# EDGAR Filing Document

**Accession Number:** 0001319183
**File Stem:** 0000940400-25-013844
**Filing Date:** 2025-12
**Character Count:** 69491
**Document Hash:** 6114932f46cc82b6044e7361c38a0581
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-013844.hdr.sgml**: 20251219

**ACCESSION NUMBER**: 0000940400-25-013844

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251219

**DATE AS OF CHANGE**: 20251219

**PERIOD START**: 20251031

**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:** 251587085

**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:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $57723979.92

**Total Liabilities:** $3471694.99

**Net Assets:** $54252284.93

**Stand-by Commitments:** $92081.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 39.60320000 | **1-Year:** 2733.45267000 | **5-Year:** 5529.89661000 | **10-Year:** 6073.98234000 | **30-Year:** 1386.98649000

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

- **3-Month:** 24.14094000 | **1-Year:** 1403.03920000 | **5-Year:** 1879.93792000 | **10-Year:** 2911.11660000 | **30-Year:** 264.27337000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 0.90%                | 0.08%                | -1.03%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $230611.29               | $230319.97                                 |
| Month 2  | $71532.29                | $140679.46                                 |
| Month 3  | $28756.45                | $-74885.41                                 |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                        | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         7 | NC      | $15672.72     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19141 | PA      | $1979.12      | 0.00%             | 2033-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $387921.65    | 0.72%             | 2066-10-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Bank                                        | Bank 2019-BNK19                                                                  | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11413390 | PA      | $332799.61    | 0.61%             | 2061-08-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392FMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7875 | PA      | $266.22       | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1                                | FIVE 2023-V1 Mortgage Trust                                                      | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22249046 | PA      | $277912.84    | 0.51%             | 2056-02-10      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    864000 | PA      | $815860.34    | 1.50%             | 2037-03-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F64S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1831144 | PA      | $79349.15     | 0.15%             | 2048-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                | WinWater Mortgage Loan Trust 2015-3                                              | CUSIP: 97651JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168106 | PA      | $158434.67    | 0.29%             | 2045-03-20      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380CUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171567 | PA      | $142514.53    | 0.26%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38376R7P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145047 | PA      | $138550.55    | 0.26%             | 2067-09-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1046553 | PA      | $992553.61    | 1.83%             | 2054-07-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91676 | PA      | $1354.06      | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347044 | PA      | $53587.84     | 0.10%             | 2041-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -770000 | PA      | $-682292.18   | -1.26%            | 2055-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379FN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2944992 | PA      | $455565.82    | 0.84%             | 2045-11-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31395UCS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384014 | PA      | $35443.86     | 0.07%             | 2035-05-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2018-2                                             | CUSIP: 36418GBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273834 | PA      | $265375.32    | 0.49%             | 2058-10-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                                      | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510283.90    | 0.94%             | 2035-03-19      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK7                                                                   | CUSIP: 06541XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20268398 | PA      | $191838.36    | 0.35%             | 2060-09-15      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-3                                                     | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455357 | PA      | $459683.04    | 0.85%             | 2056-12-27      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396YQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294177 | PA      | $295695.20    | 0.55%             | 2037-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882892 | PA      | $857656.85    | 1.58%             | 2050-08-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -356000 | PA      | $-327987.87   | -0.60%            | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK23                                                                  | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8854131 | PA      | $205947.09    | 0.38%             | 2052-12-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252272 | PA      | $246693.07    | 0.45%             | 2050-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2016-UBS9                                         | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $44707.22     | 0.08%             | 2049-03-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26200 | PA      | $30062.95     | 0.06%             | 2040-09-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102700 | PA      | $1096311.18   | 2.02%             | 2038-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380A3T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78606 | PA      | $49441.15     | 0.09%             | 2045-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A9D96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1051226 | PA      | $140000.74    | 0.26%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2022-3                                       | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733254 | PA      | $731124.39    | 1.35%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136ATF58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168142 | PA      | $39250.06     | 0.07%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARLU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47593 | PA      | $731.49       | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1010574.50   | 1.86%             | 2039-03-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2025-6 LLC                                                                  | CUSIP: 69395KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999831.20    | 1.84%             | 2028-08-25      | Variable      | 10.56%                | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2003-10                                                  | CUSIP: 36228FYJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1269 | PA      | $1217.65      | 0.00%             | 2033-10-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73677 | PA      | $73538.84     | 0.14%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R02                                     | CUSIP: 20754GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1054768.50   | 1.94%             | 2044-02-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A0EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6679 | PA      | $8.67         | 0.00%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HCKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2454000 | PA      | $613338.28    | 1.13%             | 2031-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $520729.60    | 0.96%             | 2048-06-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Fidelis Mortgage Trust                      | Fidelis Mortgage Trust 2025-RTL1                                                 | CUSIP: 31575LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1021289.30   | 1.88%             | 2040-02-27      | Variable      | 8.