# EDGAR Filing Document

**Accession Number:** 0001319183
**File Stem:** 0001752724-23-073733
**Filing Date:** 2023-3
**Character Count:** 118048
**Document Hash:** 65253ff8500c1767f3c8a024caeba706
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-073733.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001752724-23-073733

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST MORTGAGE INCOME FUND
- **CENTRAL INDEX KEY:** 0001319183
- **IRS NUMBER:** 356758396
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21727
- **FILM NUMBER:** 23778341

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630765-8000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIRST TRUST/FIDAC MORTGAGE INCOME FUND
- **DATE OF NAME CHANGE:** 20050228

## Nport-Ex

#### First Trust Mortgage Income Fund (FMY)<br>

#### Portfolio of Investments

#### January 31, 2023 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **MORTGAGE-BACKED SECURITIES – 47.1%** | **MORTGAGE-BACKED SECURITIES – 47.1%** | **MORTGAGE-BACKED SECURITIES – 47.1%** | **MORTGAGE-BACKED SECURITIES – 47.1%** | **MORTGAGE-BACKED SECURITIES – 47.1%** |
|  | **Collateralized Mortgage Obligations – 21.9%** |  |  |  |
|  | Banc of America Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$45279 | &nbsp;&nbsp;&nbsp;Series 2002-L, Class 1A1 (a)<br>| 3.56% | 12/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$34038 |
|  | Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79237 | &nbsp;&nbsp;&nbsp;Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (b)<br>| 6.08% | 09/01/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12198 | &nbsp;&nbsp;&nbsp;Series 2009-10, Class 1A1 (a) (c)<br>| 4.12% | 09/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;181183 | &nbsp;&nbsp;&nbsp;Series 2012-7, Class 10A2 (a) (c) (d)<br>| 4.09% | 09/01/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;164411 |
|  | Connecticut Avenue Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2019-R01, Class 2B1, 1 Mo. LIBOR + 4.35% (b) (c)<br>| 8.86% | 07/25/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1039160 |
|  | Countrywide Home Loan Mortgage Pass-Through Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;245959 | &nbsp;&nbsp;&nbsp;Series 2006-HYB5, Class 3A1A (a)<br>| 3.78% | 09/01/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214119 |
|  | Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;282328 | &nbsp;&nbsp;&nbsp;Series 2017-FHA1, Class A1 (c)<br>| 3.25% | 04/01/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257105 |
|  | DSLA Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;262115 | &nbsp;&nbsp;&nbsp;Series 2004-AR3, Class 2A2A, 1 Mo. LIBOR + 0.74% (b)<br>| 5.21% | 07/19/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;234041 |
|  | Flagstar Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1108754 | &nbsp;&nbsp;&nbsp;Series 2021-9INV, Class A1 (c)<br>| 2.50% | 09/01/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;988644 |
|  | GSR Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2475 | &nbsp;&nbsp;&nbsp;Series 2003-10, Class 1A12 (a)<br>| 3.94% | 10/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80925 | &nbsp;&nbsp;&nbsp;Series 2005-AR1, Class 4A1 (a)<br>| 3.19% | 01/01/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70373 |
|  | JP Morgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233952 | &nbsp;&nbsp;&nbsp;Series 2006-A2, Class 4A1 (a)<br>| 3.65% | 08/01/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;232381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40887 | &nbsp;&nbsp;&nbsp;Series 2006-A2, Class 5A3 (a)<br>| 4.18% | 11/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26798 | &nbsp;&nbsp;&nbsp;Series 2014-2, Class 1A1 (c)<br>| 3.00% | 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25144 |
|  | MASTR Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3550401 | &nbsp;&nbsp;&nbsp;Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (b)<br>| 4.86% | 03/25/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;396388 |
|  | MASTR Asset Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21440 | &nbsp;&nbsp;&nbsp;Series 2003-11, Class 6A16<br>| 5.25% | 12/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20373 |
|  | MortgageIT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54794 | &nbsp;&nbsp;&nbsp;Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (b)<br>| 6.02% | 05/01/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51118 |
|  | New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215913 | &nbsp;&nbsp;&nbsp;Series 2014-2A, Class A2 (c)<br>| 3.16% | 05/01/54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;201377 |
|  | Pretium Mortgage Credit Partners I LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2021-NPL2, Class A2 (c) (e)<br>| 3.84% | 06/27/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;849587 |
|  | PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2021-AFC1, Class B2 (c)<br>| 3.95% | 08/01/56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;595719 |
|  | Residential Accredit Loans, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73892 | &nbsp;&nbsp;&nbsp;Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.54% (b)<br>| 5.05% | 02/25/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;733014 | &nbsp;&nbsp;&nbsp;Series 2006-QS6, Class 1AV, IO (a)<br>| 0.77% | 06/01/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15835 |
|  | Residential Asset Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19910 | &nbsp;&nbsp;&nbsp;Series 2004-A3, Class A7<br>| 5.25% | 06/01/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19341 |
|  | Roc Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2021-RTL1, Class M (c)<br>| 5.68% | 08/25/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;857124 |
|  | RUN Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;944842 | &nbsp;&nbsp;&nbsp;Series 2022-NQM1, Class A1 (c)<br>| 4.00% | 03/01/67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;902885 |
|  | Starwood Mortgage Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;927024 | &nbsp;&nbsp;&nbsp;Series 2022-3, Class A1 (c)<br>| 4.16% | 03/01/67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;908760 |
|  | Structured Asset Securities Corp. Mortgage Pass-Through<br> Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10841 | &nbsp;&nbsp;&nbsp;Series 2001-SB1, Class A2<br>| 3.38% | 08/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10723 |
|  | VCAT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2021-NPL5, Class A2 (c) (e)<br>| 3.84% | 08/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;854268 |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2021-NPL6, Class A2 (c) (e)<br>| 3.97% | 09/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865567 |
|  | Vendee Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;35776345 | &nbsp;&nbsp;&nbsp;Series 2010-1, Class DI, IO (a)<br>| 0.25% | 04/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263196 |

