;&nbsp;&nbsp;&nbsp; 37000000 | &nbsp;&nbsp;&nbsp; Series 2024-K165, Class XAM, IO (b) | 0.91% | 09/25/34 | 2502954 |
| &nbsp;&nbsp; 116051000 | &nbsp;&nbsp;&nbsp; Series 2024-K167, Class XAM, IO (b) | 0.37% | 11/25/34 | 3400004 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; Series 2024-KJ52, Class A2 | 4.76% | 01/25/32 | 5083582 |
|  | &nbsp;&nbsp; Federal National Mortgage Association Alternative Credit <br> Enhancement Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 13539594 | &nbsp;&nbsp;&nbsp; Series 2024-M3, Class Z (b) | 4.55% | 04/25/53 | 11069408 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 946746 | &nbsp;&nbsp;&nbsp; Series 2020-159, Class Z (e) | 2.50% | 10/16/62 | 340722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 519453 | &nbsp;&nbsp;&nbsp; Series 2020-197, Class Z (b) | 2.25% | 10/16/62 | 159121 |

---

------

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** |  |
|  | Government National Mortgage Association (Continued) |  |  |  |
| $223487 | &nbsp;&nbsp;&nbsp; Series 2021-4, Class Z (b) | 2.00% | 09/16/62 | $59889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 961377 | &nbsp;&nbsp;&nbsp; Series 2021-28, Class Z (b) | 2.00% | 10/16/62 | 290221 |
|  |  |  |  | 57959194 |
|  | **Pass-Through Securities — 14.0%** | **Pass-Through Securities — 14.0%** | **Pass-Through Securities — 14.0%** |  |
|  | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation |
| &nbsp;&nbsp;&nbsp;&nbsp; 1122185 | &nbsp;&nbsp;&nbsp; Pool QB1397  | 2.50% | 07/01/50 | 955518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11497286 | &nbsp;&nbsp;&nbsp; Pool SD7509  | 3.00% | 11/01/49 | 10411137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15814450 | &nbsp;&nbsp;&nbsp; Pool SD7550  | 3.00% | 02/01/52 | 14348091 |
|  | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp;&nbsp;&nbsp; 15049925 | &nbsp;&nbsp;&nbsp; Pool AL9394  | 3.00% | 11/01/46 | 13566715 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4819199 | &nbsp;&nbsp;&nbsp; Pool BM7421  | 2.00% | 03/01/51 | 3822090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3750357 | &nbsp;&nbsp;&nbsp; Pool FM9134  | 3.00% | 06/01/51 | 3415720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13382479 | &nbsp;&nbsp;&nbsp; Pool FM9712  | 3.50% | 11/01/50 | 12638364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6823850 | &nbsp;&nbsp;&nbsp; Pool FS2459  | 3.00% | 02/01/52 | 6214119 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7483656 | &nbsp;&nbsp;&nbsp; Pool MA4025  | 2.50% | 05/01/50 | 6251703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7500000 | &nbsp;&nbsp;&nbsp; Pool TBA  | 3.00% | 02/15/56 | 6648747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 3.00% | 03/15/56 | 2214296 |
|  | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp;&nbsp; 15882471 | &nbsp;&nbsp;&nbsp; Pool MA7192  | 2.00% | 02/20/51 | 13229796 |
|  |  |  |  | 93716296 |
|  | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | 527259873 |
|  | (Cost $520,861,423) | (Cost $520,861,423) | (Cost $520,861,423) |  |
| **U.S. GOVERNMENT BONDS AND NOTES — 16.0%** | **U.S. GOVERNMENT BONDS AND NOTES — 16.0%** | **U.S. GOVERNMENT BONDS AND NOTES — 16.0%** | **U.S. GOVERNMENT BONDS AND NOTES — 16.0%** | **U.S. GOVERNMENT BONDS AND NOTES — 16.0%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 13100000 | U.S. Treasury Bond  | 2.25% | 08/15/46 | 8604039 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7400000 | U.S. Treasury Bond  | 3.00% | 02/15/47 | 5559539 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | U.S. Treasury Bond  | 2.75% | 08/15/47 | 4989688 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | U.S. Treasury Bond  | 2.75% | 11/15/47 | 7103516 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | U.S. Treasury Bond  | 3.00% | 02/15/48 | 5936875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5300000 | U.S. Treasury Bond  | 3.00% | 08/15/48 | 3912270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | U.S. Treasury Bond  | 3.00% | 02/15/49 | 1836035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | U.S. Treasury Bond  | 2.25% | 08/15/49 | 3750938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8750000 | U.S. Treasury Bond, STRIPS  | (c) | 02/15/34 | 6243964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | U.S. Treasury Bond, STRIPS  | (c) | 11/15/34 | 1375542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | U.S. Treasury Bond, STRIPS  | (c) | 02/15/35 | 1355532 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9000000 | U.S. Treasury Bond, STRIPS  | (c) | 05/15/35 | 6030110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4500000 | U.S. Treasury Bond, STRIPS  | (c) | 08/15/35 | 2973562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | U.S. Treasury Bond, STRIPS  | (c) | 02/15/36 | 3860661 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | U.S. Treasury Bond, STRIPS  | (c) | 05/15/36 | 3810768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | U.S. Treasury Bond, STRIPS  | (c) | 02/15/37 | 3047317 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | U.S. Treasury Bond, STRIPS  | (c) | 02/15/39 | 1903707 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11700000 | U.S. Treasury Bond, STRIPS  | (c) | 08/15/39 | 6184816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | U.S. Treasury Bond, STRIPS  | (c) | 11/15/39 | 3127894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | U.S. Treasury Bond, STRIPS  | (c) | 05/15/40 | 2022286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | U.S. Treasury Bond, STRIPS  | (c) | 11/15/40 | 982816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5175000 | U.S. Treasury Bond, STRIPS  | (c) | 02/15/41 | 2504335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | U.S. Treasury Bond, STRIPS  | (c) | 08/15/41 | 1641237 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13500000 | U.S. Treasury Bond, STRIPS  | (c) | 11/15/41 | 6248013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | U.S. Treasury Bond, STRIPS  | (c) | 02/15/42 | 2274687 |

