# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-25-002925
**Filing Date:** 2025-9
**Character Count:** 106109
**Document Hash:** f55b1441cc370a48e2205cf04506acd3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-002925.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0000940400-25-002925

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20251031

**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:** 251349211

**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 Intermediate Government Opportunities ETF (Series ID: S000080998)

| Class ID   | Class Name                                            | Ticker Symbol   |
|:---|:---|:---|
| C000243637 | First Trust Intermediate Government Opportunities ETF | MGOV            |

## Nport-Ex

**First Trust Intermediate Government Opportunities ETF (MGOV)**

**Portfolio of Investments**

**July 31, 2025 (Unaudited)**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 97.5%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 97.5%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 97.5%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 97.5%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 97.5%** |
|  | **Collateralized Mortgage Obligations — 41.5%** | **Collateralized Mortgage Obligations — 41.5%** | **Collateralized Mortgage Obligations — 41.5%** |  |
|  | Federal Home Loan Mortgage Corporation |  |  |  |
| $1163463 | &nbsp;&nbsp;&nbsp; Series 2013-4213, Class GZ | 3.50% | 06/15/43 | $1094125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1263916 | &nbsp;&nbsp;&nbsp; Series 2014-4316, Class BZ | 3.00% | 03/15/44 | 1149191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 799938 | &nbsp;&nbsp;&nbsp; Series 2014-4316, Class XZ | 4.50% | 03/15/44 | 787435 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1250000 | &nbsp;&nbsp;&nbsp; Series 2017-4741, Class GY | 3.00% | 12/15/47 | 1065078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 950405 | &nbsp;&nbsp;&nbsp; Series 2018-4798, Class GZ | 4.00% | 06/15/48 | 891356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 904024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4929, Class FB, 30 Day Average SOFR + CSA + <br> 0.45% (a) | 4.91% | 09/25/49 | 874341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350000 | &nbsp;&nbsp;&nbsp; Series 2020-4959, Class LB | 3.00% | 03/25/40 | 307298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891834 | &nbsp;&nbsp;&nbsp; Series 2022-5256, Class FC, 30 Day Average SOFR + 0.75% (a) | 5.10% | 09/25/52 | 873181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1080637 | &nbsp;&nbsp;&nbsp; Series 2024-413, Class PO, PO, STRIPS | (b) | 05/25/54 | 915501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1000950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5502, Class FC, 30 Day Average SOFR + 2.00%, <br> 6.00% Cap (a) | 6.00% | 02/25/55 | 1007665 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Seasoned Credit Risk <br> Transfer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1000298 | &nbsp;&nbsp;&nbsp; Series 2018-4, Class MA | 3.50% | 03/25/58 | 961983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 368587 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class MA | 3.50% | 08/26/58 | 352096 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Seasoned Loans <br> Structured Transaction Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 497619 | &nbsp;&nbsp;&nbsp; Series 2021-1, Class A1D | 2.00% | 05/26/31 | 455853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 953789 | &nbsp;&nbsp;&nbsp; Series 2024-2, Class VF, 30 Day Average SOFR + 1.25% (a) (c) | 5.60% | 10/25/34 | 970085 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1250000 | &nbsp;&nbsp;&nbsp; Series 2025-1, Class A2 | 3.00% | 05/25/35 | 1058628 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1376234 | &nbsp;&nbsp;&nbsp; Series 2025-1, Class YF, 30 Day Average SOFR + 1.10% (a) (c) | 5.45% | 05/25/35 | 1394931 |
|  | Federal National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1646552 | &nbsp;&nbsp;&nbsp; Series 2012-118, Class VZ | 3.00% | 11/25/42 | 1490562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1440698 | &nbsp;&nbsp;&nbsp; Series 2012-134, Class ZC | 2.50% | 12/25/42 | 1107409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1039522 | &nbsp;&nbsp;&nbsp; Series 2014-12, Class ZB | 3.00% | 03/25/39 | 976009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1867684 | &nbsp;&nbsp;&nbsp; Series 2014-60, Class EZ | 3.00% | 10/25/44 | 1677049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441336 | &nbsp;&nbsp;&nbsp; Series 2015-89, Class CZ | 4.00% | 08/25/45 | 405965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1350000 | &nbsp;&nbsp;&nbsp; Series 2016-94, Class MB | 2.50% | 12/25/46 | 1032946 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; Series 2024-6, Class AL | 2.00% | 03/25/44 | 1120502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1177946 | &nbsp;&nbsp;&nbsp; Series 2024-26, Class PO, PO | (b) | 05/25/54 | 913537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288523 | &nbsp;&nbsp;&nbsp; Series 2024-84, Class FD, 30 Day Average SOFR + 1.15% (a) | 5.50% | 11/25/54 | 286876 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1410107 | &nbsp;&nbsp;&nbsp; Series 2015-123, Class ZA | 3.50% | 09/20/45 | 1301833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300000 | &nbsp;&nbsp;&nbsp; Series 2022-139, Class AL | 4.00% | 07/20/51 | 268261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1745000 | &nbsp;&nbsp;&nbsp; Series 2022-191, Class BY | 4.00% | 08/20/41 | 1644429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; Series 2023-81, Class YD | 4.00% | 06/20/53 | 1058801 |
|  |  |  |  | 27442926 |
|  | **Commercial Mortgage-Backed Securities — 13.9%** | **Commercial Mortgage-Backed Securities — 13.9%** | **Commercial Mortgage-Backed Securities — 13.9%** |  |
|  | Federal Home Loan Mortgage Corporation Multiclass Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp; Series 2020-RR06, Class BX, IO (d) | 1.84% | 05/27/33 | 300900 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Multifamily Structured <br> Pass Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1240729 | &nbsp;&nbsp;&nbsp; Series 2016-K152, Class A1 | 2.83% | 05/25/30 | 1191776 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; Series 2016-KW01, Class X3, IO (e) | 4.13% | 03/25/29 | 33760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KSW4, Class A, 30 Day Average SOFR + CSA + <br> 0.43% (a) | 4.86% | 10/25/28 | 118029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 632078 | &nbsp;&nbsp;&nbsp; Series 2019-KJ24, Class A2 | 2.82% | 09/25/27 | 617533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6234633 | &nbsp;&nbsp;&nbsp; Series 2019-K1512, Class X1, IO (e) | 0.90% | 04/25/34 | 321605 |