---

------

#### First Trust Mortgage Income Fund (FMY)<br>

#### Portfolio of Investments (Continued)

#### January 31, 2023 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** |  |  |  |
|  | VOLT CI LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;$1000000 | &nbsp;&nbsp;&nbsp;Series 2021-NP10, Class A2 (c) (e)<br>| &nbsp;&nbsp;&nbsp;4.83% | 05/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$911659 |
|  | WaMu Mortgage Pass-Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;152649 | &nbsp;&nbsp;&nbsp;Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (b)<br>| &nbsp;&nbsp;&nbsp;5.23% | 11/25/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140958 |
|  | Washington Mutual Alternative Mortgage Pass-Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10616 | &nbsp;&nbsp;&nbsp;Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (f)<br>| 12.44% | 06/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13583 |
|  | WinWater Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;232909 | &nbsp;&nbsp;&nbsp;Series 2015-3, Class B1 (a) (c)<br>| &nbsp;&nbsp;&nbsp;3.85% | 03/01/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;209614 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11525917 |
|  | **Commercial Mortgage-Backed Securities – 25.2%** |  |  |  |
|  | BAMLL Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2013-WBRK, Class A (a) (c)<br>| &nbsp;&nbsp;&nbsp;3.53% | 03/01/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;915503 |
|  | BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2018-TALL, Class A, 1. Mo. LIBOR + 0.72% (b) (c)<br>| &nbsp;&nbsp;&nbsp;5.18% | 03/15/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;930847 |
|  | Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2020-IG2, Class UBRD (a) (c)<br>| &nbsp;&nbsp;&nbsp;3.51% | 09/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;856647 |
|  | Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4242664 | &nbsp;&nbsp;&nbsp;Series 2015-GC29, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;1.02% | 04/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75406 |
| &nbsp;&nbsp;&nbsp;&nbsp;8751310 | &nbsp;&nbsp;&nbsp;Series 2016-GC37, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;1.65% | 04/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;348037 |
| &nbsp;&nbsp;&nbsp;&nbsp;5596381 | &nbsp;&nbsp;&nbsp;Series 2016-P4, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;1.89% | 07/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;267867 |
|  | COMM Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;469036 | &nbsp;&nbsp;&nbsp;Series 2013-LC13, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;0.96% | 08/01/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1278 |
| 122774000 | &nbsp;&nbsp;&nbsp;Series 2014-UBS6, Class XB (a) (c)<br>| &nbsp;&nbsp;&nbsp;0.04% | 12/01/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;127059 |
| &nbsp;&nbsp;&nbsp;&nbsp;3829000 | &nbsp;&nbsp;&nbsp;Series 2015-CCRE26, Class XD (a) (c)<br>| &nbsp;&nbsp;&nbsp;1.22% | 10/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108510 |
| &nbsp;&nbsp;&nbsp;15379770 | &nbsp;&nbsp;&nbsp;Series 2015-LC21, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;0.65% | 07/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189708 |
|  | Credit Suisse Mortgage Capital Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2021-980M, Class G (a) (c)<br>| &nbsp;&nbsp;&nbsp;3.54% | 07/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;690703 |
|  | Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2022-CNTR, Class A, 1 Mo. Term SOFR + 3.94% (b) (c)<br>| &nbsp;&nbsp;&nbsp;8.42% | 01/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;890946 |
|  | GS Mortgage Securities Corp Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2018-3PCK, Class C, 1 Mo. LIBOR + 3.50% (b) (c)<br>| &nbsp;&nbsp;&nbsp;7.96% | 09/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;932011 |
|  | GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885123 | &nbsp;&nbsp;&nbsp;Series 2012-GCJ9, Class D (a) (c)<br>| &nbsp;&nbsp;&nbsp;4.80% | 11/01/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;822698 |
|  | Hawaii Hotel Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2019-MAUI, Class A, 1 Mo. LIBOR + 1.15% (b) (c)<br>| &nbsp;&nbsp;&nbsp;5.61% | 05/15/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;983829 |
|  | Houston Galleria Mall Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2015-HGLR, Class D (c)<br>| &nbsp;&nbsp;&nbsp;3.98% | 03/01/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;889786 |
|  | Hudsons Bay Simon JV Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;414757 | &nbsp;&nbsp;&nbsp;Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.90% (b) (c)<br>| &nbsp;&nbsp;&nbsp;8.30% | 08/05/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;293507 |
|  | JP Morgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3127120 | &nbsp;&nbsp;&nbsp;Series 2016-JP4, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;0.58% | 12/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;969086 | &nbsp;&nbsp;&nbsp;Series 2018-PHH, Class A, 1 Mo. LIBOR + 1.21% (b) (c)<br>| &nbsp;&nbsp;&nbsp;5.67% | 06/15/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;893347 |
|  | LSTAR Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;Series 2017-5, Class D (a) (c)<br>| &nbsp;&nbsp;&nbsp;4.67% | 03/01/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1181314 |
| &nbsp;&nbsp;&nbsp;20754366 | &nbsp;&nbsp;&nbsp;Series 2017-5, Class X (a) (c)<br>| &nbsp;&nbsp;&nbsp;0.79% | 03/01/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;419211 |
|  | MBRT |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2019-MBR, Class H1, 1 Mo. LIBOR + 4.35% (b) (c)<br>| &nbsp;&nbsp;&nbsp;8.81% | 11/15/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;961115 |
|  | Morgan Stanley Bank of America Merrill Lynch Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1844 | &nbsp;&nbsp;&nbsp;Series 2013-C7, Class B<br>| &nbsp;&nbsp;&nbsp;3.77% | 02/01/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1838 |
| &nbsp;&nbsp;&nbsp;21395827 | &nbsp;&nbsp;&nbsp;Series 2014-C16, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;0.91% | 06/01/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;131571 |
| &nbsp;&nbsp;&nbsp;&nbsp;1921818 | &nbsp;&nbsp;&nbsp;Series 2014-C19, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;0.95% | 12/01/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24139 |
| &nbsp;&nbsp;&nbsp;&nbsp;5632500 | &nbsp;&nbsp;&nbsp;Series 2014-C19, Class XE (a) (c)<br>| &nbsp;&nbsp;&nbsp;1.18% | 12/01/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;446151 | &nbsp;&nbsp;&nbsp;Series 2016-C31, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;1.27% | 11/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15891 |