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2706 | PA      | $35.01        | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945444 | PA      | $921684.13    | 1.70%             | 2050-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2024-NQM1 Trust                                                             | CUSIP: 693977AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $734005.73    | 1.35%             | 2068-12-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42953 | PA      | $41748.47     | 0.08%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396VUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112316 | PA      | $14248.11     | 0.03%             | 2037-05-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                    | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18846548 | PA      | $66963.67     | 0.12%             | 2049-12-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-2                                                     | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659830 | PA      | $665719.70    | 1.23%             | 2055-10-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust              | MSWF Commercial Mortgage Trust 2023-1                                            | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7569953 | PA      | $379966.98    | 0.70%             | 2056-05-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $210626.21    | 0.39%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2017-C8                                          | CUSIP: 12532CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7533188 | PA      | $110969.13    | 0.20%             | 2050-06-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2009-10                                            | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4142 | PA      | $4141.54      | 0.01%             | 2033-09-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust               | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $372360.10    | 0.69%             | 2038-11-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5791083 | PA      | $205480.96    | 0.38%             | 2053-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2018-CD7 Mortgage Trust                                                       | CUSIP: 12512JAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8273025 | PA      | $125025.26    | 0.23%             | 2051-08-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936031 | PA      | $925811.45    | 1.71%             | 2052-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31339WYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67216 | PA      | $7447.84      | 0.01%             | 2032-03-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 31364JL84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6965 | PA      | $374.70       | 0.00%             | 2029-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                             | Mid-State Capital Corp 2005-1 Trust                                              | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34747 | PA      | $34747.04     | 0.06%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375LYK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100694 | PA      | $1569.26      | 0.00%             | 2037-11-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137B2FS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131562 | PA      | $6945.62      | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-P4                                      | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5606903 | PA      | $25099.86     | 0.05%             | 2049-07-10      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING                   | Adams Outdoor Advertising LP                                                     | CUSIP: 006346AX8<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1034975.40   | 1.91%             | 2053-07-15      | Fixed         | 8.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1157985.31   | 2.13%             | 2052-03-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2025-3                                                                      | CUSIP: 74449DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001357.20   | 1.85%             | 2030-05-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692000 | PA      | $694708.49    | 1.28%             | 2028-03-01      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        43 | NC      | $2994.53      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B0QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1888097 | PA      | $231025.49    | 0.43%             | 2048-01-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3829000 | PA      | $38.29        | 0.00%             | 2048-10-10      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378VMF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140602 | PA      | $12775.40     | 0.02%             | 2043-07-16      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -119000 | PA      | $-109664.28   | -0.20%            | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2025-1 LLC                                    | CUSIP: 38411WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $499755.10    | 0.92%             | 2028-08-15      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5305650 | PA      | $327604.25    | 0.60%             | 2054-08-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392JMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28857 | PA      | $3515.74      | 0.01%             | 2033-03-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QO1 Trust                                                       | CUSIP: 761118RJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64115 | PA      | $32968.60     | 0.06%             | 2046-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                               | CUSIP: 31282YBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1428 | PA      | $17.01        | 0.00%             | 2026-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $252118.83    | 0.46%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        71 | NC      | $83003.71     | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398TW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502168 | PA      | $72105.89     | 0.13%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                  | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242271 | PA      | $204566.23    | 0.38%             | 2035-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-R2                                               | CUSIP: 92538DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $338022.39    | 0.62%             | 2064-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15150000 | PA      | $278138.85    | 0.51%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQ3D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12589940 | PA      | $805111.56    | 1.48%             | 2047-11-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31359KF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       188 | PA      | $187.59       | 0.00%             | 2026-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2021-P011                             | CUSIP: 3137H2NR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5572287 | PA      | $603169.46    | 1.11%             | 2045-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     38593 | PA      | $39363.78     | 0.07%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AHX88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16897 | PA      | $13656.81     | 0.03%             | 2044-01-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Trust 2024-3                                                      | CUSIP: 69547XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350885 | PA      | $353491.17    | 0.65%             | 2031-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $-10104.10    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ROC Securities Trust                        | Roc Mortgage Trust 2021-RTL1                                                     | CUSIP: 77118TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $992945.30    | 1.83%             | 2026-08-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                    | MSILF Treasury Portfolio                                                         | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |   2788660 | NS      | $2788659.87   | 5.14%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HH6A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1663400 | PA      | $439704.15    | 0.81%             | 2061-10-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33933 | PA      | $3970.67      | 0.01%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AA7M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998682 | PA      | $68599.98     | 0.13%             | 2033-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375XJW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85716 | PA      | $3674.13      | 0.01%             | 2038-08-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137H4YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2019017 | PA      | $1158894.80   | 2.14%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL2                                                   | CUSIP: 50205JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $809911.36    | 1.49%             | 2029-03-25      | Variable      | 11.58%                | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FCLG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14500000 | PA      | $551226.20    | 1.02%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691998 | PA      | $652231.03    | 1.20%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         5 | NC      | $20611.75     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20371051 | PA      | $203105.49    | 0.37%             | 2051-07-15      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-4                                                 | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $999504.88    | 1.84%             | 2057-06-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                         | Cali 2024-Sun                                                                    | CUSIP: 12988DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $351847.93    | 0.65%             | 2041-07-15      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC1 Trust                                                            | CUSIP: 69357TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $715318.00    | 1.32%             | 2056-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137HJSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1028527 | PA      | $1041334.40   | 1.92%             | 2055-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $908758.18    | 1.68%             | 2039-06-12      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31394B6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34079 | PA      | $2780.69      | 0.01%             | 2035-02-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati              | Residential Asset Securitization Trust 2004-A3                                   | CUSIP: 45660NF75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15610 | PA      | $15627.35     | 0.03%             | 2034-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    852997 | PA      | $746292.58    | 1.38%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK26                                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5170985 | PA      | $198819.20    | 0.37%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        21 | NC      | $-5175.67     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382CDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8045065 | PA      | $178147.50    | 0.33%             | 2045-11-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4326216 | PA      | $475634.57    | 0.88%             | 2048-10-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    266306 | PA      | $273922.12    | 0.50%             | 2032-06-15      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20276 | PA      | $2038.37      | 0.00%             | 2037-10-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur              | Banc of America Mortgage 2002-L Trust                                            | CUSIP: 05948JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27308 | PA      | $23346.34     | 0.04%             | 2032-12-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74246 | PA      | $65885.63     | 0.12%             | 2035-01-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust               | Life 2021-BMR Mortgage Trust                                                     | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $278111.71    | 0.51%             | 2038-03-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-CNTR                                                                   | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $663546.40    | 1.22%             | 2025-01-09      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $629565.48    | 1.16%             | 2042-05-05      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-FHA1 Trust                                                             | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705939 | PA      | $651836.65    | 1.20%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         5 | NC      | $5.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2006-A2                                                 | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17572 | PA      | $17401.58     | 0.03%             | 2033-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C3 Commercial Mortgage Trust                                          | CUSIP: 12635FAY0<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $234773.48    | 0.43%             | 2048-08-15      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533000 | PA      | $419523.18    | 0.77%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-3                                                     | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $257325.17    | 0.47%             | 2056-12-27      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397TP97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10746 | PA      | $945.50       | 0.00%             | 2038-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -580000 | PA      | $-565076.54   | -1.04%            | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2024-RPL1 Trust                                                             | CUSIP: 693989AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $390452.30    | 0.72%             | 2063-10-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $989353.40    | 1.82%             | 2038-05-15      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL1                                                   | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1014420.80   | 1.87%             | 2029-01-25      | Variable      | 11.95%                | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2021-NQM4 Trust                                                              | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510552 | PA      | $442010.67    | 0.81%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-1                                       | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $778794.45    | 1.44%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2025-RPL4 LLC                                                               | CUSIP: 74448NAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1116564.13   | 2.06%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374DNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $101172.24    | 0.19%             | 2038-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-GC37                                    | CUSIP: 17290XAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6214545 | PA      | $62.15        | 0.00%             | 2049-04-10      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1 | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       487 | PA      | $485.30       | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H4C81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4571896 | PA      | $592221.92    | 1.09%             | 2031-10-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AK7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036990 | PA      | $133474.32    | 0.25%             | 2045-04-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FYUM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3343856 | PA      | $415641.97    | 0.77%             | 2031-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                                      | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $508125.25    | 0.94%             | 2035-03-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    896902 | PA      | $876234.84    | 1.62%             | 2050-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561502 | PA      | $14574.01     | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus              | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22538955 | PA      | $156537.55    | 0.29%             | 2050-03-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-INV1                                             | CUSIP: 924929AG7<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1008626.50   | 1.86%             | 2070-02-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8474 | PA      | $10896.74     | 0.02%             | 2037-06-25      | Floating      | 14.85%                | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trus              | CoreVest American Finance 2021-3 Trust                                           | CUSIP: 21873NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6618393 | PA      | $121760.56    | 0.22%             | 2054-10-15      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd               | Corevest American Finance 2021-1 Trust                                           | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197580 | PA      | $194580.79    | 0.36%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389490 | PA      | $2291.56      | 0.00%             | 2049-11-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2015-IVR2                                               | CUSIP: 46644CAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72640 | PA      | $72536.90     | 0.13%             | 2045-01-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4860055 | PA      | $246152.07    | 0.45%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397WVU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152357 | PA      | $14729.98     | 0.03%             | 2036-12-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2006-HYB5                                        | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142379 | PA      | $126866.60    | 0.23%             | 2036-09-20      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust               | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3538368 | PA      | $315121.05    | 0.58%             | 2036-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-19

**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