# EDGAR Filing Document

**Accession Number:** 0001319183
**File Stem:** 0000940400-26-024917
**Filing Date:** 2026-6
**Character Count:** 79928
**Document Hash:** 981dea4c69075c3d018cec3d2387f407
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-024917.hdr.sgml**: 20260622

**ACCESSION NUMBER**: 0000940400-26-024917

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260622

**DATE AS OF CHANGE**: 20260622

**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:** 261107161

**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

## 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:** 2026-04-30

**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:** $58955958.21

**Total Liabilities:** $5652768.11

**Net Assets:** $53303190.10

**Stand-by Commitments:** $3320737.21

**Cash Not Reported:** $21991.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18.90057000 | **1-Year:** 2434.67098000 | **5-Year:** 7284.27526000 | **10-Year:** 7030.43560000 | **30-Year:** 1381.05486000

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

- **3-Month:** 8.98454000 | **1-Year:** 1246.88279000 | **5-Year:** 2262.60306000 | **10-Year:** 3965.31274000 | **30-Year:** 214.87683000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 1.77%                | -4.09%               | 2.85%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5737.48                | $379562.28                                 |
| Month 2  | $35570.28                | $-673929.33                                |
| Month 3  | $51290.65                | $149480.06                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-250.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-2375.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP TRUST 2007-9                                  | SASC 2001-SB1 A2                                            | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       329 | PA      | $328.60       | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHMS KG06 X3                                                | CUSIP: 3137H4C81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4571896 | PA      | $547228.06    | 1.03%             | 2031-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2015-20 ES                                              | CUSIP: 3136AK7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    988560 | PA      | $114273.93    | 0.21%             | 2045-04-25      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHMS K128 X3                                                | CUSIP: 3137FYUM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3343856 | PA      | $379272.52    | 0.71%             | 2031-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| ISLAND FINANCE TRUST 2025-1                                                    | ISLN 2025-1A B                                              | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504700.60    | 0.95%             | 2035-03-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 4959 JF                                                 | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    855950 | PA      | $839753.58    | 1.58%             | 2050-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2006-QS6 TRUST                                                     | RALI 2006-QS6 1AV                                           | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    528335 | PA      | $14176.61     | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                                                 | PRPM 2026-RCF2 LLC                                          | CUSIP: 74449JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1039169.99   | 1.95%             | 2056-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-INV1                                           | VERUS 2025-INV1 B1                                          | CUSIP: 924929AG7<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1013599.70   | 1.90%             | 2070-02-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-4 TRUST | WMALT 2007-5 A11                                            | CUSIP: 93936PAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8307 | PA      | $9847.06      | 0.02%             | 2037-06-25      | Floating      | 16.87%                | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-437.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COREVEST AMERICAN FINANCE 2021-3 TRUST                                         | CAFL 2021-3 XA                                              | CUSIP: 21873NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5037664 | PA      | $32953.37     | 0.06%             | 2054-10-19      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE 2021-1 TRUST                                         | CAFL 2021-1 A                                               | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73247 | PA      | $72036.07     | 0.14%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C31                    | MSBAM 2016-C31 XA                                           | CUSIP: 61766RBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341658 | PA      | $396.39       | 0.00%             | 2049-11-18      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2024-32 IO                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4790540 | PA      | $251526.84    | 0.47%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                               | FHR 3471 SD                                                 | CUSIP: 31397WVU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    140970 | PA      | $12286.73     | 0.02%             | 2036-12-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST                                                | CWHL 2006-HYB5 3A1A                                         | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112211 | PA      | $100069.40    | 0.19%             | 2036-09-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TRUST                                                   | MALT 2006-2 2A3                                             | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3511472 | PA      | $282830.43    | 0.53%             | 2036-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MORTGAGE LOAN TRUST                                              | COLT 2021-HX1 B3A                                           | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $375071.15    | 0.70%             | 2066-10-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2002-80 IO                                              | CUSIP: 31392FMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      6035 | PA      | $173.71       | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                                                | BANK 2019-BN19 XA                                           | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11320955 | PA      | $283741.62    | 0.53%             | 2061-08-17      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-1750.