# EDGAR Filing Document

**Accession Number:** 0001667919
**File Stem:** 0000940400-26-014565
**Filing Date:** 2026-4
**Character Count:** 68014
**Document Hash:** 56ef238cfed620c82edc1ce2c0445b5f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-014565.hdr.sgml**: 20260423

**ACCESSION NUMBER**: 0000940400-26-014565

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260423

**DATE AS OF CHANGE**: 20260423

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND VIII
- **CENTRAL INDEX KEY:** 0001667919

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23147
- **FILM NUMBER:** 26888552

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630-765-8000

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

## Series and Classes Contracts Data

### First Trust Securitized Plus ETF (Series ID: S000068300)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000218639 | First Trust Securitized Plus ETF | DEED            |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** First Trust Exchange-Traded Fund VIII

- **b. Investment Company Act file number:** 811-23147

- **c. CIK number of Registrant:** 0001667919

- **d. LEI of Registrant:** 549300NT36PJKGP5Y765

- **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 Securitized Plus ETF

- **b. EDGAR series identifier (if any):** S000068300

- **c. LEI of Series:** 549300HEXD4P8KFVEV63

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $100805360.64

**Total Liabilities:** $13182116.21

**Net Assets:** $87623244.43

**Stand-by Commitments:** $4107661.42

**Cash Not Reported:** $541223.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2.73705000 | **1-Year:** 2643.78299000 | **5-Year:** 18793.75608000 | **10-Year:** 12836.13317000 | **30-Year:** 568.66622000

