# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-25-002930
**Filing Date:** 2025-9
**Character Count:** 690588
**Document Hash:** 72c5d909b5147f207eca2af458160639
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-002930.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0000940400-25-002930

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND IV
- **CENTRAL INDEX KEY:** 0001517936

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22559
- **FILM NUMBER:** 251349217

**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 Low Duration Opportunities ETF (Series ID: S000046204)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000144500 | First Trust Low Duration Opportunities ETF | LMBS            |

## Nport-Ex

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments**

**July 31, 2025 (Unaudited)**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 81.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 81.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 81.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 81.9%** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 81.9%** |
|  | **Collateralized Mortgage Obligations — 41.0%** | **Collateralized Mortgage Obligations — 41.0%** | **Collateralized Mortgage Obligations — 41.0%** |  |
|  | Federal Home Loan Mortgage Corporation |  |  |  |
| $342 | &nbsp;&nbsp;&nbsp; Series 1998-2089, Class PJ, IO | 7.00% | 10/15/28 | $19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1347 | &nbsp;&nbsp;&nbsp; Series 1998-2102, Class Z | 6.00% | 12/15/28 | 1363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106174 | &nbsp;&nbsp;&nbsp; Series 2002-2410, Class OG | 6.38% | 02/15/32 | 107959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-2437, Class SA, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 7.90% (a) | 3.45% | 01/15/29 | 2451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96172 | &nbsp;&nbsp;&nbsp; Series 2003-2557, Class HL | 5.30% | 01/15/33 | 96506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63500 | &nbsp;&nbsp;&nbsp; Series 2003-2564, Class AC | 5.50% | 02/15/33 | 64972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148216 | &nbsp;&nbsp;&nbsp; Series 2003-2574, Class PE | 5.50% | 02/15/33 | 152453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60257 | &nbsp;&nbsp;&nbsp; Series 2003-2577, Class LI, IO | 5.50% | 02/15/33 | 6180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536000 | &nbsp;&nbsp;&nbsp; Series 2003-2581, Class LL | 5.25% | 03/15/33 | 545521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6487 | &nbsp;&nbsp;&nbsp; Series 2003-2597, Class AE | 5.50% | 04/15/33 | 6494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 730000 | &nbsp;&nbsp;&nbsp; Series 2003-2613, Class LL | 5.00% | 05/15/33 | 738226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300979 | &nbsp;&nbsp;&nbsp; Series 2003-2626, Class ZW | 5.00% | 06/15/33 | 302873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 656135 | &nbsp;&nbsp;&nbsp; Series 2003-2626, Class ZX | 5.00% | 06/15/33 | 640329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184931 | &nbsp;&nbsp;&nbsp; Series 2004-2793, Class PE | 5.00% | 05/15/34 | 187751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 763586 | &nbsp;&nbsp;&nbsp; Series 2004-2891, Class ZA | 6.50% | 11/15/34 | 810687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203357 | &nbsp;&nbsp;&nbsp; Series 2004-2907, Class DZ | 4.00% | 12/15/34 | 198941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 785000 | &nbsp;&nbsp;&nbsp; Series 2005-2973, Class GE | 5.50% | 05/15/35 | 794334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3031, Class BI, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.69% (a) | 2.24% | 08/15/35 | 6094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1307728 | &nbsp;&nbsp;&nbsp; Series 2005-3054, Class ZW | 6.00% | 10/15/35 | 1374432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26480 | &nbsp;&nbsp;&nbsp; Series 2005-3074, Class ZH | 5.50% | 11/15/35 | 26609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90936 | &nbsp;&nbsp;&nbsp; Series 2006-243, Class 11, IO, STRIPS (b) | 7.00% | 08/15/36 | 10284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82490 | &nbsp;&nbsp;&nbsp; Series 2006-3117, Class ZU | 6.00% | 02/15/36 | 88238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3408475 | &nbsp;&nbsp;&nbsp; Series 2006-3196, Class ZK | 6.50% | 04/15/32 | 3536450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23633 | &nbsp;&nbsp;&nbsp; Series 2007-3274, Class B | 6.00% | 02/15/37 | 24993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3322, Class NF, (30 Day Average SOFR + CSA) × <br> 2,566.67 - 16,683.33%, 0.00% Floor (c) | 0.00% | 05/15/37 | 114695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3340, Class PF, 30 Day Average SOFR + CSA + <br> 0.30% (c) | 4.75% | 07/15/37 | 28414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40997 | &nbsp;&nbsp;&nbsp; Series 2007-3360, Class CB | 5.50% | 08/15/37 | 42777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3380, Class FS, 30 Day Average SOFR + CSA + <br> 0.35% (c) | 4.80% | 11/15/36 | 43004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129167 | &nbsp;&nbsp;&nbsp; Series 2008-3406, Class B | 6.00% | 01/15/38 | 133676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72079 | &nbsp;&nbsp;&nbsp; Series 2008-3413, Class B | 5.50% | 04/15/37 | 75298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129079 | &nbsp;&nbsp;&nbsp; Series 2008-3420, Class AZ | 5.50% | 02/15/38 | 128638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-3448, Class SA, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.05% (a) | 1.60% | 05/15/38 | 1270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1004976 | &nbsp;&nbsp;&nbsp; Series 2009-3542, Class ZP | 5.00% | 06/15/39 | 1019388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177000 | &nbsp;&nbsp;&nbsp; Series 2009-3550, Class LL | 4.50% | 07/15/39 | 174111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 885050 | &nbsp;&nbsp;&nbsp; Series 2009-3563, Class ZP | 5.00% | 08/15/39 | 877432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 557829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-3572, Class JS, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.80% (a) | 2.35% | 09/15/39 | 35239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39492 | &nbsp;&nbsp;&nbsp; Series 2009-3585, Class QZ | 5.00% | 08/15/39 | 34471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-3587, Class FX, 30 Day Average SOFR + CSA + <br> 0.00% (c) | 4.45% | 12/15/37 | 66902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-3593, Class F, 30 Day Average SOFR + CSA + <br> 0.50% (c) | 4.93% | 03/15/36 | 242720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 842440 | &nbsp;&nbsp;&nbsp; Series 2009-3605, Class NC | 5.50% | 06/15/37 | 879568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 425832 | &nbsp;&nbsp;&nbsp; Series 2010-3622, Class PB | 5.00% | 01/15/40 | 434573 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal Home Loan Mortgage Corporation (Continued) |  |  |  |
| $107000 | &nbsp;&nbsp;&nbsp; Series 2010-3645, Class WD | 4.50% | 02/15/40 | $105010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318522 | &nbsp;&nbsp;&nbsp; Series 2010-3667, Class PL | 5.00% | 05/15/40 | 317313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550000 | &nbsp;&nbsp;&nbsp; Series 2010-3714, Class PB | 4.75% | 08/15/40 | 543438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7161 | &nbsp;&nbsp;&nbsp; Series 2010-3735, Class IK, IO (d) | 3.50% | 10/15/25 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33639 | &nbsp;&nbsp;&nbsp; Series 2010-3735, Class JI, IO | 4.50% | 10/15/30 | 2261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-3740, Class SC, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.00% (a) | 1.55% | 10/15/40 | 16388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1881849 | &nbsp;&nbsp;&nbsp; Series 2011-3796, Class PB | 5.00% | 01/15/41 | 1901943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2358891 | &nbsp;&nbsp;&nbsp; Series 2011-3820, Class NC | 4.50% | 03/15/41 | 2332889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1267301 | &nbsp;&nbsp;&nbsp; Series 2011-3895, Class PW | 4.50% | 07/15/41 | 1254582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2125346 | &nbsp;&nbsp;&nbsp; Series 2011-3925, Class ZD | 4.50% | 09/15/41 | 2062255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5936463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-3954, Class GS, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.00% (a) | 1.55% | 11/15/41 | 706004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-267, Class S5, IO, STRIPS, (30 Day Average SOFR <br> + CSA) ×-1+ 6.00% (a) | 1.55% | 08/15/42 | 24496 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4917659 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-276, Class S5, IO, STRIPS, (30 Day Average SOFR <br> + CSA) ×-1+ 6.00% (a) | 1.55% | 09/15/42 | 490101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 256000 | &nbsp;&nbsp;&nbsp; Series 2012-3999, Class WA (b) | 5.55% | 08/15/40 | 263006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1878000 | &nbsp;&nbsp;&nbsp; Series 2012-4000, Class PY | 4.50% | 02/15/42 | 1728109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6842 | &nbsp;&nbsp;&nbsp; Series 2012-4012, Class GC | 3.50% | 06/15/40 | 6807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13725 | &nbsp;&nbsp;&nbsp; Series 2012-4015, Class KB | 1.75% | 05/15/41 | 12613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62643 | &nbsp;&nbsp;&nbsp; Series 2012-4021, Class IP, IO | 3.00% | 03/15/27 | 975 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1302153 | &nbsp;&nbsp;&nbsp; Series 2012-4026, Class GZ | 4.50% | 04/15/42 | 1209089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37930 | &nbsp;&nbsp;&nbsp; Series 2012-4030, Class IL, IO | 3.50% | 04/15/27 | 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56817 | &nbsp;&nbsp;&nbsp; Series 2012-4054, Class AI, IO (d) | 3.00% | 04/15/27 | 308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 759926 | &nbsp;&nbsp;&nbsp; Series 2012-4090, Class YZ | 4.50% | 08/15/42 | 667926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4097, Class ES, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.10% (a) | 1.65% | 08/15/42 | 2206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1840857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4097, Class SA, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.05% (a) | 1.60% | 08/15/42 | 188190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2447000 | &nbsp;&nbsp;&nbsp; Series 2012-4098, Class PE | 4.00% | 08/15/42 | 2235143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70037 | &nbsp;&nbsp;&nbsp; Series 2012-4103, Class HI, IO | 3.00% | 09/15/27 | 1426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4116, Class AS, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.15% (a) | 1.70% | 10/15/42 | 2860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210905 | &nbsp;&nbsp;&nbsp; Series 2012-4121, Class HI, IO | 3.50% | 10/15/27 | 3971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211866 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4136, Class TU, IO, (30 Day Average SOFR + CSA) <br> ×-22.50+ 139.5%, 4.50% Cap (a) | 4.50% | 08/15/42 | 33955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83762 | &nbsp;&nbsp;&nbsp; Series 2012-4145, Class YI, IO | 3.00% | 12/15/27 | 1602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-299, Class S1, IO, STRIPS, (30 Day Average SOFR <br> + CSA) ×-1+ 6.00% (a) | 1.55% | 01/15/43 | 16787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62202 | &nbsp;&nbsp;&nbsp; Series 2013-303, Class C2, IO, STRIPS | 3.50% | 01/15/28 | 1354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21787 | &nbsp;&nbsp;&nbsp; Series 2013-304, Class C37, IO, STRIPS | 3.50% | 12/15/27 | 440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32049 | &nbsp;&nbsp;&nbsp; Series 2013-304, Class C40, IO, STRIPS (d) | 3.50% | 09/15/26 | 162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3887006 | &nbsp;&nbsp;&nbsp; Series 2013-314, Class PO, PO, STRIPS | (e) | 09/15/43 | 2968913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41605 | &nbsp;&nbsp;&nbsp; Series 2013-4151, Class DI, IO (d) | 3.50% | 11/15/31 | 91 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5509910 | &nbsp;&nbsp;&nbsp; Series 2013-4170, Class CO, PO | (e) | 11/15/32 | 4912379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 905000 | &nbsp;&nbsp;&nbsp; Series 2013-4176, Class HE | 4.00% | 03/15/43 | 824755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 732650 | &nbsp;&nbsp;&nbsp; Series 2013-4177, Class GL | 3.00% | 03/15/33 | 699314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 956924 | &nbsp;&nbsp;&nbsp; Series 2013-4193, Class AI, IO | 3.00% | 04/15/28 | 24390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 826035 | &nbsp;&nbsp;&nbsp; Series 2013-4193, Class PB | 4.00% | 04/15/43 | 742542 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal Home Loan Mortgage Corporation (Continued) |  |  |  |