---

------

**First Trust Intermediate Government Opportunities ETF (MGOV)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** |  |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Multifamily Structured <br> Pass Through Certificates (Continued) |  |  |  |
| $3058331 | &nbsp;&nbsp;&nbsp; Series 2020-K110, Class X1, IO (e) | 1.64% | 04/25/30 | $188688 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7700000 | &nbsp;&nbsp;&nbsp; Series 2020-K740, Class XAM, IO (e) | 1.11% | 10/25/27 | 166771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13181841 | &nbsp;&nbsp;&nbsp; Series 2020-KG04, Class X1, IO (e) | 0.84% | 11/25/30 | 468423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891794 | &nbsp;&nbsp;&nbsp; Series 2021-K125, Class A1 | 1.10% | 08/25/30 | 815991 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp; Series 2021-K129, Class XAM, IO (e) | 1.21% | 05/25/31 | 479758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9980003 | &nbsp;&nbsp;&nbsp; Series 2021-K130, Class X1, IO (e) | 1.03% | 06/25/31 | 490031 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22240263 | &nbsp;&nbsp;&nbsp; Series 2021-KG05, Class X1, IO (e) | 0.31% | 01/25/31 | 312627 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2721250 | &nbsp;&nbsp;&nbsp; Series 2022-K143, Class XAM, IO (e) | 0.39% | 04/25/55 | 65120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 934625 | &nbsp;&nbsp;&nbsp; Series 2022-K150, Class A1 | 4.00% | 12/25/31 | 923130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5180000 | &nbsp;&nbsp;&nbsp; Series 2024-K165, Class XAM, IO (e) | 0.91% | 09/25/34 | 360134 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7058000 | &nbsp;&nbsp;&nbsp; Series 2024-K757, Class XAM, IO (e) | 0.99% | 08/25/31 | 369458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; Series 2024-KJ51, Class A2 | 4.70% | 01/25/32 | 1205971 |
|  | FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; Series 2019-KL4F, Class BAS (c) (e) | 4.29% | 10/25/25 | 496723 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4892658 | &nbsp;&nbsp;&nbsp; Series 2024-32, Class IO, IO (e) | 0.70% | 06/16/63 | 239815 |
|  |  |  |  | 9166243 |
|  | **Pass-Through Securities — 42.1%** | **Pass-Through Securities — 42.1%** | **Pass-Through Securities — 42.1%** |  |
|  | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation |
| &nbsp;&nbsp;&nbsp;&nbsp; 1614249 | &nbsp;&nbsp;&nbsp; Pool RA5546  | 3.00% | 07/01/51 | 1383301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397448 | &nbsp;&nbsp;&nbsp; Pool SD4005  | 4.00% | 12/01/49 | 375346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125631 | &nbsp;&nbsp;&nbsp; Pool U90690  | 3.50% | 06/01/42 | 116350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 407242 | &nbsp;&nbsp;&nbsp; Pool ZL8982  | 3.50% | 01/01/45 | 376872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 412620 | &nbsp;&nbsp;&nbsp; Pool ZS9446  | 3.50% | 08/01/45 | 381166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 970506 | &nbsp;&nbsp;&nbsp; Pool ZS9776  | 3.50% | 08/01/46 | 891313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1823957 | &nbsp;&nbsp;&nbsp; Pool ZT2264  | 4.00% | 03/01/44 | 1736141 |
|  | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 630606 | &nbsp;&nbsp;&nbsp; Pool 310208  | 3.00% | 03/01/48 | 539929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 454527 | &nbsp;&nbsp;&nbsp; Pool 310211  | 3.50% | 07/01/48 | 406151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1547640 | &nbsp;&nbsp;&nbsp; Pool AL9394  | 3.00% | 11/01/46 | 1351340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1350352 | &nbsp;&nbsp;&nbsp; Pool AS7738  | 3.00% | 08/01/46 | 1187665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957397 | &nbsp;&nbsp;&nbsp; Pool AS7749  | 3.50% | 08/01/46 | 873906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1231810 | &nbsp;&nbsp;&nbsp; Pool BF0207  | 4.50% | 04/01/47 | 1216172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 851673 | &nbsp;&nbsp;&nbsp; Pool BF0568  | 5.50% | 07/01/61 | 865532 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1444233 | &nbsp;&nbsp;&nbsp; Pool BM4963  | 3.00% | 05/01/48 | 1267085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 384205 | &nbsp;&nbsp;&nbsp; Pool BM6732  | 4.00% | 11/01/48 | 371174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428116 | &nbsp;&nbsp;&nbsp; Pool BM7079  | 4.00% | 10/01/48 | 400903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431496 | &nbsp;&nbsp;&nbsp; Pool BM7129  | 3.00% | 01/01/47 | 387222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2694426 | &nbsp;&nbsp;&nbsp; Pool BM7521  | 3.50% | 10/01/48 | 2439073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1408339 | &nbsp;&nbsp;&nbsp; Pool FA1348  | 4.50% | 09/01/52 | 1381613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 425111 | &nbsp;&nbsp;&nbsp; Pool FS0704  | 4.00% | 03/01/47 | 399958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 884906 | &nbsp;&nbsp;&nbsp; Pool FS3541  | 3.50% | 08/01/52 | 792509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293642 | &nbsp;&nbsp;&nbsp; Pool FS4157  | 4.00% | 05/01/49 | 275584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 736000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 2.50% | 08/15/55 | 603180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 3.00% | 08/15/55 | 367209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1444000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 4.50% | 08/15/55 | 1369963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 894000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 5.00% | 08/15/55 | 870248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 464000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 5.50% | 08/15/55 | 461616 |