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

- **3-Month:** 21.37703000 | **1-Year:** 1207.91617000 | **5-Year:** 2021.33483000 | **10-Year:** 4297.71434000 | **30-Year:** 325.61018000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218639 | 0.05%                | 0.39%                | 1.88%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $11982.09                | $-170029.83                                |
| Month 2  | $41625.92                | $59325.84                                  |
| Month 3  | $88783.74                | $707757.37                                 |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                          | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO BOARD OF TRADE                                        | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        18 | NC      | $17998.24     | 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        |  11032836 | PA      | $787216.00    | 0.90%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| PRET 2026-NPL2                                                | PRET 2026-NPL2 A1                                           | CUSIP: 69393DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415328 | PA      | $415873.32    | 0.47%             | 2056-02-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNMA-30YR                                                   | CUSIP: 01F030645<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -500000 | PA      | $-452035.46   | -0.52%            | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL9 LLC                                            | PRET 2025-NPL9 A2                                           | CUSIP: 740937AB3<br>LEI: 254900IWII23Q41Y2V47 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251153.83    | 0.29%             | 2055-08-25      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C32           | JPMBB 2015-C32 XA                                           | CUSIP: 46590JAY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277559 | PA      | $23.31        | 0.00%             | 2048-11-18      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust 2024-1                             | FCAT 2024-1 D                                               | CUSIP: 33843VAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $990933.50    | 1.13%             | 2030-04-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | B 0 03/26/26                                                | CUSIP: 912797SC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $997582.33    | 1.14%             | 2026-03-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MTG LN TR                                       | COLT 2021-HX1 B3A                                           | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1068682.68   | 1.22%             | 2066-10-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN FS0139                                                   | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141570 | PA      | $1006864.99   | 1.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2022-66 CF                                              | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    922040 | PA      | $919009.62    | 1.05%             | 2052-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FG G67706                                                   | CUSIP: 3132XCR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96700 | PA      | $93316.99     | 0.11%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN FS3160                                                   | CUSIP: 3140XJQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320750 | PA      | $291432.35    | 0.33%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FHR 5435 BS                                                 | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    960354 | PA      | $916705.48    | 1.05%             | 2054-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| NRTH COMMERCIAL MORTGAGE TRUST 2025-PARK                      | NRTH 2025-PARK A                                            | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $401302.80    | 0.46%             | 2040-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-INV1                                                | EFMT 2024-INV1 B2                                           | CUSIP: 268434AF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $379542.67    | 0.43%             | 2069-03-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXV Ltd.                                | MDPK 2019-35A D2R2                                          | CUSIP: 55819MBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998215.75    | 1.14%             | 2039-02-14      | Floating      | 7.58%                 | 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        |    582644 | PA      | $586542.62    | 0.67%             | 2056-12-28      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN CB2802                                                   | CUSIP: 3140QNDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454538 | PA      | $381608.00    | 0.44%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                     | COMM 2014-UBS3 XB                                           | CUSIP: 12591YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10453678 | PA      | $221.62       | 0.00%             | 2047-06-12      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | B 0 04/09/26                                                | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $498090.77    | 0.57%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EXTER AUTOMOBILE RECEIVABLES TRUST                            | EART 2025-3A D                                              | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1028250.80   | 1.17%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-Pj2                  | GSMBS 2020-NQM1 B1                                          | CUSIP: 36259WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    755000 | PA      | $751338.78    | 0.86%             | 2060-09-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN BE3619                                                   | CUSIP: 3140FPAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20210 | PA      | $19946.64     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                            | PRET 2025-NPL6 A2                                           | CUSIP: 740936AB5<br>LEI: 2549004EWBYQ3J21FL07 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1006352.30   | 1.15%             | 2055-06-25      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST                                 | SFO 2021-555 A                                              | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $499195.85    | 0.57%             | 2038-05-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2015-2                          | MCMLT 2019-GS2 B2                                           | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1099116.98   | 1.25%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                        | FR SD0499                                                   | CUSIP: 3132DMRU1<br>LEI: 254900C5LP6DN9OP9V83 | Long             | ABS-MBS          | USGSE             | US        |     87531 | PA      | $80927.95     | 0.09%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMRT MINI                                                     | SMRT 2022-MINI XCP                                          | CUSIP: 78457JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 105000000 | PA      | $12810.00     | 0.01%             | 2039-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2024-84 FD                                              | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1145467 | PA      | $1153898.71   | 1.32%             | 2054-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | B 0 03/12/26                                                | CUSIP: 912797SB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1498489.17   | 1.71%             | 2026-03-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2021-31 IO                                              | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  11544376 | PA      | $813529.86    | 0.93%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security             | S 0 11/15/40                                                | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $410298.74    | 0.47%             | 2040-11-15      | None          | 0.00%                 | 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      | $1001496.70   | 1.14%             | 2028-08-25      | Variable      | 10.56%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FHR 4292 PB                                                 | CUSIP: 3137B75V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    404775 | PA      | $376263.98    | 0.43%             | 2044-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR SD1382                                                   | CUSIP: 3132DNRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377994 | PA      | $369382.19    | 0.42%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR ZM1779                                                   | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57656 | PA      | $53538.55     | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2017-38 Z                                               | CUSIP: 38376MVF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    583934 | PA      | $541747.82    | 0.62%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN BU9074                                                   | CUSIP: 3140MBCL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601418 | PA      | $505318.89    | 0.58%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FG G60659                                                   | CUSIP: 31335AWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70804 | PA      | $68269.78     | 0.08%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Trust Exchange-Traded Fund IV                           | First Trust AAA CMBS ETF                                    | CUSIP: 33738D762<br>LEI: 5493006CBTW7P2B31B80 | Long             | EC               | RF                | US        |     20000 | NS      | $412800.00    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                         | FN BV8477                                                   | CUSIP: 3140MNM37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1033263 | PA      | $942187.52    | 1.