| $21082959 | &nbsp;&nbsp;&nbsp; Series 2013-4199, Class BZ | 3.50% | 05/15/43 | $19541409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; Series 2013-4211, Class PB | 3.00% | 05/15/43 | 432626 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17451952 | &nbsp;&nbsp;&nbsp; Series 2013-4213, Class GZ | 3.50% | 06/15/43 | 16411878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14963987 | &nbsp;&nbsp;&nbsp; Series 2013-4218, Class ZK | 2.50% | 02/15/43 | 12029690 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5388000 | &nbsp;&nbsp;&nbsp; Series 2013-4224, Class ME | 4.00% | 07/15/43 | 4838015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4226, Class NS, (30 Day Average SOFR + CSA) × <br> -3+ 10.50%, 0.00% Floor (a) | 0.00% | 01/15/43 | 6111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2450000 | &nbsp;&nbsp;&nbsp; Series 2013-4247, Class AY | 4.50% | 09/15/43 | 2295313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17090959 | &nbsp;&nbsp;&nbsp; Series 2014-4316, Class BZ | 3.00% | 03/15/44 | 15539616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3405795 | &nbsp;&nbsp;&nbsp; Series 2014-4316, Class XZ | 4.50% | 03/15/44 | 3352562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6952749 | &nbsp;&nbsp;&nbsp; Series 2014-4329, Class VZ | 4.00% | 04/15/44 | 6720161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773054 | &nbsp;&nbsp;&nbsp; Series 2014-4387, Class IE, IO | 2.50% | 11/15/28 | 14426 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14142200 | &nbsp;&nbsp;&nbsp; Series 2015-4499, Class CZ | 3.50% | 08/15/45 | 12097668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367936 | &nbsp;&nbsp;&nbsp; Series 2015-4512, Class W (b) (f) | 5.41% | 05/15/38 | 379985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51950 | &nbsp;&nbsp;&nbsp; Series 2015-4520, Class AI, IO | 3.50% | 10/15/35 | 4563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311868 | &nbsp;&nbsp;&nbsp; Series 2016-4546, Class PZ | 4.00% | 12/15/45 | 224035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527914 | &nbsp;&nbsp;&nbsp; Series 2016-4546, Class ZT | 4.00% | 01/15/46 | 377852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162047 | &nbsp;&nbsp;&nbsp; Series 2016-4568, Class MZ | 4.00% | 04/15/46 | 108800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7958046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4570, Class ST, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.00% (a) | 1.55% | 04/15/46 | 874928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7942221 | &nbsp;&nbsp;&nbsp; Series 2016-4587, Class ZH | 4.00% | 03/15/44 | 7418566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 713890 | &nbsp;&nbsp;&nbsp; Series 2016-4591, Class GI, IO | 4.00% | 12/15/44 | 77743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771702 | &nbsp;&nbsp;&nbsp; Series 2016-4600, Class WT | 3.50% | 07/15/36 | 689293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4605, Class KS, (30 Day Average SOFR + CSA) × <br> -1.57+ 4.71%, 0.00% Floor (a) | 0.00% | 08/15/43 | 72907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81835 | &nbsp;&nbsp;&nbsp; Series 2016-4609, Class YI, IO | 4.00% | 04/15/54 | 2000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp; Series 2017-4681, Class JY | 2.50% | 05/15/47 | 493563 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2187324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4774, Class SL, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.20% (a) | 1.75% | 04/15/48 | 250193 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12689296 | &nbsp;&nbsp;&nbsp; Series 2018-4798, Class GZ | 4.00% | 06/15/48 | 11900905 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3494914 | &nbsp;&nbsp;&nbsp; Series 2018-4826, Class ME | 3.50% | 09/15/48 | 3141319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2137411 | &nbsp;&nbsp;&nbsp; Series 2018-4833, Class PY | 4.00% | 10/15/48 | 1990289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 461863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4842, Class FA, 30 Day Average SOFR + CSA + <br> 0.35% (c) | 4.80% | 11/15/48 | 446593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3642438 | &nbsp;&nbsp;&nbsp; Series 2019-4872, Class BZ | 4.00% | 04/15/49 | 3235637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2906791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4902, Class FB, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 08/25/49 | 2812086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5458097 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4910, Class SA, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.05% (a) | 1.60% | 06/15/49 | 654997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8434868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4919, Class FP, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 09/25/49 | 8150475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8661610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4928, Class F, 30 Day Average SOFR + CSA + <br> 0.50% (c) | 4.96% | 11/25/49 | 8390141 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9721808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4929, Class FB, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 09/25/49 | 9402602 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7171007 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4937, Class MF, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 12/25/49 | 7035673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7094692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4938, Class BS, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.00% (a) | 1.54% | 12/25/49 | 783016 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal Home Loan Mortgage Corporation (Continued) |  |  |  |
| $2223210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4942, Class FA, 30 Day Average SOFR + CSA + <br> 0.50% (c) | 4.96% | 01/25/50 | $2151986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7307029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4943, Class NS, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.00% (a) | 1.54% | 01/25/50 | 789101 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14865104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4959, Class JF, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 03/25/50 | 14340923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8706789 | &nbsp;&nbsp;&nbsp; Series 2020-4959, Class LB | 3.00% | 03/25/40 | 7644524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2515155 | &nbsp;&nbsp;&nbsp; Series 2020-4974, Class IA, IO | 3.50% | 12/25/49 | 630476 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4351834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4980, Class FP, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 07/25/49 | 4197720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13202020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4990, Class AF, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 07/25/50 | 12707407 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7220190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4994, Class FT, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 01/25/50 | 6961759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4048686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5002, Class FJ, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 07/25/50 | 3927590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 31923372 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5004, Class F, 30 Day Average SOFR + CSA + <br> 0.35% (c) | 4.81% | 07/25/50 | 30489534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24606247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5004, Class FG, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 08/25/50 | 23535461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8887505 | &nbsp;&nbsp;&nbsp; Series 2020-5034, Class IO, IO (b) | 2.39% | 10/15/45 | 667432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15791117 | &nbsp;&nbsp;&nbsp; Series 2020-5045, Class AF, 30 Day Average SOFR + 0.25% (c) | 4.60% | 11/25/50 | 14808858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15942247 | &nbsp;&nbsp;&nbsp; Series 2020-5045, Class BF, 30 Day Average SOFR + 0.30% (c) | 4.65% | 11/25/50 | 15039521 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8815818 | &nbsp;&nbsp;&nbsp; Series 2021-5178, Class HL | 2.00% | 01/25/52 | 5639871 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17433647 | &nbsp;&nbsp;&nbsp; Series 2022-5201, Class PF, 30 Day Average SOFR + 0.30% (c) | 4.65% | 03/25/52 | 16543140 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3060996 | &nbsp;&nbsp;&nbsp; Series 2022-5202, Class NV | 3.00% | 01/25/37 | 2815136 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12754601 | &nbsp;&nbsp;&nbsp; Series 2022-5208, Class HZ | 3.50% | 03/25/52 | 10901330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14765278 | &nbsp;&nbsp;&nbsp; Series 2022-5208, Class Z | 3.00% | 04/25/52 | 11398249 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9750000 | &nbsp;&nbsp;&nbsp; Series 2022-5210, Class LB | 3.00% | 08/25/50 | 7448486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13449534 | &nbsp;&nbsp;&nbsp; Series 2022-5220, Class KZ | 4.00% | 02/25/51 | 11962402 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5523136 | &nbsp;&nbsp;&nbsp; Series 2022-5221, Class VE | 3.50% | 07/25/33 | 5273148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 33673000 | &nbsp;&nbsp;&nbsp; Series 2022-5221, Class YC | 4.00% | 05/25/52 | 30616859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5456857 | &nbsp;&nbsp;&nbsp; Series 2022-5222, Class BZ | 3.50% | 05/25/37 | 5050166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6061820 | &nbsp;&nbsp;&nbsp; Series 2022-5222, Class DP | 3.25% | 05/25/52 | 5823201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3817069 | &nbsp;&nbsp;&nbsp; Series 2022-5224, Class BE | 3.50% | 08/25/44 | 3704945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14524908 | &nbsp;&nbsp;&nbsp; Series 2022-5224, Class DZ | 4.00% | 04/25/52 | 12917728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 26512410 | &nbsp;&nbsp;&nbsp; Series 2022-5224, Class HL | 4.00% | 04/25/52 | 23795288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11795000 | &nbsp;&nbsp;&nbsp; Series 2022-5225, Class HZ | 4.00% | 08/25/51 | 9981739 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15704680 | &nbsp;&nbsp;&nbsp; Series 2022-5225, Class NZ | 4.00% | 05/25/52 | 13385669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9278366 | &nbsp;&nbsp;&nbsp; Series 2022-5228, Class DZ | 4.50% | 06/25/52 | 8125691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8917916 | &nbsp;&nbsp;&nbsp; Series 2022-5230, Class DL | 3.50% | 09/25/44 | 7570315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9012189 | &nbsp;&nbsp;&nbsp; Series 2022-5232, Class GO, PO | (e) | 08/25/51 | 3911079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9479177 | &nbsp;&nbsp;&nbsp; Series 2022-5255, Class KZ | 4.00% | 09/25/52 | 7856136 |
| &nbsp;&nbsp;&nbsp;&nbsp; 27728533 | &nbsp;&nbsp;&nbsp; Series 2022-5256, Class FC, 30 Day Average SOFR + 0.75% (c) | 5.10% | 09/25/52 | 27148610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5223868 | &nbsp;&nbsp;&nbsp; Series 2022-5259, Class FA, 30 Day Average SOFR + 0.70% (c) | 5.05% | 09/25/52 | 5080068 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7871994 | &nbsp;&nbsp;&nbsp; Series 2022-5270, Class AL | 3.00% | 11/25/48 | 5783210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9199324 | &nbsp;&nbsp;&nbsp; Series 2022-5282, Class MB | 4.75% | 06/25/42 | 9092664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2698076 | &nbsp;&nbsp;&nbsp; Series 2023-5339, Class GO, PO | (e) | 09/25/53 | 2230743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20055756 | &nbsp;&nbsp;&nbsp; Series 2023-5350, Class PO, PO | (e) | 11/25/53 | 16385751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6163563 | &nbsp;&nbsp;&nbsp; Series 2023-5357, Class OB, PO | (e) | 11/25/53 | 4917041 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal Home Loan Mortgage Corporation (Continued) |  |  |  |
| $4634310 | &nbsp;&nbsp;&nbsp; Series 2024-413, Class PO, PO, STRIPS | (e) | 05/25/54 | $3926124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 19334348 | &nbsp;&nbsp;&nbsp; Series 2024-5410, Class PO, PO | (e) | 05/25/54 | 14779574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 23351060 | &nbsp;&nbsp;&nbsp; Series 2024-5476, Class FA, 30 Day Average SOFR + 1.10% (c) | 5.45% | 11/25/54 | 23202404 |
| &nbsp;&nbsp;&nbsp;&nbsp; 32719757 | &nbsp;&nbsp;&nbsp; Series 2024-5478, Class NF, 30 Day Average SOFR + 1.30% (c) | 5.65% | 12/25/54 | 32686183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5129868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5502, Class FC, 30 Day Average SOFR + 2.00%, <br> 6.00% Cap (c) | 6.00% | 02/25/55 | 5164281 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Seasoned Credit Risk <br> Transfer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3613444 | &nbsp;&nbsp;&nbsp; Series 2018-2, Class MA | 3.50% | 11/25/57 | 3484118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 23595375 | &nbsp;&nbsp;&nbsp; Series 2018-4, Class MA | 3.50% | 03/25/58 | 22691589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18330589 | &nbsp;&nbsp;&nbsp; Series 2019-1, Class MA | 3.50% | 07/25/58 | 17585339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17549114 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class MA | 3.50% | 08/26/58 | 16763939 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13077903 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class MV | 3.50% | 08/25/58 | 12078487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9473600 | &nbsp;&nbsp;&nbsp; Series 2019-3, Class HA | 3.00% | 10/25/58 | 8825872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9563803 | &nbsp;&nbsp;&nbsp; Series 2019-3, Class MV | 3.50% | 10/25/58 | 8904387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3003671 | &nbsp;&nbsp;&nbsp; Series 2019-4, Class MA | 3.00% | 02/25/59 | 2774095 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Seasoned Loans <br> Structured Transaction Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 13104736 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class A1C | 2.75% | 09/25/29 | 12374015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11000000 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class A2C | 2.75% | 09/25/29 | 10126951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3161451 | &nbsp;&nbsp;&nbsp; Series 2019-3, Class A1C | 2.75% | 11/25/29 | 2980852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3980949 | &nbsp;&nbsp;&nbsp; Series 2021-1, Class A1D | 2.00% | 05/26/31 | 3646822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18696418 | &nbsp;&nbsp;&nbsp; Series 2021-1, Class AC | 2.25% | 05/26/31 | 16906051 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp; Series 2022-1, Class A2 | 3.50% | 05/25/32 | 9160551 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24771838 | &nbsp;&nbsp;&nbsp; Series 2024-2, Class VF, 30 Day Average SOFR + 1.25% (c) (g) | 5.60% | 10/25/34 | 25195075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2162654 | &nbsp;&nbsp;&nbsp; Series 2025-1, Class YF, 30 Day Average SOFR + 1.10% (c) (g) | 5.45% | 05/25/35 | 2192034 |
