# EDGAR Filing Document

**Accession Number:** 0001319183
**File Stem:** 0000940400-26-011437
**Filing Date:** 2026-3
**Character Count:** 110985
**Document Hash:** 960ff6c1292726888ecd4b4509d0989b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-011437.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0000940400-26-011437

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260130

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST MORTGAGE INCOME FUND
- **CENTRAL INDEX KEY:** 0001319183

**ORGANIZATION NAME:**
- **EIN:** 356758396
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21727
- **FILM NUMBER:** 26792238

**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)**

**Portfolio of Investments** 

**January 31, 2026 (Unaudited)**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MORTGAGE-BACKED SECURITIES – 57.7%** | **MORTGAGE-BACKED SECURITIES – 57.7%** | **MORTGAGE-BACKED SECURITIES – 57.7%** | **MORTGAGE-BACKED SECURITIES – 57.7%** | **MORTGAGE-BACKED SECURITIES – 57.7%** |
|  | **Collateralized Mortgage Obligations – 34.2%** |  |  |  |
|  | Banc of America Mortgage Trust  |  |  |  |
| $27308 | &nbsp;&nbsp; Series 2002-L, Class 1A1 (a) | 3.19<br> %<br>| 12/25/32 | $23464 |
|  | Citigroup Mortgage Loan Trust  |  |  |  |
| 37204 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class A1, US Treasury Yield Curve Rate T <br> Note Constant Maturity 1 Year + 2.10% (b)<br>| 5.75<br> %<br>| 09/25/35 | 37936 |
| 4011 | &nbsp;&nbsp; Series 2009-10, Class 1A1 (a) (c) | 5.45<br> %<br>| 09/25/33 | 4000 |
|  | COLT Mortgage Loan Trust  |  |  |  |
| 500000 | &nbsp;&nbsp; Series 2021-HX1, Class B3A (a) (c) | 4.14<br> %<br>| 10/25/66 | 383057 |
|  | Connecticut Avenue Securities Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R02, Class 1B2, 30 Day Average SOFR + <br> 3.70% (b) (c)<br>| 7.40<br> %<br>| 02/25/44 | 1052098 |
|  | Countrywide Home Loan Mortgage Pass-Through Trust  |  |  |  |
| 128908 | &nbsp;&nbsp; Series 2006-HYB5, Class 3A1A (a) | 4.87<br> %<br>| 09/20/36 | 114886 |
|  | Credit Suisse Mortgage Trust  |  |  |  |
| 680232 | &nbsp;&nbsp; Series 2017-FHA1, Class A1 (c) | 3.25<br> %<br>| 04/25/47 | 648685 |
|  | Deephaven Residential Mortgage Trust  |  |  |  |
| 775000 | &nbsp;&nbsp; Series 2021-1, Class B2 (c) | 3.96<br> %<br>| 05/25/65 | 708322 |
|  | Fidelis Mortgage Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp; Series 2025-RTL1, Class B (c) | 8.95<br> %<br>| 02/27/40 | 1012669 |
|  | Galton Funding Mortgage Trust  |  |  |  |
| 266139 | &nbsp;&nbsp; Series 2018-2, Class B2 (c) | 4.54<br> %<br>| 10/25/58 | 260911 |
|  | GSR Mortgage Loan Trust  |  |  |  |
| 1244 | &nbsp;&nbsp; Series 2003-10, Class 1A12 (a) | 5.57<br> %<br>| 10/25/33 | 1195 |
| 73603 | &nbsp;&nbsp; Series 2005-AR1, Class 4A1 (a) | 3.68<br> %<br>| 01/25/35 | 61165 |
|  | JP Morgan Mortgage Trust  |  |  |  |
| 17195 | &nbsp;&nbsp; Series 2006-A2, Class 5A3 (a) | 6.31<br> %<br>| 11/25/33 | 17143 |
|  | LHOME Mortgage Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class M, steps up to 13.45% on <br> 8/25/2026 (c) (d)<br>| 11.95<br> %<br>| 01/25/29 | 1014619 |
| 800000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL2, Class M, steps up to 13.08% on <br> 10/25/2026 (c) (d)<br>| 11.58<br> %<br>| 03/25/29 | 812945 |
|  | MASTR Alternative Loan Trust  |  |  |  |
| 3516938 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA + <br> 0.35% (b)<br>| 4.14<br> %<br>| 03/25/36 | 295324 |
|  | Onslow Bay Mortgage Loan Trust  |  |  |  |
| 501000 | &nbsp;&nbsp; Series 2021-NQM4, Class A1 (c) | 1.96<br> %<br>| 10/25/61 | 435165 |
|  | PRET Trust  |  |  |  |
| 500000 | &nbsp;&nbsp; Series 2024-RPL1, Class M2 (a) (c) | 3.99<br> %<br>| 10/25/63 | 385079 |
|  | PRKCM Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp; Series 2021-AFC1, Class B2 (c) | 3.95<br> %<br>| 08/25/56 | 710164 |
|  | PRPM  |  |  |  |
| 1000000 | &nbsp;&nbsp; Series 2025-3, Class A2, steps up to 12.07% on 5/01/2028 (c) (d) | 9.07<br> %<br>| 05/25/30 | 1000181 |
|  | PRPM LLC  |  |  |  |
| 1000000 | &nbsp;&nbsp; Series 2025-6, Class M1 (c) | 10.56<br> %<br>| 08/25/28 | 1002657 |
| 1250000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RPL4, Class M1A, steps up to 4.00% on <br> 5/01/2029 (c) (d)<br>| 3.00<br> %<br>| 05/25/55 | 1128139 |
|  | PRPM Trust  |  |  |  |
| 725000 | &nbsp;&nbsp; Series 2024-NQM1, Class M1 (a) (c) | 6.71<br> %<br>| 12/25/68 | 736016 |
|  | Redwood Funding Trust  |  |  |  |
| 623709 | &nbsp;&nbsp; Series 2025-2, Class A (c) | 7.11<br> %<br>| 10/25/55 | 628441 |
| 432166 | &nbsp;&nbsp; Series 2025-3, Class A (c) | 6.23<br> %<br>| 12/27/56 | 436058 |
| 255000 | &nbsp;&nbsp; Series 2025-3, Class B (c) | 7.75<br> %<br>| 12/27/56 | 257198 |
|  | Residential Accredit Loans, Inc.  |  |  |  |
| 64115 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA + <br> 0.54% (b)<br>| 4.33<br> %<br>| 02/25/46 | 32485 |