---

------

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT BONDS AND NOTES (Continued)** | **U.S. GOVERNMENT BONDS AND NOTES (Continued)** | **U.S. GOVERNMENT BONDS AND NOTES (Continued)** | **U.S. GOVERNMENT BONDS AND NOTES (Continued)** | **U.S. GOVERNMENT BONDS AND NOTES (Continued)** |
| $2000000 | U.S. Treasury Bond, STRIPS  | (c) | 05/15/42 | $917590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | U.S. Treasury Bond, STRIPS  | (c) | 08/15/42 | 2258605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | U.S. Treasury Bond, STRIPS  | (c) | 11/15/42 | 2223157 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | U.S. Treasury Bond, STRIPS  | (c) | 05/15/43 | 2111180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6300000 | U.S. Treasury Bond, STRIPS  | (c) | 08/15/43 | 2682129 |
|  | **Total U.S. Government Bonds and Notes** | **Total U.S. Government Bonds and Notes** | **Total U.S. Government Bonds and Notes** | 107472808 |
|  | (Cost $108,196,083) | (Cost $108,196,083) | (Cost $108,196,083) |  |
| **U.S. GOVERNMENT AGENCY SECURITIES — 3.2%** | **U.S. GOVERNMENT AGENCY SECURITIES — 3.2%** | **U.S. GOVERNMENT AGENCY SECURITIES — 3.2%** | **U.S. GOVERNMENT AGENCY SECURITIES — 3.2%** | **U.S. GOVERNMENT AGENCY SECURITIES — 3.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6329000 | Tennessee Valley Authority  | 4.25% | 09/15/52 | 5377055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | Tennessee Valley Authority  | 5.25% | 02/01/55 | 5959001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | Tennessee Valley Authority  | 5.38% | 04/01/56 | 10139193 |
|  | **Total U.S. Government Agency Securities** | **Total U.S. Government Agency Securities** | **Total U.S. Government Agency Securities** | 21475249 |
|  | (Cost $22,195,309) | (Cost $22,195,309) | (Cost $22,195,309) |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **EXCHANGE-TRADED FUNDS — 0.2%** | **EXCHANGE-TRADED FUNDS — 0.2%** | **EXCHANGE-TRADED FUNDS — 0.2%** |
|  | **Capital Markets — 0.2%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60000 | First Trust Intermediate Government Opportunities ETF (g) | 1230000 |
|  | (Cost $1,187,753) |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Maturity**<br>| **Value** |
| **U.S. TREASURY BILLS — 1.8%** | **U.S. TREASURY BILLS — 1.8%** | **U.S. TREASURY BILLS — 1.8%** | **U.S. TREASURY BILLS — 1.8%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | U.S. Treasury Bill <br> (c) | 02/03/26 | 2999701 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | U.S. Treasury Bill <br> (c) | 02/10/26 | 4996033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | U.S. Treasury Bill <br> (c) | 02/17/26 | 1996992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | U.S. Treasury Bill <br> (c) | 02/19/26 | 1996604 |
|  | **Total U.S. Treasury Bills** | **Total U.S. Treasury Bills** | 11989330 |
|  | (Cost $11,988,164) | (Cost $11,988,164) |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 1200809 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 3.56% (h) | 1200809 |
|  | (Cost $1,200,809) |  |
|  | **Total Investments — 100.1%** | 670628069 |
|  | (Cost $665,629,541) |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of** <br>**Contracts**<br>| **Description** | **Notional** <br>**Amount**<br>| **Exercise** <br>**Price**<br>| **Expiration** <br>**Date**<br>| **Value** |
| **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** |
|  | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | U.S. 2-Year Treasury Futures Call | $20849219 | $105.13 | 02/20/26 | 1563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 | U.S. 2-Year Treasury Futures Call | 35026688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.00 | 02/20/26 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | U.S. 2-Year Treasury Futures Call | 20864063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104.50 | 05/22/26 | 37500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | U.S. 2-Year Treasury Futures Call | 20864063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105.00 | 05/22/26 | 17188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | U.S. 5-Year Treasury Futures Call | 5446484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.25 | 02/20/26 | 1953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | U.S. 10-Year Treasury Futures Call | 5591406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112.00 | 02/20/26 | 17187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | U.S. 10-Year Treasury Futures Call | 5582813 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114.00 | 05/22/26 | 18750 |

