# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-26-011278
**Filing Date:** 2026-3
**Character Count:** 121090
**Document Hash:** 7eade7cac693222c98631a40e757abbf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-011278.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0000940400-26-011278

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**PERIOD START**: 20260731

**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:** 26791798

**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 Structured Credit Income Opportunities ETF (Series ID: S000084090)

| Class ID   | Class Name                                             | Ticker Symbol   |
|:---|:---|:---|
| C000248350 | First Trust Structured Credit Income Opportunities ETF | SCIO            |

## 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 Structured Credit Income Opportunities ETF

- **b. EDGAR series identifier (if any):** S000084090

- **c. LEI of Series:** 2549004N8C03JQQ2OB54

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

- **a. Date of fiscal year-end:** 2026-07-31

- **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:** $205752581.09

**Total Liabilities:** $29135109.18

**Net Assets:** $176617471.91

**Delayed Delivery Securities:** $2085920.06

**Stand-by Commitments:** $2995124.98

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 66.00424000 | **1-Year:** 6138.19648000 | **5-Year:** 17299.41973000 | **10-Year:** 13941.49119000 | **30-Year:** 894.66010000

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

- **3-Month:** 51.51654000 | **1-Year:** 5321.35030000 | **5-Year:** 11850.05636000 | **10-Year:** 18925.85773000 | **30-Year:** 3099.31134000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000248350 | 0.77%                | 0.41%                | 0.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1133.10                | $184887.68                                 |
| Month 2  | $7184.61                 | $-100724.85                                |
| Month 3  | $13803.41                | $183930.49                                 |

**Designated Index Information**

- **Index Name:** The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio.