---

------

**First Trust Intermediate Government Opportunities ETF (MGOV)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** |  |
|  | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) |
| $368000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 2.50% | 09/15/55 | $301705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 3.00% | 09/15/55 | 189185 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1829000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 3.50% | 09/15/55 | 1631714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 906000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 4.00% | 09/15/55 | 835341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 4.50% | 09/15/55 | 261741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 5.00% | 09/15/55 | 442592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 282000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 5.50% | 09/15/55 | 280298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 810000 | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 4.00% | 10/15/55 | 746670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94000 | &nbsp;&nbsp;&nbsp; Pool TBA  | 5.50% | 10/15/55 | 93374 |
|  |  |  |  | 27871141 |
|  | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | 64480310 |
|  | (Cost $65,161,897) | (Cost $65,161,897) | (Cost $65,161,897) |  |
| **U.S. GOVERNMENT BONDS AND NOTES — 9.1%** | **U.S. GOVERNMENT BONDS AND NOTES — 9.1%** | **U.S. GOVERNMENT BONDS AND NOTES — 9.1%** | **U.S. GOVERNMENT BONDS AND NOTES — 9.1%** | **U.S. GOVERNMENT BONDS AND NOTES — 9.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200000 | U.S. Treasury Bond  | 4.63% | 11/15/44 | 193531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200000 | U.S. Treasury Bond  | 4.75% | 02/15/45 | 196641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 540000 | U.S. Treasury Bond (g) | 5.00% | 05/15/45 | 548016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 860000 | U.S. Treasury Bond  | 2.25% | 08/15/46 | 557085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295000 | U.S. Treasury Bond  | 3.00% | 02/15/47 | 219038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650000 | U.S. Treasury Bond  | 3.00% | 08/15/48 | 475211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330000 | U.S. Treasury Bond  | 3.00% | 02/15/49 | 240152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200000 | U.S. Treasury Bond  | 4.63% | 02/15/55 | 191656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600000 | U.S. Treasury Bond  | 4.75% | 05/15/55 | 586922 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1009780 | U.S. Treasury Inflation Indexed Bond (h) | 1.63% | 04/15/30 | 1017352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 780000 | U.S. Treasury Note  | 4.00% | 06/30/32 | 773784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230000 | U.S. Treasury Note  | 4.00% | 07/31/32 | 228041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 780000 | U.S. Treasury Note (g) | 4.25% | 05/15/35 | 773236 |
|  | **Total U.S. Government Bonds and Notes** | **Total U.S. Government Bonds and Notes** | **Total U.S. Government Bonds and Notes** | 6000665 |
|  | (Cost $6,028,134) | (Cost $6,028,134) | (Cost $6,028,134) |  |
| **U.S. GOVERNMENT AGENCY SECURITIES — 1.9%** | **U.S. GOVERNMENT AGENCY SECURITIES — 1.9%** | **U.S. GOVERNMENT AGENCY SECURITIES — 1.9%** | **U.S. GOVERNMENT AGENCY SECURITIES — 1.9%** | **U.S. GOVERNMENT AGENCY SECURITIES — 1.9%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 1290000 | Tennessee Valley Authority  | 5.25% | 02/01/55 | 1251946 |
|  | (Cost $1,285,343) |  |  |  |