---

------

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts**<br>| **Description** | **Notional**<br> **Amount**<br>| **Exercise**<br> **Price**<br>| **Expiration**<br> **Date**<br>| **Value** |
| **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** |
|  | **Call Options Purchased (Continued)** | **Call Options Purchased (Continued)** | **Call Options Purchased (Continued)** | **Call Options Purchased (Continued)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | U.S. Treasury Long Bond Futures Call | $5756250 | $118.00 | 02/20/26 | $10156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | U.S. Treasury Long Bond Futures Call | 9745781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118.00 | 03/27/26 | 49141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | U.S. Treasury Long Bond Futures Call | 5732813 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121.00 | 05/22/26 | 30469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | U.S. Treasury Long Bond Futures Call | 11465625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125.00 | 05/22/26 | 26562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | Ultra U.S. Treasury Long Bond Futures Call | 3523125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120.00 | 02/20/26 | 12187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | Ultra U.S. Treasury Long Bond Futures Call | 5871875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121.00 | 02/20/26 | 12500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | Ultra U.S. Treasury Long Bond Futures Call | 5871875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124.00 | 02/20/26 | 4688 |
|  | **Total Call Options Purchased** | **Total Call Options Purchased** | **Total Call Options Purchased** | **Total Call Options Purchased** | 239844 |
|  | (Cost $359,832) | (Cost $359,832) | (Cost $359,832) | (Cost $359,832) |  |
|  | **Put Options Purchased — 0.0%** | **Put Options Purchased — 0.0%** | **Put Options Purchased — 0.0%** | **Put Options Purchased — 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | U.S. 5-Year Treasury Futures Put | 10892969 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.00 | 02/20/26 | 2344 |
|  | (Cost $16,668) |  |  |  |  |
|  | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | 242188 |
|  | (Cost $376,500) | (Cost $376,500) | (Cost $376,500) | (Cost $376,500) |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (15.2)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (15.2)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (15.2)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (15.2)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (15.2)%** |
|  | **Pass-Through Securities — (15.2)%** | **Pass-Through Securities — (15.2)%** | **Pass-Through Securities — (15.2)%** |  |
|  | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |  |
| $(5000000) | &nbsp;&nbsp;&nbsp; Pool TBA  | 4.50% | 03/15/56 | (4892810)<br>|
| (10000000) | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 3.00% | 04/15/56 | (8854839)<br>|
| &nbsp;&nbsp;&nbsp; (7500000) | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 3.50% | 04/15/56 | (6919835)<br>|
| (22500000) | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 4.00% | 04/15/56 | (21449904)<br>|
| (10000000) | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 4.50% | 04/15/56 | (9774682)<br>|
| (50000000) | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 5.00% | 04/15/56 | (49872944)<br>|
|  | **Total Investments Sold Short — (15.2)%** | **Total Investments Sold Short — (15.2)%** | **Total Investments Sold Short — (15.2)%** | (101765014)<br>|
|  | (Proceeds $101,807,785) | (Proceeds $101,807,785) | (Proceeds $101,807,785) |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of** <br>**Contracts**<br>| **Description** | **Notional** <br>**Amount**<br>| **Exercise** <br>**Price**<br>| **Expiration** <br>**Date**<br>| **Value** |
| **WRITTEN OPTIONS — (0.1)%** | **WRITTEN OPTIONS — (0.1)%** | **WRITTEN OPTIONS — (0.1)%** | **WRITTEN OPTIONS — (0.1)%** | **WRITTEN OPTIONS — (0.1)%** | **WRITTEN OPTIONS — (0.1)%** |
|  | **Call Options Written — (0.0)%** | **Call Options Written — (0.0)%** | **Call Options Written — (0.0)%** | **Call Options Written — (0.0)%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (71) | 3 Month SOFR Futures Call | $(17163363)<br>| $97.50 | 12/10/27 | (22188)<br>|
|  | (Premiums received $47,026) |  |  |  |  |
|  | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (100) | 3 Month SOFR Futures Put | (24173750)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95.00 | 12/10/27 | (11250)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (71) | 3 Month SOFR Futures Put | (17163363)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95.50 | 12/10/27 | (13313)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (61) | 3 Month SOFR Futures Put | (14745988)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96.00 | 12/10/27 | (21731)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (100) | U.S. 5-Year Treasury Futures Put | (10888281)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.00 | 05/22/26 | (33594)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (100) | U.S. 5-Year Treasury Futures Put | (10888281)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.25 | 05/22/26 | (41406)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (50) | U.S. 10-Year Treasury Futures Put | (5582813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109.50 | 05/22/26 | (17188)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (150) | U.S. 10-Year Treasury Futures Put | (16748438)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.50 | 05/22/26 | (91406)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (125) | U.S. Treasury Long Bond Futures Put | (14332031)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.00 | 05/22/26 | (48828)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (100) | U.S. Treasury Long Bond Futures Put | (11465625)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107.00 | 05/22/26 | (48438)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (150) | U.S. Treasury Long Bond Futures Put | (17198438)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.00 | 05/22/26 | (91406)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (100) | U.S. Treasury Long Bond Futures Put | (11465625)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109.00 | 05/22/26 | (76562)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (50) | U.S. Treasury Long Bond Futures Put | (5732813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 05/22/26 | (47656)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (50) | U.S. Treasury Long Bond Futures Put | (5732813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111.00 | 05/22/26 | (58594)<br>|