|  | Federal Home Loan Mortgage Corporation STACR REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6397296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DNA2, Class A1, 30 Day Average SOFR + <br> 1.25% (c) (g) | 5.60% | 05/25/44 | 6427346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HQA1, Class M2, 30 Day Average SOFR + <br> 2.00% (c) (g) | 6.35% | 03/25/44 | 8111706 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2028125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DNA1, Class A1, 30 Day Average SOFR + <br> 0.95% (c) (g) | 5.30% | 01/25/45 | 2030532 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3875000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-HQA1, Class A1, 30 Day Average SOFR + <br> 0.95% (c) (g) | 5.30% | 02/25/45 | 3874402 |
|  | Federal National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1559 | &nbsp;&nbsp;&nbsp; Series 1996-51, Class AY, IO | 7.00% | 12/18/26 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-34, Class SR, IO, (30 Day Average SOFR + CSA) × <br> -1+ 8.10% (a) | 3.64% | 08/18/31 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-42, Class SB, (30 Day Average SOFR + CSA) ×-16<br> + 128.00%, 8.50% Cap (a) | 8.50% | 09/25/31 | 806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp; Series 2002-22, Class G | 6.50% | 04/25/32 | 3459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83348 | &nbsp;&nbsp;&nbsp; Series 2002-80, Class CZ | 4.50% | 09/25/32 | 79591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39842 | &nbsp;&nbsp;&nbsp; Series 2002-320, Class 2, IO, STRIPS | 7.00% | 04/25/32 | 5627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35832 | &nbsp;&nbsp;&nbsp; Series 2002-323, Class 6, IO, STRIPS | 6.00% | 01/25/32 | 3648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85751 | &nbsp;&nbsp;&nbsp; Series 2002-324, Class 2, IO, STRIPS | 6.50% | 07/25/32 | 9108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4158 | &nbsp;&nbsp;&nbsp; Series 2003-14, Class AT | 4.00% | 03/25/33 | 4112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12477 | &nbsp;&nbsp;&nbsp; Series 2003-21, Class OA | 4.00% | 03/25/33 | 12283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39116 | &nbsp;&nbsp;&nbsp; Series 2003-32, Class UI, IO | 6.00% | 05/25/33 | 5733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 208647 | &nbsp;&nbsp;&nbsp; Series 2003-45, Class JB | 5.50% | 06/25/33 | 213935 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal National Mortgage Association (Continued) |  |  |  |
| $5495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-63, Class F1, 30 Day Average SOFR + CSA + <br> 0.30% (c) | 4.76% | 11/25/27 | $5481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355000 | &nbsp;&nbsp;&nbsp; Series 2003-71, Class NH | 4.29% | 08/25/33 | 345924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120802 | &nbsp;&nbsp;&nbsp; Series 2003-345, Class 14, IO, STRIPS | 6.00% | 03/25/34 | 14753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22384 | &nbsp;&nbsp;&nbsp; Series 2003-348, Class 17, IO, STRIPS | 7.50% | 12/25/33 | 2386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34429 | &nbsp;&nbsp;&nbsp; Series 2003-348, Class 18, IO, STRIPS (b) | 7.50% | 12/25/33 | 4346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139188 | &nbsp;&nbsp;&nbsp; Series 2004-25, Class LC | 5.50% | 04/25/34 | 143924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151820 | &nbsp;&nbsp;&nbsp; Series 2004-25, Class UC | 5.50% | 04/25/34 | 156985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51350 | &nbsp;&nbsp;&nbsp; Series 2004-28, Class ZH | 5.50% | 05/25/34 | 50753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163182 | &nbsp;&nbsp;&nbsp; Series 2004-60, Class AC | 5.50% | 04/25/34 | 162421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 807457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class S, IO, (30 Day Average SOFR + CSA) ×-1<br> + 6.60% (a) | 2.14% | 02/25/35 | 63102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class TB, IO, (30 Day Average SOFR + CSA) × <br> -1+ 5.90%, 0.40% Cap (a) | 0.40% | 07/25/33 | 1077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68953 | &nbsp;&nbsp;&nbsp; Series 2005-29, Class ZT | 5.00% | 04/25/35 | 67069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38011 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-40, Class SA, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.70% (a) | 2.24% | 05/25/35 | 3024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 369616 | &nbsp;&nbsp;&nbsp; Series 2005-52, Class TZ | 6.50% | 06/25/35 | 391283 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1316729 | &nbsp;&nbsp;&nbsp; Series 2005-57, Class KZ | 6.00% | 07/25/35 | 1335853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21817 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-79, Class NS, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.09% (a) | 1.63% | 09/25/35 | 1716 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1703373 | &nbsp;&nbsp;&nbsp; Series 2005-86, Class WZ | 5.50% | 10/25/35 | 1722263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68481 | &nbsp;&nbsp;&nbsp; Series 2005-95, Class WZ | 6.00% | 11/25/35 | 70197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62261 | &nbsp;&nbsp;&nbsp; Series 2005-359, Class 6, IO, STRIPS | 5.00% | 11/25/35 | 8176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48993 | &nbsp;&nbsp;&nbsp; Series 2005-362, Class 13, IO, STRIPS | 6.00% | 08/25/35 | 6870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A2, 30 Day Average SOFR + CSA + <br> 0.14% (c) | 6.51% | 02/25/35 | 23308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10411935 | &nbsp;&nbsp;&nbsp; Series 2006-5, Class N2, IO (f) | 0.00% | 02/25/35 | 5568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-15, Class IS, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.58% (a) | 2.12% | 03/25/36 | 2700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-20, Class PI, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.68% (a) | 2.22% | 11/25/30 | 8724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31648 | &nbsp;&nbsp;&nbsp; Series 2006-31, Class PZ | 6.00% | 05/25/36 | 32914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27258 | &nbsp;&nbsp;&nbsp; Series 2006-85, Class MZ | 6.50% | 09/25/36 | 28619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-117, Class GF, 30 Day Average SOFR + CSA + <br> 0.35% (c) | 4.81% | 12/25/36 | 124352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1141489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A1, 30 Day Average SOFR + CSA + <br> 0.06% (c) | 4.48% | 12/25/36 | 1116958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313274 | &nbsp;&nbsp;&nbsp; Series 2007-7, Class KA | 5.75% | 08/25/36 | 314703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16862 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-25, Class FB, 30 Day Average SOFR + CSA + <br> 0.33% (c) | 4.79% | 04/25/37 | 16663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985846 | &nbsp;&nbsp;&nbsp; Series 2007-57, Class ZG | 4.75% | 06/25/37 | 958868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640975 | &nbsp;&nbsp;&nbsp; Series 2007-60, Class ZS | 4.75% | 07/25/37 | 623052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432542 | &nbsp;&nbsp;&nbsp; Series 2007-68, Class AE | 6.50% | 07/25/37 | 450971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 181428 | &nbsp;&nbsp;&nbsp; Series 2007-116, Class PB | 5.50% | 08/25/35 | 188046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39340 | &nbsp;&nbsp;&nbsp; Series 2007-117, Class MD | 5.50% | 07/25/37 | 40545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1712406 | &nbsp;&nbsp;&nbsp; Series 2007-W10, Class 3A (f) | 5.17% | 06/25/47 | 1766619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-3, Class FZ, 30 Day Average SOFR + CSA + <br> 0.55% (c) | 5.01% | 02/25/38 | 138458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15947 | &nbsp;&nbsp;&nbsp; Series 2008-8, Class ZA | 5.00% | 02/25/38 | 15467 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal National Mortgage Association (Continued) |  |  |  |
| $2549 | &nbsp;&nbsp;&nbsp; Series 2008-17, Class IP, IO | 6.50% | 02/25/38 | $62 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1636639 | &nbsp;&nbsp;&nbsp; Series 2009-37, Class NZ | 5.71% | 02/25/37 | 1642548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4400000 | &nbsp;&nbsp;&nbsp; Series 2009-50, Class GX | 5.00% | 07/25/39 | 4397626 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1910807 | &nbsp;&nbsp;&nbsp; Series 2009-85, Class J | 4.50% | 10/25/39 | 1898136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136090 | &nbsp;&nbsp;&nbsp; Series 2009-91, Class HL | 5.00% | 11/25/39 | 138226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97000 | &nbsp;&nbsp;&nbsp; Series 2009-92, Class DB | 5.00% | 11/25/39 | 97345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973071 | &nbsp;&nbsp;&nbsp; Series 2009-103, Class PZ | 6.00% | 12/25/39 | 1004424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class SN, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.25% (a) | 1.79% | 01/25/40 | 8280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315004 | &nbsp;&nbsp;&nbsp; Series 2009-109, Class PZ | 4.50% | 01/25/40 | 296739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40390 | &nbsp;&nbsp;&nbsp; Series 2009-115, Class HZ | 5.00% | 01/25/40 | 40423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226689 | &nbsp;&nbsp;&nbsp; Series 2010-3, Class DZ | 4.50% | 02/25/40 | 209957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107378 | &nbsp;&nbsp;&nbsp; Series 2010-21, Class KO, PO | (e) | 03/25/40 | 93652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; Series 2010-35, Class EP | 5.50% | 04/25/40 | 500741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221514 | &nbsp;&nbsp;&nbsp; Series 2010-38, Class KC | 4.50% | 04/25/40 | 220033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258316 | &nbsp;&nbsp;&nbsp; Series 2010-45, Class WB | 5.00% | 05/25/40 | 258404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232320 | &nbsp;&nbsp;&nbsp; Series 2010-68, Class BI, IO | 5.50% | 07/25/50 | 58352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61127 | &nbsp;&nbsp;&nbsp; Series 2010-115, Class PO, PO | (e) | 04/25/40 | 53265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-129, Class SM, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.00% (a) | 1.54% | 11/25/40 | 6923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2821000 | &nbsp;&nbsp;&nbsp; Series 2010-142, Class DL | 4.00% | 12/25/40 | 2681553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119350 | &nbsp;&nbsp;&nbsp; Series 2011-9, Class AZ | 5.00% | 05/25/40 | 119667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1507000 | &nbsp;&nbsp;&nbsp; Series 2011-10, Class AY | 6.00% | 02/25/41 | 1556714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60716 | &nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO (b) | 1.87% | 04/25/41 | 4103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153341 | &nbsp;&nbsp;&nbsp; Series 2011-30, Class ZB | 5.00% | 04/25/41 | 150354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213197 | &nbsp;&nbsp;&nbsp; Series 2011-52, Class GB | 5.00% | 06/25/41 | 216162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-74, Class TQ, IO, (30 Day Average SOFR + CSA) × <br> -6.43+ 55.93%, 4.50% Cap (a) | 4.50% | 12/25/33 | 11949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145492 | &nbsp;&nbsp;&nbsp; Series 2011-101, Class EI, IO | 3.50% | 10/25/26 | 1125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp; Series 2011-105, Class MB | 4.00% | 10/25/41 | 663999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2032486 | &nbsp;&nbsp;&nbsp; Series 2011-111, Class PZ | 4.50% | 11/25/41 | 1978627 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1774485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-123, Class JS, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.65% (a) | 2.19% | 03/25/41 | 82033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 776952 | &nbsp;&nbsp;&nbsp; Series 2012-39, Class PB | 4.25% | 04/25/42 | 745776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 415871 | &nbsp;&nbsp;&nbsp; Series 2012-52, Class BZ | 4.00% | 05/25/42 | 376087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27409 | &nbsp;&nbsp;&nbsp; Series 2012-66, Class DI, IO | 3.50% | 06/25/27 | 496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650304 | &nbsp;&nbsp;&nbsp; Series 2012-103, Class HI, IO | 3.00% | 09/25/27 | 11419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106859 | &nbsp;&nbsp;&nbsp; Series 2012-118, Class IB, IO | 3.50% | 11/25/42 | 15989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5309364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-122, Class SD, IO, (30 Day Average SOFR + CSA) <br> ×-1+ 6.10% (a) | 1.64% | 11/25/42 | 550709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 435138 | &nbsp;&nbsp;&nbsp; Series 2012-133, Class KO, PO | (e) | 12/25/42 | 214147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 394891 | &nbsp;&nbsp;&nbsp; Series 2012-138, Class MA | 1.00% | 12/25/42 | 333519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 679922 | &nbsp;&nbsp;&nbsp; Series 2012-146, Class QA | 1.00% | 01/25/43 | 578613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205066 | &nbsp;&nbsp;&nbsp; Series 2012-409, Class 49, IO, STRIPS (b) | 3.50% | 11/25/41 | 29086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224301 | &nbsp;&nbsp;&nbsp; Series 2012-409, Class 53, IO, STRIPS (b) | 3.50% | 04/25/42 | 31837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 690000 | &nbsp;&nbsp;&nbsp; Series 2013-10, Class HQ | 2.50% | 02/25/43 | 466890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108232 | &nbsp;&nbsp;&nbsp; Series 2013-13, Class IK, IO | 2.50% | 03/25/28 | 2359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6870963 | &nbsp;&nbsp;&nbsp; Series 2013-19, Class ZD | 3.50% | 03/25/43 | 6037074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55125 | &nbsp;&nbsp;&nbsp; Series 2013-23, Class ZB | 3.00% | 03/25/43 | 37258 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal National Mortgage Association (Continued) |  |  |  |