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-AFC1 TRUST                                         | HOMES 2025-AFC4 A1                                          | CUSIP: 43762DAC3<br>LEI: 2549006ZK3R8WZLA9S73 | Long             | ABS-O            | CORP              | US        |    958827 | PA      | $966308.86    | 1.10%             | 2060-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Farm Mortgage Trust 2024-2                                    | FARM 2021-1 B                                               | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    729114 | PA      | $584974.61    | 0.67%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR TRUST                            | RPM 2025-3A E                                               | CUSIP: 76091FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002720.70   | 1.14%             | 2034-02-27      | Fixed         | 11.09%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2025-49 FA                                              | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1356660 | PA      | $1354780.06   | 1.55%             | 2055-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2025-206 IO                                             | CUSIP: 38383JCS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  13844941 | PA      | $845376.22    | 0.96%             | 2064-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN CA0995                                                   | CUSIP: 3140Q8C94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41053 | PA      | $39096.09     | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comm 2015-Lc21 Mortagage Trust                                | COMM 2015-LC21 XE                                           | CUSIP: 12593FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $752.50       | 0.00%             | 2048-07-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | B 0 03/17/26                                                | CUSIP: 912797SZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $998491.60    | 1.14%             | 2026-03-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Vertical Bridge Llc 2016-1                                    | VBTOW 2025-1A C                                             | CUSIP: 92535VAU6<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |    725000 | PA      | $745685.05    | 0.85%             | 2055-08-16      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2024-47 AI                                              | CUSIP: 38381LAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14348146 | PA      | $745079.13    | 0.85%             | 2064-06-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2 | SCRT 2017-3 M2                                              | CUSIP: 35563PCF4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1102733 | PA      | $1097651.95   | 1.25%             | 2056-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR SL1390                                                   | CUSIP: 31427NRL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1352024 | PA      | $1335534.34   | 1.52%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2022-57 FB                                              | CUSIP: 3136BN3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    979825 | PA      | $973449.92    | 1.11%             | 2052-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Texas Commercial Mortgage Trust 2025-Twr                      | TEXAS 2025-TWR C                                            | CUSIP: 88231WAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $260812.08    | 0.30%             | 2042-04-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN AL9394                                                   | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1472599 | PA      | $1354079.32   | 1.55%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FHMS KJ52 A2                                                | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    400000 | PA      | $411963.84    | 0.47%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2015-39 ZA                                              | CUSIP: 38379LEA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    292904 | PA      | $277486.53    | 0.32%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNMA-30YR                                                   | CUSIP: 01F030652<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -788000 | PA      | $-712038.50   | -0.81%            | 2056-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                     | COMM 2012-CR4 XA                                            | CUSIP: 12624QAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    938014 | PA      | $19855.14     | 0.02%             | 2045-10-17      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR RA5552                                                   | CUSIP: 3133KMEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249302 | PA      | $227091.43    | 0.26%             | 2051-07-01      | Fixed         | 3.00%                 | 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      | $999621.40    | 1.14%             | 2030-05-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN CB2430                                                   | CUSIP: 3140QMVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434671 | PA      | $393945.00    | 0.45%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN BM4963                                                   | CUSIP: 3140J9QR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1358711 | PA      | $1255198.64   | 1.43%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | 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        |        24 | NC      | $16345.02     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | SLST 2025-1 A2                                              | CUSIP: 35564CUE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1250000 | PA      | $1116126.25   | 1.27%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2015-32 PB                                              | CUSIP: 3136ANQB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1475000 | PA      | $1300854.86   | 1.48%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2025-153 IO                                             | CUSIP: 38383JCQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8282337 | PA      | $626512.44    | 0.72%             | 2067-09-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FG G67710                                                   | CUSIP: 3132XCR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126746 | PA      | $121659.03    | 0.14%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | SCRT 2017-1 M2                                              | CUSIP: 35563PAT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    985561 | PA      | $964853.14    | 1.10%             | 2056-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | B 0 03/24/26                                                | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $997792.36    | 1.14%             | 2026-03-24      | None          | 0.00%                 | 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        |   1460000 | PA      | $1460952.50   | 1.67%             | 2028-08-15      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2 | SCRT 2017-4 M                                               | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    850619 | PA      | $847242.63    | 0.97%             | 2057-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | SLST 2025-1 YF                                              | CUSIP: 35564CWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1321110 | PA      | $1337311.86   | 1.53%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FHMS K732 X3                                                | CUSIP: 3137FG7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    234417 | PA      | $96.91        | 0.00%             | 2046-05-25      | Variable      | 4.10%                 | 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        |        15 | NC      | $13417.56     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE T                           | GRADE 2025-NPL1 A1                                          | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    922883 | PA      | $930113.18    | 1.06%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN BV4119                                                   | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452002 | PA      | $394652.52    | 0.45%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                            | PRPM 2025-RCF4 M2                                           | CUSIP: 69382WAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $534335.59    | 0.61%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN BQ1163                                                   | CUSIP: 3140KLJH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243988 | PA      | $204291.50    | 0.23%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR SL1523                                                   | CUSIP: 31427NVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1418067 | PA      | $1348749.89   | 1.54%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | B 0 03/05/26                                                | CUSIP: 912797RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $499848.13    | 0.57%             | 2026-03-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| First Trust Exchange-Traded Fund IV                           | First Trust Structured Credit Income Opportunities ETF      | CUSIP: 33738D770<br>LEI: 5493006CBTW7P2B31B80 | Long             | EC               | RF                | US        |     12000 | NS      | $251520.00    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR SD0956                                                   | CUSIP: 3132DNBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778609 | PA      | $688177.09    | 0.79%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR QD7088                                                   | CUSIP: 3133B42V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1265203 | PA      | $1064879.85   | 1.22%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN FA1641                                                   | CUSIP: 3140W1ZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1240775 | PA      | $1253435.78   | 1.43%             | 2050-09-01      | Fixed         | 4.50%                 | 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        |        40 | NC      | $29156.40     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                      | G2 MA7192                                                   | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2523643 | PA      | $2140190.57   | 2.44%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FG G61748                                                   | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83533 | PA      | $80511.27     | 0.09%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNMA-30YR                                                   | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512000 | PA      | $519868.78    | 0.59%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C22                      | WFRBS 2014-C22 XA                                           | CUSIP: 92890KBD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100690 | PA      | $17.38        | 0.00%             | 2057-09-17      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust 2015-Jp1           | JPMCC 2017-JP5 XA                                           | CUSIP: 46647TAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8710966 | PA      | $52204.82     | 0.06%             | 2050-03-17      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FR SD7511                                                   | CUSIP: 3132DVKY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |     90097 | PA      | $86279.57     | 0.10%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DELC                                            | BX 2025-DELC E                                              | CUSIP: 05594MAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $401710.08    | 0.46%             | 2042-12-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN CA5689                                                   | CUSIP: 3140QDKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440193 | PA      | $406252.05    | 0.46%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNMA-30YR                                                   | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3590455.82   | 4.10%             | 2056-03-01      | Fixed         | 6.00%                 | 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        |   4483414 | PA      | $4483413.99   | 5.12%             | 2099-12-01      | Floating      | 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        |        61 | NC      | $18945.53     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-5               | RPM 2025-5A D                                               | CUSIP: 76089KAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $377362.01    | 0.43%             | 2034-06-26      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-6               | RPM 2025-6A C                                               | CUSIP: 76100JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775000 | PA      | $777355.61    | 0.89%             | 2034-08-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Magnetite XXIII LTD / LLC                                     | MAGNE 2019-23A ER2                                          | CUSIP: 55954RAL4<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $967834.48    | 1.10%             | 2035-01-25      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF1 LLC                                            | PRPM 2026-RCF1 M2                                           | CUSIP: 69383VAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $538940.02    | 0.62%             | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2006-56 FE                                              | CUSIP: 31395NXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     64095 | PA      | $63950.41     | 0.07%             | 2036-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR RE6055                                                   | CUSIP: 3133N3WQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650246 | PA      | $554685.38    | 0.63%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSMS 2024-FAIR                                                | GSMS 2024-FAIR E                                            | CUSIP: 36270JAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1025000 | PA      | $1039539.83   | 1.19%             | 2029-07-15      | Variable      | 9.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN BQ1226                                                   | CUSIP: 3140KLLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495250 | PA      | $415083.04    | 0.47%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2022-65 FB                                              | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1100545 | PA      | $1095560.51   | 1.25%             | 2052-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE 2021-2 TRUST                        | CAFL 2021-2 XA                                              | CUSIP: 21873BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1317611 | PA      | $24039.39     | 0.03%             | 2054-07-17      | Variable      | 2.93%                 | 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        |        63 | NC      | $33544.76     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GRACE TRUST                                                   | GRACE 2020-GRCE X                                           | CUSIP: 38406JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $12380.69     | 0.01%             | 2040-12-12      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FR SD7502                                                   | CUSIP: 3132DVKP9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |    347550 | PA      | $331708.50    | 0.38%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FHR 4765 PZ                                                 | CUSIP: 3137FEQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    794293 | PA      | $655977.68    | 0.75%             | 2048-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN FA1348                                                   | CUSIP: 3140W1QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1288906 | PA      | $1304422.20   | 1.49%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN BV5358                                                   | CUSIP: 3140MJ5U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208508 | PA      | $181987.68    | 0.21%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FHR 4753 HL                                                 | CUSIP: 3137FDW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    415000 | PA      | $374116.23    | 0.43%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2015-103 ZA                                             | CUSIP: 38379MDA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    434267 | PA      | $384620.97    | 0.44%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JGWPT XXXIX LLC 2017-2                                        | HENDR 2017-2A B                                             | CUSIP: 46620VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    364465 | PA      | $337073.66    | 0.38%             | 2074-09-17      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| PRET 2026-NPL1 LLC                                            | PRET 2026-NPL1 A2                                           | CUSIP: 69383TAB4<br>LEI: 2549002NGM9N1GT2FK83 | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $477566.52    | 0.55%             | 2056-01-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FHR 4639 HZ                                                 | CUSIP: 3137BTEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    360267 | PA      | $313948.56    | 0.36%             | 2053-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MTG TR 2022-1                                  | SGR 2022-1 A1                                               | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    567440 | PA      | $551073.09    | 0.63%             | 2062-03-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-5               | RPM 2025-5A C                                               | CUSIP: 76089KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $378408.71    | 0.43%             | 2034-06-26      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | CAS 2021-R02 2B2                                            | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    475000 | PA      | $490705.02    | 0.56%             | 2041-11-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FHMS K546 X1                                                | CUSIP: 3137HN4T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3817529 | PA      | $128828.62    | 0.15%             | 2030-05-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2016-C33                | WFCM 2016-C33 XA                                            | CUSIP: 95000LBC6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-O            | CORP              | US        |     19408 | PA      | $3.75         | 0.00%             | 2059-03-17      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2023-18 AZ                                              | CUSIP: 38383VT40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    374669 | PA      | $351330.43    | 0.40%             | 2053-02-20      | Fixed         | 4.75%                 | 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      | $1004093.80   | 1.15%             | 2042-12-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR QC8921                                                   | CUSIP: 3133AT4E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780510 | PA      | $688824.87    | 0.79%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MTG TR 202                           | GRADE 2024-RTL4 A2                                          | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    745000 | PA      | $745357.08    | 0.85%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2017-117 ZN                                             | CUSIP: 38380GHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1486985 | PA      | $1272614.23   | 1.45%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FHR 5210 LB                                                 | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    925000 | PA      | $754860.03    | 0.86%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Jpmdb Commercial Mortgage Secu                                | JPMDB 2016-C2 XA                                            | CUSIP: 46590LAV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2911974 | PA      | $968.52       | 0.00%             | 2049-06-17      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE (H) 23-85                                          | GNR 2023-81 AL                                              | CUSIP: 38384BAG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    285000 | PA      | $282556.15    | 0.32%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | FR RA5286                                                   | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203575 | PA      | $176860.57    | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-West                                                | CSMC 2021-RPL4 A1                                           | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925452 | PA      | $923216.31    | 1.05%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FNR 2024-73 FB                                              | CUSIP: 3136BTBD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    336389 | PA      | $339033.16    | 0.39%             | 2054-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LN 39 2020 LT                                | NEUB 2020-39A ER                                            | CUSIP: 64134FAL5<br>LEI: 549300VZYYV7KE4XNU69 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242811.99    | 0.28%             | 2038-04-20      | Variable      | 10.87%                | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES ISSUER TRUST 2025-4               | GSAR 2025-4A D                                              | CUSIP: 36273DAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $384523.35    | 0.44%             | 2033-01-18      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2013-39 DP                                              | CUSIP: 38378JUG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    460000 | PA      | $378251.47    | 0.43%             | 2043-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF6 LLC                                            | PRPM 2025-RCF6 M1                                           | CUSIP: 69393BAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $403166.88    | 0.46%             | 2055-12-25      | Variable      | 5.50%                 | 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        |    344000 | PA      | $348980.71    | 0.40%             | 2056-12-28      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST                                 | SFO 2021-555 D                                              | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $496429.90    | 0.57%             | 2038-05-17      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                           | CGCMT 2016-P3 XA                                            | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370240 | PA      | $253.22       | 0.00%             | 2049-04-16      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| MSWF COML MTG TR 2023-1                                       | MSWF 2023-1 XA                                              | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9457152 | PA      | $459297.96    | 0.52%             | 2056-05-17      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GRACIE POINT INTERNATIONAL FUNDING 2025-1 LLC                 | GPIF 2025-1A A                                              | CUSIP: 38411WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744000 | PA      | $745572.07    | 0.85%             | 2028-08-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                              | FN BV9960                                                   | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521981 | PA      | $512038.57    | 0.58%             | 2052-06-01      | Fixed         | 4.00%                 | 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      | $1138475.75   | 1.30%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FARM 2025-1 MORTGAGE TRUST                                    | FARM 2025-1 B                                               | CUSIP: 30768CAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1127663 | PA      | $1003673.35   | 1.15%             | 2055-08-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | FN CB2411                                                   | CUSIP: 3140QMVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    966709 | PA      | $844360.11    | 0.96%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ISLAND FINANCE TR 2025-1                                      | ISLN 2025-1A B                                              | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1012894.10   | 1.16%             | 2035-03-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| FIDELIS MORTGAGE TRUST 2025-RTL2                              | FIDL 2025-RTL2 A1                                           | CUSIP: 31575JAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $383218.22    | 0.44%             | 2040-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C37                | WFCM 2016-C37 XEF                                           | CUSIP: 95000PAP9<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-O            | CORP              | US        |   5823000 | PA      | $59964.67     | 0.07%             | 2049-12-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | GNR 2021-125 EL                                             | CUSIP: 38382WHB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    483595 | PA      | $317121.58    | 0.36%             | 2051-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-23

**Name of Applicant:** First Trust Exchange-Traded Fund VIII

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

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