- **Index Identifier:** N/A

### 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        |        -1 | NC      | $-296.88      | -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        |       -13 | NC      | $-5078.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNA VI LLC                                  | FNA VI LLC                                                     | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31969 | PA      | $29999.73     | 0.02%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1       | CUSIP: 617946AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $259227.32    | 0.15%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2025-NQM6                                                 | CUSIP: 281916AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984519 | PA      | $989976.26    | 0.56%             | 2070-12-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 39 Ltd                      | CUSIP: 64134FAL5<br>LEI: 549300VZYYV7KE4XNU69 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $252612.29    | 0.14%             | 2038-04-20      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                    | CUSIP: 912797RT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $999003.33    | 0.57%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                      | CUSIP: 01F032633<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134000 | PA      | $123807.12    | 0.07%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                       | Toorak Mortgage Trust 2024-2                                   | CUSIP: 89055KAB8<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $759405.30    | 0.43%             | 2031-10-25      | Variable      | 8.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-5                              | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367000 | PA      | $286669.17    | 0.16%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                  | SKY Trust 2025-LINE                                            | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991943 | PA      | $998903.54    | 0.57%             | 2042-04-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-3                                   | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $257197.51    | 0.15%             | 2056-12-27      | Fixed         | 7.75%                 | 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        |       -21 | NC      | $-10171.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                              | CUSIP: 3136BQPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945497 | PA      | $815447.95    | 0.46%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2020-C6                                   | CUSIP: 05492TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3298764 | PA      | $108257.19    | 0.06%             | 2053-02-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2019-IMC                          | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382973 | PA      | $1378043.83   | 0.78%             | 2034-04-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                    | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $659001.33    | 0.37%             | 2035-03-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-INV1                           | CUSIP: 924929AG7<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $151933.59    | 0.09%             | 2070-02-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Trust 2024-2                                    | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104685 | PA      | $105023.86    | 0.06%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L3                         | CUSIP: 61691UBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5620795 | PA      | $109825.28    | 0.06%             | 2052-11-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | Corevest American Finance 2021-1 Trust                         | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234006 | PA      | $230977.18    | 0.13%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2026-NPL2 LLC                                             | CUSIP: 69393DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1083289.03   | 0.61%             | 2056-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2025-7                            | CUSIP: 69549DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1504542.45   | 0.85%             | 2033-05-15      | Fixed         | 8.89%                 | 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        |        -1 | NC      | $-609.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                             | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1441080 | PA      | $1462814.41   | 0.83%             | 2055-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                      | CUSIP: 01F030645<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11000 | PA      | $9740.32      | 0.01%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2025-NPL9 LLC                                             | CUSIP: 740937AB3<br>LEI: 254900IWII23Q41Y2V47 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504907.50    | 0.29%             | 2055-08-25      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV1                             | CUSIP: 46591VBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270961 | PA      | $247592.89    | 0.14%             | 2050-08-25      | Variable      | 4.17%                 | 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        |    136000 | PA      | $120457.69    | 0.07%             | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2025-5                            | CUSIP: 69548WAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399985 | PA      | $401673.68    | 0.23%             | 2033-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2024-RTL3 Trust                                            | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1183390.65   | 0.67%             | 2039-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding LXI Ltd                                   | CUSIP: 55822PAL8<br>LEI: 2138008EAUXBYEZRP521 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1012996.65   | 0.57%             | 2039-01-20      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                             | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749040 | PA      | $692751.69    | 0.39%             | 2054-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL2                                 | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $451077.01    | 0.26%             | 2029-03-25      | Variable      | 8.90%                 | 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        |       -19 | NC      | $-2671.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2024-INV1                                                 | CUSIP: 268434AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258000 | PA      | $257846.57    | 0.15%             | 2069-03-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2021-BNK31                                                | CUSIP: 06541ABN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $281024.55    | 0.16%             | 2054-02-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                    | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $306127.41    | 0.17%             | 2035-03-19      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-3                                   | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432166 | PA      | $434471.51    | 0.25%             | 2056-12-27      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2024-3                              | CUSIP: 92540MAE5<br>LEI: 2138005NRONUFED1TZ38 | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $394440.82    | 0.22%             | 2069-04-25      | Variable      | 8.03%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                    | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $999900.50    | 0.57%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RCF5 LLC                                             | CUSIP: 69384AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006778.40   | 0.57%             | 2055-10-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2025-NPL6 LLC                                             | CUSIP: 740936AB5<br>LEI: 2549004EWBYQ3J21FL07 | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $302230.14    | 0.17%             | 2055-06-25      | Variable      | 8.71%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                         | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500273.50    | 0.28%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2019-GS2                         | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $813829.92    | 0.46%             | 2059-08-25      | Variable      | 3.25%                 | 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        |        14 | NC      | $218.75       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                                  | MFA 2024-RTL3 Trust                                            | CUSIP: 59319PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1016932.10   | 0.58%             | 2039-11-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| LMRK Issuer Co. LLC                         | Lmrk Issuer Co 2 LLC                                           | CUSIP: 50209AAH4<br>LEI: 549300TATF7H68SRLE80 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010951.60   | 0.57%             | 2055-09-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates   | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49076687 | PA      | $1434285.81   | 0.81%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trus              | Easy Street Mortgage Loan Trust 2025-RTL2                      | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1961835.33   | 1.11%             | 2040-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22164346 | PA      | $1541612.31   | 0.87%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                        | Diameter Capital CLO 5 Ltd                                     | CUSIP: 25255TAG0<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $505329.84    | 0.29%             | 2039-01-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-6 LLC                                                | CUSIP: 69395KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002657.20   | 0.57%             | 2028-08-25      | Variable      | 10.56%                | 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        |  -1865000 | PA      | $-1822978.27  | -1.03%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA1                        | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $2189534.76   | 1.24%             | 2033-08-25      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                              | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $591451.27    | 0.33%             | 2067-01-25      | Variable      | 4.01%                 | 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        |       -18 | NC      | $-1125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Farmer Mac Agricultural Real E              | FARM 21-1 Mortgage Trust                                       | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318447 | PA      | $250284.77    | 0.14%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2022-LTV2                  | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1106901.00   | 0.63%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2025-PJ11                  | CUSIP: 36273RBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089957 | PA      | $1097326.51   | 0.62%             | 2056-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO 2024-NQM6                                                | CUSIP: 05613JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $261864.19    | 0.15%             | 2064-08-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust               | NYO Commercial Mortgage Trust 2021-1290                        | CUSIP: 62955HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $318231.81    | 0.18%             | 2038-11-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                    | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1013036.70   | 0.57%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund Trust 2024-RRTL2                   | CUSIP: 43789GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004371.20   | 0.57%             | 2039-09-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                              | PMT Loan Trust 2026-J1                                         | CUSIP: 73015MBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002494.70   | 0.57%             | 2057-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                              | CUSIP: 3136ATXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80787 | PA      | $79838.50     | 0.05%             | 2046-09-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | Ellington Financial Mortgage Trust 2019-2                      | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289000 | PA      | $280486.93    | 0.16%             | 2059-11-25      | Variable      | 3.47%                 | 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        |       -69 | NC      | $105603.50    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Toorak Mortgage Corp.                       | Toorak Mortgage Trust 2024-RRTL1                               | CUSIP: 89054YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $301023.18    | 0.17%             | 2039-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2014-3                     | CUSIP: 64829DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431673 | PA      | $424515.06    | 0.24%             | 2054-11-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-NQM8                                                 | CUSIP: 12659FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1006116.51   | 0.57%             | 2066-10-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    751216 | PA      | $728353.03    | 0.41%             | 2055-06-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                         | SG Residential Mortgage Trust 2022-1                           | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938147 | PA      | $891895.88    | 0.50%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                      | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $759583.27    | 0.43%             | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21052712 | PA      | $1481917.27   | 0.84%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-7 LLC                                                | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469239 | PA      | $474687.14    | 0.27%             | 2030-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Trust 2025-5                      | CUSIP: 76089LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $760122.46    | 0.43%             | 2034-06-26      | Fixed         | 9.22%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2024-CBM Mortgage Trust                                   | CUSIP: 12674GAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $546244.43    | 0.31%             | 2041-12-10      | Variable      | 7.93%                 | No            |                  2 | 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        |        -5 | NC      | $-3906.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                      | CUSIP: 01F040644<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1473000 | PA      | $-1404253.69  | -0.80%            | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R03                   | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $496079.14    | 0.28%             | 2041-12-25      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-1                              | CUSIP: 92540TAE0<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $321592.70    | 0.18%             | 2070-01-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                         | CUSIP: 61768HBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $885236.40    | 0.50%             | 2052-03-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Recei              | Exeter Select Automobile Receivables Trust 2025-3              | CUSIP: 30185FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505809.90    | 0.29%             | 2032-05-17      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                    | CUSIP: 912797SQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2997619.68   | 1.70%             | 2026-02-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK25                                                | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478000 | PA      | $445730.70    | 0.25%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust              | SWCH Commercial Mortgage Trust 2025-DATA                       | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1988585.40   | 1.13%             | 2042-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Asset Trust 2025-3                | CUSIP: 76090QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275000 | PA      | $277315.83    | 0.16%             | 2034-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2024-V6 Mortgage Trust                               | CUSIP: 081927AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4437107 | PA      | $162295.16    | 0.09%             | 2057-03-15      | Variable      | 1.33%                 | No            |                  2 | 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        |        -4 | NC      | $-2437.