---

------

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts**<br>| **Description** | **Notional**<br> **Amount**<br>| **Exercise**<br> **Price**<br>| **Expiration**<br> **Date**<br>| **Value** |
| **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** |
|  | **Put Options Written (Continued)** | **Put Options Written (Continued)** | **Put Options Written (Continued)** | **Put Options Written (Continued)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (50) | U.S. Treasury Long Bond Futures Put | $(5709375)<br>| $106.00 | 08/21/26 | $(40625)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (25) | Ultra U.S. Treasury Long Bond Futures Put | (2935938)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114.00 | 02/20/26 | (7422)<br>|
|  | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | (649419)<br>|
|  | (Premiums received $796,691) | (Premiums received $796,691) | (Premiums received $796,691) | (Premiums received $796,691) |  |
|  | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | (671607)<br>|
|  | (Premiums received $843,717) | (Premiums received $843,717) | (Premiums received $843,717) | (Premiums received $843,717) |  |
|  | **Net Other Assets and Liabilities — 15.2%** | **Net Other Assets and Liabilities — 15.2%** | **Net Other Assets and Liabilities — 15.2%** | **Net Other Assets and Liabilities — 15.2%** | 101877199 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $670310835 |

---

**Futures Contracts at January 31, 2026:**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Long** | **Number of** <br>**Contracts**<br>| **Expiration** <br>**Date**<br>| **Notional** <br>**Value**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)/** <br>**Value**<br>|
| U.S. 2-Year Treasury Notes | 101 | Mar-2026 | &nbsp;&nbsp; $21057711 | &nbsp;&nbsp; $4513 |
| U.S. 5-Year Treasury Notes | 1533 | Mar-2026 | &nbsp;&nbsp; 166989212 | &nbsp;&nbsp; (727280)<br>|
| U.S. 10-Year Treasury Notes | 1265 | Mar-2026 | &nbsp;&nbsp; 141462578 | &nbsp;&nbsp; (1441017)<br>|
| Ultra U.S. Treasury Bond Futures | 1012 | Mar-2026 | &nbsp;&nbsp; 118846750 | &nbsp;&nbsp; (1586534)<br>|
|  |  |  | &nbsp;&nbsp; $448356251 | &nbsp;&nbsp; $(3750318)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Short** |  |  |  |  |
| U.S. Treasury Long-Term Bond Futures | 916 | Mar-2026 | &nbsp;&nbsp; $(105454500)<br>| &nbsp;&nbsp; $1447973 |
| Ultra 10-Year U.S. Treasury Notes | 1657 | Mar-2026 | &nbsp;&nbsp; (189156906)<br>| &nbsp;&nbsp; 1960335 |
|  |  |  | &nbsp;&nbsp; $(294611406)<br>| &nbsp;&nbsp; $3408308 |
|  |  | &nbsp;&nbsp; Total | &nbsp;&nbsp; $153744845 | &nbsp;&nbsp; $(342010)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) This security, sold within the terms of a private placement memorandum, is exempt
 from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions
 exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund's advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific
 factors and assumptions, which require subjective judgment. At January 31, 2026, securities noted as such amounted to $15,465,955
 or 2.3% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment's underlying collateral. The interest rate resets periodically.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Zero coupon security.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Inverse floating rate security.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Weighted Average Coupon security. Coupon is based on the blended interest rate of
 the underlying holdings, which may have different coupons. The coupon may change in any period.