---

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **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)** |  |  |  |
|  | Residential Accredit Loans, Inc. (Continued) |  |  |  |
| $542188 | &nbsp;&nbsp; Series 2006-QS6, Class 1AV, IO (a) | 0.77<br> %<br>| 06/25/36 | $14787 |
|  | Residential Asset Securitization Trust  |  |  |  |
| 15328 | &nbsp;&nbsp; Series 2004-A3, Class A7 | 5.25<br> %<br>| 06/25/34 | 15365 |
|  | Roc Mortgage Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp; Series 2021-RTL1, Class M (c) | 6.68<br> %<br>| 08/25/26 | 946033 |
|  | Starwood Mortgage Residential Trust  |  |  |  |
| 722602 | &nbsp;&nbsp; Series 2022-3, Class A1 (c) | 4.16<br> %<br>| 03/25/67 | 720801 |
|  | Structured Asset Securities Corp. Mortgage Pass-Through <br> Certificates <br>|  |  |  |
| 393 | &nbsp;&nbsp; Series 2001-SB1, Class A2 | 3.38<br> %<br>| 08/25/31 | 392 |
|  | Towd Point Mortgage Trust  |  |  |  |
| 1250000 | &nbsp;&nbsp; Series 2017-4, Class B4 (c) | 3.64<br> %<br>| 06/25/57 | 989760 |
|  | Verus Securitization Trust  |  |  |  |
| 533000 | &nbsp;&nbsp; Series 2021-5, Class B2 (c) | 3.94<br> %<br>| 09/25/66 | 416334 |
| 425000 | &nbsp;&nbsp; Series 2021-R2, Class B2 (c) | 4.26<br> %<br>| 02/25/64 | 337833 |
| 664492 | &nbsp;&nbsp; Series 2022-1, Class A1 (c) | 3.72<br> %<br>| 01/25/67 | 632904 |
| 1000000 | &nbsp;&nbsp; Series 2025-INV1, Class B2 (c) | 6.95<br> %<br>| 02/25/70 | 1012891 |
|  | Washington Mutual Alternative Mortgage Pass-Through Certificates  |  |  |  |
| 8391 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5, Class A11, (1 Mo. CME Term SOFR + CSA) x -6 <br> + 39.48% (e)<br>| 16.76<br> %<br>| 06/25/37 | 10410 |
|  | WinWater Mortgage Loan Trust  |  |  |  |
| 164541 | &nbsp;&nbsp; Series 2015-3, Class B1 (a) (c) | 3.83<br> %<br>| 03/20/45 | 156306 |
|  |  |  |  | 18453818 |
|  | **Commercial Mortgage-Backed Securities – 23.5%** |  |  |  |
|  | BANK  |  |  |  |
| 20189065 | &nbsp;&nbsp; Series 2017-BNK7, Class XA, IO (a) | 0.66<br> %<br>| 09/15/60 | 160905 |
| 11356797 | &nbsp;&nbsp; Series 2019-BN19, Class XA, IO (a) | 0.94<br> %<br>| 08/15/61 | 309058 |
| 8839583 | &nbsp;&nbsp; Series 2019-BN23, Class XA, IO (a) | 0.68<br> %<br>| 12/15/52 | 193304 |
| 5157851 | &nbsp;&nbsp; Series 2020-BN26, Class XA, IO (a) | 1.19<br> %<br>| 03/15/63 | 185457 |
|  | BBCMS Mortgage Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA + <br> 0.87% (b) (c)<br>| 4.60<br> %<br>| 03/15/37 | 956518 |
|  | Benchmark Mortgage Trust  |  |  |  |
| 20316032 | &nbsp;&nbsp; Series 2018-B5, Class XA, IO (a) | 0.45<br> %<br>| 07/15/51 | 184730 |
|  | BWAY Trust  |  |  |  |
| 600000 | &nbsp;&nbsp; Series 2025-1535, Class B (a) (c) | 7.71<br> %<br>| 05/05/42 | 630717 |
|  | BX Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp; Series 2025-DELC, Class A (c) | 5.23<br> %<br>| 12/15/42 | 1007161 |
|  | Cali 2024  |  |  |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-Sun, Class D, 1 Mo. CME Term SOFR + <br> 3.63% (b) (c)<br>| 7.30<br> %<br>| 07/15/41 | 353074 |
|  | CCRE Commercial Mortgage Securities L.P.  |  |  |  |
| 7336099 | &nbsp;&nbsp;&nbsp;&nbsp; CFCRE Mortgage Trust Commercial Mortgage Pass-Through <br> Certificates, Series 2017-C8, Class XA, IO (a)<br>| 1.46<br> %<br>| 06/15/50 | 82647 |
|  | CD Commercial Mortgage Trust  |  |  |  |
| 8246015 | &nbsp;&nbsp; Series 2018-CD7, Class XA, IO (a) | 0.63<br> %<br>| 08/15/51 | 113568 |
|  | Citigroup Commercial Mortgage Trust  |  |  |  |
| 343756 | &nbsp;&nbsp; Series 2016-GC37, Class XA, IO (a) | 1.46<br> %<br>| 04/10/49 | 382 |
| 5448155 | &nbsp;&nbsp; Series 2016-P4, Class XA, IO (a) | 1.88<br> %<br>| 07/10/49 | 4010 |
|  | COMM Mortgage Trust  |  |  |  |
| 3829000 | &nbsp;&nbsp; Series 2015-CCRE26, Class XD, IO (a) (c) | 1.36<br> %<br>| 10/10/48 | 168 |