---

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **MONEY MARKET FUNDS — 5.6%** | **MONEY MARKET FUNDS — 5.6%** | **MONEY MARKET FUNDS — 5.6%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3739412 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.16% (i) | 3739412 |
|  | (Cost $3,739,412) |  |
|  | **Total Investments — 114.1%** | 75472333 |
|  | (Cost $76,214,786) |  |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of** <br>**Contracts**<br>| **Description** | **Notional** <br>**Amount**<br>| **Exercise** <br>**Price**<br>| **Expiration** <br>**Date**<br>| **Value** |
| **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** |
|  | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | U.S. Treasury Long Bond Futures Call  | $456750 | $116.00 | 08/22/25 | 2000 |
|  | (Cost $1,760) |  |  |  |  |

---

------

**First Trust Intermediate Government Opportunities ETF (MGOV)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts**<br>| **Description** | **Notional**<br> **Amount**<br>| **Exercise**<br> **Price**<br>| **Expiration**<br> **Date**<br>| **Value** |
| **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** | **PURCHASED OPTIONS (Continued)** |
|  | **Put Options Purchased — 0.0%** | **Put Options Purchased — 0.0%** | **Put Options Purchased — 0.0%** | **Put Options Purchased — 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | U.S. 10-Year Treasury Futures Put  | $111063 | $108.00 | 08/22/25 | $31 |
|  | (Cost $50) |  |  |  |  |
|  | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | 2031 |
|  | (Cost $1,810) | (Cost $1,810) | (Cost $1,810) | (Cost $1,810) |  |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (0.3)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (0.3)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (0.3)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (0.3)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (0.3)%** |
|  | **Pass-Through Securities — (0.3)%** | **Pass-Through Securities — (0.3)%** | **Pass-Through Securities — (0.3)%** |  |
|  | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |  |
| $(207000) | &nbsp;&nbsp;&nbsp; Pool TBA (f) | 6.00% | 08/15/55 | (209893)<br>|
|  | **Total Investments Sold Short — (0.3)%** | **Total Investments Sold Short — (0.3)%** | **Total Investments Sold Short — (0.3)%** | (209893)<br>|
|  | (Proceeds $210,003) | (Proceeds $210,003) | (Proceeds $210,003) |  |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of** <br>**Contracts**<br>| **Description** | **Notional** <br>**Amount**<br>| **Exercise** <br>**Price**<br>| **Expiration** <br>**Date**<br>| **Value** |
| **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** |
|  | **Call Options Written — (0.1)%** | **Call Options Written — (0.1)%** | **Call Options Written — (0.1)%** | **Call Options Written — (0.1)%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) | 3 Month SOFR Futures Call  | $(1450125)<br>| $97.50 | 12/10/27 | (3900)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. 2-Year Treasury Futures Call  | (207461)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104.25 | 11/21/25 | (391)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. 5-Year Treasury Futures Call  | (216344)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109.00 | 08/22/25 | (234)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) | U.S. 5-Year Treasury Futures Call  | (649031)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.50 | 08/22/25 | (141)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. 5-Year Treasury Futures Call  | (108320)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111.00 | 11/21/25 | (203)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. 10-Year Treasury Futures Call  | (111063)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112.00 | 08/22/25 | (234)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3) | U.S. 10-Year Treasury Futures Call  | (333188)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114.50 | 08/22/25 | (94)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4) | U.S. 10-Year Treasury Futures Call  | (444250)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114.00 | 11/21/25 | (1750)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4) | U.S. 10-Year Treasury Futures Call  | (444250)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115.00 | 11/21/25 | (1188)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. 10-Year Treasury Futures Call  | (111063)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 11/21/25 | (203)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Call  | (114188)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113.00 | 08/22/25 | (1891)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. Treasury Long Bond Futures Call  | (228375)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118.00 | 08/22/25 | (375)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Call  | (114188)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123.00 | 08/22/25 | (47)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (17) | U.S. Treasury Long Bond Futures Call  | (1941188)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124.00 | 08/22/25 | (531)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Call  | (114188)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128.00 | 08/22/25 | (16)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. Treasury Long Bond Futures Call  | (227625)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 11/21/25 | (3906)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) | U.S. Treasury Long Bond Futures Call  | (682875)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118.00 | 11/21/25 | (7969)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11) | U.S. Treasury Long Bond Futures Call  | (1251938)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120.00 | 11/21/25 | (9797)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Call  | (113813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121.00 | 11/21/25 | (734)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4) | U.S. Treasury Long Bond Futures Call  | (455250)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122.00 | 11/21/25 | (2375)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Call  | (113813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124.00 | 11/21/25 | (406)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Call  | (113813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125.00 | 11/21/25 | (344)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Call  | (113813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128.00 | 11/21/25 | (219)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | Ultra 10-Year U.S. Treasury Futures Call  | (226156)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 08/22/25 | (156)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | Ultra U.S. Treasury Long Bond Futures Call  | (117313)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122.00 | 08/22/25 | (234)<br>|
|  | **Total Call Options Written** | **Total Call Options Written** | **Total Call Options Written** | **Total Call Options Written** | (37338)<br>|
|  | (Premiums received $72,051) | (Premiums received $72,051) | (Premiums received $72,051) | (Premiums received $72,051) |  |
|  | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) | 3 Month SOFR Futures Put  | (1450125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95.50 | 12/10/27 | (3187)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. 2-Year Treasury Futures Put  | (413969)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103.50 | 08/22/25 | (656)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (18) | U.S. 2-Year Treasury Futures Put  | (3734297)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103.00 | 11/21/25 | (3375)<br>|