| $750000 | &nbsp;&nbsp;&nbsp; Series 2013-41, Class DB | 3.00% | 05/25/43 | $599093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 775064 | &nbsp;&nbsp;&nbsp; Series 2013-43, Class IX, IO | 4.00% | 05/25/43 | 145090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 415324 | &nbsp;&nbsp;&nbsp; Series 2013-52, Class MD | 1.25% | 06/25/43 | 346236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341968 | &nbsp;&nbsp;&nbsp; Series 2013-55, Class AI, IO | 3.00% | 06/25/33 | 27982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143626 | &nbsp;&nbsp;&nbsp; Series 2013-70, Class JZ | 3.00% | 07/25/43 | 128803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12828897 | &nbsp;&nbsp;&nbsp; Series 2013-75, Class ZG | 3.25% | 07/25/43 | 10469490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379979 | &nbsp;&nbsp;&nbsp; Series 2013-105, Class BN | 4.00% | 05/25/43 | 348093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100179 | &nbsp;&nbsp;&nbsp; Series 2013-105, Class KO, PO | (e) | 10/25/43 | 87605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195852 | &nbsp;&nbsp;&nbsp; Series 2013-106, Class KN | 3.00% | 10/25/43 | 152950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14007099 | &nbsp;&nbsp;&nbsp; Series 2013-115, Class Z | 3.00% | 11/25/33 | 13416173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 35370319 | &nbsp;&nbsp;&nbsp; Series 2013-119, Class VZ | 3.00% | 10/25/33 | 33958898 |
| &nbsp;&nbsp;&nbsp;&nbsp; 32989115 | &nbsp;&nbsp;&nbsp; Series 2013-119, Class ZB | 3.00% | 12/25/33 | 31606360 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1003000 | &nbsp;&nbsp;&nbsp; Series 2013-130, Class QY | 4.50% | 06/25/41 | 965906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18648981 | &nbsp;&nbsp;&nbsp; Series 2013-136, Class DZ | 3.00% | 01/25/44 | 16826425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12969458 | &nbsp;&nbsp;&nbsp; Series 2014-12, Class ZB | 3.00% | 03/25/39 | 12177040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22340 | &nbsp;&nbsp;&nbsp; Series 2014-29, Class GI, IO | 3.00% | 05/25/29 | 597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229234 | &nbsp;&nbsp;&nbsp; Series 2014-46, Class KA (b) | 6.50% | 08/25/44 | 180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 32719052 | &nbsp;&nbsp;&nbsp; Series 2014-60, Class EZ | 3.00% | 10/25/44 | 29379415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59446 | &nbsp;&nbsp;&nbsp; Series 2014-68, Class GI, IO | 4.50% | 10/25/43 | 3153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 671887 | &nbsp;&nbsp;&nbsp; Series 2014-82, Class GZ | 4.00% | 12/25/44 | 564507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64331 | &nbsp;&nbsp;&nbsp; Series 2014-84, Class LI, IO | 3.50% | 12/25/26 | 536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 875000 | &nbsp;&nbsp;&nbsp; Series 2015-16, Class MY | 3.50% | 04/25/45 | 741832 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12266394 | &nbsp;&nbsp;&nbsp; Series 2015-49, Class LE | 3.00% | 07/25/45 | 11774812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3660 | &nbsp;&nbsp;&nbsp; Series 2015-93, Class KI, IO (d) | 3.00% | 09/25/44 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4923691 | &nbsp;&nbsp;&nbsp; Series 2016-2, Class EZ | 2.50% | 02/25/46 | 4465597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8774460 | &nbsp;&nbsp;&nbsp; Series 2016-37, Class PY | 3.00% | 06/25/46 | 6993372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12583069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-40, Class MS, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.00% (a) | 1.54% | 07/25/46 | 1514484 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11510000 | &nbsp;&nbsp;&nbsp; Series 2016-50, Class GY | 3.00% | 08/25/46 | 9172131 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4140976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-62, Class SB, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.10% (a) | 1.64% | 09/25/46 | 319551 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5144526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-63, Class AF, 30 Day Average SOFR + CSA + <br> 0.50% (c) | 4.96% | 09/25/46 | 5024176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2377121 | &nbsp;&nbsp;&nbsp; Series 2016-73, Class PI, IO | 3.00% | 08/25/46 | 405133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268268 | &nbsp;&nbsp;&nbsp; Series 2016-74, Class HI, IO | 3.50% | 10/25/46 | 49122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2242762 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-83, Class FA, 30 Day Average SOFR + CSA + <br> 0.50% (c) | 4.96% | 11/25/46 | 2193380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-84, Class DF, 30 Day Average SOFR + CSA + <br> 0.42% (c) | 4.85% | 11/25/46 | 165603 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12453495 | &nbsp;&nbsp;&nbsp; Series 2017-3, Class LZ | 3.50% | 02/25/47 | 10999572 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5961666 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-18, Class AS, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.05% (a) | 1.59% | 03/25/47 | 587716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 597364 | &nbsp;&nbsp;&nbsp; Series 2017-46, Class BY | 3.00% | 06/25/47 | 432401 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13315592 | &nbsp;&nbsp;&nbsp; Series 2017-50, Class BZ | 3.00% | 07/25/47 | 11568484 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4470691 | &nbsp;&nbsp;&nbsp; Series 2017-84, Class ZK | 3.50% | 10/25/57 | 3863849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2415285 | &nbsp;&nbsp;&nbsp; Series 2017-87, Class ZA | 4.00% | 11/25/57 | 1980965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2860239 | &nbsp;&nbsp;&nbsp; Series 2018-17, Class Z | 3.50% | 03/25/48 | 2342235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 913837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-45, Class FT, 30 Day Average SOFR + CSA + <br> 0.30% (c) | 4.76% | 06/25/48 | 881633 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal National Mortgage Association (Continued) |  |  |  |
| $2366667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-72, Class FB, 30 Day Average SOFR + CSA + <br> 0.35% (c) | 4.81% | 10/25/58 | $2275045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22349481 | &nbsp;&nbsp;&nbsp; Series 2018-84, Class ZM | 4.00% | 11/25/48 | 20666554 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3012304 | &nbsp;&nbsp;&nbsp; Series 2018-86, Class DL | 3.50% | 12/25/48 | 2770890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1568908 | &nbsp;&nbsp;&nbsp; Series 2018-92, Class DB | 3.50% | 01/25/49 | 1441418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5818015 | &nbsp;&nbsp;&nbsp; Series 2018-94, Class AZ | 4.00% | 01/25/49 | 5493829 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9262614 | &nbsp;&nbsp;&nbsp; Series 2019-17, Class GZ | 4.00% | 11/25/56 | 8175267 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7407596 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-18, Class FL, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 05/25/49 | 7316126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3511211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-33, Class F, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 07/25/49 | 3414589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3389998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-33, Class FK, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 07/25/49 | 3283640 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5295759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-38, Class CF, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 07/25/49 | 5148900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9563647 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-41, Class SN, IO, (30 Day Average SOFR + CSA) × <br> -1+ 6.05% (a) | 1.59% | 08/25/49 | 829461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13904888 | &nbsp;&nbsp;&nbsp; Series 2019-70, Class WA, PO | (e) | 11/25/42 | 11980816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8820089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-9, Class SJ, IO, (30 Day Average SOFR + CSA) ×-1<br> + 6.00% (a) | 1.54% | 02/25/50 | 1158808 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12764067 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-12, Class FL, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 03/25/50 | 12336248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11969763 | &nbsp;&nbsp;&nbsp; Series 2020-20, Class KI, IO | 4.00% | 03/25/50 | 3624813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4105089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-22, Class FA, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 04/25/50 | 3959919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14641699 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-34, Class FA, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 06/25/50 | 14087846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5946963 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-38, Class NF, 30 Day Average SOFR + CSA + <br> 0.45% (c) | 4.91% | 06/25/50 | 5712091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11698512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-47, Class FA, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 07/25/50 | 11337594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4861629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-49, Class FB, 30 Day Average SOFR + CSA + <br> 0.40% (c) | 4.86% | 07/25/50 | 4659018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10424260 | &nbsp;&nbsp;&nbsp; Series 2020-93, Class NI, IO | 3.00% | 01/25/51 | 927714 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6865256 | &nbsp;&nbsp;&nbsp; Series 2021-18, Class JC | 1.50% | 04/25/36 | 6210619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24555096 | &nbsp;&nbsp;&nbsp; Series 2022-66, Class CF, 30 Day Average SOFR + 0.80% (c) | 5.15% | 10/25/52 | 23739208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20167816 | &nbsp;&nbsp;&nbsp; Series 2022-69, Class FA, 30 Day Average SOFR + 0.82% (c) | 5.17% | 10/25/52 | 19469255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 19650814 | &nbsp;&nbsp;&nbsp; Series 2022-70, Class FA, 30 Day Average SOFR + 0.86% (c) | 5.21% | 10/25/52 | 19009672 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6060741 | &nbsp;&nbsp;&nbsp; Series 2023-40, Class DO, PO | (e) | 09/25/53 | 4911909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8793849 | &nbsp;&nbsp;&nbsp; Series 2023-44, Class PO, PO | (e) | 10/25/53 | 6662849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11765237 | &nbsp;&nbsp;&nbsp; Series 2024-20, Class QZ | 4.00% | 10/25/45 | 10401318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10766348 | &nbsp;&nbsp;&nbsp; Series 2024-20, Class ZA | 4.00% | 10/25/45 | 9523600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 29398759 | &nbsp;&nbsp;&nbsp; Series 2024-26, Class PO, PO | (e) | 05/25/54 | 22799716 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12667990 | &nbsp;&nbsp;&nbsp; Series 2024-28, Class CZ | 4.00% | 05/25/44 | 11281461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4792002 | &nbsp;&nbsp;&nbsp; Series 2024-39, Class AV | 3.00% | 11/25/33 | 4517467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4368632 | &nbsp;&nbsp;&nbsp; Series 2024-56, Class EV | 5.00% | 08/25/35 | 4381986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4731126 | &nbsp;&nbsp;&nbsp; Series 2024-56, Class JV | 5.00% | 08/25/35 | 4745585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5367268 | &nbsp;&nbsp;&nbsp; Series 2024-60, Class GV | 4.00% | 11/25/35 | 5295342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5299934 | &nbsp;&nbsp;&nbsp; Series 2024-60, Class VA | 4.50% | 10/25/35 | 5198110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2196788 | &nbsp;&nbsp;&nbsp; Series 2024-74, Class VT | 4.50% | 11/25/35 | 2163757 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Federal National Mortgage Association (Continued) |  |  |  |
| $13777666 | &nbsp;&nbsp;&nbsp; Series 2024-81, Class FE, 30 Day Average SOFR + 1.15% (c) | 5.50% | 07/25/54 | $13688223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22927972 | &nbsp;&nbsp;&nbsp; Series 2024-84, Class FD, 30 Day Average SOFR + 1.15% (c) | 5.50% | 11/25/54 | 22797120 |