&nbsp;&nbsp;&nbsp;&nbsp;(f) All or a portion of this security is part of a mortgage dollar roll agreement.

&nbsp;&nbsp;&nbsp;&nbsp;(g) Investment in an affiliated fund.

&nbsp;&nbsp;&nbsp;&nbsp;(h) Rate shown reflects yield as of January 31, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| IO | – Interest-Only Security - Principal amount shown represents par value on which interest payments are based |
| PO | – Principal-Only Security |
| SOFR | – Secured Overnight Financing Rate |
| STRIPS | – Separate Trading of Registered Interest and Principal of Securities |
| TBA | – To-Be-Announced Security |

---

------

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

------

**Valuation Inputs**

The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment.

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| U.S. Government Agency Mortgage-Backed Securities | &nbsp;&nbsp; $527259873 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $527259873 | &nbsp;&nbsp;&nbsp;&nbsp; $— |
| U.S. Government Bonds and Notes | &nbsp;&nbsp; 107472808 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 107472808 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| U.S. Government Agency Securities | &nbsp;&nbsp; 21475249 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21475249 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Exchange-Traded Funds\* | &nbsp;&nbsp; 1230000 | &nbsp;&nbsp;&nbsp;&nbsp; 1230000 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| U.S. Treasury Bills | &nbsp;&nbsp; 11989330 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11989330 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Money Market Funds | &nbsp;&nbsp; 1200809 | &nbsp;&nbsp;&nbsp;&nbsp; 1200809 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Investments | &nbsp;&nbsp; 670628069 | &nbsp;&nbsp;&nbsp;&nbsp; 2430809 | &nbsp;&nbsp;&nbsp;&nbsp; 668197260 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Purchased Options | &nbsp;&nbsp; 242188 | &nbsp;&nbsp;&nbsp;&nbsp; 242188 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Futures Contracts | &nbsp;&nbsp; 3412821 | &nbsp;&nbsp;&nbsp;&nbsp; 3412821 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total | &nbsp;&nbsp; $674283078 | &nbsp;&nbsp;&nbsp;&nbsp; $6085818 | &nbsp;&nbsp;&nbsp;&nbsp; $668197260 | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| &nbsp;&nbsp; U.S. Government Agency Mortgage-Backed Securities <br> Sold Short<br>| &nbsp;&nbsp; $(101765014)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(101765014)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— |
| Written Options | &nbsp;&nbsp; (671607)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (671607)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Futures Contracts | &nbsp;&nbsp; (3754831)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (3754831)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total | &nbsp;&nbsp; $(106191452)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(4426438)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(101765014)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for industry breakout.

------

**First Trust Long Duration Opportunities ETF (LGOV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

------

**Affiliated Transactions**

Amounts relating to investments in affiliated funds at January 31, 2026, and for the fiscal year-to-date period (November 1, 2025 to January 31, 2026) are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Security Name | Shares at <br>1/31/2026<br>| Value at <br>10/31/2025<br>| Purchases | Sales | Change in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Realized <br>Gain <br>(Loss)<br>| Value at <br>1/31/2026<br>| Dividend <br>Income<br>|
| &nbsp;&nbsp;&nbsp; First Trust Intermediate Government <br> Opportunities ETF<br>| 60000 | $1234200 | $— | $— | $(4200)<br>| $— | $1230000 | $15300 |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** First Trust Exchange-Traded Fund IV

- **b. Investment Company Act file number:** 811-22559

- **c. CIK number of Registrant:** 0001517936

- **d. LEI of Registrant:** 5493006CBTW7P2B31B80

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 120 East Liberty Drive

  - **City:** Wheaton

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60187

  - **Telephone number:** 630-765-8000

**Item A.2. Information about the Series.**

- **a. Name of Series:** First Trust Long Duration Opportunities ETF

- **b. EDGAR series identifier (if any):** S000064087

- **c. LEI of Series:** 54930081NDDOB374EM36

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $973226335.88

**Total Liabilities:** $302871500.87

**Net Assets:** $670354835.01

**Stand-by Commitments:** $11116536.47

**Cash Not Reported:** $6982465.03

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.07398000 | **1-Year:** 4950.79455000 | **5-Year:** 59467.02926000 | **10-Year:** 328292.92355000 | **30-Year:** 60025.80315000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 3338.85429000 | **10-Year:** 3389.99354000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000207230 | 1.13%                | -1.19%               | 0.36%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-72497.89               | $5034258.76                                |
| Month 2  | $175249.83               | $-10240382.90                              |
| Month 3  | $-299707.15              | $606594.16                                 |