---

------

**First Trust Intermediate Government Opportunities ETF (MGOV)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts**<br>| **Description** | **Notional**<br> **Amount**<br>| **Exercise**<br> **Price**<br>| **Expiration**<br> **Date**<br>| **Value** |
| **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** |
|  | **Put Options Written (Continued)** | **Put Options Written (Continued)** | **Put Options Written (Continued)** | **Put Options Written (Continued)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. 2-Year Treasury Futures Put  | $(207461)<br>| $103.25 | 11/21/25 | $(313)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5) | U.S. 5-Year Treasury Futures Put  | (540859)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.75 | 08/22/25 | (156)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3) | U.S. 5-Year Treasury Futures Put  | (324961)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.00 | 11/21/25 | (516)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4) | U.S. 5-Year Treasury Futures Put  | (433281)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.50 | 11/21/25 | (1000)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. 10-Year Treasury Futures Put  | (222125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 08/22/25 | (375)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. 10-Year Treasury Futures Put  | (222125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107.00 | 11/21/25 | (500)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. 10-Year Treasury Futures Put  | (111063)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107.50 | 11/21/25 | (313)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. 10-Year Treasury Futures Put  | (222125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.00 | 11/21/25 | (781)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) | U.S. 10-Year Treasury Futures Put  | (666375)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109.00 | 11/21/25 | (3562)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (19) | U.S. Treasury Long Bond Futures Put  | (2169563)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 08/22/25 | (43937)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | U.S. Treasury Long Bond Futures Put  | (227625)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99.00 | 11/21/25 | (406)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Put  | (113813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103.00 | 11/21/25 | (391)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (10) | U.S. Treasury Long Bond Futures Put  | (1138125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107.00 | 11/21/25 | (8437)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Put  | (113813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.00 | 11/21/25 | (1016)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Put  | (113813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 11/21/25 | (1469)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | U.S. Treasury Long Bond Futures Put  | (113406)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 02/20/26 | (2563)<br>|
|  | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | (72953)<br>|
|  | (Premiums received $89,906) | (Premiums received $89,906) | (Premiums received $89,906) | (Premiums received $89,906) |  |
|  | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | (110291)<br>|
|  | (Premiums received $161,957) | (Premiums received $161,957) | (Premiums received $161,957) | (Premiums received $161,957) |  |
|  | **Net Other Assets and Liabilities — (13.6)%** | **Net Other Assets and Liabilities — (13.6)%** | **Net Other Assets and Liabilities — (13.6)%** | **Net Other Assets and Liabilities — (13.6)%** | (8989987)<br>|
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $66164193 |