---

------

#### First Trust Mortgage Income Fund (FMY)<br>

#### Portfolio of Investments (Continued)

#### January 31, 2023 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Commercial Mortgage-Backed Securities (Continued)** |  |  |  |
|  | Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;$2180000 | &nbsp;&nbsp;&nbsp;Series 2016-UBS9, Class XD (a) (c)<br>| &nbsp;&nbsp;&nbsp;1.59% | 03/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$95575 |
|  | Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1341612 | &nbsp;&nbsp;&nbsp;Series 2015-C26, Class XA (a)<br>| &nbsp;&nbsp;&nbsp;1.19% | 02/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25250 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13242587 |
|  | **Total Mortgage-Backed Securities<br>** | **Total Mortgage-Backed Securities<br>** | **Total Mortgage-Backed Securities<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24768504 |
|  | (Cost $28,044,288) |  |  |  |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 42.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 42.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 42.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 42.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 42.9%** |
|  | **Collateralized Mortgage Obligations – 25.6%** |  |  |  |
|  | Federal Home Loan Mortgage Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2278 | &nbsp;&nbsp;&nbsp;Series 2303, Class SW, IO, ECOFIN x -15.87 + 121.11%, Capped at 10.00% (f)<br>| 10.00% | 03/01/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32374 | &nbsp;&nbsp;&nbsp;Series 2334, Class QS, 1 Mo. LIBOR x -3.5 + 28.18% (f)<br>| 12.57% | 07/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134920 | &nbsp;&nbsp;&nbsp;Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (f)<br>| &nbsp;&nbsp;&nbsp;6.50% | 03/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;643328 | &nbsp;&nbsp;&nbsp;Series 2975, Class SJ, IO, 1 Mo. LIBOR x -1 + 6.65% (f)<br>| &nbsp;&nbsp;&nbsp;2.19% | 05/15/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;169761 | &nbsp;&nbsp;&nbsp;Series 3012, Class GK, 1 Mo. LIBOR x -4.5 + 24.75% (f)<br>| &nbsp;&nbsp;&nbsp;4.68% | 06/15/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52323 | &nbsp;&nbsp;&nbsp;Series 3410, Class HC<br>| &nbsp;&nbsp;&nbsp;5.50% | 02/01/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15065 | &nbsp;&nbsp;&nbsp;Series 3451, Class SB, IO, 1 Mo. LIBOR x -1 + 6.03% (f)<br>| &nbsp;&nbsp;&nbsp;1.57% | 05/15/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231856 | &nbsp;&nbsp;&nbsp;Series 3471, Class SD, IO, 1 Mo. LIBOR x -1 + 6.08% (f)<br>| &nbsp;&nbsp;&nbsp;1.62% | 12/15/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;Series 3797, Class KB<br>| &nbsp;&nbsp;&nbsp;4.50% | 01/01/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;253570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14001 | &nbsp;&nbsp;&nbsp;Series 4021, Class IP, IO<br>| &nbsp;&nbsp;&nbsp;3.00% | 03/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;219974 | &nbsp;&nbsp;&nbsp;Series 4057, Class YI, IO<br>| &nbsp;&nbsp;&nbsp;3.00% | 06/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;457166 | &nbsp;&nbsp;&nbsp;Series 4082, Class PI, IO<br>| &nbsp;&nbsp;&nbsp;3.00% | 06/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19077 |
| &nbsp;&nbsp;&nbsp;&nbsp;2416748 | &nbsp;&nbsp;&nbsp;Series 4142, Class IO, IO<br>| &nbsp;&nbsp;&nbsp;3.00% | 12/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;105846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;286515 | &nbsp;&nbsp;&nbsp;Series 4206, Class IA, IO<br>| &nbsp;&nbsp;&nbsp;3.00% | 03/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25423 |
| &nbsp;&nbsp;&nbsp;&nbsp;2048723 | &nbsp;&nbsp;&nbsp;Series 4459, Class EI, IO<br>| &nbsp;&nbsp;&nbsp;6.00% | 06/01/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;287168 | &nbsp;&nbsp;&nbsp;Series 4615, Class GT, 1 Mo. LIBOR x -4 + 16.00%, 0.00% Floor (f)<br>| &nbsp;&nbsp;&nbsp;0.00% | 10/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;201859 |
| &nbsp;&nbsp;&nbsp;&nbsp;3439129 | &nbsp;&nbsp;&nbsp;Series 4938, Class IB, IO<br>| &nbsp;&nbsp;&nbsp;4.00% | 07/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;460351 |
|  | Federal Home Loan Mortgage Corp. STACR REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2020-DNA2, Class B2, 1 Mo. LIBOR + 4.80% (b) (c)<br>| &nbsp;&nbsp;&nbsp;9.31% | 02/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;887404 |
|  | Federal Home Loan Mortgage Corp. STACR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2019-DNA3, Class B2, 1 Mo. LIBOR + 8.15% (b) (c)<br>| 12.66% | 07/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1039943 |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2019-DNA4, Class B1, 1 Mo. LIBOR + 2.70% (b) (c)<br>| &nbsp;&nbsp;&nbsp;7.21% | 10/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;992013 |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2019-HQA1, Class B1, 1 Mo. LIBOR + 4.40% (b) (c)<br>| &nbsp;&nbsp;&nbsp;8.91% | 02/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1051100 |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;Series 2019-HQA3, Class B1, 1 Mo. LIBOR + 3.00% (b) (c)<br>| &nbsp;&nbsp;&nbsp;7.51% | 09/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;994073 |
|  | Federal Home Loan Mortgage Corp. Structured Pass-Through<br> Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45519 | &nbsp;&nbsp;&nbsp;Series T-56, Class APO<br>| &nbsp;&nbsp;&nbsp;&nbsp;(g) | 05/01/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44770 |
|  | Federal Home Loan Mortgage Corp., STRIPS |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25330 | &nbsp;&nbsp;&nbsp;Series 177, IO<br>| &nbsp;&nbsp;&nbsp;7.00% | 07/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522070 | &nbsp;&nbsp;&nbsp;Series 243, Class 2, IO<br>| &nbsp;&nbsp;&nbsp;5.00% | 11/01/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71790 |
|  | Federal National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20764 | &nbsp;&nbsp;&nbsp;Series 1996-46, Class ZA<br>| &nbsp;&nbsp;&nbsp;7.50% | 11/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33394 | &nbsp;&nbsp;&nbsp;Series 1997-85, Class M, IO<br>| &nbsp;&nbsp;&nbsp;6.50% | 12/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20125 | &nbsp;&nbsp;&nbsp;Series 2002-80, Class IO, IO<br>| &nbsp;&nbsp;&nbsp;6.00% | 09/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48477 | &nbsp;&nbsp;&nbsp;Series 2003-15, Class MS, IO, 1 Mo. LIBOR x -1 + 8.00% (f)<br>| &nbsp;&nbsp;&nbsp;3.49% | 03/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59793 | &nbsp;&nbsp;&nbsp;Series 2003-44, Class IU, IO<br>| &nbsp;&nbsp;&nbsp;7.00% | 06/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;251092 | &nbsp;&nbsp;&nbsp;Series 2004-49, Class SN, IO, 1 Mo. LIBOR x -1 + 7.10% (f)<br>| &nbsp;&nbsp;&nbsp;2.59% | 07/25/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9076 | &nbsp;&nbsp;&nbsp;Series 2004-74, Class SW, 1 Mo. LIBOR x -2 + 15.50% (f)<br>| &nbsp;&nbsp;&nbsp;6.59% | 11/25/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273214 | &nbsp;&nbsp;&nbsp;Series 2005-122, Class SN, 1 Mo. LIBOR x -4 + 28.60% (f)<br>| 10.58% | 01/25/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;318401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28099 | &nbsp;&nbsp;&nbsp;Series 2005-59 Class SU, 1 Mo. LIBOR x -5 + 25.50% (f)<br>| &nbsp;&nbsp;&nbsp;2.97% | 06/25/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28917 |