| &nbsp;&nbsp;&nbsp;&nbsp; 33049785 | &nbsp;&nbsp;&nbsp; Series 2024-91, Class FL, 30 Day Average SOFR + 1.35% (c) | 5.70% | 12/25/54 | 33073356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22521827 | &nbsp;&nbsp;&nbsp; Series 2024-98, Class FG, 30 Day Average SOFR + 1.00% (c) | 5.35% | 11/25/54 | 22460038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 31721308 | &nbsp;&nbsp;&nbsp; Series 2025-49, Class FD, 30 Day Average SOFR + 0.80% (c) | 5.15% | 06/25/55 | 30880031 |
|  | Federal National Mortgage Association Grantor Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 12604049 | &nbsp;&nbsp;&nbsp; Series 2002-T8, Class A (f) | 6.81% | 07/25/32 | 13132229 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1546848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-T1, Class A1, 1 Mo. CME Term SOFR + CSA + <br> 0.40% (c) | 4.87% | 05/25/35 | 1485839 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95883 | &nbsp;&nbsp;&nbsp; Series 2003-4, Class MZ | 5.50% | 01/20/33 | 95599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165547 | &nbsp;&nbsp;&nbsp; Series 2003-18, Class PG | 5.50% | 03/20/33 | 165059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1791710 | &nbsp;&nbsp;&nbsp; Series 2003-35, Class TZ | 5.75% | 04/16/33 | 1787008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150490 | &nbsp;&nbsp;&nbsp; Series 2003-62, Class MZ | 5.50% | 07/20/33 | 150499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61545 | &nbsp;&nbsp;&nbsp; Series 2004-37, Class B | 6.00% | 04/17/34 | 61897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350649 | &nbsp;&nbsp;&nbsp; Series 2004-49, Class MZ | 6.00% | 06/20/34 | 351392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24644 | &nbsp;&nbsp;&nbsp; Series 2004-68, Class ZC | 6.00% | 08/20/34 | 24897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29903 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class ST, (1 Mo. CME Term SOFR + CSA) × <br> -6.25+ 44.50%, 7.00% Cap (a) | 7.00% | 09/20/34 | 30146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-88, Class SM, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.10% (a) | 1.65% | 10/16/34 | 1481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279275 | &nbsp;&nbsp;&nbsp; Series 2004-105, Class JZ | 5.00% | 12/20/34 | 279256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164593 | &nbsp;&nbsp;&nbsp; Series 2004-105, Class KA | 5.00% | 12/16/34 | 164360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278117 | &nbsp;&nbsp;&nbsp; Series 2005-3, Class JZ | 5.00% | 01/16/35 | 272531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278117 | &nbsp;&nbsp;&nbsp; Series 2005-3, Class KZ | 5.00% | 01/16/35 | 273200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75429 | &nbsp;&nbsp;&nbsp; Series 2005-33, Class AY | 5.50% | 04/16/35 | 75446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68101 | &nbsp;&nbsp;&nbsp; Series 2005-41, Class PA | 4.00% | 05/20/35 | 66818 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1313823 | &nbsp;&nbsp;&nbsp; Series 2005-78, Class ZA | 5.00% | 10/16/35 | 1309031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123428 | &nbsp;&nbsp;&nbsp; Series 2005-93, Class PO, PO | (e) | 06/20/35 | 104208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365803 | &nbsp;&nbsp;&nbsp; Series 2006-38, Class OH | 6.50% | 08/20/36 | 364745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223348 | &nbsp;&nbsp;&nbsp; Series 2006-61, Class ZA | 5.00% | 11/20/36 | 222991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 543026 | &nbsp;&nbsp;&nbsp; Series 2007-16, Class OZ | 6.00% | 04/20/37 | 547450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83559 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-27, Class SD, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.20% (a) | 1.73% | 05/20/37 | 2280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63456 | &nbsp;&nbsp;&nbsp; Series 2007-41, Class OL, PO | (e) | 07/20/37 | 53666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class SB, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.75% (a) | 2.28% | 07/20/37 | 5073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378103 | &nbsp;&nbsp;&nbsp; Series 2007-71, Class ZD | 6.00% | 11/20/37 | 377105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-81, Class FZ, 1 Mo. CME Term SOFR + CSA + <br> 0.35% (c) | 4.82% | 12/20/37 | 175608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33, Class XS, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 7.70% (a) | 3.25% | 04/16/38 | 3322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 322494 | &nbsp;&nbsp;&nbsp; Series 2008-47, Class ML | 5.25% | 06/16/38 | 325816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93773 | &nbsp;&nbsp;&nbsp; Series 2008-54, Class PE | 5.00% | 06/20/38 | 93792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 271195 | &nbsp;&nbsp;&nbsp; Series 2008-71, Class JI, IO | 6.00% | 04/20/38 | 2670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75515 | &nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO | 6.50% | 03/20/39 | 4564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KS, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.30% (a) | 1.83% | 03/20/39 | 801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 7.60% (a) | 3.13% | 09/20/38 | 2026 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Government National Mortgage Association (Continued) |  |  |  |
| $2032826 | &nbsp;&nbsp;&nbsp; Series 2009-29, Class PC | 7.00% | 05/20/39 | $2133395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 486050 | &nbsp;&nbsp;&nbsp; Series 2009-32, Class SZ | 5.50% | 05/16/39 | 493181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3732326 | &nbsp;&nbsp;&nbsp; Series 2009-57, Class VB | 5.00% | 06/16/39 | 3734525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 348057 | &nbsp;&nbsp;&nbsp; Series 2009-61, Class PZ | 7.50% | 08/20/39 | 368652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5793130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-61, Class WQ, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.25% (a) | 1.80% | 11/16/35 | 481923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 750548 | &nbsp;&nbsp;&nbsp; Series 2009-69, Class ZB | 6.00% | 08/20/39 | 749948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455000 | &nbsp;&nbsp;&nbsp; Series 2009-75, Class JN | 5.50% | 09/16/39 | 449849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 729551 | &nbsp;&nbsp;&nbsp; Series 2009-78, Class KZ | 5.50% | 09/16/39 | 729834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66865 | &nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO | (e) | 11/16/37 | 55597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171658 | &nbsp;&nbsp;&nbsp; Series 2009-81, Class TZ | 5.50% | 09/20/39 | 166453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60559 | &nbsp;&nbsp;&nbsp; Series 2009-94, Class AL | 5.00% | 10/20/39 | 60804 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2384904 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class SL, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.10% (a) | 1.63% | 04/20/36 | 98347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59060 | &nbsp;&nbsp;&nbsp; Series 2009-106, Class WZ | 5.50% | 11/16/39 | 57865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 732000 | &nbsp;&nbsp;&nbsp; Series 2009-126, Class LB | 5.00% | 12/20/39 | 732498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8659 | &nbsp;&nbsp;&nbsp; Series 2010-4, Class WA | 3.00% | 01/16/40 | 8286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1122628 | &nbsp;&nbsp;&nbsp; Series 2010-59, Class ZD | 6.50% | 05/20/40 | 1182090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 763151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-85, Class SL, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.60% (a) | 2.13% | 07/20/37 | 27609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89000 | &nbsp;&nbsp;&nbsp; Series 2010-116, Class BM | 4.50% | 09/16/40 | 85372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1406100 | &nbsp;&nbsp;&nbsp; Series 2010-116, Class JB | 5.00% | 06/16/40 | 1392586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 434864 | &nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO | (e) | 12/20/40 | 371800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 317489 | &nbsp;&nbsp;&nbsp; Series 2011-4, Class PZ | 5.00% | 01/20/41 | 315658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771202 | &nbsp;&nbsp;&nbsp; Series 2011-35, Class BP | 4.50% | 03/16/41 | 761686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74031 | &nbsp;&nbsp;&nbsp; Series 2011-48, Class LI, IO | 5.50% | 01/16/41 | 4655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4038505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-61, Class WS, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.47% (a) | 2.00% | 02/20/38 | 82423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29666 | &nbsp;&nbsp;&nbsp; Series 2011-63, Class BI, IO | 6.00% | 02/20/38 | 295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 934178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-81, Class IC, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.72%, 0.62% Cap (a) | 0.62% | 07/20/35 | 2189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12955 | &nbsp;&nbsp;&nbsp; Series 2011-112, Class IP, IO (d) | 0.50% | 08/16/26 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239265 | &nbsp;&nbsp;&nbsp; Series 2011-129, Class CL | 5.00% | 03/20/41 | 237298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27384 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-151, Class TB, IO, (1 Mo. CME Term SOFR + <br> CSA) ×-70+ 465.50%, 3.50% Cap (a) | 3.50% | 04/20/41 | 2490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4609930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-84, Class QS, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.10% (a) | 1.65% | 07/16/42 | 346900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6711842 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-84, Class SJ, (1 Mo. CME Term SOFR + CSA) × <br> -0.57+ 2.51%, 0.00% Floor (a) | 0.00% | 07/16/42 | 4055926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251623 | &nbsp;&nbsp;&nbsp; Series 2012-108, Class KB | 2.75% | 09/16/42 | 193553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 713148 | &nbsp;&nbsp;&nbsp; Series 2012-143, Class TI, IO | 3.00% | 12/16/27 | 12079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1031133 | &nbsp;&nbsp;&nbsp; Series 2012-149, Class PC (b) | 6.28% | 12/20/42 | 1069511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48063 | &nbsp;&nbsp;&nbsp; Series 2013-5, Class IA, IO | 3.50% | 10/16/42 | 5770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2223000 | &nbsp;&nbsp;&nbsp; Series 2013-20, Class QM | 2.63% | 02/16/43 | 1839603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99925 | &nbsp;&nbsp;&nbsp; Series 2013-69, Class PI, IO | 5.00% | 05/20/43 | 8226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 953680 | &nbsp;&nbsp;&nbsp; Series 2013-70, Class PM | 2.50% | 05/20/43 | 745866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474123 | &nbsp;&nbsp;&nbsp; Series 2013-91, Class PB | 3.50% | 09/20/42 | 469691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 583039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-130, Class WS, IO, (1 Mo. CME Term SOFR + <br> CSA) ×-1+ 6.10% (a) | 1.63% | 09/20/43 | 67646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 688000 | &nbsp;&nbsp;&nbsp; Series 2013-183, Class PB | 4.50% | 12/20/43 | 649878 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Government National Mortgage Association (Continued) |  |  |  |
| $552723 | &nbsp;&nbsp;&nbsp; Series 2014-44, Class IC, IO | 3.00% | 04/20/28 | $8706 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4290683 | &nbsp;&nbsp;&nbsp; Series 2014-44, Class ID, IO (b) (f) | 0.33% | 03/16/44 | 37360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12659 | &nbsp;&nbsp;&nbsp; Series 2014-91, Class JI, IO | 4.50% | 01/20/40 | 671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 669925 | &nbsp;&nbsp;&nbsp; Series 2014-94, Class Z | 4.50% | 01/20/44 | 643576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1957164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-116, Class SB, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 5.60% (a) | 1.13% | 08/20/44 | 164368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761373 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-118, Class TV, IO, (1 Mo. CME Term SOFR + <br> CSA) ×-1+ 6.25% (a) | 1.78% | 05/20/44 | 77409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10943081 | &nbsp;&nbsp;&nbsp; Series 2015-24, Class BZ | 3.00% | 02/20/45 | 9731537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3047871 | &nbsp;&nbsp;&nbsp; Series 2015-66, Class LI, IO | 5.00% | 05/16/45 | 240497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4467 | &nbsp;&nbsp;&nbsp; Series 2015-95, Class IK, IO (b) (d) | 0.00% | 05/16/37 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5640429 | &nbsp;&nbsp;&nbsp; Series 2015-123, Class ZA | 3.50% | 09/20/45 | 5207331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262827 | &nbsp;&nbsp;&nbsp; Series 2015-137, Class WA (b) (f) | 5.55% | 01/20/38 | 270249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187143 | &nbsp;&nbsp;&nbsp; Series 2015-138, Class MI, IO | 4.50% | 08/20/44 | 14559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23658 | &nbsp;&nbsp;&nbsp; Series 2015-151, Class KW (b) | 4.19% | 04/20/34 | 23239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 28299300 | &nbsp;&nbsp;&nbsp; Series 2015-164, Class MZ | 3.00% | 09/20/45 | 21442315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212156 | &nbsp;&nbsp;&nbsp; Series 2016-16, Class KZ | 3.00% | 02/16/46 | 167359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8746456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-20, Class