**Designated Index Information**

- **Index Name:** BLOOMBERG BARCLAYS U.S. TREASURY: LONG:USD:Total Return (50%) BLOOMBERG BARCLAYS U.S. TREASURY: 5-10 YR:USD:Total Return (50%)

- **Index Identifier:** LUTLTRUU Index & LT51TRUU Index

### Schedule of Portfolio Investments

| Name                                                  | Title                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | ULTRA U.S. TREASURY BOND                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -25 | NC      | $-7421.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -100 | NC      | $-76562.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H25R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3763647 | PA      | $2320822.04   | 0.35%             | 2051-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38385GPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3090515 | PA      | $3026244.35   | 0.45%             | 2055-05-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137BJGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3932064 | PA      | $3395797.71   | 0.51%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38379CA89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7463272 | PA      | $7356259.38   | 1.10%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H6M51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 186944000 | PA      | $3047551.74   | 0.45%             | 2032-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38379FDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2332507 | PA      | $1837484.98   | 0.27%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38381NPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4684360 | PA      | $4359285.51   | 0.65%             | 2055-06-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $1836035.15   | 0.27%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $2022285.92   | 0.30%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38379XMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $5068116.00   | 0.76%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -150 | NC      | $-91406.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16990154 | PA      | $753139.56    | 0.11%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38380RHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519453 | PA      | $159120.63    | 0.02%             | 2062-10-16      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H13R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43905275 | PA      | $1802113.98   | 0.27%             | 2031-05-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11700000 | PA      | $6184816.09   | 0.92%             | 2039-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                             | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11497286 | PA      | $10411136.74  | 1.55%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1355532.24   | 0.20%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7445000 | PA      | $6968532.66   | 1.04%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H64E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17992268 | PA      | $12687391.45  | 1.89%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BRVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11294129 | PA      | $8911294.95   | 1.33%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38383T5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13475374 | PA      | $11716368.75  | 1.75%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -100 | NC      | $-48437.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38380RCF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946746 | PA      | $340722.37    | 0.05%             | 2062-10-16      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3810767.76   | 0.57%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $6030110.16   | 0.90%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136B3GG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3216566 | PA      | $2999422.45   | 0.45%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F030645<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -10000000 | PA      | $-8854839.40  | -1.32%            | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                              | CUSIP: 3140XDYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13382479 | PA      | $12638364.23  | 1.89%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F030637<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2214295.83   | 0.33%             | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H9U56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22713707 | PA      | $16901805.77  | 2.52%             | 2052-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BRT64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11179596 | PA      | $10202863.97  | 1.52%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H9PD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 120764827 | PA      | $3470418.85   | 0.52%             | 2032-12-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -125 | NC      | $-48828.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SLST                                    | Seasoned Loans Structured Transaction Trust Series 2024-2    | CUSIP: 35564CN45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8949126.00   | 1.33%             | 2034-10-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137FPGS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4752762 | PA      | $3557605.85   | 0.53%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136B3MR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2371015 | PA      | $2246802.64   | 0.34%             | 2048-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3200000 | PA      | $2924853.12   | 0.44%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13100000 | PA      | $8604039.13   | 1.28%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                         | United States Treasury Bill                                  | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2999701.50   | 0.45%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BRX77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4983774 | PA      | $4464851.89   | 0.67%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                              | CUSIP: 31418DPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7483656 | PA      | $6251702.78   | 0.93%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834EV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3127894.44   | 0.47%             | 2039-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FL2M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2050000 | PA      | $1954889.23   | 0.29%             | 2034-01-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       100 | NC      | $26562.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37000000 | PA      | $2502953.80   | 0.37%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137BYCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4870586 | PA      | $4424953.13   | 0.66%             | 2047-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                        | FARM 2024-1 Mortgage Trust                                   | CUSIP: 30335JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3467252.25   | 0.52%             | 2053-10-01      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $2973562.20   | 0.44%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137FC6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4442000 | PA      | $3623226.13   | 0.54%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5175000 | PA      | $2504335.21   | 0.37%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38384D2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17318353 | PA      | $12646074.65  | 1.89%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BWCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11863476 | PA      | $9748592.11   | 1.45%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8750000 | PA      | $6243964.30   | 0.93%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $982815.66    | 0.15%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $30468.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H6BS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6489033 | PA      | $4123835.44   | 0.62%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -10000000 | PA      | $-9774682.40  | -1.46%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38383F4Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3510000 | PA      | $2521843.39   | 0.38%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FG6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3727000 | PA      | $3584126.20   | 0.53%             | 2033-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25500000 | PA      | $1178893.05   | 0.18%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                         | United States Treasury Bill                                  | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1996603.78   | 0.30%             | 2026-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F72T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7550000 | PA      | $382553.22    | 0.06%             | 2030-10-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38384H3U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5291786 | PA      | $4899869.27   | 0.73%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137BKYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6346652 | PA      | $5618919.70   | 0.84%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38383UAF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10147137 | PA      | $8966239.58   | 1.34%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        85 | NC      | $49140.