---

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **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)** |  |  |  |
|  | Credit Suisse Mortgage Trust  |  |  |  |
| $1000000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR + <br> 3.94% (b) (c) (f)<br>| 7.63<br> %<br>| 01/09/25 | $663750 |
|  | CSAIL Commercial Mortgage Trust  |  |  |  |
| 235066 | &nbsp;&nbsp; Series 2015-C3, Class B (a) | 3.88<br> %<br>| 08/15/48 | 223626 |
| 5777179 | &nbsp;&nbsp; Series 2020-C19, Class XA, IO (a) | 1.09<br> %<br>| 03/15/53 | 193953 |
|  | FIVE Mortgage Trust  |  |  |  |
| 22234295 | &nbsp;&nbsp; Series 2023-V1, Class XA, IO (g) | 0.66<br> %<br>| 02/10/56 | 243470 |
|  | Great Wolf Trust  |  |  |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WOLF, Class E, 1 Mo. CME Term SOFR + <br> 3.64% (b) (c)<br>| 7.32<br> %<br>| 03/15/39 | 1008254 |
|  | JP Morgan Chase Commercial Mortgage Securities Trust  |  |  |  |
| 18760173 | &nbsp;&nbsp; Series 2016-JP4, Class XA, IO (a) | 0.57<br> %<br>| 12/15/49 | 41845 |
| 242271 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA + <br> 1.21% (b) (c)<br>| 4.94<br> %<br>| 06/15/35 | 205667 |
|  | Life Mortgage Trust  |  |  |  |
| 280000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BMR, Class D, 1 Mo. CME Term SOFR + CSA + <br> 1.40% (b) (c)<br>| 5.19<br> %<br>| 03/15/38 | 278653 |
|  | LSTAR Commercial Mortgage Trust  |  |  |  |
| 22411771 | &nbsp;&nbsp; Series 2017-5, Class X, IO (a) (c) | 0.88<br> %<br>| 03/10/50 | 112886 |
|  | MCR Mortgage Trust  |  |  |  |
| 885000 | &nbsp;&nbsp; Series 2024-TWA, Class F (c) | 10.38<br> %<br>| 06/12/39 | 905011 |
|  | Morgan Stanley Bank of America Merrill Lynch Trust  |  |  |  |
| 386012 | &nbsp;&nbsp; Series 2016-C31, Class XA, IO (a) | 1.24<br> %<br>| 11/15/49 | 1214 |
|  | Morgan Stanley Capital I Trust  |  |  |  |
| 2180000 | &nbsp;&nbsp; Series 2016-UBS9, Class XD, IO (a) (c) | 1.59<br> %<br>| 03/15/49 | 42386 |
| 265000 | &nbsp;&nbsp; Series 2018-MP, Class A (a) (c) | 4.28<br> %<br>| 07/11/40 | 247001 |
| 1320000 | &nbsp;&nbsp; Series 2019-L2, Class C (a) | 4.97<br> %<br>| 03/15/52 | 1168512 |
|  | MSWF Commercial Mortgage Trust  |  |  |  |
| 7567105 | &nbsp;&nbsp; Series 2023-1, Class XA, IO (a) | 0.86<br> %<br>| 05/15/56 | 367611 |
|  | NYO Commercial Mortgage Trust  |  |  |  |
| 380000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1290, Class D, 1 Mo. CME Term SOFR + CSA + <br> 2.55% (b) (c)<br>| 6.34<br> %<br>| 11/15/38 | 377900 |
|  | SFO Commercial Mortgage Trust  |  |  |  |
| 1102700 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-555, Class A, 1 Mo. CME Term SOFR + CSA + <br> 1.15% (b) (c)<br>| 4.94<br> %<br>| 05/15/38 | 1103303 |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-555, Class D, 1 Mo. CME Term SOFR + CSA + <br> 2.40% (b) (c)<br>| 6.19<br> %<br>| 05/15/38 | 997807 |
|  | Wells Fargo Commercial Mortgage Trust  |  |  |  |
| 5294989 | &nbsp;&nbsp; Series 2021-C60, Class XA, IO (a) | 1.49<br> %<br>| 08/15/54 | 312725 |
|  |  |  |  | 12677273 |
|  | **Total Mortgage-Backed Securities** | **Total Mortgage-Backed Securities** | **Total Mortgage-Backed Securities** | 31131091 |
|  | (Cost $32,162,310) |  |  |  |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 30.6%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 30.6%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 30.6%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 30.6%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 30.6%** |
|  | **Collateralized Mortgage Obligations – 18.0%** |  |  |  |
|  | Federal Home Loan Mortgage Corp.  |  |  |  |
| 63508 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2439, Class XI, IO, if 30 Day Average SOFR is less than <br> 7.39%, then 6.50%, otherwise 0.00% (e)<br>| 6.50<br> %<br>| 03/15/32 | 6847 |
| 370826 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2975, Class SJ, IO, (30 Day Average SOFR + CSA) x -1 + <br> 6.65% (e)<br>| 2.83<br> %<br>| 05/15/35 | 33516 |
| 10529 | &nbsp;&nbsp;&nbsp;&nbsp; Series 3451, Class SB, IO, (30 Day Average SOFR + CSA) x -1 + <br> 6.03% (e)<br>| 2.21<br> %<br>| 05/15/38 | 906 |

---

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** |  |  |  |
|  | Federal Home Loan Mortgage Corp. (Continued) |  |  |  |
| $145846 | &nbsp;&nbsp;&nbsp;&nbsp; Series 3471, Class SD, IO, (30 Day Average SOFR + CSA) x -1 + <br> 6.08% (e)<br>| 2.26<br> %<br>| 12/15/36 | $13993 |
| 2010 | &nbsp;&nbsp; Series 4021, Class IP, IO | 3.00<br> %<br>| 03/15/27 | 20 |
| 36963 | &nbsp;&nbsp; Series 4057, Class YI, IO | 3.00<br> %<br>| 06/15/27 | 478 |
| 69890 | &nbsp;&nbsp; Series 4082, Class PI, IO | 3.00<br> %<br>| 06/15/27 | 854 |
| 125199 | &nbsp;&nbsp; Series 4206, Class IA, IO | 3.00<br> %<br>| 03/15/33 | 6229 |
| 864437 | &nbsp;&nbsp; Series 4959, Class JF, 30 Day Average SOFR + CSA + 0.45% (b) | 4.26<br> %<br>| 03/25/50 | 847632 |
| 933755 | &nbsp;&nbsp;&nbsp;&nbsp; Series 4990, Class AF, 30 Day Average SOFR + CSA + <br> 0.40% (b)<br>| 4.21<br> %<br>| 07/25/50 | 913455 |
| 856991 | &nbsp;&nbsp;&nbsp;&nbsp; Series 5004, Class FG, 30 Day Average SOFR + CSA + <br> 0.40% (b)<br>| 4.21<br> %<br>| 08/25/50 | 835775 |
| 2029129 | &nbsp;&nbsp; Series 5179, Class GZ | 2.00<br> %<br>| 01/25/52 | 1207695 |
| 712553 | &nbsp;&nbsp; Series 5350, Class PO, PO | (h) | 11/25/53 | 603995 |
|  | Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates <br>|  |  |  |
| 42840 | &nbsp;&nbsp; Series T-56, Class APO, PO | (h) | 05/25/43 | 41729 |
|  | Federal Home Loan Mortgage Corp., STRIPS  |  |  |  |
| 478 | &nbsp;&nbsp; Series 177, Class IO, IO | 7.00<br> %<br>| 07/01/26 | 2 |
|  | Federal National Mortgage Association  |  |  |  |
| 27 | &nbsp;&nbsp; Series 1996-46, Class ZA | 7.50<br> %<br>| 11/25/26 | 27 |
| 6936 | &nbsp;&nbsp; Series 2002-80, Class IO, IO | 6.00<br> %<br>| 09/25/32 | 217 |
| 27097 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2003-15, Class MS, IO, (30 Day Average SOFR + CSA) x <br> -1 + 8.00% (e)<br>| 4.19<br> %<br>| 03/25/33 | 3270 |
| 32452 | &nbsp;&nbsp; Series 2003-44, Class IU, IO | 7.00<br> %<br>| 06/25/33 | 3732 |
| 32469 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class SE, IO, (30 Day Average SOFR + CSA) x -1 <br> + 6.70% (e)<br>| 2.89<br> %<br>| 02/25/35 | 2586 |
| 18866 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-100, Class SM, IO, (30 Day Average SOFR + CSA) x <br> -1 + 6.45% (e)<br>| 2.64<br> %<br>| 10/25/37 | 1929 |
| 108851 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-37, Class SB, IO, (30 Day Average SOFR + CSA) x <br> -1 + 6.75% (e)<br>| 2.94<br> %<br>| 05/25/37 | 13553 |
| 294177 | &nbsp;&nbsp; Series 2008-17, Class BE | 5.50<br> %<br>| 10/25/37 | 295255 |
| 490147 | &nbsp;&nbsp; Series 2010-103, Class ID, IO | 5.00<br> %<br>| 09/25/40 | 69205 |
| 24914 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2010-99, Class SG, (30 Day Average SOFR + CSA) x -5 + <br> 25.00% (e)<br>| 5.43<br> %<br>| 09/25/40 | 26221 |
| 64 | &nbsp;&nbsp; Series 2011-81, Class PI, IO | 3.50<br> %<br>| 08/25/26 | 0 |
| 1021299 | &nbsp;&nbsp; Series 2012-125, Class MI, IO | 3.50<br> %<br>| 11/25/42 | 134608 |
| 16897 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-132, Class SW, (30 Day Average SOFR + CSA) x <br> -2.67 + 10.67%, 0.00% Floor (e)<br>| 0.23<br> %<br>| 01/25/44 | 13108 |
| 910129 | &nbsp;&nbsp; Series 2013-32, Class IG, IO | 3.50<br> %<br>| 04/25/33 | 59970 |
| 1011998 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-20, Class ES, IO, (30 Day Average SOFR + CSA) x <br> -1 + 6.15% (e)<br>| 2.34<br> %<br>| 04/25/45 | 122335 |
| 168142 | &nbsp;&nbsp; Series 2016-74, Class LI, IO | 3.50<br> %<br>| 09/25/46 | 38510 |
| 1874435 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-109, Class SJ, IO, (30 Day Average SOFR + CSA) x <br> -1 + 6.20% (e)<br>| 2.39<br> %<br>| 01/25/48 | 213500 |
| 246235 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-47, Class FA, 30 Day Average SOFR + CSA + <br> 0.40% (b)<br>| 4.21<br> %<br>| 07/25/50 | 241438 |
| 908198 | &nbsp;&nbsp; Series 2022-69, Class FA, 30 Day Average SOFR + 0.82% (b) | 4.52<br> %<br>| 10/25/52 | 905838 |
| 982347 | &nbsp;&nbsp;&nbsp;&nbsp; Series 5435, Class BS, (30 Day Average SOFR) x -2 + <br> 11.93% (e)<br>| 4.53<br> %<br>| 07/25/54 | 908527 |
|  | Federal National Mortgage Association, STRIPS  |  |  |  |
| 6070 | &nbsp;&nbsp; Series 305, Class 12, IO (g) | 6.50<br> %<br>| 12/25/29 | 305 |
| 18342 | &nbsp;&nbsp; Series 355, Class 18, IO | 7.50<br> %<br>| 11/25/33 | 1831 |
| 334438 | &nbsp;&nbsp; Series 406, Class 6, IO (g) | 4.00<br> %<br>| 01/25/41 | 51094 |