---

------

#### First Trust Mortgage Income Fund (FMY)<br>

#### Portfolio of Investments (Continued)

#### January 31, 2023 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** |  |  |  |
|  | Federal National Mortgage Association (Continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$59583 | &nbsp;&nbsp;&nbsp;Series 2005-6, Class SE, IO, 1 Mo. LIBOR x -1 + 6.70% (f)<br>| &nbsp;&nbsp;&nbsp;2.19% | 02/25/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29111 | &nbsp;&nbsp;&nbsp;Series 2007-100, Class SM, IO, 1 Mo. LIBOR x -1 + 6.45% (f)<br>| &nbsp;&nbsp;&nbsp;1.94% | 10/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;172256 | &nbsp;&nbsp;&nbsp;Series 2007-37, Class SB, IO, 1 Mo. LIBOR x -1 + 6.75% (f)<br>| &nbsp;&nbsp;&nbsp;2.24% | 05/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;294177 | &nbsp;&nbsp;&nbsp;Series 2008-17, Class BE<br>| &nbsp;&nbsp;&nbsp;5.50% | 10/01/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;667946 | &nbsp;&nbsp;&nbsp;Series 2010-103, Class ID, IO<br>| &nbsp;&nbsp;&nbsp;5.00% | 09/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340508 | &nbsp;&nbsp;&nbsp;Series 2010-59, Class EI, IO<br>| &nbsp;&nbsp;&nbsp;6.00% | 06/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41000 | &nbsp;&nbsp;&nbsp;Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00% (f)<br>| &nbsp;&nbsp;&nbsp;3.16% | 09/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;488517 | &nbsp;&nbsp;&nbsp;Series 2011-81, Class PI, IO<br>| &nbsp;&nbsp;&nbsp;3.50% | 08/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59811 | &nbsp;&nbsp;&nbsp;Series 2012-111, Class B<br>| &nbsp;&nbsp;&nbsp;7.00% | 10/01/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;311299 | &nbsp;&nbsp;&nbsp;Series 2012-112, Class BI, IO<br>| &nbsp;&nbsp;&nbsp;3.00% | 09/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7950 |
| &nbsp;&nbsp;&nbsp;&nbsp;1385334 | &nbsp;&nbsp;&nbsp;Series 2012-125, Class MI, IO<br>| &nbsp;&nbsp;&nbsp;3.50% | 11/01/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16897 | &nbsp;&nbsp;&nbsp;Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67%, 0.00% Floor (f)<br>| &nbsp;&nbsp;&nbsp;0.00% | 01/01/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13857 |
| &nbsp;&nbsp;&nbsp;&nbsp;1814961 | &nbsp;&nbsp;&nbsp;Series 2013-32, Class IG, IO<br>| &nbsp;&nbsp;&nbsp;3.50% | 04/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;209244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;216223 | &nbsp;&nbsp;&nbsp;Series 2013-51, Class PI, IO<br>| &nbsp;&nbsp;&nbsp;3.00% | 11/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19673 |
| &nbsp;&nbsp;&nbsp;&nbsp;1430914 | &nbsp;&nbsp;&nbsp;Series 2015-20, Class ES, IO, 1 Mo. LIBOR x -1 + 6.15% (f)<br>| &nbsp;&nbsp;&nbsp;1.64% | 04/25/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;188607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137498 | &nbsp;&nbsp;&nbsp;Series 2015-76, Class BI, IO<br>| &nbsp;&nbsp;&nbsp;4.00% | 10/01/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63852 | &nbsp;&nbsp;&nbsp;Series 2015-97, Class AI, IO<br>| &nbsp;&nbsp;&nbsp;4.00% | 09/01/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;168142 | &nbsp;&nbsp;&nbsp;Series 2016-74, Class LI, IO<br>| &nbsp;&nbsp;&nbsp;3.50% | 09/01/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44961 |
| &nbsp;&nbsp;&nbsp;&nbsp;2730552 | &nbsp;&nbsp;&nbsp;Series 2017-109, Class SJ, IO, 1 Mo. LIBOR x -1+ 6.20% (f)<br>| &nbsp;&nbsp;&nbsp;1.69% | 01/25/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;344687 |
| &nbsp;&nbsp;&nbsp;&nbsp;1140494 | &nbsp;&nbsp;&nbsp;Series 5112, Class ID, IO<br>| &nbsp;&nbsp;&nbsp;7.00% | 01/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124213 |
| &nbsp;&nbsp;&nbsp;&nbsp;1914242 | &nbsp;&nbsp;&nbsp;Series 5179, Class GZ<br>| &nbsp;&nbsp;&nbsp;2.00% | 01/01/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1155425 |
|  | Federal National Mortgage Association, STRIPS |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20070 | &nbsp;&nbsp;&nbsp;Series 305, Class 12, IO (h)<br>| &nbsp;&nbsp;&nbsp;6.50% | 12/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33822 | &nbsp;&nbsp;&nbsp;Series 355, Class 18, IO<br>| &nbsp;&nbsp;&nbsp;7.50% | 11/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;478280 | &nbsp;&nbsp;&nbsp;Series 406, Class 6, IO (h)<br>| &nbsp;&nbsp;&nbsp;4.00% | 01/01/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;444923 | &nbsp;&nbsp;&nbsp;Series 413, Class 173, IO (h)<br>| &nbsp;&nbsp;&nbsp;4.50% | 07/01/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78478 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233002 | &nbsp;&nbsp;&nbsp;Series 2004-95, Class QZ<br>| &nbsp;&nbsp;&nbsp;4.50% | 11/01/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124344 | &nbsp;&nbsp;&nbsp;Series 2005-33, Class AY<br>| &nbsp;&nbsp;&nbsp;5.50% | 04/01/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41614 | &nbsp;&nbsp;&nbsp;Series 2005-68, Class DP, 1 Mo. LIBOR x -2.41 + 16.43% (f)<br>| &nbsp;&nbsp;&nbsp;5.69% | 06/17/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27085 | &nbsp;&nbsp;&nbsp;Series 2006-28, Class VS, 1 Mo. LIBOR x -13 + 87.10% (f)<br>| 28.79% | 06/20/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147216 | &nbsp;&nbsp;&nbsp;Series 2007-68, Class PI, IO, 1 Mo. LIBOR x -1 + 6.65% (f)<br>| &nbsp;&nbsp;&nbsp;2.16% | 11/20/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;Series 2008-2, Class HB<br>| &nbsp;&nbsp;&nbsp;5.50% | 01/01/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121275 | &nbsp;&nbsp;&nbsp;Series 2008-73, Class SK, IO, 1 Mo. LIBOR x -1 + 6.74% (f)<br>| &nbsp;&nbsp;&nbsp;2.25% | 08/20/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;157474 | &nbsp;&nbsp;&nbsp;Series 2009-79, Class PZ<br>| &nbsp;&nbsp;&nbsp;6.00% | 09/01/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;173983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;238644 | &nbsp;&nbsp;&nbsp;Series 2013-104, Class YS, IO, 1 Mo. LIBOR x -1 + 6.15% (f)<br>| &nbsp;&nbsp;&nbsp;1.69% | 07/16/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126576 | &nbsp;&nbsp;&nbsp;Series 2014-41, Class ST, 1 Mo. LIBOR x -2.67 + 11.47%, 0.00% Floor (f)<br>| &nbsp;&nbsp;&nbsp;0.00% | 11/20/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104028 |
| &nbsp;&nbsp;&nbsp;&nbsp;3754247 | &nbsp;&nbsp;&nbsp;Series 2015-158, Class KS, IO, 1 Mo. LIBOR x -1 + 6.25% (f)<br>| &nbsp;&nbsp;&nbsp;1.76% | 11/20/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;455006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75431 | &nbsp;&nbsp;&nbsp;Series 2016-139, Class MZ<br>| &nbsp;&nbsp;&nbsp;1.50% | 07/01/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;157997 | &nbsp;&nbsp;&nbsp;Series 2017-4, Class CZ<br>| &nbsp;&nbsp;&nbsp;3.00% | 01/01/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;127753 | &nbsp;&nbsp;&nbsp;Series 2017-H18, Class DZ (h)<br>| &nbsp;&nbsp;&nbsp;4.63% | 09/01/67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125820 |
| &nbsp;&nbsp;&nbsp;10736252 | &nbsp;&nbsp;&nbsp;Series 2020-13, Class BT, IO, 1 Mo. LIBOR x -1 + 6.20%, Capped at 0.50% (f)<br>| &nbsp;&nbsp;&nbsp;0.50% | 11/20/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228444 |
| &nbsp;&nbsp;&nbsp;&nbsp;1478000 | &nbsp;&nbsp;&nbsp;Series 2022-146, Class PL<br>| &nbsp;&nbsp;&nbsp;4.00% | 08/01/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1350957 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13465147 |
|  | **Commercial Mortgage-Backed Securities – 17.3%** |  |  |  |
|  | Federal Home Loan Mortgage Corp. Multifamily Structured<br> Pass-Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;30000000 | &nbsp;&nbsp;&nbsp;Series K043, Class X3, IO (a)<br>| &nbsp;&nbsp;&nbsp;1.63% | 02/01/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;879834 |
| &nbsp;&nbsp;&nbsp;&nbsp;4000000 | &nbsp;&nbsp;&nbsp;Series K110, Class X3, IO (a)<br>| &nbsp;&nbsp;&nbsp;3.40% | 06/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;746836 |
| &nbsp;&nbsp;&nbsp;&nbsp;3330000 | &nbsp;&nbsp;&nbsp;Series K112, Class X3, IO (a)<br>| &nbsp;&nbsp;&nbsp;3.00% | 07/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;543366 |