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FMTT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485000 | PA      | $438502.32    | 0.07%             | 2034-04-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38379YU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4777122 | PA      | $3625859.48   | 0.54%             | 2046-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -50000000 | PA      | $-49872944.00 | -7.44%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3860661.06   | 0.58%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18147826 | PA      | $1911800.91   | 0.29%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $3047316.55   | 0.45%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                              | CUSIP: 3140JCG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4819199 | PA      | $3822090.55   | 0.57%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7574965 | PA      | $727560.97    | 0.11%             | 2035-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                             | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15814450 | PA      | $14348091.14  | 2.14%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F042632<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -5000000 | PA      | $-4892809.95  | -0.73%            | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $10156.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38384MJ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19619614 | PA      | $11421083.73  | 1.70%             | 2050-07-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1375541.88   | 0.21%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                             | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122185 | PA      | $955517.98    | 0.14%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 116051000 | PA      | $3400004.17   | 0.51%             | 2034-11-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7400000 | PA      | $5559539.04   | 0.83%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5083581.50   | 0.76%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38385GUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2707128 | PA      | $2552997.99   | 0.38%             | 2055-05-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                         | United States Treasury Bill                                  | CUSIP: 912797SR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1996991.66   | 0.30%             | 2026-02-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38384H6T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7967636 | PA      | $8091742.14   | 1.21%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | US LONG BOND(CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -916 | NC      | $1447972.47   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 10 YEAR U.S. TREASURY NOTE                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -150 | NC      | $-91406.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | ULTRA U.S. TREASURY BOND                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $4687.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 10 YEAR U.S. TREASURY NOTE                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $-17187.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 10 YEAR U.S. TREASURY NOTE                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $18750.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 10 YEAR U.S. TREASURY NOTE                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $17187.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | US 10YR NOTE (CBT)                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1265 | NC      | $-1441016.84  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 2 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       100 | NC      | $17187.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 2 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       100 | NC      | $37500.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 2 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       168 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 2 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       100 | NC      | $1562.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | US 2YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       101 | NC      | $4513.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                      | THREE-MONTH SOFR                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -61 | NC      | $-21731.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | ULTRA U.S. TREASURY BOND                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $12500.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                      | THREE-MONTH SOFR                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -100 | NC      | $-11250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                      | THREE-MONTH SOFR                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -71 | NC      | $-13312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                      | THREE-MONTH SOFR                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -71 | NC      | $-22187.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 5 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -100 | NC      | $-33593.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 5 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -100 | NC      | $-41406.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 5 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       100 | NC      | $2343.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | 5 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $1953.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | US 5YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1533 | NC      | $-727280.16   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38380RSB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223487 | PA      | $59888.61     | 0.01%             | 2062-09-16      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BK3V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2290073.80   | 0.34%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | ULTRA U.S. TREASURY BOND                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        30 | NC      | $12187.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3750937.50   | 0.56%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9960382 | PA      | $693105.13    | 0.10%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FYTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4151209.50   | 0.62%             | 2036-02-25      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 31394FED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1145455 | PA      | $1227054.80   | 0.18%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BRX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10983477 | PA      | $10028719.24  | 1.50%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                   | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6000000 | PA      | $5959001.52   | 0.89%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                        | Freddie Mac Multiclass Certificates Series 2020-RR14         | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4722428 | PA      | $606199.19    | 0.09%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2142000 | PA      | $1704843.08   | 0.25%             | 2035-07-25      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38380V6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11400322 | PA      | $10120778.76  | 1.51%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $1641236.66   | 0.24%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | US ULTRA BOND CBT                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1012 | NC      | $-1586533.89  | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                              | CUSIP: 3136BRLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13539594 | PA      | $11069407.69  | 1.65%             | 2053-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BQXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10896938 | PA      | $7807389.08   | 1.16%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136AAWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24884355 | PA      | $19866857.98  | 2.96%             | 2042-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38383UA34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4775400 | PA      | $4249538.20   | 0.63%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F040644<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -22500000 | PA      | $-21449903.63 | -3.20%            | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                   | CUSIP: 880591EY4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6329000 | PA      | $5377054.54   | 0.80%             | 2052-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $4989687.50   | 0.74%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1936000 | PA      | $77263.44     | 0.01%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                              | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15049925 | PA      | $13566715.13  | 2.