---

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** |  |  |  |
|  | Freddie Mac STACR REMIC Trust  |  |  |  |
| $1000000 | &nbsp;&nbsp; Series 2025-DNA4, Class M2 (c) | 5.25<br> %<br>| 10/25/45 | $1004549 |
|  | Government National Mortgage Association  |  |  |  |
| 70248 | &nbsp;&nbsp; Series 2005-33, Class AY | 5.50<br> %<br>| 04/16/35 | 70139 |
| 97014 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-68, Class PI, IO, (1 Mo. CME Term SOFR + CSA) x <br> -1 + 6.65% (e)<br>| 2.86<br> %<br>| 11/20/37 | 821 |
| 100000 | &nbsp;&nbsp; Series 2008-2, Class HB | 5.50<br> %<br>| 01/16/38 | 100839 |
| 82995 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2008-73, Class SK, IO, (1 Mo. CME Term SOFR + CSA) x <br> -1 + 6.74% (e)<br>| 2.95<br> %<br>| 08/20/38 | 3316 |
| 133528 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-104, Class YS, IO, (1 Mo. CME Term SOFR + CSA) <br> x -1 + 6.15% (e)<br>| 2.36<br> %<br>| 07/16/43 | 11904 |
| 2836832 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-158, Class KS, IO, (1 Mo. CME Term SOFR + CSA) <br> x -1 + 6.25% (e)<br>| 2.46<br> %<br>| 11/20/45 | 426983 |
| 78901 | &nbsp;&nbsp; Series 2016-139, Class MZ | 1.50<br> %<br>| 07/20/45 | 49532 |
| 172857 | &nbsp;&nbsp; Series 2017-4, Class CZ | 3.00<br> %<br>| 01/20/47 | 143410 |
| 146728 | &nbsp;&nbsp; Series 2017-H18, Class DZ (g) | 4.62<br> %<br>| 09/20/67 | 141785 |
| 7815322 | &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-13, Class BT, IO, (1 Mo. CME Term SOFR + CSA) x <br> -1 + 6.20%, Capped at 0.50% (e)<br>| 0.50<br> %<br>| 11/20/45 | 173906 |
|  |  |  |  | 9747369 |
|  | **Commercial Mortgage-Backed Securities – 11.7%** |  |  |  |
|  | Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates <br>|  |  |  |
| 14500000 | &nbsp;&nbsp; Series K071, Class X3, IO (a) | 2.01<br> %<br>| 11/25/45 | 491060 |
| 12589940 | &nbsp;&nbsp; Series K100, Class X3, IO (a) | 1.87<br> %<br>| 11/25/47 | 760084 |
| 4000000 | &nbsp;&nbsp; Series K110, Class X3, IO (a) | 3.37<br> %<br>| 06/25/48 | 495470 |
| 4326216 | &nbsp;&nbsp; Series K118, Class X3, IO (a) | 2.69<br> %<br>| 10/25/48 | 452874 |
| 1900000 | &nbsp;&nbsp; Series K122, Class X3, IO (a) | 2.63<br> %<br>| 01/25/49 | 200900 |
| 3343856 | &nbsp;&nbsp; Series K128, Class X3, IO (a) | 2.78<br> %<br>| 04/25/31 | 397736 |
| 1831144 | &nbsp;&nbsp; Series K739, Class X3, IO (a) | 2.80<br> %<br>| 11/25/48 | 67514 |
| 2454000 | &nbsp;&nbsp; Series K755, Class X3, IO (a) | 5.64<br> %<br>| 02/25/31 | 586452 |
| 1663400 | &nbsp;&nbsp; Series K757, Class X3, IO (a) | 5.55<br> %<br>| 10/25/61 | 422761 |
| 4571896 | &nbsp;&nbsp; Series KG06, Class X3, IO (a) | 2.74<br> %<br>| 10/25/31 | 569852 |
|  | Federal National Mortgage Association, ACES  |  |  |  |
| 15150000 | &nbsp;&nbsp; Series 2019-M29, Class X4, IO (a) | 0.70<br> %<br>| 03/25/29 | 252679 |
|  | Freddie Mac Multiclass Certificates  |  |  |  |
| 5544381 | &nbsp;&nbsp; Series 2021-P011, Class X1, IO (a) | 1.75<br> %<br>| 09/25/45 | 591651 |
|  | Government National Mortgage Association  |  |  |  |
| 3532510 | &nbsp;&nbsp; Series 2021-31, Class IO | 0.94<br> %<br>| 01/16/61 | 245699 |
| 4824710 | &nbsp;&nbsp; Series 2024-32, Class IO, IO (a) | 0.70<br> %<br>| 06/16/63 | 250445 |
| 5194516 | &nbsp;&nbsp; Series 2024-47, Class AI | 0.75<br> %<br>| 06/16/64 | 264620 |
| 3578942 | &nbsp;&nbsp; Series 2025-21, Class IO | 0.95<br> %<br>| 04/16/65 | 251924 |
|  |  |  |  | 6301721 |
|  | **Pass-Through Securities – 0.9%** |  |  |  |
|  | Fannie Mae or Freddie Mac  |  |  |  |
| 303000 | &nbsp;&nbsp; Pool TBA | 3.50<br> %<br>| 04/01/56 | 279561 |
|  | Ginnie Mae  |  |  |  |
| 214000 | &nbsp;&nbsp; Pool TBA | 5.50<br> %<br>| 04/20/56 | 215878 |
|  |  |  |  | 495439 |
|  | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | 16544529 |
|  | (Cost $18,275,319) |  |  |  |