---

------

#### First Trust Mortgage Income Fund (FMY)<br>

#### Portfolio of Investments (Continued)

#### January 31, 2023 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **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)** |  |  |  |
|  | Federal Home Loan Mortgage Corp. Multifamily Structured<br> Pass-Through Certificates (Continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;$4605411 | &nbsp;&nbsp;&nbsp;Series K115, Class X3, IO (a)<br>| 2.96% | 09/01/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$752474 |
| &nbsp;&nbsp;&nbsp;&nbsp;4326216 | &nbsp;&nbsp;&nbsp;Series K118, Class X3, IO (a)<br>| 2.69% | 10/25/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;646696 |
| &nbsp;&nbsp;&nbsp;&nbsp;1900000 | &nbsp;&nbsp;&nbsp;Series K122, Class X3, IO (a)<br>| 2.63% | 01/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;287766 |
| &nbsp;&nbsp;&nbsp;&nbsp;5000000 | &nbsp;&nbsp;&nbsp;Series K124, Class X3, IO (a)<br>| 2.62% | 02/01/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;762190 |
| &nbsp;&nbsp;&nbsp;&nbsp;3343856 | &nbsp;&nbsp;&nbsp;Series K128, Class X3, IO (a)<br>| 2.78% | 04/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;980000 | &nbsp;&nbsp;&nbsp;Series K-1512, Class A2<br>| 2.99% | 05/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;899870 |
| &nbsp;&nbsp;&nbsp;&nbsp;1831144 | &nbsp;&nbsp;&nbsp;Series K739, Class X3, IO (a)<br>| 2.81% | 11/25/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193587 |
| 342493775 | &nbsp;&nbsp;&nbsp;Series KBX1, Class X1, IO (a)<br>| 0.09% | 01/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;806710 |
| &nbsp;&nbsp;&nbsp;&nbsp;4571896 | &nbsp;&nbsp;&nbsp;Series KG06, Class X3, IO (a)<br>| 2.73% | 10/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;759756 |
|  | Federal National Mortgage Association, ACES |  |  |  |
| &nbsp;&nbsp;&nbsp;13100000 | &nbsp;&nbsp;&nbsp;Series 2019-M29, Class X4, IO<br>| 0.70% | 03/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;412665 |
|  | Freddie Mac Multiclass Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6029139 | &nbsp;&nbsp;&nbsp;Series 2021-P011, Class X1, IO (a)<br>| 1.79% | 09/01/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770435 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2235709 | &nbsp;&nbsp;&nbsp;Series 2016-11, Class IO (h)<br>| 0.78% | 01/01/56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79513 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9092342 |
|  | **Total U.S. Government Agency Mortgage-Backed Securities<br>** | **Total U.S. Government Agency Mortgage-Backed Securities<br>** | **Total U.S. Government Agency Mortgage-Backed Securities<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22557489 |
|  | (Cost $25,712,661) |  |  |  |
| **ASSET-BACKED SECURITIES – 3.2%** | **ASSET-BACKED SECURITIES – 3.2%** | **ASSET-BACKED SECURITIES – 3.2%** | **ASSET-BACKED SECURITIES – 3.2%** | **ASSET-BACKED SECURITIES – 3.2%** |
|  | CoreVest American Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;9336955 | &nbsp;&nbsp;&nbsp;Series 2021-3, Class XA (a) (c)<br>| 2.39% | 10/01/54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;661502 |
|  | Mid-State Capital Corp. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;151006 | &nbsp;&nbsp;&nbsp;Series 2005-1, Class A<br>| 5.75% | 01/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149081 |
|  | PAGAYA AI Debt Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;841744 | &nbsp;&nbsp;&nbsp;Series 2022-3, Class A (c)<br>| 6.06% | 03/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;834441 |
|  | Verizon Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62060 | &nbsp;&nbsp;&nbsp;Series 2020-A, Class A1B, 1 Mo. LIBOR + 0.27% (b)<br>| 4.76% | 07/22/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62052 |
|  | **Total Asset-Backed Securities<br>** | **Total Asset-Backed Securities<br>** | **Total Asset-Backed Securities<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1707076 |
|  | (Cost $1,796,917) |  |  |  |
|  | **Total Investments – 93.2%<br>** | **Total Investments – 93.2%<br>** | **Total Investments – 93.2%<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49033069 |
|  | (Cost $55,553,866) |  |  |  |