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BBCMS 2018-TALL MORTGAGE TRUST                                                 | BBCMS 2018-TALL A                                           | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $946619.10    | 1.78%             | 2037-03-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1 MORTGAGE TRUST                                                    | F1VE 2023-V1 XA                                             | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22217474 | PA      | $203560.94    | 0.38%             | 2056-02-11      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FHMS K739 X3                                                | CUSIP: 3137F64S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1831144 | PA      | $53649.22     | 0.10%             | 2048-11-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| WINWATER MORTGAGE LOAN TRUST 2015-3                                            | WIN 2015-3 B1                                               | CUSIP: 97651JBB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154683 | PA      | $144645.22    | 0.27%             | 2045-03-20      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2017-4 CZ                                               | CUSIP: 38380CUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    174157 | PA      | $143230.55    | 0.27%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2017-H18 DZ                                             | CUSIP: 38376R7P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    148428 | PA      | $142255.80    | 0.27%             | 2067-09-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 5435 BS                                                 | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    912338 | PA      | $826169.57    | 1.55%             | 2054-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNS 406 6                                                   | CUSIP: 3136FG2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325097 | PA      | $48870.44     | 0.09%             | 2041-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2015-158 KS                                             | CUSIP: 38379FN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2767568 | PA      | $385464.91    | 0.72%             | 2045-11-20      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 2975 SJ                                                 | CUSIP: 31395UCS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    312166 | PA      | $28719.31     | 0.05%             | 2035-05-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-31.26       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK 2017-BNK7                                                                 | BANK 2017-BNK7 XA                                           | CUSIP: 06541XAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20105617 | PA      | $126832.26    | 0.24%             | 2060-09-17      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| ISLAND FINANCE TRUST 2025-1                                                    | ISLN 2025-1A C                                              | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505068.40    | 0.95%             | 2035-03-19      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GALTON FUNDING MORTGAGE TRUST 2018-2                                           | GFMT 2018-2 B2                                              | CUSIP: 36418GBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264549 | PA      | $256514.59    | 0.48%             | 2058-10-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-3                                                   | RFT 2025-3 A                                                | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029291 | PA      | $1038519.86   | 1.95%             | 2056-12-28      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2008-17 BE                                              | CUSIP: 31396YQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    294177 | PA      | $291788.20    | 0.55%             | 2037-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 5004 FG                                                 | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    830893 | PA      | $811422.85    | 1.52%             | 2050-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK23                                                                | BANK 2019-BN23 XA                                           | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8824298 | PA      | $179165.90    | 0.34%             | 2052-12-17      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020-EXP1                                        | CMLTI 2020-EXP1 M1                                          | CUSIP: 17328JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $587098.11    | 1.10%             | 2060-04-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNMA-30YR                                                   | CUSIP: 01F032658<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667000 | PA      | $607217.28    | 1.14%             | 2056-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNMA-30YR                                                   | CUSIP: 01F052656<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494000 | PA      | $496534.52    | 0.93%             | 2056-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-2296.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                                       | Redwood Funding Trust 2026-1                                | CUSIP: 75806HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    964672 | PA      | $968927.01    | 1.82%             | 2056-09-27      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2020-47 FA                                              | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    241304 | PA      | $236311.75    | 0.44%             | 2050-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS9                                       | MSC 2016-UBS9 XD                                            | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2180000 | PA      | $28136.39     | 0.05%             | 2049-03-17      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2010-99 SG                                              | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     23894 | PA      | $24425.50     | 0.05%             | 2040-09-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                         | SFO 2021-555 A                                              | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1102700 | PA      | $1102889.44   | 2.07%             | 2038-05-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2016-139 MZ                                             | CUSIP: 38380A3T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     79197 | PA      | $50023.78     | 0.09%             | 2045-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2012-125 MI                                             | CUSIP: 3136A9D96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    997754 | PA      | $129354.08    | 0.24%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2022-2                                     | STAR 2022-3 A1                                              | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    704298 | PA      | $702590.08    | 1.32%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2016-74 LI                                              | CUSIP: 3136ATF58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    168142 | PA      | $37502.88     | 0.07%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2021-31 IO                                              | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3509782 | PA      | $239277.31    | 0.45%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 5-Year T-Note Futures, Jun-2026,ETH                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        38 | NC      | $-15568.54    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 4057 YI                                                 | CUSIP: 3137ARLU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     27969 | PA      | $294.49       | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                             | PRPM 2025-6 M1                                              | CUSIP: 69395KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $998710.70    | 1.87%             | 2030-08-25      | Variable      | 10.56%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                    | GSR 2003-10 1A12                                            | CUSIP: 36228FYJ9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      1061 | PA      | $1015.95      | 0.00%             | 2033-10-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2005-33 AY                                              | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     66133 | PA      | $66030.89     | 0.12%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | CAS 2024-R02 1B2                                            | CUSIP: 20754GAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1049900.30   | 1.97%             | 2044-02-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| FREMF 2020-K110 MORTGAGE TRUST                                                 | FHMS K110 X3                                                | CUSIP: 3137FTZT7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4000000 | PA      | $467380.80    | 0.88%             | 2048-06-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHMS K755 X3                                                | CUSIP: 3137HCKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2454000 | PA      | $558700.46    | 1.05%             | 2031-02-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FIDELIS MORTGAGE TRUST 2025-RTL1                                               | FIDL 2025-RTL1 B                                            | CUSIP: 31575LAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004793.30   | 1.89%             | 2040-02-25      | Variable      | 8.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 4021 IP                                                 | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      1407 | PA      | $10.40        | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FSPC T-56 APO                                               | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     42715 | PA      | $41617.19     | 0.08%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 10-Year T-Note Futures, Jun-2026,ETH                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        29 | NC      | $-34664.88    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                               | FHR 4990 AF                                                 | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    926256 | PA      | $906958.24    | 1.70%             | 2050-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-2                                                   | RFT 2025-2 A                                                | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    593214 | PA      | $601108.82    | 1.13%             | 2055-10-27      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2007-37 SB                                              | CUSIP: 31396VUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    103370 | PA      | $11951.64     | 0.02%             | 2037-05-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2016-JP4                            | JPMCC 2016-JP4 XA                                           | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18669359 | PA      | $15760.67     | 0.03%             | 2049-12-17      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| MSWF 2023-1                                                                    | MSWF 2023-1 XA                                              | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7563750 | PA      | $354171.10    | 0.66%             | 2056-05-17      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHMS K122 X3                                                | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1900000 | PA      | $190769.69    | 0.36%             | 2049-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| CFCRE 2017-C8 MORTGAGE TRUST                                                   | CFCRE 2017-C8 XA                                            | CUSIP: 12532CBE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7284270 | PA      | $56188.67     | 0.11%             | 2050-06-17      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                              | CMLTI 2009-10 1A1                                           | CUSIP: 17316AAA8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |      2750 | PA      | $2742.25      | 0.01%             | 2033-09-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                        | NYO 2021-1290 D                                             | CUSIP: 62955HAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $377965.29    | 0.71%             | 2038-11-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-CX10 COMMERCIAL MORTGAGE TRUST                                      | CSAIL 2020-C19 XA                                           | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5760776 | PA      | $181184.46    | 0.34%             | 2053-03-17      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-265.