---

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **ASSET-BACKED SECURITIES – 8.7%** | **ASSET-BACKED SECURITIES – 8.7%** | **ASSET-BACKED SECURITIES – 8.7%** | **ASSET-BACKED SECURITIES – 8.7%** | **ASSET-BACKED SECURITIES – 8.7%** |
|  | Adams Outdoor Advertising LP  |  |  |  |
| $1000000 | &nbsp;&nbsp; Series 2023-1, Class B (c) | 8.81<br> %<br>| 07/15/53 | $1030208 |
|  | CoreVest American Finance Trust  |  |  |  |
| 152682 | &nbsp;&nbsp; Series 2021-1, Class A (c) | 1.57<br> %<br>| 04/15/53 | 150705 |
| 6251738 | &nbsp;&nbsp; Series 2021-3, Class XA, IO (a) (c) | 2.37<br> %<br>| 10/15/54 | 82149 |
|  | Exeter Automobile Receivables Trust  |  |  |  |
| 750000 | &nbsp;&nbsp; Series 2024-1A, Class E (c) | 7.89<br> %<br>| 08/15/31 | 785720 |
|  | Gracie Point International Funding LLC  |  |  |  |
| 692000 | &nbsp;&nbsp; Series 2024-1A, Class D, 90 Day Average SOFR + 7.15% (b) (c) | 11.34<br> %<br>| 03/01/28 | 692618 |
| 500000 | &nbsp;&nbsp; Series 2025-1A, Class D, 30 Day Average SOFR + 4.50% (b) (c) | 8.30<br> %<br>| 08/15/28 | 500411 |
|  | Island Finance Trust  |  |  |  |
| 500000 | &nbsp;&nbsp; Series 2025-1A, Class B (c) | 7.95<br> %<br>| 03/19/35 | 506924 |
| 500000 | &nbsp;&nbsp; Series 2025-1A, Class C (c) | 10.00<br> %<br>| 03/19/35 | 510212 |
|  | Mid-State Capital Corp. Trust  |  |  |  |
| 23975 | &nbsp;&nbsp; Series 2005-1, Class A | 5.75<br> %<br>| 01/15/40 | 23980 |
|  | PAGAYA AI Debt Grantor Trust  |  |  |  |
| 217028 | &nbsp;&nbsp; Series 2024-10, Class E (c) | 10.41<br> %<br>| 06/15/32 | 223668 |
|  | PAGAYA AI Debt Trust  |  |  |  |
| 198554 | &nbsp;&nbsp; Series 2024-3, Class D (c) | 9.00<br> %<br>| 10/15/31 | 199314 |
|  | **Total Asset-Backed Securities** | **Total Asset-Backed Securities** | **Total Asset-Backed Securities** | 4705909 |
|  | (Cost $4,517,336) |  |  |  |

---

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **MONEY MARKET FUNDS – 0.9%** | **MONEY MARKET FUNDS – 0.9%** | **MONEY MARKET FUNDS – 0.9%** |
| 471160 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 3.56% (i) | 471160 |
|  | (Cost $471,160) |  |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Total Investments – 97.9%** | **Total Investments – 97.9%** | **Total Investments – 97.9%** | 52852689 |
|  | (Cost $55,426,125)  |  |  |  |
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT – (5.8)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT – (5.8)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT – (5.8)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT – (5.8)%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT – (5.8)%** |
|  | **Pass-Through Securities – (5.8)%** |  |  |  |
|  | Fannie Mae or Freddie Mac  |  |  |  |
| $(808000)<br>| &nbsp;&nbsp; Pool TBA (j) | 4.00<br> %<br>| 04/01/56 | (770290)<br>|
| (580000)<br>| &nbsp;&nbsp; Pool TBA (j) | 4.50<br> %<br>| 04/01/56 | (566932)<br>|
| (1777000)<br>| &nbsp;&nbsp; Pool TBA (j) | 5.00<br> %<br>| 04/01/56 | (1772484)<br>|
|  | **Total Investments Sold Short – (5.8)%** | **Total Investments Sold Short – (5.8)%** | **Total Investments Sold Short – (5.8)%** | (3109706)<br>|
|  | (Proceeds $3,110,927) |  |  |  |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of** <br> **Contracts**<br>| **Description** | **Notional** <br> **Amount**<br>| **Exercise** <br> **Price**<br>| **Expiration** <br> **Date**<br>| **Value** |
| **WRITTEN OPTIONS – (0.0)%** | **WRITTEN OPTIONS – (0.0)%** | **WRITTEN OPTIONS – (0.0)%** | **WRITTEN OPTIONS – (0.0)%** | **WRITTEN OPTIONS – (0.0)%** | **WRITTEN OPTIONS – (0.0)%** |
|  | **Call Options Written – (0.0)%** |  |  |  |  |
| (1)<br>| U.S. Treasury Bond Futures Call | $(115125)<br>| $121.00 | 05/22/26 | (610)<br>|
|  | (Premiums received $951) |  |  |  |  |
|  | **Put Options Written – (0.0)%** |  |  |  |  |
| (1)<br>| 10-Year U.S.Treasury Note Futures Put | (111828)<br>| 110.50 | 05/22/26 | (609)<br>|
| (1)<br>| 10-Year U.S.Treasury Note Futures Put | (111828)<br>| 111.00 | 05/22/26 | (781)<br>|
| (1)<br>| 5-Year U.S.Treasury Note Futures Put | (108930)<br>| 108.25 | 05/22/26 | (414)<br>|
| (1)<br>| U.S.Treasury Bond Futures Put | (115125)<br>| 109.00 | 05/22/26 | (766)<br>|