---

---

| | |
|:---|:---|
| **Net Other Assets and Liabilities – 6.8%<br>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3559986 |
| **Net Assets – 100.0%<br>**  | &nbsp;&nbsp;&nbsp;$52593055 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Futures Contracts** | **Position** | **Number of<br> Contracts** | **Expiration<br> Date** | **Notional<br> Value** | **Unrealized<br> Appreciation<br> (Depreciation)/<br> Value** |
| U.S. 10-Year Treasury Notes | Long | 46 | Mar 2023 | $5267719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$47 |
| U.S. 5-Year Treasury Notes | Long | &nbsp;&nbsp;&nbsp;8 | Mar 2023 | &nbsp;&nbsp;&nbsp;&nbsp;873938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;937 |
| Ultra 10-Year U.S. Treasury Notes | Long | 18 | Mar 2023 | &nbsp;&nbsp;2181656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6563 |
|  |  |  |  | $8323313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$7547 |

---

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

(b) Floating or variable rate security.

------

#### First Trust Mortgage Income Fund (FMY)<br>

#### Portfolio of Investments (Continued)

#### January 31, 2023 (Unaudited)
(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 Fund's Board of Trustees, this security has been determined to be liquid by
First Trust Advisors L.P., the Fund's investment advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security
specific factors and assumptions, which require subjective judgment. At January 31, 2023, securities noted as such amounted to $28,212,140 or 53.6% of net assets.

(d) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures approved by the Fund's Board of Trustees, and in accordance with the
provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At January 31, 2023, securities noted as such are valued at $164,411 or 0.3% of net assets.

(e) Step-up security. A security where the coupon increases or steps up at a predetermined date. Interest rate shown reflects the rate in effect at January 31, 2023.

(f) Inverse floating rate security.

(g) Zero coupon security.

(h) 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.

---

| | |
|:---|:---|
| ACES | &nbsp;&nbsp;Alternative Credit Enhancement Securities |
| ECOFIN | &nbsp;&nbsp;Enterprise 11th District COFI Institutional Replacement Index |
| IO | &nbsp;&nbsp;Interest-Only Security - Principal amount shown represents par value on which interest payments are based. |
| LIBOR | &nbsp;&nbsp;London Interbank Offered Rate |
| SOFR | &nbsp;&nbsp;Secured Overnight Financing Rate |
| STRIPS | &nbsp;&nbsp;Separate Trading of Registered Interest and Principal of Securities |

---

------

#### 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:

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

• 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.)

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

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

A summary of the inputs used to value the Fund's investments as of January 31, 2023 is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Total<br> Value at<br> 1/31/2023** | &nbsp;&nbsp;**Level 1<br> Quoted<br> Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** |
| Mortgage-Backed Securities<br>| $24768504 | &nbsp;&nbsp;&nbsp;&nbsp;$— | $24768504 | $— |
| U.S. Government Agency Mortgage-Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 22557489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22557489 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Asset-Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1707076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1707076 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Investments<br>| &nbsp;&nbsp;&nbsp;&nbsp; 49033069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49033069 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Futures Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Investments<br>| $49040616 | &nbsp;&nbsp;$7547 | $49033069 | $— |

---

## 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 Mortgage Income Fund

- **b. Investment Company Act file number:** 811-21727

- **c. CIK number of Registrant:** 0001319183

- **d. LEI of Registrant:** 549300DJXDU5IDLS9H81

- **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 Mortgage Income Fund

- **c. LEI of Series:** 549300DJXDU5IDLS9H81

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $52701962.53

**Total Liabilities:** $113169.78

**Net Assets:** $52588792.75

**Cash Not Reported:** $2175840.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 54.42892000 | **1-Year:** 2544.22896000 | **5-Year:** 7022.78112000 | **10-Year:** 2599.56217000 | **30-Year:** 291.73151000