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2022-69 FA                                              | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    869181 | PA      | $863010.44    | 1.62%             | 2052-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 2439 XI                                                 | CUSIP: 31339WYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     59145 | PA      | $6189.99      | 0.01%             | 2032-03-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNS 305 12                                                  | CUSIP: 31364JL84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5219 | PA      | $245.92       | 0.00%             | 2029-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MID-STATE CAPITAL CORP                                                         | MDST 2005-1 A                                               | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12313 | PA      | $12306.02     | 0.02%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2007-68 PI                                              | CUSIP: 38375LYK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     92158 | PA      | $595.84       | 0.00%             | 2037-11-20      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P4                                    | CGCMT 2016-P4 XA                                            | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3801518 | PA      | $191.98       | 0.00%             | 2049-07-12      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 4206 IA                                                 | CUSIP: 3137B2FS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    118717 | PA      | $5530.70      | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNMA-30YR                                                   | CUSIP: 01F030652<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $122584.70    | 0.23%             | 2056-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-343.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         6 | NC      | $-19391.42    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-1953.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-593.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-15.63       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-15.63       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 2-Year T-Note Futures, Jun-2026,ETH                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $2087.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-562.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        63 | NC      | $-180623.97   | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-734.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2016-3                                     | EART 2024-1A E                                              | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $775866.00    | 1.46%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| LSTAR COMMERCIAL MORTGAGE TRUST 2017-5                                         | LNSTR 2017-5 X                                              | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20893470 | PA      | $70787.08     | 0.13%             | 2050-03-11      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNS 355 18                                                  | CUSIP: 3136FCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17175 | PA      | $1658.02      | 0.00%             | 2033-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-10000.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2025-21 IO                                              | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3530475 | PA      | $248440.93    | 0.47%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 4082 PI                                                 | CUSIP: 3137ARQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     49224 | PA      | $477.82       | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREAT WOLF TRUST 2015-WOLF                                                     | GWT 2024-WOLF E                                             | CUSIP: 39152MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1007217.00   | 1.89%             | 2039-03-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                           | PRPM 2024-NQM1 M1                                           | CUSIP: 693977AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725000 | PA      | $730499.42    | 1.37%             | 2068-12-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| CD 2018-CD7 MORTGAGE TRUST                                                     | CD 2018-CD7 XA                                              | CUSIP: 12512JAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8217239 | PA      | $100519.84    | 0.19%             | 2051-08-17      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING LP                                                   | ADMSO 2023-1 B                                              | CUSIP: 006346AX8<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1022192.20   | 1.92%             | 2053-07-15      | Fixed         | 8.81%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                                | PRPM 2025-3 A2                                              | CUSIP: 74449DAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $996226.50    | 1.87%             | 2030-05-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2024-47 AI                                              | CUSIP: 38381LAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5096877 | PA      | $266894.90    | 0.50%             | 2064-06-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2017-109 SJ                                             | CUSIP: 3136B0QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1828976 | PA      | $198074.83    | 0.37%             | 2048-01-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE26 MORTGAGE TRUST                                                | COMM 2015-CR26 XD                                           | CUSIP: 12593QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3829000 | PA      | $140.14       | 0.00%             | 2048-10-13      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-484.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2013-104 YS                                             | CUSIP: 38378VMF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    125743 | PA      | $10041.89     | 0.02%             | 2043-07-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GRACIE POINT INTERNATIONAL FUNDING 2025-1 LLC                                  | GPIF 2025-1A D                                              | CUSIP: 38411WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500116.50    | 0.94%             | 2028-08-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60                                 | WFCM 2021-C60 XA                                            | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5282539 | PA      | $296829.03    | 0.56%             | 2054-08-17      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2003-15 MS                                              | CUSIP: 31392JMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     26089 | PA      | $2833.60      | 0.01%             | 2033-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNMA-30YR                                                   | CUSIP: 01F042657<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $221269.21    | 0.42%             | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-MP                                         | MSC 2018-MP A                                               | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $249113.73    | 0.47%             | 2040-07-12      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2025-DNA4                                        | STACR 2025-DNA4 M2                                          | CUSIP: 35564UBS5<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1004414.20   | 1.88%             | 2045-10-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHS 177 IO                                                  | CUSIP: 31282YBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $0.05         | 0.00%             | 2026-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                     | RALI 2006-QO1 2A1                                           | CUSIP: 761118RJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64115 | PA      | $31703.80     | 0.06%             | 2046-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2010-103 ID                                             | CUSIP: 31398TW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    460877 | PA      | $63623.70     | 0.12%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1390.