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38383JCQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15936690 | PA      | $1202378.65   | 0.68%             | 2067-09-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2025-NPL6 LLC                                             | CUSIP: 740936AA7<br>LEI: 2549004EWBYQ3J21FL07 | Long             | ABS-O            | CORP              | US        |    690718 | PA      | $693733.25    | 0.39%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund Trust 2024-RRTL2                   | CUSIP: 43789GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654000 | PA      | $654543.60    | 0.37%             | 2039-09-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                      | CUSIP: 01F040636<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67000 | PA      | $63925.39     | 0.04%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RCF4 LLC                                             | CUSIP: 69382WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $269280.20    | 0.15%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2024-7                              | CUSIP: 924925AH3<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1515172.20   | 0.86%             | 2069-09-25      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2024-INV2                           | CUSIP: 92540NAF0<br>LEI: 2138002Y4WGHSN8NFF24 | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $514372.23    | 0.29%             | 2069-08-26      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2025-DNA4                        | CUSIP: 35564UBS5<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $602729.16    | 0.34%             | 2045-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2024-4                       | CUSIP: 36270YAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1005000 | PA      | $1045113.97   | 0.59%             | 2031-08-15      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2025-2                     | CUSIP: 30168JAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $782632.73    | 0.44%             | 2032-10-15      | Fixed         | 7.81%                 | No            |                  2 | 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        |        -2 | NC      | $-468.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Luxury Lease Partners Auto Tru              | Luxury Lease Partners Auto Lease Trust 2025-A                  | CUSIP: 55069BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    922588 | PA      | $924526.41    | 0.52%             | 2032-03-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2021-NQM1R                 | CUSIP: 64828BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $838394.54    | 0.47%             | 2055-07-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38381UKH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1206491 | PA      | $963077.21    | 0.55%             | 2054-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Trust 2024-3                                    | CUSIP: 69547XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89349 | PA      | $89691.30     | 0.05%             | 2031-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XXIX                                                | CUSIP: 03767MBA5<br>LEI: 549300AVJUID3QNR9M59 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $261357.63    | 0.15%             | 2038-07-25      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Recei              | Exeter Select Automobile Receivables Trust 2025-1              | CUSIP: 30185AAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $774307.80    | 0.44%             | 2031-09-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Trust 2025-5                      | CUSIP: 76089KAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250836.03    | 0.14%             | 2034-06-26      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Trust 2025-6                      | CUSIP: 76100JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725000 | PA      | $725660.33    | 0.41%             | 2034-08-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                           | Magnetite XXIII Ltd                                            | CUSIP: 55954RAL4<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002500.00   | 0.57%             | 2035-01-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C13 Mortgage Trust                                    | CUSIP: 05592YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9498538 | PA      | $733874.15    | 0.42%             | 2058-10-15      | Variable      | 1.01%                 | 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        |        -1 | NC      | $-125.00      | -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        |         2 | NC      | $1718.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2020-GC47                         | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1643879 | PA      | $62937.57     | 0.04%             | 2053-05-12      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL2                                 | CUSIP: 50205JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $259126.31    | 0.15%             | 2029-03-25      | Variable      | 11.58%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                     | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309000 | PA      | $311711.31    | 0.18%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R06                   | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $495365.28    | 0.28%             | 2042-05-25      | Floating      | 14.30%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GSMS Trust 2024-Fair                                           | CUSIP: 36270JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1845655.47   | 1.05%             | 2029-07-15      | Variable      | 9.45%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2023-BNK46                                                | CUSIP: 06541DCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10004509 | PA      | $330158.80    | 0.19%             | 2056-08-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluds Grade Alternative Mortgage Trust 2025-RRTL1             | CUSIP: 79582NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $494448.85    | 0.28%             | 2040-10-25      | Variable      | 8.42%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                            | RCO IX Mortgage LLC 2025-4                                     | CUSIP: 74939VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600382 | PA      | $602456.02    | 0.34%             | 2030-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                         | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11218816 | PA      | $283465.82    | 0.16%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-NQM7                                                 | CUSIP: 12662QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1004264.64   | 0.57%             | 2066-10-25      | Variable      | 4.35%                 | No            |                  2 | 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        |       -26 | NC      | $-1625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2024-NQM5                      | CUSIP: 105925AE1<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $389941.64    | 0.22%             | 2064-06-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2026-NPL1 LLC                                             | CUSIP: 69383TAB4<br>LEI: 2549002NGM9N1GT2FK83 | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1100100.76   | 0.62%             | 2056-01-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2025-PHNY | CUSIP: 46592UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1005111.00   | 0.57%             | 