---

**Futures Contracts at July 31, 2025:**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Long** | **Number of** <br>**Contracts**<br>| **Expiration** <br>**Date**<br>| **Notional** <br>**Value**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)/** <br>**Value**<br>|
| U.S. 2-Year Treasury Notes | 46 | Sep-2025 | &nbsp;&nbsp; $9521281 | &nbsp;&nbsp; $(9253)<br>|
| U.S. 5-Year Treasury Notes | 6 | Sep-2025 | &nbsp;&nbsp; 649031 | &nbsp;&nbsp; (1140)<br>|
| U.S. Treasury Long Bond Futures | 41 | Sep-2025 | &nbsp;&nbsp; 4681688 | &nbsp;&nbsp; 110229 |
|  |  |  | &nbsp;&nbsp; $14852000 | &nbsp;&nbsp; $99836 |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Short** |  |  |  |  |
| U.S. 10-Year Treasury Notes | 21 | Sep-2025 | &nbsp;&nbsp; $(2332312)<br>| &nbsp;&nbsp; $(2695)<br>|
| Ultra 10-Year U.S. Treasury Notes | 90 | Sep-2025 | &nbsp;&nbsp; (10177031)<br>| &nbsp;&nbsp; (83288)<br>|
| Ultra U.S. Treasury Bond Futures | 1 | Sep-2025 | &nbsp;&nbsp; (117313)<br>| &nbsp;&nbsp; (315)<br>|
|  |  |  | &nbsp;&nbsp; $(12626656)<br>| &nbsp;&nbsp; $(86298)<br>|
|  |  | &nbsp;&nbsp; Total | &nbsp;&nbsp; $2225344 | &nbsp;&nbsp; $13538 |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) Floating or variable rate security.

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) This security, sold within the terms of a private placement memorandum, is exempt
 from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions
 exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund's advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific
 factors and assumptions, which require subjective judgment. At July 31, 2025, securities noted as such amounted to $2,861,739
 or 4.3% of net assets.

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

------

**First Trust Intermediate Government Opportunities ETF (MGOV)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(g) All or a portion of this security is segregated as collateral for open futures and
 options contracts. At July 31, 2025, the segregated value of this security amounts to $672,801.

&nbsp;&nbsp;&nbsp;&nbsp;(h) Security whose principal value is adjusted in accordance with changes to the country's Consumer Price Index. Interest is calculated on the basis of the current adjusted principal value.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Rate shown reflects yield as of July 31, 2025.

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

---

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

---

------

**Valuation Inputs**

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

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

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

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

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

A summary of the inputs used to value the Fund's investments as of July 31, 2025 is as follows:

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**7/31/2025**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| &nbsp;&nbsp;&nbsp; U.S. Government Agency Mortgage-Backed <br> Securities<br>| $64480310 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $64480310 | &nbsp;&nbsp; $— |
| U.S. Government Bonds and Notes | 6000665 | &nbsp;&nbsp; — | &nbsp;&nbsp; 6000665 | &nbsp;&nbsp; — |
| U.S. Government Agency Securities | 1251946 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1251946 | &nbsp;&nbsp; — |
| Money Market Funds | 3739412 | &nbsp;&nbsp; 3739412 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total Investments | 75472333 | &nbsp;&nbsp; 3739412 | &nbsp;&nbsp; 71732921 | &nbsp;&nbsp; — |
| Purchased Options | 2031 | &nbsp;&nbsp; 2031 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Futures Contracts | 110229 | &nbsp;&nbsp; 110229 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total | $75584593 | &nbsp;&nbsp; $3851672 | &nbsp;&nbsp; $71732921 | &nbsp;&nbsp; $— |

---

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

------

**First Trust Intermediate Government Opportunities ETF (MGOV)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**7/31/2025**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| &nbsp;&nbsp;&nbsp; U.S. Government Agency Mortgage-Backed <br> Securities Sold Short<br>| $(209893)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(209893)<br>| &nbsp;&nbsp; $— |
| Written Options | (110291)<br>| &nbsp;&nbsp; (110291)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Futures Contracts | (96691)<br>| &nbsp;&nbsp; (96691)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total | $(416875)<br>| &nbsp;&nbsp; $(206982)<br>| &nbsp;&nbsp; $(209893)<br>| &nbsp;&nbsp; $— |

---

------

## 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 Intermediate Government Opportunities ETF

- **b. EDGAR series identifier (if any):** S000080998

- **c. LEI of Series:** 5493000G9GN9OLNUML64

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $83103320.41

**Total Liabilities:** $16939128.83

**Net Assets:** $66164191.58

**Stand-by Commitments:** $14516320.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4.84611000 | **1-Year:** 1711.98120000 | **5-Year:** 23189.76299000 | **10-Year:** 10228.38912000 | **30-Year:** 393.67813000