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH                  | JPMCC 2018-PHH A                                            | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242271 | PA      | $161117.76    | 0.30%             | 2035-06-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R2                                             | VERUS 2021-R2 B2                                            | CUSIP: 92538DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $357485.48    | 0.67%             | 2064-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNA 2019-M29 X4                                             | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  15150000 | PA      | $224147.28    | 0.42%             | 2029-03-26      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K100              | FHMS K100 X3                                                | CUSIP: 3137FQ3D3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  12589940 | PA      | $711962.37    | 1.34%             | 2047-11-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHMR 2021-P011 X1                                           | CUSIP: 3137H2NR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5516101 | PA      | $568978.60    | 1.07%             | 2045-09-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2013-132 SW                                             | CUSIP: 3136AHX88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     16897 | PA      | $12579.71     | 0.02%             | 2044-01-25      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2003-UP3                                         | CMLTI 2005-6 A1                                             | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33868 | PA      | $34530.92     | 0.06%             | 2035-09-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST 2021-RTL1                                                   | ROC 2021-RTL1 M                                             | CUSIP: 77118TAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952553 | PA      | $929774.89    | 1.74%             | 2026-08-25      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS                                   | MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS TREAS PTF INST | CUSIP: 61747C582<br>LEI: 5493000A332Y142SOW84 | Long             | STIV             | RF                | US        |   2003011 | NS      | $2003010.65   | 3.76%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2003-44 IU                                              | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     30294 | PA      | $3439.54      | 0.01%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1671.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHMS K757 X3                                                | CUSIP: 3137HH6A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1663400 | PA      | $405212.89    | 0.76%             | 2061-10-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2013-32 IG                                              | CUSIP: 3136AA7M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    858225 | PA      | $54059.42     | 0.10%             | 2033-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2008-73 SK                                              | CUSIP: 38375XJW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     78481 | PA      | $2324.20      | 0.00%             | 2038-08-20      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 5179 GZ                                                 | CUSIP: 3137H4YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2039292 | PA      | $1194537.46   | 2.24%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2024-RTL2                                                 | LHOME 2024-RTL2 M                                           | CUSIP: 50205JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $803352.64    | 1.51%             | 2029-03-25      | Fixed         | 11.58%                | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1                                    | DRMT 2021-1 B2                                              | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775000 | PA      | $704364.33    | 1.32%             | 2065-05-25      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                               | FHMS K071 X3                                                | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  14500000 | PA      | $422980.95    | 0.79%             | 2045-11-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-1                                              | VERUS 2022-1 A1                                             | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    642207 | PA      | $607477.33    | 1.14%             | 2067-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B5 MORTGAGE TRUST                                               | BMARK 2018-B5 XA                                            | CUSIP: 08160BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20257706 | PA      | $162047.47    | 0.30%             | 2051-07-17      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                               | TPMT 2017-4 B4                                              | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $978805.75    | 1.84%             | 2057-06-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         3 | NC      | $-351.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALI COMMERCIAL MORTGAGE TRUST 2024-SUN                                        | CALI 2024-SUN D                                             | CUSIP: 12988DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $352152.22    | 0.66%             | 2041-07-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| PRKCM 2021-AFC1 TRUST                                                          | PRKCM 2021-AFC1 B2                                          | CUSIP: 69357TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $697834.70    | 1.31%             | 2056-08-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| MCR 2024-TWA MORTGAGE TRUST                                                    | MCR 2024-TWA F                                              | CUSIP: 582923AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    885000 | PA      | $894425.07    | 1.68%             | 2039-06-12      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2005-6 SE                                               | CUSIP: 31394B6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     29344 | PA      | $2168.42      | 0.00%             | 2035-02-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST 2004-AR14                                     | RAST 2004-A3 A7                                             | CUSIP: 45660NF75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14999 | PA      | $15095.14     | 0.03%             | 2034-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 5350 PO                                                 | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    606918 | PA      | $514854.08    | 0.97%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                | BANK 2020-BN26 XA                                           | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5144118 | PA      | $170931.34    | 0.32%             | 2063-03-16      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2020-13 BT                                              | CUSIP: 38382CDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7631699 | PA      | $167357.04    | 0.31%             | 2045-11-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DELC                                                             | BX 2025-DELC A                                              | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002493.80   | 1.88%             | 2042-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-10                                                   | PAID 2024-10 E                                              | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183332 | PA      | $187026.47    | 0.35%             | 2032-06-15      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-468.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K118              | FHMS K118 X3                                                | CUSIP: 3137F62Q9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4326216 | PA      | $429018.73    | 0.80%             | 2048-10-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNR 2007-100 SM                                             | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     17409 | PA      | $1674.35      | 0.00%             | 2037-10-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                    | GSR 2005-AR1 4A1                                            | CUSIP: 36242DUQ4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     72953 | PA      | $61117.28     | 0.11%             | 2035-01-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                           | BOAMS 2002-L 1A1                                            | CUSIP: 05948JAA0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |     27308 | PA      | $23654.88     | 0.04%             | 2032-12-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNMA-30YR                                                   | CUSIP: 01F040651<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $46896.49     | 0.09%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MORTGAGE TRUST                                                   | LIFE 2021-BMR D                                             | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $272387.81    | 0.51%             | 2038-03-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                           | CSMC 2022-CNTR A                                            | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515582 | PA      | $55425.03     | 0.10%             | 2025-01-09      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| BWAY TRUST 2025-1535                                                           | BWAY 2025-1535 B                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $623920.92    | 1.17%             | 2042-05-07      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-FHA1                                                           | CSMC 2017-FHA1 A1                                           | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663718 | PA      | $626399.53    | 1.18%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                                                       | JPMMT 2006-A2 5A3                                           | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16640 | PA      | $16633.59     | 0.03%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-156.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PRET 2026-NPL4 LLC                                                             | PRET 2026-NPL4 A2                                           | CUSIP: 74144EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $995321.30    | 1.87%             | 2056-03-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-5                                              | VERUS 2021-5 B2                                             | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    533000 | PA      | $409849.39    | 0.77%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                | FHR 3451 SB                                                 | CUSIP: 31397TP97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     10310 | PA      | $781.15       | 0.00%             | 2038-05-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-3                                                   | RFT 2025-3 B                                                | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $257674.98    | 0.48%             | 2056-12-28      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TRUST                                                           | PRET 2024-RPL1 M2                                           | CUSIP: 693989AG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $377410.55    | 0.71%             | 2063-10-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                         | SFO 2021-555 D                                              | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $994048.40    | 1.86%             | 2038-05-17      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                          | FNMA-30YR                                                   | CUSIP: 01F050650<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507000 | PA      | $499559.58    | 0.94%             | 2056-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM4 TRUST                                                            | OBX 2021-NQM4 A1                                            | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    491222 | PA      | $421959.62    | 0.79%             | 2061-10-25      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                       | GNR 2008-2 HB                                               | CUSIP: 38374DNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    100000 | PA      | $99532.43     | 0.19%             | 2038-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRIORITY 1 ISSUER LOGISTICS DAC                                                | PRPM 2025-RPL4 M1A                                          | CUSIP: 74448NAD6<br>LEI: 635400FLODFXG5M9HI42 | Long             | ABS-O            | CORP              | IE        |   1250000 | PA      | $1147103.75   | 2.15%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-22

**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