2041-01-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2017-C8                        | CUSIP: 12532CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7336099 | PA      | $82647.02     | 0.05%             | 2050-06-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2024-5                              | CUSIP: 92540HAE6<br>LEI: 213800YE6HC7EZSFHW30 | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $128492.90    | 0.07%             | 2069-06-25      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV1                             | CUSIP: 46591VCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83373 | PA      | $74765.43     | 0.04%             | 2050-08-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Recei              | Exeter Select Automobile Receivables Trust 2025-1              | CUSIP: 30185AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337000 | PA      | $351621.05    | 0.20%             | 2032-12-15      | Fixed         | 8.44%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Trust 2025-5                      | CUSIP: 76089KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251674.55    | 0.14%             | 2034-06-26      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R02                   | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $490672.06    | 0.28%             | 2041-11-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluda Grade Alternative Mortgage Trust 2024-RTL4              | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $255431.87    | 0.14%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | 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        |       -19 | NC      | $-593.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-2 LLC                                                | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222924 | PA      | $223303.66    | 0.13%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                           | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1051194.50   | 0.60%             | 2042-05-05      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Tr              | GLS Auto Select Receivables Issuer Trust 2025-4                | CUSIP: 36273DAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2734576.20   | 1.55%             | 2033-01-18      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                    | CUSIP: 912797RL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $999701.08    | 0.57%             | 2026-02-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RCF6 LLC                                             | CUSIP: 69393BAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $593477.28    | 0.34%             | 2055-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C3 Commercial Mortgage Trust                        | CUSIP: 12635FAY0<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    267975 | PA      | $254933.46    | 0.14%             | 2048-08-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B20 Mortgage Trust                              | CUSIP: 08162XBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1302280 | PA      | $62407.34     | 0.04%             | 2053-10-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK21                                                | CUSIP: 06540BBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2805105 | PA      | $67421.25     | 0.04%             | 2052-10-17      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                         | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $997806.60    | 0.56%             | 2038-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                            | RCO IX Mortgage LLC 2025-4                                     | CUSIP: 74939VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $402355.04    | 0.23%             | 2030-10-25      | Variable      | 6.90%                 | No            |                  2 | 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        |         2 | NC      | $375.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2020-1 Trust            | CUSIP: 95002KBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859881 | PA      | $775415.41    | 0.44%             | 2049-12-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK16                                                | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2062493 | PA      | $44125.38     | 0.02%             | 2052-02-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2025-1 LLC                  | CUSIP: 38411WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920000 | PA      | $922354.19    | 0.52%             | 2028-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2024-2                              | CUSIP: 92539UAE0<br>LEI: 213800KSJFZ5H8FZ7C61 | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $269655.68    | 0.15%             | 2069-02-25      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                        | Cross 2025-H6 Mortgage Trust                                   | CUSIP: 22758TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $453330.27    | 0.26%             | 2070-07-25      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2018-I Ltd                                        | CUSIP: 17181NAL8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006386.12   | 0.57%             | 2038-01-18      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fidelis Mortgage Trust                      | Fidelis Mortgage Trust 2025-RTL2                               | CUSIP: 31575JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260000 | PA      | $1270286.01   | 0.72%             | 2040-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E              | FARM 2024-1 Mortgage Trust                                     | CUSIP: 30335JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515788 | PA      | $458757.71    | 0.26%             | 2053-10-01      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Tr              | GLS Auto Select Receivables Issuer Trust 2025-4                | CUSIP: 36273DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $503807.70    | 0.29%             | 2031-12-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust                            | CUSIP: 30166XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1036387.60   | 0.59%             | 2032-12-15      | Fixed         | 7.52%                 | No            |                  2 | 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        |       123 | NC      | $-104961.62   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                             | CUSIP: 3137HJSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1334179 | PA      | $1354076.99   | 0.77%             | 2055-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2025-J3                                    | CUSIP: 75410EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967625 | PA      | $976063.96    | 0.55%             | 2055-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                   | SHR Trust 2024-LXRY                                            | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $253166.38    | 0.14%             | 2041-10-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2024-1                              | CUSIP: 33843VAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1300615.16   | 0.74%             | 2030-04-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38384PKG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1304745 | PA      | $1262427.19   | 0.71%             | 2054-05-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2020-RR07           | CUSIP: 3137FRVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $77176.95     | 0.04%             | 2028-09-27      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2021-HX1 Mortgage Loan Trust                              | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $260478.93    | 0.15%             | 2066-10-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2026-1                            | CUSIP: 694964AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2000000.00   | 1.13%             | 2033-09-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                 | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1368000 | PA      | $1308517.03   | 0.74%             | 2037-03-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL3                                 | CUSIP: 50205GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $278511.53    | 0.16%             | 2029-05-25      | Variable      | 10.73%                | No            |                  2 | 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        |        -4 | NC      | $-1000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-8                            | CUSIP: 69544QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176001 | PA      | $177166.14    | 0.10%             | 2032-01-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                             | CUSIP: 3137HFSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308851 | PA      | $310643.43    | 0.18%             | 2054-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK24                                                | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    968853 | PA      | $21112.57     | 0.01%             | 2062-11-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                    | NRTH Commercial Mortgage Trust 2025-PARK                       | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $401799.92    | 0.23%             | 2040-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                              | CUSIP: 3136BU3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916185 | PA      | $929661.54    | 0.53%             | 2055-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                              | PMT Loan Trust 2026-INV1                                       | CUSIP: 73015LBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1406787.20   | 0.80%             | 2057-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-1                    | CUSIP: 24380VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626000 | PA      | $578593.58    | 0.33%             | 2065-05-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2018-2                           | CUSIP: 36418GBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119570 | PA      | $117220.88    | 0.07%             | 2058-10-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                           | Magnetite XLVII Ltd                                            | CUSIP: 559917AC3<br>LEI: 529900SMT5EN0CN67W73 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $979966.60    | 0.55%             | 2038-01-25      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2025-5                     | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1007932.10   | 0.57%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | 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        |        54 | NC      | $5718.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C25                                 | CUSIP: 05554VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4999047 | PA      | $163715.78    | 0.09%             | 2057-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2020-C7                                   | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1243302 | PA      | $52853.90     | 0.03%             | 2053-04-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2020-NQM1                  | CUSIP: 36259WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795000 | PA      | $1761599.18   | 1.00%             | 2060-09-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-2                    | CUSIP: 24381WAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $556426.08    | 0.32%             | 2066-04-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                           | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $428647.65    | 0.24%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV1                             | CUSIP: 46591VCF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300864 | PA      | $280580.94    | 0.16%             | 2050-08-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2024-DNA2                        | CUSIP: 35564NDA8<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503079.30    | 0.28%             | 2044-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2020-GC45                         | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924178 | PA      | $18235.97     | 0.01%             | 2053-02-13      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B29 Mortgage Trust                              | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4255884 | PA      | $144490.23    | 0.08%             | 2054-09-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2025-DNA2                        | CUSIP: 35564NHY2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |   1057000 | PA      | $1059891.11   | 0.60%             | 2045-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-325.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-12                               | CUSIP: 46592WCG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1524576 | PA      | $1251323.50   | 0.71%             | 2052-02-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Recei              | Exeter Select Automobile Receivables Trust 2025-2              | CUSIP: 30185EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $343878.99    | 0.19%             | 2033-02-15      | Fixed         | 6.87%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2024-6                              | CUSIP: 92540JAE2<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    248000 | PA      | $252329.01    | 0.14%             | 2069-07-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates   | CUSIP: 3137HCKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940000 | PA      | $224639.23    | 0.13%             | 2031-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                    | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2994905.67   | 1.70%             | 2026-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kinetic ABS Issuer LLC                      | Kinetic ABS Issuer LLC                                         | CUSIP: 49459AAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3571093.75   | 2.02%             | 2056-02-25      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                         | SG Residential Mortgage Trust 2019-3                           | CUSIP: 78432BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521000 | PA      | $510220.04    | 0.29%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-2                                   | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489758 | PA      | $495116.44    | 0.28%             | 2055-10-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                | CUSIP: 31418DW99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    743223 | PA      | $560907.48    | 0.32%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38383JCS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26805184 | PA      | $1626530.53   | 0.92%             | 2064-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $612.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                      | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1328000 | PA      | $-1324625.39  | -0.75%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2026-1                                | CUSIP: 46594NCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002492.30   | 0.57%             | 2056-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C59                 | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3369524 | PA      | $186056.70    | 0.11%             | 2054-04-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                        | Diameter Capital CLO 5 Ltd                                     | CUSIP: 25255RAU3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249397.68    | 0.14%             | 2039-01-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | Pret 2025-NPL7 LLC                                             | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-O            | CORP              | US        |    278494 | PA      | $279779.75    | 0.16%             | 2055-07-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2023-AFC1 Trust                                          | CUSIP: 693981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371000 | PA      | $370235.26    | 0.21%             | 2058-02-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-HQA1                        | CUSIP: 35564KUL1<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1101254.40   | 0.62%             | 2042-03-25      | Floating      | 14.70%                | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Recei              | Exeter Select Automobile Receivables Trust 2025-3              | CUSIP: 30185FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506120.10    | 0.29%             | 2032-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                            | VERTICAL BRIDGE CC LLC                                         | CUSIP: 92535VAU6<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $563022.68    | 0.32%             | 2055-08-16      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-3                     | CUSIP: 85573MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895000 | PA      | $791091.75    | 0.45%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | 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        |        -6 | NC      | $-4500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Rockland Park CLO Ltd                       | Rockland Park CLO Ltd                                          | CUSIP: 77366PAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $252074.86    | 0.14%             | 2038-07-20      | Floating      | 11.49%                | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                    | CUSIP: 912797SR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2995487.49   | 1.70%             | 2026-02-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2024-NQM1                  | CUSIP: 64828DAF4<br>LEI: 213800TFYSB4XLW7QW74 | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $810679.16    | 0.46%             | 2064-03-25      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2024-NQM3                  | CUSIP: 647910AH1<br>LEI: 213800HBIGZVLLQA9I67 | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $437287.66    | 0.25%             | 2064-11-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                        | Diameter Capital CLO 4 Ltd                                     | CUSIP: 25255PAJ2<br>LEI: 25490087B17FBD0ODC27 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003891.00   | 0.57%             | 2039-01-15      | Floating      | 0.01%                 | 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        |         3 | NC      | $-312.50      | -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        |        -4 | NC      | $-1343.75     | -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        |        -5 | NC      | $-2070.32     | -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        |       -16 | NC      | $-5000.00     | -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        |         4 | NC      | $1250.00      | 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        |         2 | NC      | $1781.25      | 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        |         2 | NC      | $953.13       | 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        |         4 | NC      | $968.75       | 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        |         2 | NC      | $140.63       | 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        |         2 | NC      | $312.50       | 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        |       213 | NC      | $-64243.84    | -0.04%            |  |  |  | No            |                  1 | 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        |        -5 | NC      | $1625.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38385CCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    842426 | PA      | $853640.27    | 0.48%             | 2055-01-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK22                                                | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1047926 | PA      | $20243.73     | 0.01%             | 2062-11-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-1                     | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994000 | PA      | $1041340.74   | 0.59%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1       | CUSIP: 617946AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $357285.46    | 0.20%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                  | NLT 2021-INV2 Trust                                            | CUSIP: 62917JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334000 | PA      | $257653.48    | 0.15%             | 2056-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                              | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971013 | PA      | $971044.38    | 0.55%             | 2055-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                            | RCO X Mortgage LLC 2025-1                                      | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470812 | PA      | $473455.43    | 0.27%             | 2030-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-VOLT                                             | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503190.80    | 0.28%             | 2044-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| AGL CLO 19 Ltd                              | AGL CLO 19 Ltd                                                 | CUSIP: 001211AG6<br>LEI: 254900I16LA7IZQPMU67 | Long             | ABS-CBDO         | CORP              | JE        |    415000 | PA      | $421060.92    | 0.24%             | 2038-07-21      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-8 LLC                                                | CUSIP: 69383BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501224.70    | 0.28%             | 2030-10-25      | Variable      | 7.20%                 | 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        |        -6 | NC      | $-10031.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Magnetite CLO Ltd                           | Magnetite XXVII Ltd                                            | CUSIP: 55955FAJ4<br>LEI: 5493003N6WY184N72D84 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $252452.04    | 0.14%             | 2038-10-20      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-2                     | CUSIP: 30166DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1154000 | PA      | $1219466.65   | 0.69%             | 2031-10-15      | Fixed         | 7.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1892043 | PA      | $98213.88     | 0.06%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2022-1                    | CUSIP: 24382JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $428997.90    | 0.24%             | 2067-01-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | CoreVest American Finance 2021-2 Trust                         | CUSIP: 21873BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457077 | PA      | $445319.31    | 0.25%             | 2054-07-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-NQM2 Trust                                            | CUSIP: 67448DAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $572533.23    | 0.32%             | 2062-01-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo V Ltd                                             | CUSIP: 96467PAL2<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502638.19    | 0.28%             | 2038-07-20      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                       | CUSIP: 38381LAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27615208 | PA      | $1406779.47   | 0.80%             | 2064-06-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2023-NQM1                  | CUSIP: 64831HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1967931.44   | 1.11%             | 2063-10-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| LMRK Issuer Co. LLC                         | Lmrk Issuer Co 2 LLC                                           | CUSIP: 50209AAK7<br>LEI: 549300TATF7H68SRLE80 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $511593.40    | 0.29%             | 2055-09-15      | Fixed         | 8.12%                 | 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        |       -13 | NC      | $-18890.