FN, 1 Mo. CME Term SOFR + CSA + <br> 0.40% (c) | 4.87% | 02/20/46 | 8544820 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4619714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-37, Class AF, 1 Mo. CME Term SOFR + CSA + <br> 0.47% (c) | 4.91% | 11/20/43 | 4553741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10783 | &nbsp;&nbsp;&nbsp; Series 2016-55, Class PB (b) | 5.42% | 03/20/31 | 10869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 675412 | &nbsp;&nbsp;&nbsp; Series 2016-69, Class WI, IO | 4.50% | 05/20/46 | 137799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1868355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-75, Class SA, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.00% (a) | 1.53% | 05/20/40 | 156690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 323523 | &nbsp;&nbsp;&nbsp; Series 2016-78, Class UI, IO | 4.00% | 06/20/46 | 58327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7231381 | &nbsp;&nbsp;&nbsp; Series 2016-83, Class BP | 3.00% | 06/20/46 | 5954216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215442 | &nbsp;&nbsp;&nbsp; Series 2016-99, Class JA (b) | 5.49% | 11/20/45 | 222628 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1134854 | &nbsp;&nbsp;&nbsp; Series 2016-109, Class ZM | 3.50% | 08/20/36 | 1023376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4279820 | &nbsp;&nbsp;&nbsp; Series 2016-111, Class PI, IO | 3.50% | 06/20/45 | 535635 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5434061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-120, Class AS, IO, (1 Mo. CME Term SOFR + <br> CSA) ×-1+ 6.10% (a) | 1.63% | 09/20/46 | 754066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 464000 | &nbsp;&nbsp;&nbsp; Series 2016-141, Class PC | 5.00% | 10/20/46 | 440250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357430 | &nbsp;&nbsp;&nbsp; Series 2016-145, Class LZ | 3.00% | 10/20/46 | 245510 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6126444 | &nbsp;&nbsp;&nbsp; Series 2016-156, Class ZM | 3.50% | 11/20/46 | 5526232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303000 | &nbsp;&nbsp;&nbsp; Series 2016-160, Class LE | 2.50% | 11/20/46 | 205227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130375 | &nbsp;&nbsp;&nbsp; Series 2016-167, Class KI, IO | 6.00% | 12/16/46 | 14630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1635370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-12, Class SD, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.10% (a) | 1.63% | 01/20/47 | 215202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1086399 | &nbsp;&nbsp;&nbsp; Series 2017-17, Class KZ | 4.50% | 02/20/47 | 961986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2615041 | &nbsp;&nbsp;&nbsp; Series 2017-32, Class DI, IO | 5.50% | 05/20/35 | 280863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6663881 | &nbsp;&nbsp;&nbsp; Series 2017-33, Class PZ | 3.00% | 02/20/47 | 5538588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2949033 | &nbsp;&nbsp;&nbsp; Series 2017-56, Class BI, IO | 6.00% | 04/16/47 | 391416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2728059 | &nbsp;&nbsp;&nbsp; Series 2017-123, Class IO, IO | 5.00% | 08/16/47 | 494771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3403933 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-130, Class LS, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.20% (a) | 1.75% | 08/16/47 | 351415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2201284 | &nbsp;&nbsp;&nbsp; Series 2017-133, Class JI, IO | 7.00% | 06/20/41 | 226061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2533607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-186, Class TI, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 6.50%, 0.50% Cap (a) | 0.50% | 05/20/40 | 29849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 980189 | &nbsp;&nbsp;&nbsp; Series 2018-44, Class Z | 2.50% | 09/20/47 | 719164 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Government National Mortgage Association (Continued) |  |  |  |
| $5878027 | &nbsp;&nbsp;&nbsp; Series 2018-78I, Class EZ | 3.00% | 04/20/48 | $5336498 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3182475 | &nbsp;&nbsp;&nbsp; Series 2018-79, Class IO, IO | 5.00% | 06/20/48 | 398559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3886122 | &nbsp;&nbsp;&nbsp; Series 2018-131, Class IA, IO | 5.00% | 04/20/44 | 599183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp; Series 2018-134, Class KB | 3.50% | 10/20/48 | 9069290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5914394 | &nbsp;&nbsp;&nbsp; Series 2018-155, Class KD | 4.00% | 11/20/48 | 5568182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3298418 | &nbsp;&nbsp;&nbsp; Series 2018-160, Class GY | 4.50% | 11/20/48 | 3101898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 772303 | &nbsp;&nbsp;&nbsp; Series 2019-27, Class DI, IO | 5.50% | 01/20/40 | 111665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7760289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-128, Class EF, 1 Mo. CME Term SOFR + CSA + <br> 0.57%, 4.00% Cap (c) | 4.00% | 10/20/49 | 7091644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1763702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-128, Class ES, IO, (1 Mo. CME Term SOFR + CSA) <br> ×-1+ 3.43%, 0.00% Floor (a) | 0.00% | 10/20/49 | 17741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp; Series 2020-62, Class IC, IO | 2.50% | 01/20/50 | 612163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14014801 | &nbsp;&nbsp;&nbsp; Series 2020-62, Class WI, IO | 2.50% | 08/20/49 | 2657290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7097422 | &nbsp;&nbsp;&nbsp; Series 2020-84, Class IM, IO | 2.50% | 05/20/50 | 1487407 |
| &nbsp;&nbsp;&nbsp;&nbsp; 19759118 | &nbsp;&nbsp;&nbsp; Series 2020-84, Class IO, IO | 2.50% | 04/20/50 | 4338523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5341976 | &nbsp;&nbsp;&nbsp; Series 2021-46, Class IL, IO | 3.00% | 03/20/51 | 723616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 35139737 | &nbsp;&nbsp;&nbsp; Series 2022-63, Class AZ | 3.00% | 08/20/51 | 27880215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18267313 | &nbsp;&nbsp;&nbsp; Series 2022-63, Class BZ | 3.50% | 11/20/46 | 15088945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20785514 | &nbsp;&nbsp;&nbsp; Series 2022-63, Class HZ | 2.50% | 11/20/51 | 14736009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12044819 | &nbsp;&nbsp;&nbsp; Series 2022-63, Class MZ | 3.00% | 05/20/51 | 9025361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17102738 | &nbsp;&nbsp;&nbsp; Series 2022-65, Class BZ | 3.50% | 04/20/52 | 12870965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7822319 | &nbsp;&nbsp;&nbsp; Series 2022-68, Class DZ | 3.50% | 04/20/52 | 5814732 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13633886 | &nbsp;&nbsp;&nbsp; Series 2022-68, Class MZ | 3.50% | 04/20/52 | 10890023 |
| &nbsp;&nbsp;&nbsp;&nbsp; 16708373 | &nbsp;&nbsp;&nbsp; Series 2022-68, Class XA | 3.50% | 02/20/49 | 16032516 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14074159 | &nbsp;&nbsp;&nbsp; Series 2022-68, Class Z | 3.50% | 04/20/52 | 11181103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18922945 | &nbsp;&nbsp;&nbsp; Series 2022-68, Class ZC | 3.50% | 04/20/52 | 14251699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12991946 | &nbsp;&nbsp;&nbsp; Series 2022-69, Class QL | 3.00% | 04/20/52 | 11146935 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11984934 | &nbsp;&nbsp;&nbsp; Series 2022-76, Class PG | 4.00% | 04/20/52 | 11732574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10917513 | &nbsp;&nbsp;&nbsp; Series 2022-78, Class AM | 3.50% | 04/20/52 | 8165395 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15231768 | &nbsp;&nbsp;&nbsp; Series 2022-90, Class KZ | 3.00% | 04/20/51 | 11330003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9058994 | &nbsp;&nbsp;&nbsp; Series 2022-90, Class ZG | 1.50% | 02/20/52 | 4500110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22341349 | &nbsp;&nbsp;&nbsp; Series 2022-124, Class EY | 4.00% | 07/20/52 | 18960064 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12000000 | &nbsp;&nbsp;&nbsp; Series 2022-124, Class MY | 3.50% | 07/20/52 | 10181268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 23600000 | &nbsp;&nbsp;&nbsp; Series 2022-139, Class AL | 4.00% | 07/20/51 | 21103214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7800615 | &nbsp;&nbsp;&nbsp; Series 2022-146, Class MF, 30 Day Average SOFR + 0.45% (c) | 4.80% | 08/20/52 | 7586907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10708075 | &nbsp;&nbsp;&nbsp; Series 2022-154, Class EZ | 3.50% | 09/20/52 | 8281150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11106000 | &nbsp;&nbsp;&nbsp; Series 2022-191, Class BY | 4.00% | 08/20/41 | 10465918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10173000 | &nbsp;&nbsp;&nbsp; Series 2022-204, Class YC | 4.00% | 07/20/52 | 9261828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10738770 | &nbsp;&nbsp;&nbsp; Series 2023-81, Class YD | 4.00% | 06/20/53 | 9475184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9562312 | &nbsp;&nbsp;&nbsp; Series 2024-125, Class NV | 5.00% | 08/20/35 | 9642258 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11595676 | &nbsp;&nbsp;&nbsp; Series 2024-181, Class FQ, 30 Day Average SOFR + 1.15% (c) | 5.50% | 11/20/54 | 11555513 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10814301 | &nbsp;&nbsp;&nbsp; Series 2025-41, Class HV | 4.50% | 02/20/36 | 10484124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 23272496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-83, Class SB, (30 Day Average SOFR) ×-2.50+ <br> 14.50% (a) | 3.63% | 05/20/55 | 22464699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20313584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-95, Class DC, (30 Day Average SOFR) ×-2.50+ <br> 14.63% (a) | 3.76% | 05/20/55 | 18425837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 36956847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-98, Class SX, (30 Day Average SOFR) ×-1.80+ <br> 10.44% (a) | 2.61% | 06/20/55 | 32006178 |
|  |  |  |  | 2118312667 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Commercial Mortgage-Backed Securities — 9.7%** | **Commercial Mortgage-Backed Securities — 9.7%** | **Commercial Mortgage-Backed Securities — 9.7%** |  |
|  | Federal Home Loan Mortgage Corporation Multiclass Certificates |  |  |  |
| $79276000 | &nbsp;&nbsp;&nbsp; Series 2020-RR02, Class DX, IO (b) | 1.82% | 09/27/28 | $3730261 |
| &nbsp;&nbsp; 150334000 | &nbsp;&nbsp;&nbsp; Series 2020-RR06, Class BX, IO (b) | 1.84% | 05/27/33 | 12924447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 37600000 | &nbsp;&nbsp;&nbsp; Series 2020-RR09, Class AX, IO (b) | 2.63% | 11/27/28 | 2622611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 47500000 | &nbsp;&nbsp;&nbsp; Series 2020-RR09, Class BX, IO (b) | 2.20% | 02/27/29 | 3124239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 96907000 | &nbsp;&nbsp;&nbsp; Series 2020-RR10, Class X, IO (b) | 2.01% | 12/27/27 | 2938511 |
| &nbsp;&nbsp; 112919000 | &nbsp;&nbsp;&nbsp; Series 2020-RR11, Class AX, IO (b) | 2.84% | 01/27/29 | 7369828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 43873697 | &nbsp;&nbsp;&nbsp; Series 2020-RR11, Class BX, IO (b) | 2.44% | 12/27/28 | 1602004 |
| &nbsp;&nbsp;&nbsp;&nbsp; 34897468 | &nbsp;&nbsp;&nbsp; Series 2020-RR14, Class X, IO (f) | 2.13% | 03/27/34 | 4711291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 32649925 | &nbsp;&nbsp;&nbsp; Series 2021-P009, Class X, IO (f) | 1.31% | 01/25/31 | 934735 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3919872 | &nbsp;&nbsp;&nbsp; Series 2021-P011, Class X1, IO (f) | 1.76% | 09/25/45 | 422873 |
| &nbsp;&nbsp; 112345000 | &nbsp;&nbsp;&nbsp; Series 2021-RR15, Class X, IO (f) | 1.56% | 10/27/34 | 10586236 |
| &nbsp;&nbsp; 100924000 | &nbsp;&nbsp;&nbsp; Series 2021-RR18, Class X, IO (f) | 1.90% | 10/27/28 | 4387620 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20098730 | &nbsp;&nbsp;&nbsp; Series 2021-RR19, Class X, IO (f) | 2.01% | 04/27/29 | 1034313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 55000000 | &nbsp;&nbsp;&nbsp; Series 2021-RR20, Class X, IO (f) | 1.85% | 04/25/33 | 6154610 |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Multifamily Structured <br> Pass Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 19092735 | &nbsp;&nbsp;&nbsp; Series 2015-K047, Class X3, IO (d) (f) | 2.83% | 06/25/43 | 191 |
| &nbsp;&nbsp; 266849884 | &nbsp;&nbsp;&nbsp; Series 2016-KIR1, Class X, IO (f) | 1.00% | 03/25/26 | 930932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1771944 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KSW4, Class A, 30 Day Average SOFR + CSA + <br> 0.43% (c) | 4.86% | 10/25/28 | 1770436 |
| &nbsp;&nbsp;&nbsp;&nbsp; 72238116 | &nbsp;&nbsp;&nbsp; Series 2019-K097, Class X1, IO (f) | 1.08% | 07/25/29 | 2618834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 56302644 | &nbsp;&nbsp;&nbsp; Series 2019-K099, Class X1, IO (f) | 0.88% | 09/25/29 | 1698566 |
| &nbsp;&nbsp;&nbsp;&nbsp; 57790000 | &nbsp;&nbsp;&nbsp; Series 2019-K099, Class XAM, IO (f) | 1.14% | 09/25/29 | 2381017 |
| &nbsp;&nbsp; 123088560 | &nbsp;&nbsp;&nbsp; Series 2019-K100, Class X1, IO (f) | 0.65% | 09/25/29 | 2824439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 68030390 | &nbsp;&nbsp;&nbsp; Series 2019-K101, Class X1, IO (b) | 0.83% | 10/25/29 | 2004277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 64993000 | &nbsp;&nbsp;&nbsp; Series 2019-K102, Class XAM, IO (b) | 1.08% | 10/25/29 | 2589966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 59029000 | &nbsp;&nbsp;&nbsp; Series 2019-K103, Class XAM, IO (f) | 0.90% | 11/25/29 | 2031956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 84673955 | &nbsp;&nbsp;&nbsp; Series 2019-K734, Class X1, IO (f) | 0.66% | 02/25/26 | 127561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 68018000 | &nbsp;&nbsp;&nbsp; Series 2019-K734, Class XAM, IO (f) | 0.43% | 02/25/26 | 220886 |