---

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of** <br> **Contracts**<br>| **Description** | **Notional** <br> **Amount**<br>| **Exercise** <br> **Price**<br>| **Expiration** <br> **Date**<br>| **Value** |
| **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** |
|  | **Put Options Written (Continued)** |  |  |  |  |
| (1)<br>| U.S.Treasury Bond Futures Put | $(115125)<br>| $110.00 | 05/22/26 | $(953)<br>|
| (1)<br>| U.S.Treasury Bond Futures Put | (115125)<br>| 111.00 | 05/22/26 | (1172)<br>|
|  | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | (4695)<br>|
|  | (Premiums received $4,609) |  |  |  |  |
|  | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | (5305)<br>|
|  | (Premiums received $5,560) |  |  |  |  |

---

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

---

| | |
|:---|:---|
| **Net Other Assets and Liabilities – 7.9%** | 4247907 |
| **Net Assets – 100.0%** | $53985585 |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Futures Contracts** | **Position** | **Number of**<br> **Contracts**<br>| **Expiration**<br> **Date**<br>| **Notional**<br> **Value**<br>| **Unrealized**<br> **Appreciation**<br> **(Depreciation)/**<br> **Value**<br>|
| CME Ultra U.S. Treasury Bond Futures | Long | 11 | Mar 2026 | $1291813 | $(18951) |
| U.S. Treasury 2 Year Note Futures | Long | 8 | Mar 2026 | 1667937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (266) |
| U.S. Treasury 5 Year Note Futures | Long | 52 | Mar 2026 | 5664344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (32389) |
| U.S. Treasury Bond Futures | Long | 8 | Mar 2026 | 921000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (13469) |
| U.S. Treasury Note Futures | Long | 35 | Mar 2026 | 3913985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (52538) |
| Ultra 10 Year U.S. Treasury Note Futures | Long | 70 | Mar 2026 | 7990937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (122782) |
|  |  |  |  | $21450016 | $(240395) |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(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.

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) This security, sold within the terms of a private placement memorandum, is exempt
 from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), 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 "Advisor"). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined
 based on security specific factors and assumptions, which require subjective judgment. At January 31, 2026, securities noted
 as such amounted to $32,406,000 or 60.0% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(d) 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, 2026.

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

&nbsp;&nbsp;&nbsp;&nbsp;(f) This security, sold within the terms of a private placement memorandum, is exempt
 from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration,
 normally to qualified institutional buyers. (see Restricted Securities table).

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

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

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

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

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

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| ACES | – Alternative Credit Enhancement Securities |
| CME | – Chicago Mercantile Exchange |
| CSA | – Credit Spread Adjustment |
| IO | – Interest-Only Security - Principal amount shown represents par value on which interest payments are based. |
| PO | – Principal-Only Security |
| REMIC | – Real Estate Mortgage Investment Conduit |
| SOFR | – Secured Overnight Financing Rate |
| STACR | – Structured Agency Credit Risk |
| STRIPS | – Separate Trading of Registered Interest and Principal of Securities |
| TBA | – To-Be-Announced Security |

---

------

**Valuation Inputs**

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

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

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

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total**<br> **Value at**<br> **1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1**<br> **Quoted**<br> **Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2**<br> **Significant**<br> **Observable**<br> **Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3**<br> **Significant**<br> **Unobservable**<br> **Inputs**<br>|
| Mortgage-Backed Securities | &nbsp;&nbsp; $31131091 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $31131091 | &nbsp;&nbsp;&nbsp;&nbsp; $— |
| U.S. Government Agency Mortgage-Backed Securities | &nbsp;&nbsp; 16544529 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16544529 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Asset-Backed Securities | &nbsp;&nbsp; 4705909 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4705909 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Money Market Funds | &nbsp;&nbsp; 471160 | &nbsp;&nbsp;&nbsp;&nbsp; 471160 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Investments | &nbsp;&nbsp; $52852689 | &nbsp;&nbsp;&nbsp;&nbsp; $471160 | &nbsp;&nbsp;&nbsp;&nbsp; $52381529 | &nbsp;&nbsp;&nbsp;&nbsp; $— |
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total**<br> **Value at**<br> **1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1**<br> **Quoted**<br> **Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2**<br> **Significant**<br> **Observable**<br> **Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3**<br> **Significant**<br> **Unobservable**<br> **Inputs**<br>|
| U.S. Government Agency Mortgage-<br> Backed Securities Sold Short<br>| &nbsp;&nbsp; $(3109706)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(3109706)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— |
| Futures Contracts | &nbsp;&nbsp; (240395)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (240395)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Written Options | &nbsp;&nbsp; (5305)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (5305)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total | &nbsp;&nbsp; $(3355406)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(245700)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(3109706)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

------

**First Trust Mortgage Income Fund (FMY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

------

**Restricted Securities** 

As of January 31, 2026, the Fund held restricted securities as shown in the following table that the Advisor deemed illiquid pursuant to procedures adopted by the Fund's Board of Trustees:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Security** | &nbsp;&nbsp; **Acquisition**<br> **Date**<br>| **Principal**<br> **Value**<br>| **Current Price** | **Carrying**<br> **Cost**<br>| **Value** | **% of**<br> **Net**<br> **Assets**<br>|
| Credit Suisse Mortgage Trust, 7.63%, 01/09/25 | 03/10/22 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp; $66.35 | &nbsp;&nbsp; $1000000 | &nbsp;&nbsp; $663750 | 1.23<br> %<br>|

---

------

## 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:** 2026-10-31

- **b. Date as of which information is reported:** 2026-01-30

**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:** $63286901.38

**Total Liabilities:** $9301867.47

**Net Assets:** $53985033.91

**Stand-by Commitments:** $491514.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 28.49673000 | **1-Year:** 2705.01875000 | **5-Year:** 5242.62704000 | **10-Year:** 6066.47113000 | **30-Year:** 1437.18048000

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

- **3-Month:** 15.86935000 | **1-Year:** 1302.60637000 | **5-Year:** 1989.85612000 | **10-Year:** 3055.12816000 | **30-Year:** 266.12593000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 0.79%                | 1.04%                | 0.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6446.98                 | $372319.41                                 |
| Month 2  | $8994.31                 | $-153586.66                                |
| Month 3  | $8713.87                 | $199822.08                                 |