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

- **3-Month:** 0.00000000 | **1-Year:** 187.59074000 | **5-Year:** 764.24019000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000243637 | -1.12%               | 1.82%                | -0.33%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-127020.32              | $-866933.52                                |
| Month 2  | $-59281.12               | $825882.67                                 |
| Month 3  | $88014.96                | $-599433.07                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F030694<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221000 | PA      | $189185.40    | 0.29%             | 2055-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4 | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000298 | PA      | $961983.49    | 1.45%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-218.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. ULTRA TREASURY BOND                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-156.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FCBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1250000 | PA      | $1065077.75   | 1.61%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $166770.45    | 0.25%             | 2027-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9980003 | PA      | $490031.10    | 0.74%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2694426 | PA      | $2439072.75   | 3.69%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                            | CUSIP: 3133Q3ND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1080637 | PA      | $915501.13    | 1.38%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140JB2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428116 | PA      | $400902.72    | 0.61%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1745000 | PA      | $1644428.84   | 2.49%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F052698<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282000 | PA      | $280297.73    | 0.42%             | 2055-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    230000 | PA      | $228041.41    | 0.34%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140XJ5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884906 | PA      | $792508.95    | 1.20%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350352 | PA      | $1187665.30   | 1.80%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $191656.25    | 0.29%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384BJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1058801.04   | 1.60%             | 2053-06-20      | Fixed         | 4.00%                 | 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        |        46 | NC      | $-9253.28     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140J9QR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444233 | PA      | $1267084.76   | 1.92%             | 2048-05-01      | Fixed         | 3.00%                 | 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      | $-781.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3132AA2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    970506 | PA      | $891313.30    | 1.35%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -17 | NC      | $-531.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140W1QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1408339 | PA      | $1381612.54   | 2.09%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $475210.94    | 0.72%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-2375.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6234633 | PA      | $321604.83    | 0.49%             | 2034-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140JB4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431496 | PA      | $387222.37    | 0.59%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | 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        |         6 | NC      | $-1139.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F022691<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368000 | PA      | $301705.13    | 0.46%             | 2055-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125631 | PA      | $116350.23    | 0.18%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138WHTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957397 | PA      | $873905.61    | 1.32%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2025-1     | CUSIP: 35564CUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1250000 | PA      | $1058627.63   | 1.60%             | 2035-05-25      | Fixed         | 3.00%                 | 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        |        -1 | NC      | $-312.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AAWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1440698 | PA      | $1107409.13   | 1.67%             | 2042-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379QDE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1410107 | PA      | $1301832.74   | 1.97%             | 2045-09-20      | Fixed         | 3.50%                 | 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        |        -1 | NC      | $-203.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547640 | PA      | $1351340.24   | 2.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AULL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350000 | PA      | $1032945.89   | 1.56%             | 2046-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7058000 | PA      | $369457.72    | 0.56%             | 2031-08-25      | Variable      | 0.99%                 | 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        |         1 | NC      | $31.25        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B32M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1163463 | PA      | $1094125.15   | 1.65%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $196640.62    | 0.30%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H74E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2721250 | PA      | $65120.06     | 0.10%             | 2055-04-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137BPVM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240729 | PA      | $1191775.59   | 1.80%             | 2030-05-25      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F052680<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464000 | PA      | $461615.97    | 0.70%             | 2055-08-15      | Fixed         | 5.50%                 | 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        |        -2 | NC      | $-656.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F050692<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455000 | PA      | $442591.66    | 0.67%             | 2055-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $479758.40    | 0.73%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    860000 | PA      | $557085.16    | 0.84%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $773235.93    | 1.17%             | 2035-05-15      | Fixed         | 4.25%                 | 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        |        -1 | NC      | $-46.88       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $268261.20    | 0.41%             | 2051-07-20      | Fixed         | 4.00%                 | 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      | $-234.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1231810 | PA      | $1216171.84   | 1.84%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -207000 | PA      | $-209893.46   | -0.32%            | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F9Z61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    891794 | PA      | $815991.05    | 1.23%             | 2030-08-25      | Fixed         | 1.10%                 | 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        |        -2 | NC      | $-375.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5180000 | PA      | $360133.80    | 0.54%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F032690<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1829000 | PA      | $1631714.00   | 2.47%             | 2055-09-15      | Fixed         | 3.50%                 | 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        |        -4 | NC      | $-1187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3132E0NW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397448 | PA      | $375345.63    | 0.57%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H9C80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934625 | PA      | $923129.54    | 1.40%             | 2031-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137H92G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    891834 | PA      | $873181.54    | 1.32%             | 2052-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1017352.03   | 1.54%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3133KMET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1614249 | PA      | $1383301.22   | 2.09%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-3900.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293642 | PA      | $275584.08    | 0.42%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-406.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1646552 | PA      | $1490561.79   | 2.25%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-3906.25     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13181841 | PA      | $468423.33    | 0.71%             | 2030-11-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F030686<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429000 | PA      | $367208.73    | 0.55%             | 2055-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1890.