| &nbsp;&nbsp;&nbsp;&nbsp; 40362477 | &nbsp;&nbsp;&nbsp; Series 2019-K735, Class X1, IO (f) | 0.96% | 05/25/26 | 206260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 47178209 | &nbsp;&nbsp;&nbsp; Series 2019-K736, Class X1, IO (f) | 1.26% | 07/25/26 | 409762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 28378838 | &nbsp;&nbsp;&nbsp; Series 2019-K1510, Class X1, IO (f) | 0.48% | 01/25/34 | 809943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15538361 | &nbsp;&nbsp;&nbsp; Series 2019-K1511, Class X1, IO (f) | 0.77% | 03/25/34 | 710768 |
| &nbsp;&nbsp; 156110984 | &nbsp;&nbsp;&nbsp; Series 2019-K1512, Class X1, IO (f) | 0.90% | 04/25/34 | 8052767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 56234658 | &nbsp;&nbsp;&nbsp; Series 2019-K1513, Class X1, IO (f) | 0.85% | 08/25/34 | 2913040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7697561 | &nbsp;&nbsp;&nbsp; Series 2019-KJ24, Class A2 | 2.82% | 09/25/27 | 7520429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 35529637 | &nbsp;&nbsp;&nbsp; Series 2020-K109, Class XAM, IO (f) | 1.80% | 04/25/30 | 2606699 |
| &nbsp;&nbsp; 113895992 | &nbsp;&nbsp;&nbsp; Series 2020-K110, Class X1, IO (f) | 1.64% | 04/25/30 | 7026984 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24006055 | &nbsp;&nbsp;&nbsp; Series 2020-K110, Class XAM, IO (f) | 1.84% | 04/25/30 | 1814109 |
| &nbsp;&nbsp;&nbsp;&nbsp; 29273633 | &nbsp;&nbsp;&nbsp; Series 2020-K112, Class XAM, IO (f) | 1.67% | 05/25/30 | 2063654 |
| &nbsp;&nbsp;&nbsp;&nbsp; 82019000 | &nbsp;&nbsp;&nbsp; Series 2020-K113, Class XAM, IO (f) | 1.58% | 06/25/30 | 5522339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 53269611 | &nbsp;&nbsp;&nbsp; Series 2020-K114, Class XAM, IO (f) | 1.34% | 06/25/30 | 3045578 |
| &nbsp;&nbsp; 157119696 | &nbsp;&nbsp;&nbsp; Series 2020-K115, Class X1, IO (f) | 1.32% | 06/25/30 | 8317524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 55537412 | &nbsp;&nbsp;&nbsp; Series 2020-K115, Class XAM, IO (f) | 1.54% | 07/25/30 | 3683619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 71703883 | &nbsp;&nbsp;&nbsp; Series 2020-K116, Class X1, IO (f) | 1.41% | 07/25/30 | 3993892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 55652865 | &nbsp;&nbsp;&nbsp; Series 2020-K116, Class XAM, IO (f) | 1.60% | 08/25/30 | 3896847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp; Series 2020-K117, Class A2 | 1.41% | 08/25/30 | 6968327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 63500000 | &nbsp;&nbsp;&nbsp; Series 2020-K117, Class XAM, IO (f) | 1.43% | 09/25/30 | 4016000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 76545746 | &nbsp;&nbsp;&nbsp; Series 2020-K118, Class X1, IO (f) | 0.95% | 09/25/30 | 3033339 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** |  |
|  | &nbsp;&nbsp; Federal Home Loan Mortgage Corporation Multifamily Structured <br> Pass Through Certificates (Continued) |  |  |  |
| $37151661 | &nbsp;&nbsp;&nbsp; Series 2020-K118, Class XAM, IO (f) | 1.17% | 09/25/30 | $1941405 |
| &nbsp;&nbsp;&nbsp;&nbsp; 51000000 | &nbsp;&nbsp;&nbsp; Series 2020-K119, Class XAM, IO (f) | 1.13% | 10/25/30 | 2604866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 77535017 | &nbsp;&nbsp;&nbsp; Series 2020-K120, Class XAM, IO (f) | 1.21% | 10/25/30 | 4263550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24471000 | &nbsp;&nbsp;&nbsp; Series 2020-K121, Class XAM, IO (f) | 1.20% | 11/25/30 | 1349632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 76956911 | &nbsp;&nbsp;&nbsp; Series 2020-K122, Class X1, IO (f) | 0.87% | 11/25/30 | 2874864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 35410560 | &nbsp;&nbsp;&nbsp; Series 2020-K122, Class XAM, IO (f) | 1.08% | 11/25/30 | 1771537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 65526053 | &nbsp;&nbsp;&nbsp; Series 2020-K737, Class X1, IO (b) | 0.61% | 10/25/26 | 399945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 38645000 | &nbsp;&nbsp;&nbsp; Series 2020-K738, Class XAM, IO (b) | 1.37% | 03/25/27 | 770156 |
| &nbsp;&nbsp; 121769110 | &nbsp;&nbsp;&nbsp; Series 2020-K739, Class X1, IO (f) | 1.17% | 09/25/27 | 2173457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 46072531 | &nbsp;&nbsp;&nbsp; Series 2020-K739, Class XAM, IO (f) | 1.57% | 09/25/27 | 1246345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 70811000 | &nbsp;&nbsp;&nbsp; Series 2020-K740, Class XAM, IO (f) | 1.11% | 10/25/27 | 1533660 |
| &nbsp;&nbsp;&nbsp;&nbsp; 89115244 | &nbsp;&nbsp;&nbsp; Series 2020-K1515, Class X1, IO (f) | 1.51% | 02/25/35 | 8703084 |
| &nbsp;&nbsp;&nbsp;&nbsp; 44313315 | &nbsp;&nbsp;&nbsp; Series 2020-K1516, Class X1, IO (f) | 1.51% | 05/25/35 | 4690507 |
| &nbsp;&nbsp;&nbsp;&nbsp; 56457100 | &nbsp;&nbsp;&nbsp; Series 2020-K1517, Class X1, IO (f) | 1.32% | 07/25/35 | 5179860 |
| &nbsp;&nbsp; 115487153 | &nbsp;&nbsp;&nbsp; Series 2020-KG04, Class X1, IO (f) | 0.84% | 11/25/30 | 4103894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5700000 | &nbsp;&nbsp;&nbsp; Series 2021-K123, Class A2 | 1.62% | 12/25/30 | 4973989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4725000 | &nbsp;&nbsp;&nbsp; Series 2021-K124, Class A2 | 1.66% | 12/25/30 | 4123468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 64367000 | &nbsp;&nbsp;&nbsp; Series 2021-K128, Class XAM, IO (f) | 0.73% | 03/25/31 | 2348533 |
| &nbsp;&nbsp; 150417141 | &nbsp;&nbsp;&nbsp; Series 2021-K129, Class X1, IO (f) | 1.03% | 05/25/31 | 6733122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 43636000 | &nbsp;&nbsp;&nbsp; Series 2021-K129, Class XAM, IO (f) | 1.21% | 05/25/31 | 2616842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 79994305 | &nbsp;&nbsp;&nbsp; Series 2021-K130, Class X1, IO (f) | 1.03% | 06/25/31 | 3927824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 41565013 | &nbsp;&nbsp;&nbsp; Series 2021-K130, Class XAM, IO (f) | 1.21% | 07/25/31 | 2596271 |
| &nbsp;&nbsp;&nbsp;&nbsp; 58530863 | &nbsp;&nbsp;&nbsp; Series 2021-K131, Class XAM, IO (f) | 0.94% | 07/25/31 | 2873222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 78491000 | &nbsp;&nbsp;&nbsp; Series 2021-K132, Class XAM, IO (f) | 0.85% | 09/25/31 | 3465644 |
| &nbsp;&nbsp; 107703000 | &nbsp;&nbsp;&nbsp; Series 2021-K741, Class XAM, IO (f) | 0.95% | 12/25/27 | 2132341 |
| &nbsp;&nbsp; 103911035 | &nbsp;&nbsp;&nbsp; Series 2021-K744, Class X1, IO (f) | 0.86% | 07/25/28 | 2200898 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9436981 | &nbsp;&nbsp;&nbsp; Series 2021-K1522, Class A1 | 1.91% | 11/25/35 | 8010653 |
| &nbsp;&nbsp; 158924816 | &nbsp;&nbsp;&nbsp; Series 2021-KG05, Class X1, IO (f) | 0.31% | 01/25/31 | 2233974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4816116 | &nbsp;&nbsp;&nbsp; Series 2022-K142, Class A1 | 2.40% | 12/25/31 | 4429177 |
| &nbsp;&nbsp; 200000000 | &nbsp;&nbsp;&nbsp; Series 2022-K148, Class XAM, IO (f) | 0.25% | 08/25/32 | 3553608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4626156 | &nbsp;&nbsp;&nbsp; Series 2022-K150, Class A1 | 4.00% | 12/25/31 | 4569254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2256114 | &nbsp;&nbsp;&nbsp; Series 2022-K152, Class A1 | 3.78% | 01/25/32 | 2205400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp; Series 2022-KJ41, Class A2 | 3.47% | 02/25/31 | 3831937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4927682 | &nbsp;&nbsp;&nbsp; Series 2023-K154, Class A1 | 4.36% | 02/25/32 | 4925498 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp; Series 2023-KJ47, Class A2 | 5.43% | 06/25/31 | 10367392 |
| &nbsp;&nbsp; 113233000 | &nbsp;&nbsp;&nbsp; Series 2024-K757, Class XAM, IO (f) | 0.99% | 08/25/31 | 5927289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11475000 | &nbsp;&nbsp;&nbsp; Series 2024-KJ51, Class A2 | 4.70% | 01/25/32 | 11532093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9700000 | &nbsp;&nbsp;&nbsp; Series 2024-KJ52, Class A2 | 4.76% | 01/25/32 | 9770794 |
|  | &nbsp;&nbsp; Federal National Mortgage Association Alternative Credit <br> Enhancement Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 24985124 | &nbsp;&nbsp;&nbsp; Series 2023-M1, Class 2A1 (f) | 3.94% | 12/25/37 | 24117718 |
| &nbsp;&nbsp;&nbsp;&nbsp; 26476423 | &nbsp;&nbsp;&nbsp; Series 2023-M1, Class Z (f) | 3.94% | 01/25/53 | 20546562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13338336 | &nbsp;&nbsp;&nbsp; Series 2024-M3, Class Z (f) | 4.55% | 04/25/53 | 10783922 |
|  | FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7498000 | &nbsp;&nbsp;&nbsp; Series 2019-KL4F, Class BAS (f) (g) | 4.29% | 10/25/25 | 7448864 |
| &nbsp;&nbsp; 219994980 | &nbsp;&nbsp;&nbsp; Series 2025-K541, Class X1, IO (f) | 0.64% | 02/25/30 | 5810067 |
|  | Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2167895 | &nbsp;&nbsp;&nbsp; Series 2011-31, Class Z (b) | 3.45% | 09/16/52 | 1949389 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** |  |
|  | Government National Mortgage Association (Continued) |  |  |  |
| $20206204 | &nbsp;&nbsp;&nbsp; Series 2012-120, Class Z (b) | 2.46% | 01/16/55 | $13037049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86649 | &nbsp;&nbsp;&nbsp; Series 2013-74, Class AG (f) | 2.57% | 12/16/53 | 71493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp;&nbsp; Series 2013-194, Class AE (b) | 2.75% | 11/16/44 | 4012 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17669922 | &nbsp;&nbsp;&nbsp; Series 2015-30, Class DZ | 2.95% | 05/16/55 | 15794041 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2872414 | &nbsp;&nbsp;&nbsp; Series 2015-125, Class VA (b) | 2.70% | 05/16/35 | 2743977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3411972 | &nbsp;&nbsp;&nbsp; Series 2017-23, Class Z | 2.50% | 05/16/59 | 1974597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4439472 | &nbsp;&nbsp;&nbsp; Series 2017-35, Class Z | 2.50% | 05/16/59 | 2667275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021741 | &nbsp;&nbsp;&nbsp; Series 2017-106, Class AE | 2.60% | 12/16/56 | 1634681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2828985 | &nbsp;&nbsp;&nbsp; Series 2017-146, Class Z | 2.60% | 09/16/57 | 1710430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4642059 | &nbsp;&nbsp;&nbsp; Series 2018-4, Class Z | 2.50% | 10/16/59 | 2514728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18564705 | &nbsp;&nbsp;&nbsp; Series 2018-123, Class Z | 2.50% | 06/16/60 | 13556268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 26551804 | &nbsp;&nbsp;&nbsp; Series 2018-170, Class Z | 2.50% | 11/16/60 | 19232491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 19616852 | &nbsp;&nbsp;&nbsp; Series 2019-7, Class Z | 2.50% | 01/16/61 | 12282003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2033357 | &nbsp;&nbsp;&nbsp; Series 2019-104, Class Z | 2.80% | 05/16/61 | 1068726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6700000 | &nbsp;&nbsp;&nbsp; Series 2020-161, Class B | 2.00% | 08/16/62 | 3366059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9254748 | &nbsp;&nbsp;&nbsp; Series 2020-169, Class Z | 1.83% | 06/16/62 | 3206170 |
| &nbsp;&nbsp;&nbsp;&nbsp; 23874757 | &nbsp;&nbsp;&nbsp; Series 2022-43, Class Z | 2.00% | 09/16/61 | 11824814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20357684 | &nbsp;&nbsp;&nbsp; Series 2022-106, Class Z | 2.00% | 05/16/63 | 11654544 |
| &nbsp;&nbsp;&nbsp;&nbsp; 50653400 | &nbsp;&nbsp;&nbsp; Series 2024-32, Class IO, IO (f) | 0.70% | 06/16/63 | 2482792 |
|  |  |  |  | 502793177 |
|  | **Pass-Through Securities — 31.2%** | **Pass-Through Securities — 31.2%** | **Pass-Through Securities — 31.2%** |  |
|  | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation | Federal Home Loan Mortgage Corporation |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 595550 | &nbsp;&nbsp;&nbsp; Pool 760043, 5 Yr. Constant Maturity Treasury Rate + 1.39% (c) | 4.95% | 12/01/48 | 595829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55907 | &nbsp;&nbsp;&nbsp; Pool A19763  | 5.00% | 04/01/34 | 55715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227226 | &nbsp;&nbsp;&nbsp; Pool A47828  | 3.50% | 08/01/35 | 217344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104847 | &nbsp;&nbsp;&nbsp; Pool A47937  | 5.50% | 08/01/35 | 106827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52298 | &nbsp;&nbsp;&nbsp; Pool A48972  | 5.50% | 05/01/36 | 53726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48717 | &nbsp;&nbsp;&nbsp; Pool A54675  | 5.50% | 01/01/36 | 50116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105287 | &nbsp;&nbsp;&nbsp; Pool A65324  | 5.50% | 09/01/37 | 107975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59232 | &nbsp;&nbsp;&nbsp; Pool A97294  | 4.00% | 02/01/41 | 56872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493781 | &nbsp;&nbsp;&nbsp; Pool B70791  | 4.00% | 06/01/39 | 488929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1610 | &nbsp;&nbsp;&nbsp; Pool C01310  | 6.50% | 03/01/32 | 1666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7254 | &nbsp;&nbsp;&nbsp; Pool C03458  | 5.00% | 02/01/40 | 7308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68233 | &nbsp;&nbsp;&nbsp; Pool C04269  | 3.00% | 10/01/42 | 61258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10083 | &nbsp;&nbsp;&nbsp; Pool C91482  | 3.50% | 07/01/32 | 9841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1036 | &nbsp;&nbsp;&nbsp; Pool E02883  | 4.00% | 04/01/26 | 1031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7822 | &nbsp;&nbsp;&nbsp; Pool G01443  | 6.50% | 08/01/32 | 8100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150833 | &nbsp;&nbsp;&nbsp; Pool G02017  | 5.00% | 12/01/35 | 152142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74232 | &nbsp;&nbsp;&nbsp; Pool G04814  | 5.50% | 10/01/38 | 75880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8435 | &nbsp;&nbsp;&nbsp; Pool G05173  | 4.50% | 11/01/31 | 8367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88900 | &nbsp;&nbsp;&nbsp; Pool G05275  | 5.50% | 02/01/39 | 90584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40287 | &nbsp;&nbsp;&nbsp; Pool G05449  | 4.50% | 05/01/39 | 39882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115175 | &nbsp;&nbsp;&nbsp; Pool G06583  | 5.00% | 06/01/41 | 116036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258863 | &nbsp;&nbsp;&nbsp; Pool G07100  | 5.50% | 07/01/40 | 264400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31433 | &nbsp;&nbsp;&nbsp; Pool G07266  | 4.00% | 12/01/42 | 29980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226963 | &nbsp;&nbsp;&nbsp; Pool G07329  | 4.00% | 01/01/43 | 217542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243294 | &nbsp;&nbsp;&nbsp; Pool G07683  | 4.00% | 03/01/44 | 232616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1087 | &nbsp;&nbsp;&nbsp; Pool G08113  | 6.50% | 02/01/36 | 1140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1022 | &nbsp;&nbsp;&nbsp; Pool G14088  | 4.00% | 02/01/26 | 1019 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** |  |