**Designated Index Information**

- **Index Name:** The Fund relies on the Absolute VaR Test

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                        | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        35 | NC      | $-52627.90    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         8 | NC      | $-13490.12    | -0.02%            |  |  |  | No            |                  1 | 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        |      8391 | PA      | $10410.07     | 0.02%             | 2037-06-25      | Floating      | 16.76%                | 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        |   6251738 | PA      | $82149.09     | 0.15%             | 2054-10-15      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | Corevest American Finance 2021-1 Trust                                           | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152682 | PA      | $150705.35    | 0.28%             | 2053-04-15      | Fixed         | 1.57%                 | 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        |    386012 | PA      | $1214.39      | 0.00%             | 2049-11-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4824710 | PA      | $250445.40    | 0.46%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397WVU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145846 | PA      | $13992.78     | 0.03%             | 2036-12-15      | Floating      | 2.26%                 | 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        |    128908 | PA      | $114886.25    | 0.21%             | 2036-09-20      | Variable      | 4.87%                 | 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        |   3516937 | PA      | $295323.57    | 0.55%             | 2036-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $383057.25    | 0.71%             | 2066-10-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392FMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6936 | PA      | $217.21       | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        10 | NC      | $-19260.00    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                        | Bank 2019-BNK19                                                                  | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11356797 | PA      | $309058.19    | 0.57%             | 2061-08-15      | Variable      | 0.94%                 | 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      | $956518.30    | 1.77%             | 2037-03-15      | Floating      | 4.60%                 | 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      | $67513.73     | 0.13%             | 2048-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1                                | FIVE 2023-V1 Mortgage Trust                                                      | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22234295 | PA      | $243469.98    | 0.45%             | 2056-02-10      | Variable      | 0.66%                 | 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        |    164541 | PA      | $156306.10    | 0.29%             | 2045-03-20      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380CUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172857 | PA      | $143410.01    | 0.27%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38376R7P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146728 | PA      | $141784.76    | 0.26%             | 2067-09-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    982347 | PA      | $908526.78    | 1.68%             | 2054-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334438 | PA      | $51093.72     | 0.09%             | 2041-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379FN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2836832 | PA      | $426983.24    | 0.79%             | 2045-11-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-414.06      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31395UCS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370826 | PA      | $33516.21     | 0.06%             | 2035-05-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2018-2                                             | CUSIP: 36418GBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266139 | PA      | $260910.92    | 0.48%             | 2058-10-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK7                                                                   | CUSIP: 06541XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20189065 | PA      | $160904.83    | 0.30%             | 2060-09-15      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                                      | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510212.35    | 0.95%             | 2035-03-19      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-3                                                     | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432166 | PA      | $436058.01    | 0.81%             | 2056-12-27      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396YQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294177 | PA      | $295255.26    | 0.55%             | 2037-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    856991 | PA      | $835774.86    | 1.55%             | 2050-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK23                                                                  | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8839583 | PA      | $193304.00    | 0.36%             | 2052-12-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246235 | PA      | $241438.51    | 0.45%             | 2050-07-25      | Floating      | 4.21%                 | 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      | $42385.96     | 0.08%             | 2049-03-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-609.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24914 | PA      | $26220.85     | 0.05%             | 2040-09-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102700 | PA      | $1103303.18   | 2.04%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380A3T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78901 | PA      | $49531.83     | 0.09%             | 2045-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A9D96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1021299 | PA      | $134608.50    | 0.25%             | 2042-11-25      | Fixed         | 3.50%                 | 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        |    722602 | PA      | $720800.80    | 1.34%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3532510 | PA      | $245699.14    | 0.46%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136ATF58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168142 | PA      | $38510.02     | 0.07%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARLU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36963 | PA      | $477.60       | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-6 LLC                                                                  | CUSIP: 69395KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002657.20   | 1.86%             | 2028-08-25      | Variable      | 10.56%                | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -580000 | PA      | $-566931.58   | -1.05%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-1                                       | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $785719.88    | 1.46%             | 2031-08-15      | Fixed         | 7.89%                 | 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        |      1244 | PA      | $1195.41      | 0.00%             | 2033-10-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70248 | PA      | $70138.94     | 0.13%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R02                                     | CUSIP: 20754GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1052098.20   | 1.95%             | 2044-02-25      | Floating      | 7.40%                 | 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      | $495470.00    | 0.92%             | 2048-06-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A0EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $0.13         | 0.00%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HCKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2454000 | PA      | $586451.77    | 1.09%             | 2031-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fidelis Mortgage Trust                      | Fidelis Mortgage Trust 2025-RTL1                                                 | CUSIP: 31575LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1012668.90   | 1.88%             | 2040-02-27      | Variable      | 8.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2010 | PA      | $20.56        | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | 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        |     42840 | PA      | $41729.00     | 0.08%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    933756 | PA      | $913455.56    | 1.69%             | 2050-07-25      | Floating      | 4.21%                 | 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        |  22411771 | PA      | $112885.85    | 0.21%             | 2050-03-10      | Variable      | 0.88%                 | 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        |  18760173 | PA      | $41844.57     | 0.08%             | 2049-12-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-2                                                     | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623709 | PA      | $628441.24    | 1.16%             | 2055-10-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396VUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108851 | PA      | $13552.89     | 0.03%             | 2037-05-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust              | MSWF Commercial Mortgage Trust 2023-1                                            | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7567105 | PA      | $367610.73    | 0.68%             | 2056-05-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1777000 | PA      | $-1772484.43  | -3.28%            | 2056-04-01      | Fixed         | 5.00%                 | 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      | $200899.73    | 0.37%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2017-C8                                          | CUSIP: 12532CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7336099 | PA      | $82647.02     | 0.15%             | 2050-06-15      | Variable      | 1.46%                 | 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        |      4011 | PA      | $3999.54      | 0.01%             | 2033-09-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust               | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $377900.27    | 0.70%             | 2038-11-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5777179 | PA      | $193952.59    | 0.36%             | 2053-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18343 | PA      | $1831.04      | 0.00%             | 2033-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    908198 | PA      | $905838.36    | 1.68%             | 2052-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31339WYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63508 | PA      | $6847.41      | 0.01%             | 2032-03-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 31364JL84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6070 | PA      | $305.37       | 0.00%             | 2029-12-25      | Variable      | 6.50%                 | 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        |     23975 | PA      | $23979.53     | 0.04%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375LYK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97014 | PA      | $820.94       | 0.00%             | 2037-11-20      | Floating      | 2.86%                 | 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        |   5448155 | PA      | $4009.84      | 0.01%             | 2049-07-10      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137B2FS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125199 | PA      | $6228.81      | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69890 | PA      | $853.71       | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3578942 | PA      | $251924.58    | 0.47%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1008254.20   | 1.87%             | 2039-03-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1171.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040644<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -808000 | PA      | $-770289.87   | -1.43%            | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2024-NQM1 Trust                                                             | CUSIP: 693977AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $736015.94    | 1.36%             | 2068-12-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2018-CD7 Mortgage Trust                                                       | CUSIP: 12512JAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8246015 | PA      | $113568.24    | 0.21%             | 2051-08-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING                   | Adams Outdoor Advertising LP                                                     | CUSIP: 006346AX8<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1030208.20   | 1.91%             | 2053-07-15      | Fixed         | 8.