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $2274687.00   | 0.34%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | US 10YR ULTRA                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1657 | NC      | $1960335.44   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834AU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $1903707.33   | 0.28%             | 2039-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38377FDG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1869000 | PA      | $1886010.89   | 0.28%             | 2040-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                         | United States Treasury Bill                                  | CUSIP: 912797SQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4996032.80   | 0.75%             | 2026-02-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                    | Seasoned Loans Structured Transaction Trust Series 2025-1    | CUSIP: 35564CUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10450698.00  | 1.56%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136AQYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4701181 | PA      | $4437999.64   | 0.66%             | 2045-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136AULL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7208539 | PA      | $5848173.80   | 0.87%             | 2046-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H6X83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13338822 | PA      | $11798188.06  | 1.76%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $5936875.04   | 0.89%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15500000 | PA      | $12108341.15  | 1.81%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HAD86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4917971.00   | 0.73%             | 2033-05-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $-40625.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                              | CUSIP: 3140XDEG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3750357 | PA      | $3415720.22   | 0.51%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H1RD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7873488 | PA      | $5102519.14   | 0.76%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136ACLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1570549 | PA      | $1441794.40   | 0.22%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                           | United States Treasury Strip Principal                       | CUSIP: 912803DX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $917589.70    | 0.14%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Ginnie Mae II Pool                                           | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15882471 | PA      | $13229795.57  | 1.97%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834MM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $2111180.30   | 0.31%             | 2043-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38384BJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13700000 | PA      | $12363630.76  | 1.84%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38384KNP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10426916 | PA      | $8309556.81   | 1.24%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H84M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6289942 | PA      | $5245743.16   | 0.78%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $3912269.52   | 0.58%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $-58593.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIP PRINC                                           | United States Treasury Strip Principal                       | CUSIP: 912803DZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $2223157.15   | 0.33%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $6648746.85   | 0.99%             | 2056-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                        | FARM 2024-2 Mortgage Trust                                   | CUSIP: 307910AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3049577.05   | 0.45%             | 2054-08-01      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                              | MSILF Treasury Portfolio                                     | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |   1200809 | NS      | $1200809.11   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                                | United States Treasury Strip Coupon                          | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13500000 | PA      | $6248013.44   | 0.93%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                           | CUSIP: 3137H4YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13150586 | PA      | $7826952.45   | 1.17%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                              | CUSIP: 3140XHWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6823850 | PA      | $6214118.84   | 0.93%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1594088.28   | 0.24%             | 2034-10-25      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                   | CUSIP: 880591DZ2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $10139193.00  | 1.51%             | 2056-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                        | Government National Mortgage Association                     | CUSIP: 38380RXV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    961377 | PA      | $290221.20    | 0.04%             | 2062-10-16      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.           | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $-47656.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BWGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14101619 | PA      | $12086377.77  | 1.80%             | 2048-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BML30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8614108 | PA      | $6105848.91   | 0.91%             | 2052-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                             | Fannie Mae or Freddie Mac                                    | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -7500000 | PA      | $-6919834.88  | -1.03%            | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                           | United States Treasury Strip Principal                       | CUSIP: 912803DY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $2258605.30   | 0.34%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136BQLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1568199 | PA      | $1310549.85   | 0.20%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                        | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F8TF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2570000 | PA      | $2057063.98   | 0.31%             | 2035-12-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| First Trust Intermediate Government Opportunities ETF | First Trust Intermediate Government Opportunities ETF        | CUSIP: 33738D838<br>LEI: 5493000G9GN9OLNUML64 | Long             | EC               | RF                | US        |     60000 | NS      | $1230000.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                       | United States Treasury Note/Bond                             | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $7103515.60   | 1.06%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                           | United States Treasury Strip Principal                       | CUSIP: 912803ED1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $2682129.49   | 0.40%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                            | CUSIP: 3136AGBX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6203000 | PA      | $4994591.09   | 0.75%             | 2043-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-25

**Name of Applicant:** First Trust Exchange-Traded Fund IV

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

**Title:** Treasurer, Chief Financial Officer and Chief Accounting Officer