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    295000 | PA      | $219037.50    | 0.33%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137BPCS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $33760.00     | 0.05%             | 2029-03-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444000 | PA      | $1369963.42   | 2.07%             | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3058331 | PA      | $188688.34    | 0.29%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AJJJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039522 | PA      | $976008.75    | 1.48%             | 2039-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                    | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1290000 | PA      | $1251945.36   | 1.89%             | 2055-02-01      | Fixed         | 5.25%                 | 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        |        -1 | NC      | $-203.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425111 | PA      | $399958.06    | 0.60%             | 2047-03-01      | Fixed         | 4.00%                 | 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      | $-140.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BRVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177946 | PA      | $913536.65    | 1.38%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FPKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904024 | PA      | $874341.16    | 1.32%             | 2049-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94000 | PA      | $93373.83     | 0.14%             | 2055-10-15      | Fixed         | 5.50%                 | 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        |        -1 | NC      | $-315.22      | -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      | $-375.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $548015.63    | 0.83%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F042699<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276000 | PA      | $261741.15    | 0.40%             | 2055-09-15      | Fixed         | 4.50%                 | 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        |        -2 | NC      | $-234.38      | -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        |        -3 | NC      | $-515.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140JBPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384205 | PA      | $371174.21    | 0.56%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2021-1     | CUSIP: 35564CJU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    497619 | PA      | $455852.81    | 0.69%             | 2031-05-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4892658 | PA      | $239815.10    | 0.36%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3131XQ6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407242 | PA      | $376872.40    | 0.57%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -19 | NC      | $-43937.50    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2 | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    368587 | PA      | $352096.28    | 0.53%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1120502.25   | 1.69%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F050684<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894000 | PA      | $870248.26    | 1.32%             | 2055-08-15      | Fixed         | 5.00%                 | 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        |        -1 | NC      | $-234.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1867684 | PA      | $1677049.03   | 2.53%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HH6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1205970.48   | 1.82%             | 2032-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KL04 Mortgage Trust                                | CUSIP: 30297TAU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $496723.40    | 0.75%             | 2025-10-25      | Variable      | 4.29%                 | 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        |       -10 | NC      | $-8437.50     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-3187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3132AAP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412620 | PA      | $381165.53    | 0.58%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-15.63       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630606 | PA      | $539928.61    | 0.82%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FJZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118130 | PA      | $118029.16    | 0.18%             | 2028-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3132AEQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1823957 | PA      | $1736141.28   | 2.62%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810000 | PA      | $746669.79    | 1.13%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $773784.38    | 1.17%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B9AH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    799938 | PA      | $787434.69    | 1.19%             | 2044-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B8YJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1263916 | PA      | $1149190.92   | 1.74%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-734.38      | -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        |        -6 | NC      | $-3562.50     | -0.01%            |  |  |  | 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      | $-500.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2015-P001          | CUSIP: 3137FRV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $300900.43    | 0.45%             | 2033-05-27      | Variable      | 1.84%                 | 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      | $2000.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $193531.25    | 0.29%             | 2044-11-15      | Fixed         | 4.62%                 | 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      | $-406.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137F5MU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950405 | PA      | $891355.60    | 1.35%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2024-2     | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    953789 | PA      | $970085.03    | 1.47%             | 2034-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $586921.87    | 0.89%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137HJSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000950 | PA      | $1007664.58   | 1.52%             | 2055-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F040693<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906000 | PA      | $835340.94    | 1.26%             | 2055-09-15      | Fixed         | 4.00%                 | 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      | $-1750.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140FXT28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851673 | PA      | $865532.00    | 1.31%             | 2061-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -90 | NC      | $-83287.94    | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2025-1     | CUSIP: 35564CWZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1376234 | PA      | $1394931.00   | 2.11%             | 2035-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AQYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441336 | PA      | $405965.14    | 0.61%             | 2045-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -11 | NC      | $-9796.88     | -0.01%            |  |  |  | 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        |        -1 | NC      | $-390.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MSILF Treasury Portfolio                    | MSILF Treasury Portfolio                                      | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |   3739412 | NS      | $3739412.32   | 5.65%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-3375.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -21 | NC      | $-2694.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288523 | PA      | $286876.55    | 0.43%             | 2054-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $240152.35    | 0.36%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454527 | PA      | $406151.24    | 0.61%             | 2048-07-01      | Fixed         | 3.50%                 | 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        |        -5 | NC      | $-156.25      | -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        |        -4 | NC      | $-1000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22240263 | PA      | $312626.93    | 0.47%             | 2031-01-25      | Variable      | 0.31%                 | 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      | $-343.75      | -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        |        -1 | NC      | $-1015.63     | -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        |        -1 | NC      | $-2562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-312.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FRNY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $307298.53    | 0.46%             | 2040-03-25      | Fixed         | 3.00%                 | 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        |        -3 | NC      | $-93.75       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FMD74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632078 | PA      | $617533.01    | 0.93%             | 2027-09-25      | Fixed         | 2.82%                 | 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        |        -1 | NC      | $-390.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F022683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736000 | PA      | $603180.26    | 0.91%             | 2055-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1468.75     | -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        |        -6 | NC      | $-7968.75     | -0.01%            |  |  |  | No            |                  1 | 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        |        41 | NC      | $110228.65    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-23

**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