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

- **3-Month:** 0.17371000 | **1-Year:** 997.91076000 | **5-Year:** 1915.11961000 | **10-Year:** 666.96064000 | **30-Year:** 115.83172000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 6.79%                | -3.74%               | 2.27%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2726.12                | $499621.82                                 |
| Month 2  | $-140058.65              | $-320122.80                                |
| Month 3  | $109373.07               | $1076385.39                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375XJW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121275 | PA      | $6848.69      | 0.01%             | 2038-08-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733014 | PA      | $15835.09     | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC29                                    | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4242664 | PA      | $75405.71     | 0.14%             | 2048-04-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR 2019-HQA3                                                      | CUSIP: 35564XBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994072.60    | 1.89%             | 2049-09-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-GC37                                    | CUSIP: 17290XAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8751310 | PA      | $348036.98    | 0.66%             | 2049-04-10      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41614 | PA      | $39869.53     | 0.08%             | 2035-06-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| RUN NQM TRUST                               | RUN 2022-NQM1 Trust                                                              | CUSIP: 74981CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    944843 | PA      | $902884.53    | 1.72%             | 2067-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38376R7P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127753 | PA      | $125819.89    | 0.24%             | 2067-09-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust                   | CUSIP: 92922FB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152649 | PA      | $140957.55    | 0.27%             | 2034-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13100000 | PA      | $412665.07    | 0.78%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374JA30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233002 | PA      | $231117.91    | 0.44%             | 2034-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31394VFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273214 | PA      | $318400.79    | 0.61%             | 2036-01-25      | Floating      | 10.58%                | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FYUM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3343856 | PA      | $550644.14    | 1.05%             | 2031-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AA7M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1814961 | PA      | $209244.45    | 0.40%             | 2033-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137BHTJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2048723 | PA      | $208749.30    | 0.40%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380A3T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75431 | PA      | $56932.99     | 0.11%             | 2045-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AECG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216223 | PA      | $19672.57     | 0.04%             | 2032-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-CNTR                                                                   | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $890946.20    | 1.69%             | 2024-01-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398RNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340508 | PA      | $62132.66     | 0.12%             | 2040-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                    | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262115 | PA      | $234040.78    | 0.45%             | 2044-07-19      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380CUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157997 | PA      | $136523.81    | 0.26%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16                      | CUSIP: 61763MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21395827 | PA      | $131571.50    | 0.25%             | 2047-06-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARLU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219974 | PA      | $9258.57      | 0.02%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2009-10                                            | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12198 | PA      | $11903.21     | 0.02%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2014-2                                       | CUSIP: 64828YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215913 | PA      | $201377.32    | 0.38%             | 2054-05-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati              | Residential Asset Securitization Trust 2004-A3                                   | CUSIP: 45660NF75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19910 | PA      | $19341.36     | 0.04%             | 2034-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2012-GCJ9                                           | CUSIP: 36192PAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885123 | PA      | $822697.66    | 1.56%             | 2045-11-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374NGD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27085 | PA      | $45559.38     | 0.09%             | 2036-06-20      | Floating      | 28.79%                | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45519 | PA      | $44769.54     | 0.09%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3133TSSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2278 | PA      | $88.55        | 0.00%             | 2024-03-15      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2003-10                                                  | CUSIP: 36228FYJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2475 | PA      | $2375.04      | 0.00%             | 2033-10-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31395WV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169761 | PA      | $185735.75    | 0.35%             | 2035-06-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397TP97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15065 | PA      | $1263.73      | 0.00%             | 2038-05-15      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 313398NS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32375 | PA      | $34387.42     | 0.07%             | 2031-07-15      | Floating      | 12.57%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31394ETN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28099 | PA      | $28917.31     | 0.05%             | 2035-06-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33822 | PA      | $5263.06      | 0.01%             | 2033-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2021-P011                             | CUSIP: 3137H2NR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6029139 | PA      | $770435.30    | 1.47%             | 2045-09-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC1 Trust                                                            | CUSIP: 69357TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $595718.90    | 1.13%             | 2056-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-LC13 Mortgage Trust                                                    | CUSIP: 12626GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469036 | PA      | $1277.89      | 0.00%             | 2046-08-10      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| ROC Securities Trust                        | Roc Mortgage Trust 2021-RTL1                                                     | CUSIP: 77118TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $857123.80    | 1.63%             | 2026-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H4C81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4571896 | PA      | $759756.31    | 1.44%             | 2031-10-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31394B6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59583 | PA      | $4955.41      | 0.01%             | 2035-02-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3829000 | PA      | $108510.41    | 0.21%             | 2048-10-10      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2006-A2                                                 | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233952 | PA      | $232381.37    | 0.44%             | 2034-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2006-A2                                                 | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40887 | PA      | $39218.41     | 0.07%             | 2033-11-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137A5AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $253570.30    | 0.48%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392JMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48477 | PA      | $5502.90      | 0.01%             | 2033-03-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5632500 | PA      | $116128.63    | 0.22%             | 2047-12-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2016-UBS9                                         | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $95574.91     | 0.18%             | 2049-03-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F4D25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 342493775 | PA      | $806709.84    | 1.53%             | 2026-01-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru              | MASTR Asset Securitization Trust 2003-11                                         | CUSIP: 55265K2D0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21440 | PA      | $20372.66     | 0.04%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31339WYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134920 | PA      | $19086.47     | 0.04%             | 2032-03-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                         | Verizon Owner Trust 2020-A                                                       | CUSIP: 92348TAB0<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |     62060 | PA      | $62051.82     | 0.12%             | 2024-07-22      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31395UCS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    643328 | PA      | $54386.14     | 0.10%             | 2035-05-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F9Z20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $762190.00    | 1.45%             | 2049-02-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| MBRT 2019 MBR                               | MBRT 2019-MBR                                                                    | CUSIP: 55282DBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $961115.30    | 1.83%             | 2036-11-15      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921818 | PA      | $24138.99     | 0.05%             | 2047-12-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                  | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    969086 | PA      | $893346.88    | 1.70%             | 2035-06-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     79237 | PA      | $78080.01     | 0.15%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                    | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3127120 | PA      | $52864.58     | 0.10%             | 2049-12-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137BRYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287168 | PA      | $201858.68    | 0.38%             | 2042-10-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 31395QPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444923 | PA      | $78477.54     | 0.15%             | 2042-07-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trus              | CoreVest American Finance 2021-3 Trust                                           | CUSIP: 21873NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9336955 | PA      | $661501.80    | 1.26%             | 2054-10-15      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382NVP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5167607 | PA      | $557944.99    | 1.06%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2018-3PCK                                      | CUSIP: 36255YAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $932010.60    | 1.77%             | 2031-09-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31359KF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20764 | PA      | $21118.37     | 0.04%             | 2026-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2012-7                                             | CUSIP: 17319NAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181183 | PA      | $164410.71    | 0.31%             | 2036-09-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-FHA1 Trust                                                             | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282328 | PA      | $257105.26    | 0.49%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | PAGAYA AI Debt Trust 2022-3                                                      | CUSIP: 69547MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    841744 | PA      | $834441.23    | 1.59%             | 2030-03-15      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457166 | PA      | $19077.03     | 0.04%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AHX88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16897 | PA      | $13856.94     | 0.03%             | 2044-01-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $746835.60    | 1.42%             | 2048-06-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38383UTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1478000 | PA      | $1350956.88   | 2.57%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2006-HYB5                                        | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245959 | PA      | $214118.49    | 0.41%             | 2036-09-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                               | CUSIP: 31282YWW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522070 | PA      | $71790.08     | 0.14%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-NWPT                                                                   | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $994220.00    | 1.89%             | 2024-09-09      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59793 | PA      | $9700.76      | 0.02%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AQGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137498 | PA      | $5155.76      | 