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2025-1 LLC                  | CUSIP: 38411WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1200986.64   | 0.68%             | 2028-08-15      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C60                 | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10867653 | PA      | $641850.12    | 0.36%             | 2054-08-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Asset Trust 2025-1                | CUSIP: 76089YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1186337 | PA      | $1192315.10   | 0.68%             | 2033-06-27      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4         | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1187665 | PA      | $1181161.89   | 0.67%             | 2057-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluda Grade Alternative Mortgage Trust 2025-NPL1              | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484514 | PA      | $488242.56    | 0.28%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trus              | Carmax Select Receivables Trust 2025-B                         | CUSIP: 14320BAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2387986.81   | 1.35%             | 2032-09-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-R2                             | CUSIP: 92538DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $298087.99    | 0.17%             | 2064-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                             | CUSIP: 3137HABM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2016890 | PA      | $1871363.25   | 1.06%             | 2052-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                  | Sixth Street CLO XVIII Ltd                                     | CUSIP: 83012JAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $390912.64    | 0.22%             | 2038-10-17      | Floating      | 11.69%                | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                            | VERTICAL BRIDGE CC LLC                                         | CUSIP: 92535VAS1<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2003269.80   | 1.13%             | 2055-08-16      | Fixed         | 5.60%                 | 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        |       -13 | NC      | $-15234.38    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SG Capital Partners                         | SG Residential Mortgage Trust 2022-2                           | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453432 | PA      | $453754.26    | 0.26%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B13 Mortgage Trust                              | CUSIP: 08162DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4939160 | PA      | $151705.30    | 0.09%             | 2057-08-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo II Ltd                                            | CUSIP: 96466EAJ3<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $503691.67    | 0.29%             | 2037-10-24      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-DELC                                             | CUSIP: 05594MAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $606256.92    | 0.34%             | 2042-12-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JPMCC Commercial Mortgage Securities Trust 2019-COR5           | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4096964 | PA      | $145054.66    | 0.08%             | 2052-06-13      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-TWA Mortgage Trust                                    | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $304218.93    | 0.17%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                    | MSILF Treasury Portfolio                                       | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |   4166796 | NS      | $4166796.20   | 2.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2024-RPL4 LLC                                             | CUSIP: 74448MAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $296166.36    | 0.17%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2025-INV5 Trust                                           | CUSIP: 36173VBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980988 | PA      | $989904.41    | 0.56%             | 2055-12-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2025-RTL1                                                 | CUSIP: 26846FAC3<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |   1673000 | PA      | $1682060.30   | 0.95%             | 2040-11-25      | Variable      | 6.39%                 | 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        |        -4 | NC      | $-3812.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV1                             | CUSIP: 46591VBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294884 | PA      | $266533.72    | 0.15%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2026-RCF1 Trust                                           | CUSIP: 69383VAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $952791.05    | 0.54%             | 2056-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2025-RTL1                                                 | CUSIP: 26846FAD1<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $869933.52    | 0.49%             | 2040-11-25      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-1                    | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1535000 | PA      | $1402934.43   | 0.79%             | 2065-05-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RPL3 LLC                                             | CUSIP: 69392NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $328900.88    | 0.19%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluda Grade Alternative Mortgage Trust 2024-INV1              | CUSIP: 795924AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $334501.88    | 0.19%             | 2059-08-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                      | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186000 | PA      | $171611.90    | 0.10%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-NQM4                  | CUSIP: 64828EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1025974.62   | 0.58%             | 2059-09-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                       | Silver Point CLO 11 Ltd                                        | CUSIP: 82809YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    275000 | PA      | $267235.36    | 0.15%             | 2038-07-15      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                              | CUSIP: 3136BQQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1127259 | PA      | $987634.28    | 0.56%             | 2053-11-25      | 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        |        -1 | NC      | $-765.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-4                               | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $989760.25    | 0.56%             | 2057-06-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                             | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1295791 | PA      | $1292426.65   | 0.73%             | 2052-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                         | Cali 2024-Sun                                                  | CUSIP: 12988DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $302635.20    | 0.17%             | 2041-07-15      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E              | FARM 2025-2 Mortgage Trust                                     | CUSIP: 30768BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129623 | PA      | $987290.62    | 0.56%             | 2055-09-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-TWA Mortgage Trust                                    | CUSIP: 582923AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $117600.32    | 0.07%             | 2039-06-12      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Visio Trust                                 | Visio 2023-2 Trust                                             | CUSIP: 92839CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $333117.77    | 0.19%             | 2058-10-25      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo V Ltd                                             | CUSIP: 96467NAA1<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004265.15   | 0.57%             | 2038-07-20      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-INV1                           | CUSIP: 92539FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996149.30    | 0.56%             | 2068-02-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-10                           | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217028 | PA      | $223668.39    | 0.13%             | 2032-06-15      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | Pret 2025-NPL11 LLC                                            | CUSIP: 69383AAB5<br>LEI: 254900OU85YCZAPWVR73 | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $375651.19    | 0.21%             | 2055-10-25      | Variable      | 7.02%                 | 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