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1168512.05   | 2.16%             | 2052-03-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-3                                                                      | CUSIP: 74449DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1000180.50   | 1.85%             | 2030-05-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692000 | PA      | $692617.40    | 1.28%             | 2028-03-01      | Floating      | 11.34%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381LAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5194516 | PA      | $264620.07    | 0.49%             | 2064-06-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B0QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1874435 | PA      | $213499.60    | 0.40%             | 2048-01-25      | Floating      | 2.39%                 | 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      | $168.48       | 0.00%             | 2048-10-10      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        52 | NC      | $-32514.56    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378VMF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133528 | PA      | $11903.57     | 0.02%             | 2043-07-16      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2025-1 LLC                                    | CUSIP: 38411WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500411.10    | 0.93%             | 2028-08-15      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5294989 | PA      | $312725.21    | 0.58%             | 2054-08-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392JMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27097 | PA      | $3269.57      | 0.01%             | 2033-03-25      | Floating      | 4.19%                 | 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        |     64115 | PA      | $32484.81     | 0.06%             | 2046-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                               | CUSIP: 31282YBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       478 | PA      | $2.31         | 0.00%             | 2026-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $247001.01    | 0.46%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2025-DNA4                                          | CUSIP: 35564UBS5<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004548.60   | 1.86%             | 2045-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398TW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490147 | PA      | $69204.61     | 0.13%             | 2040-09-25      | Fixed         | 5.00%                 | 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        |    242271 | PA      | $205666.99    | 0.38%             | 2035-06-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-609.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-R2                                               | CUSIP: 92538DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $337833.05    | 0.63%             | 2064-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15150000 | PA      | $252679.28    | 0.47%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQ3D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12589940 | PA      | $760083.63    | 1.41%             | 2047-11-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31359KF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $26.76        | 0.00%             | 2026-11-25      | 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        |   5544381 | PA      | $591651.46    | 1.10%             | 2045-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     37204 | PA      | $37936.22     | 0.07%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AHX88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16897 | PA      | $13108.51     | 0.02%             | 2044-01-25      | Floating      | 0.23%                 | 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      | $946033.10    | 1.75%             | 2026-08-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Trust 2024-3                                                      | CUSIP: 69547XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198554 | PA      | $199313.89    | 0.37%             | 2031-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                    | MSILF Treasury Portfolio                                                         | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |    434340 | NS      | $434340.00    | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-765.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AA7M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    910129 | PA      | $59969.69     | 0.11%             | 2033-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HH6A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1663400 | PA      | $422760.93    | 0.78%             | 2061-10-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32452 | PA      | $3731.89      | 0.01%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375XJW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82995 | PA      | $3316.08      | 0.01%             | 2038-08-20      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137H4YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2029129 | PA      | $1207694.96   | 2.24%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL2                                                   | CUSIP: 50205JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $812945.28    | 1.51%             | 2029-03-25      | Variable      | 11.58%                | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $708321.95    | 1.31%             | 2065-05-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FCLG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14500000 | PA      | $491059.90    | 0.91%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410000 | PA      | $378284.31    | 0.70%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664492 | PA      | $632904.00    | 1.17%             | 2067-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        11 | NC      | $168.86       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20316033 | PA      | $184729.62    | 0.34%             | 2051-07-15      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-4                                                 | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $989760.25    | 1.83%             | 2057-06-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                         | Cali 2024-Sun                                                                    | CUSIP: 12988DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $353074.40    | 0.65%             | 2041-07-15      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC1 Trust                                                            | CUSIP: 69357TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $710163.60    | 1.32%             | 2056-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $905011.18    | 1.68%             | 2039-06-12      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31394B6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32469 | PA      | $2586.33      | 0.00%             | 2035-02-25      | Floating      | 2.89%                 | 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        |     15328 | PA      | $15364.74     | 0.03%             | 2034-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK26                                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5157851 | PA      | $185456.74    | 0.34%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712553 | PA      | $603995.01    | 1.12%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382CDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7815322 | PA      | $173905.76    | 0.32%             | 2045-11-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-781.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-DELC                                                               | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1007161.40   | 1.87%             | 2042-12-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217028 | PA      | $223668.36    | 0.41%             | 2032-06-15      | Fixed         | 10.41%                | 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      | $452873.91    | 0.84%             | 2048-10-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18866 | PA      | $1929.06      | 0.00%             | 2037-10-25      | Floating      | 2.64%                 | 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        |     27308 | PA      | $23464.41     | 0.04%             | 2032-12-25      | Variable      | 3.19%                 | 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        |     73603 | PA      | $61165.41     | 0.11%             | 2035-01-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust               | Life 2021-BMR Mortgage Trust                                                     | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $278652.50    | 0.52%             | 2038-03-15      | Floating      | 5.19%                 | 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      | $663749.70    | 1.23%             | 2025-01-09      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $630716.70    | 1.17%             | 2042-05-05      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-FHA1 Trust                                                             | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680232 | PA      | $648685.41    | 1.20%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        70 | NC      | $-122959.70   | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2006-A2                                                 | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17195 | PA      | $17142.83     | 0.03%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C3 Commercial Mortgage Trust                                          | CUSIP: 12635FAY0<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    235066 | PA      | $223625.85    | 0.41%             | 2048-08-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533000 | PA      | $416334.24    | 0.77%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397TP97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10529 | PA      | $905.62       | 0.00%             | 2038-05-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-3                                                     | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $257197.51    | 0.48%             | 2056-12-27      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2024-RPL1 Trust                                                             | CUSIP: 693989AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $385078.95    | 0.71%             | 2063-10-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $997806.60    | 1.85%             | 2038-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL1                                                   | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1014618.80   | 1.88%             | 2029-01-25      | Variable      | 11.95%                | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2021-NQM4 Trust                                                              | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501000 | PA      | $435165.42    | 0.81%             | 2061-10-25      | Variable      | 1.96%                 | 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        |    343756 | PA      | $382.22       | 0.00%             | 2049-04-10      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-953.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374DNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $100839.21    | 0.19%             | 2038-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RPL4 LLC                                                               | CUSIP: 74448NAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1128139.25   | 2.09%             | 2055-05-25      | Variable      | 3.00%                 | 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        |       393 | PA      | $391.58       | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | 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      | $569852.09    | 1.06%             | 2031-10-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AK7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011998 | PA      | $122334.72    | 0.23%             | 2045-04-25      | Floating      | 2.34%                 | 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      | $397735.96    | 0.74%             | 2031-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                                      | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506924.10    | 0.94%             | 2035-03-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864437 | PA      | $847631.96    | 1.57%             | 2050-03-25      | Floating      | 4.26%                 | 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        |    542188 | PA      | $14786.60     | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-INV1                                             | CUSIP: 924929AG7<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1012890.60   | 1.88%             | 2070-02-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

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