0.01%             | 2039-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137AX5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2416748 | PA      | $105845.58    | 0.20%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC              | VCAT 2021-NPL6 LLC                                                               | CUSIP: 91824WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $865566.50    | 1.65%             | 2051-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80925 | PA      | $70373.42     | 0.13%             | 2035-01-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 31364JL84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20070 | PA      | $1956.58      | 0.00%             | 2029-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | Pretium Mortgage Credit Partners I 2021-NPL2 LLC                                 | CUSIP: 741386AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $849586.70    | 1.62%             | 2060-06-27      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3330000 | PA      | $543366.09    | 1.03%             | 2048-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | Ultra 10-Year US Treasury Note                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        18 | NC      | $6516.78      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396VUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172256 | PA      | $18286.64     | 0.03%             | 2037-05-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9076 | PA      | $9658.51      | 0.02%             | 2031-11-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137B2FS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286515 | PA      | $25423.45     | 0.05%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                            | MortgageIT Trust 2005-2                                                          | CUSIP: 61915RAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54794 | PA      | $51118.00     | 0.10%             | 2035-05-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                               | CUSIP: 31282YBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25330 | PA      | $1957.65      | 0.00%             | 2026-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124344 | PA      | $126581.19    | 0.24%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378VMF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238644 | PA      | $17592.67     | 0.03%             | 2043-07-16      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AK7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1430914 | PA      | $188607.46    | 0.36%             | 2045-04-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397R2D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52323 | PA      | $54022.46     | 0.10%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374DNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $100957.27    | 0.19%             | 2038-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29111 | PA      | $2971.15      | 0.01%             | 2037-10-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108754 | PA      | $988644.39    | 1.88%             | 2041-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4326216 | PA      | $646696.18    | 1.23%             | 2048-10-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2022-3                                       | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927024 | PA      | $908760.25    | 1.73%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A9D96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1385334 | PA      | $200758.97    | 0.38%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396YQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294177 | PA      | $300943.77    | 0.57%             | 2037-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Stacr Trust 2019-HQA1                                                | CUSIP: 35563MBD7<br>LEI: 54930047IR7X5WWFY307 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1051100.40   | 2.00%             | 2049-02-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10647 | PA      | $13622.18     | 0.03%             | 2037-06-25      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A84C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311299 | PA      | $7950.02      | 0.02%             | 2031-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A0EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488517 | PA      | $17301.21     | 0.03%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379A4C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126576 | PA      | $104028.25    | 0.20%             | 2042-11-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                | Hawaii Hotel Trust 2019-MAUI                                                     | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $983828.90    | 1.87%             | 2038-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Remic Trust 2020-DNA2                                          | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $887404.00    | 1.69%             | 2050-02-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                  | Hudsons Bay Simon JV Trust 2015-HBS                                              | CUSIP: 44422PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414757 | PA      | $293506.58    | 0.56%             | 2034-08-05      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                       | CUSIP: 61690KAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1844 | PA      | $1838.54      | 0.00%             | 2046-02-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus              | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1181314.20   | 2.25%             | 2050-03-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $287765.45    | 0.55%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392FMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20125 | PA      | $1449.51      | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31393Y6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251092 | PA      | $17721.04     | 0.03%             | 2034-07-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-DNA3                                                | CUSIP: 35564TBE9<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1039942.60   | 1.98%             | 2049-07-25      | Floating      | 12.66%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B0QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2730552 | PA      | $344687.36    | 0.66%             | 2048-01-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-UBS6 Mortgage Trust                                                    | CUSIP: 12592PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 122774000 | PA      | $127058.81    | 0.24%             | 2047-12-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375LYK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147216 | PA      | $4912.78      | 0.01%             | 2037-11-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137H0RA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1140494 | PA      | $124212.88    | 0.24%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-P4                                      | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5596381 | PA      | $267866.87    | 0.51%             | 2049-07-10      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus              | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20754366 | PA      | $419211.22    | 0.80%             | 2050-03-10      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra              | VOLT CI LLC                                                                      | CUSIP: 92873EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $911659.10    | 1.73%             | 2051-05-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AQE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63852 | PA      | $179.73       | 0.00%             | 2041-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1 | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10841 | PA      | $10723.39     | 0.02%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136ATF58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168142 | PA      | $44960.80     | 0.09%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41000 | PA      | $44823.28     | 0.09%             | 2040-09-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F64S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1831144 | PA      | $193586.90    | 0.37%             | 2048-11-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31359RCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33394 | PA      | $705.73       | 0.00%             | 2027-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-DNA4                                                | CUSIP: 35565ABD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $992012.80    | 1.89%             | 2049-10-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-IG2 Mortgage Trust                                                | CUSIP: 08162NBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $856647.50    | 1.63%             | 2048-09-15      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust               | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3550401 | PA      | $396387.67    | 0.75%             | 2036-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382CDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10736252 | PA      | $228443.83    | 0.43%             | 2045-11-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QO1 Trust                                                       | CUSIP: 761118RJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73892 | PA      | $46849.72     | 0.09%             | 2046-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMTS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    980000 | PA      | $899870.30    | 1.71%             | 2031-05-25      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 5 Year US Treasury Note                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        17 | NC      | $2826.09      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38376CUB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157474 | PA      | $173983.21    | 0.33%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398TW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667946 | PA      | $113816.87    | 0.22%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2010-1                                                     | CUSIP: 92261XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  35776345 | PA      | $263195.84    | 0.50%             | 2040-04-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59811 | PA      | $64089.38     | 0.12%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397WVU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231856 | PA      | $20793.52     | 0.04%             | 2036-12-15      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446151 | PA      | $15891.55     | 0.03%             | 2049-11-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC21 Mortgage Trust                                                    | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15379770 | PA      | $189707.92    | 0.36%             | 2048-07-10      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                | WinWater Mortgage Loan Trust 2015-3                                              | CUSIP: 97651JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232909 | PA      | $209614.44    | 0.40%             | 2045-03-20      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478280 | PA      | $79606.10     | 0.15%             | 2041-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $930846.70    | 1.77%             | 2037-03-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur              | Banc of America Mortgage 2002-L Trust                                            | CUSIP: 05948JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45279 | PA      | $34038.27     | 0.06%             | 2032-12-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-C26                                   | CUSIP: 94989CBA8<br>LEI: 549300DT2BKPLXAJ4C66 | Long             | ABS-MBS          | CORP              | US        |   1341612 | PA      | $25249.95     | 0.05%             | 2048-02-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4605411 | PA      | $752473.50    | 1.43%             | 2048-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                 | Houston Galleria Mall Trust 2015-HGLR                                            | CUSIP: 44217NAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $889785.80    | 1.69%             | 2037-03-05      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2014-2                                                  | CUSIP: 46641YAA1<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |     26798 | PA      | $25143.63     | 0.05%             | 2029-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379FN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3754247 | PA      | $455005.69    | 0.87%             | 2045-11-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FQFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3439129 | PA      | $460351.21    | 0.88%             | 2049-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BGK40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30000000 | PA      | $879834.00    | 1.67%             | 2043-02-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2013-WBRK                             | CUSIP: 05525BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $915503.10    | 1.74%             | 2037-03-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                             | Mid-State Capital Corp 2005-1 Trust                                              | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151006 | PA      | $149081.06    | 0.28%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14001 | PA      | $555.00       | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-980M                                                                   | CUSIP: 12659RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $690703.10    | 1.31%             | 2031-07-15      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 10 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        81 | NC      | $89218.11     | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379RCY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2235709 | PA      | $79513.23     | 0.15%             | 2056-01-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC              | VCAT 2021-NPL5 LLC                                                               | CUSIP: 91824AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $854267.90    | 1.62%             | 2051-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-22

**Name of Applicant:** First Trust Mortgage Income Fund

**Signature:** Donald P. Swade

**Name of Signer:** Donald P. Swade

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