|  | Federal Home Loan Mortgage Corporation (Continued) | Federal Home Loan Mortgage Corporation (Continued) | Federal Home Loan Mortgage Corporation (Continued) | Federal Home Loan Mortgage Corporation (Continued) |
| $11909 | &nbsp;&nbsp;&nbsp; Pool G14348  | 4.00% | 10/01/26 | $11856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2879 | &nbsp;&nbsp;&nbsp; Pool G15949  | 4.00% | 01/01/29 | 2869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6643 | &nbsp;&nbsp;&nbsp; Pool G60020  | 4.50% | 12/01/43 | 6438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239075 | &nbsp;&nbsp;&nbsp; Pool G60114  | 5.50% | 06/01/41 | 245939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 394875 | &nbsp;&nbsp;&nbsp; Pool G60168  | 4.50% | 07/01/45 | 384303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153901 | &nbsp;&nbsp;&nbsp; Pool G60194  | 3.50% | 08/01/45 | 142191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146254 | &nbsp;&nbsp;&nbsp; Pool G60808  | 3.00% | 10/01/46 | 129379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1973 | &nbsp;&nbsp;&nbsp; Pool H09034  | 5.50% | 05/01/37 | 1989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62513 | &nbsp;&nbsp;&nbsp; Pool N70075  | 5.00% | 01/01/35 | 62256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174869 | &nbsp;&nbsp;&nbsp; Pool N70081  | 5.50% | 07/01/38 | 177004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38752 | &nbsp;&nbsp;&nbsp; Pool Q07189  | 4.00% | 04/01/42 | 37172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12955 | &nbsp;&nbsp;&nbsp; Pool Q07479  | 3.50% | 04/01/42 | 12082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52297 | &nbsp;&nbsp;&nbsp; Pool Q11791  | 3.50% | 10/01/42 | 48645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37825 | &nbsp;&nbsp;&nbsp; Pool Q11836  | 3.50% | 10/01/42 | 35136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262504 | &nbsp;&nbsp;&nbsp; Pool Q14034  | 3.50% | 12/01/42 | 244392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 301287 | &nbsp;&nbsp;&nbsp; Pool Q54651  | 4.50% | 03/01/48 | 294239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 490900 | &nbsp;&nbsp;&nbsp; Pool Q55037  | 4.50% | 04/01/48 | 479752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1434412 | &nbsp;&nbsp;&nbsp; Pool Q61217  | 4.00% | 01/01/49 | 1345729 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8312943 | &nbsp;&nbsp;&nbsp; Pool SC0252  | 3.00% | 01/01/42 | 7573150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10646260 | &nbsp;&nbsp;&nbsp; Pool SD0844  | 3.50% | 07/01/47 | 9875873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8264410 | &nbsp;&nbsp;&nbsp; Pool SD0887  | 3.50% | 09/01/49 | 7638812 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13278006 | &nbsp;&nbsp;&nbsp; Pool SD0948  | 3.00% | 05/01/47 | 11762711 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18077817 | &nbsp;&nbsp;&nbsp; Pool SD0949  | 3.00% | 09/01/48 | 16162983 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13289280 | &nbsp;&nbsp;&nbsp; Pool SD0954  | 3.00% | 02/01/47 | 11917773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8709877 | &nbsp;&nbsp;&nbsp; Pool SD0961  | 3.50% | 11/01/48 | 7983809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8811778 | &nbsp;&nbsp;&nbsp; Pool SD1169  | 3.50% | 02/01/48 | 8153910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15743691 | &nbsp;&nbsp;&nbsp; Pool SD1170  | 3.50% | 09/01/49 | 14519221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4396284 | &nbsp;&nbsp;&nbsp; Pool SD1289  | 3.00% | 10/01/50 | 3877904 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5874228 | &nbsp;&nbsp;&nbsp; Pool SD1361  | 3.50% | 02/01/50 | 5434454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 30400011 | &nbsp;&nbsp;&nbsp; Pool SD3140  | 3.50% | 06/01/52 | 27226044 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8894055 | &nbsp;&nbsp;&nbsp; Pool SD4005  | 4.00% | 12/01/49 | 8399453 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15344642 | &nbsp;&nbsp;&nbsp; Pool SD7509  | 3.00% | 11/01/49 | 13466893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4099234 | &nbsp;&nbsp;&nbsp; Pool SD7550  | 3.00% | 02/01/52 | 3579648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5958987 | &nbsp;&nbsp;&nbsp; Pool SF5029  | 3.50% | 02/01/46 | 5511066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 27824979 | &nbsp;&nbsp;&nbsp; Pool SL0847  | 3.50% | 04/01/49 | 25311302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14819568 | &nbsp;&nbsp;&nbsp; Pool SL1390  | 4.00% | 07/01/50 | 13933717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136633 | &nbsp;&nbsp;&nbsp; Pool U50165  | 4.00% | 05/01/32 | 135123 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1339443 | &nbsp;&nbsp;&nbsp; Pool U59020  | 4.00% | 06/01/35 | 1317301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 637868 | &nbsp;&nbsp;&nbsp; Pool U64762  | 4.50% | 10/01/45 | 622300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38086 | &nbsp;&nbsp;&nbsp; Pool U80212  | 3.50% | 02/01/33 | 37055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57746 | &nbsp;&nbsp;&nbsp; Pool U90245  | 3.50% | 10/01/42 | 53479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 551160 | &nbsp;&nbsp;&nbsp; Pool U90690  | 3.50% | 06/01/42 | 510444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7804 | &nbsp;&nbsp;&nbsp; Pool U90932  | 3.00% | 02/01/43 | 7013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86974 | &nbsp;&nbsp;&nbsp; Pool U99096  | 4.50% | 05/01/44 | 84961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8794098 | &nbsp;&nbsp;&nbsp; Pool ZA4196  | 3.00% | 04/01/43 | 7866849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12786584 | &nbsp;&nbsp;&nbsp; Pool ZL8982  | 3.50% | 01/01/45 | 11833048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 862063 | &nbsp;&nbsp;&nbsp; Pool ZS2492  | 6.50% | 04/01/35 | 910447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 16315230 | &nbsp;&nbsp;&nbsp; Pool ZS9446  | 3.50% | 08/01/45 | 15071487 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** |  |
|  | Federal Home Loan Mortgage Corporation (Continued) | Federal Home Loan Mortgage Corporation (Continued) | Federal Home Loan Mortgage Corporation (Continued) | Federal Home Loan Mortgage Corporation (Continued) |
| $21958705 | &nbsp;&nbsp;&nbsp; Pool ZS9776  | 3.50% | 08/01/46 | $20166883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 40975888 | &nbsp;&nbsp;&nbsp; Pool ZT0779  | 3.00% | 09/01/47 | 35826940 |
|  | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24858 | &nbsp;&nbsp;&nbsp; Pool 190371  | 6.50% | 07/01/36 | 26299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13456 | &nbsp;&nbsp;&nbsp; Pool 255190  | 5.50% | 05/01/34 | 13704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp; Pool 255984  | 4.50% | 11/01/25 | 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37889 | &nbsp;&nbsp;&nbsp; Pool 256181  | 5.50% | 03/01/36 | 38124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3565 | &nbsp;&nbsp;&nbsp; Pool 256808  | 5.50% | 07/01/37 | 3518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29294 | &nbsp;&nbsp;&nbsp; Pool 256936  | 6.00% | 10/01/37 | 30192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15065271 | &nbsp;&nbsp;&nbsp; Pool 310208  | 3.00% | 03/01/48 | 12898966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15169951 | &nbsp;&nbsp;&nbsp; Pool 310211  | 3.50% | 07/01/48 | 13555387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22169686 | &nbsp;&nbsp;&nbsp; Pool 310230  | 3.50% | 02/01/48 | 19994245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5755 | &nbsp;&nbsp;&nbsp; Pool 555851  | 6.50% | 01/01/33 | 5939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171265 | &nbsp;&nbsp;&nbsp; Pool 735415  | 6.50% | 12/01/32 | 178529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12033 | &nbsp;&nbsp;&nbsp; Pool 747097  | 6.00% | 10/01/29 | 12062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108870 | &nbsp;&nbsp;&nbsp; Pool 788149  | 5.50% | 05/01/33 | 110100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148915 | &nbsp;&nbsp;&nbsp; Pool 850000  | 5.50% | 01/01/36 | 152999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28641 | &nbsp;&nbsp;&nbsp; Pool 871039  | 5.50% | 02/01/37 | 28739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47457 | &nbsp;&nbsp;&nbsp; Pool 888163  | 7.00% | 12/01/33 | 49911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6406 | &nbsp;&nbsp;&nbsp; Pool 890149  | 6.50% | 10/01/38 | 6783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 515420 | &nbsp;&nbsp;&nbsp; Pool 890556  | 4.50% | 10/01/43 | 502716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5673 | &nbsp;&nbsp;&nbsp; Pool 930562  | 5.00% | 02/01/39 | 5718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78433 | &nbsp;&nbsp;&nbsp; Pool 953115  | 5.50% | 11/01/38 | 79820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19160 | &nbsp;&nbsp;&nbsp; Pool 976871  | 6.50% | 08/01/36 | 19772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9059 | &nbsp;&nbsp;&nbsp; Pool 995097  | 6.50% | 10/01/37 | 9591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23850 | &nbsp;&nbsp;&nbsp; Pool 995228  | 6.50% | 11/01/38 | 25251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56639 | &nbsp;&nbsp;&nbsp; Pool AA3303  | 5.50% | 06/01/38 | 57219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp; Pool AB2133  | 4.00% | 01/01/26 | 342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773225 | &nbsp;&nbsp;&nbsp; Pool AB2506  | 5.00% | 03/01/41 | 776440 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1107965 | &nbsp;&nbsp;&nbsp; Pool AB2959  | 4.50% | 07/01/40 | 1095040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386144 | &nbsp;&nbsp;&nbsp; Pool AB8676  | 3.50% | 05/01/42 | 352463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3545 | &nbsp;&nbsp;&nbsp; Pool AD5222  | 4.50% | 05/01/30 | 3538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107874 | &nbsp;&nbsp;&nbsp; Pool AE0137  | 4.50% | 03/01/36 | 106572 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1825958 | &nbsp;&nbsp;&nbsp; Pool AE7733  | 5.00% | 11/01/40 | 1837292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355257 | &nbsp;&nbsp;&nbsp; Pool AE9959  | 5.00% | 03/01/41 | 356442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209731 | &nbsp;&nbsp;&nbsp; Pool AH0979  | 3.50% | 01/01/41 | 191866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64307 | &nbsp;&nbsp;&nbsp; Pool AH1141  | 4.50% | 12/01/40 | 63525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66832 | &nbsp;&nbsp;&nbsp; Pool AI6093  | 4.50% | 06/01/31 | 66801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15384 | &nbsp;&nbsp;&nbsp; Pool AI6581  | 4.50% | 07/01/41 | 15162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234307 | &nbsp;&nbsp;&nbsp; Pool AI9114  | 4.00% | 06/01/42 | 224103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1067175 | &nbsp;&nbsp;&nbsp; Pool AI9124  | 4.00% | 08/01/42 | 1020366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 735241 | &nbsp;&nbsp;&nbsp; Pool AI9158  | 6.50% | 01/01/41 | 784990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42046 | &nbsp;&nbsp;&nbsp; Pool AL0212  | 5.50% | 02/01/38 | 43078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44539 | &nbsp;&nbsp;&nbsp; Pool AL2142  | 6.50% | 09/01/38 | 47019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49510 | &nbsp;&nbsp;&nbsp; Pool AL2892  | 3.50% | 12/01/42 | 45932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318422 | &nbsp;&nbsp;&nbsp; Pool AL3093  | 3.50% | 02/01/43 | 295348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382315 | &nbsp;&nbsp;&nbsp; Pool AL5890  | 4.50% | 03/01/43 | 377354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284761 | &nbsp;&nbsp;&nbsp; Pool AL7637  | 5.00% | 01/01/42 | 283704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 719457 | &nbsp;&nbsp;&nbsp; Pool AL7905  | 4.50% | 03/01/34 | 715923 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** |  |
|  | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) |
| $51363527 | &nbsp;&nbsp;&nbsp; Pool AL9394  | 3.00% | 11/01/46 | $44848677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10585331 | &nbsp;&nbsp;&nbsp; Pool AL9401  | 4.00% | 02/01/46 | 10085066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5364468 | &nbsp;&nbsp;&nbsp; Pool AL9566  | 3.50% | 06/01/46 | 4947138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 918673 | &nbsp;&nbsp;&nbsp; Pool AL9777  | 4.50% | 01/01/47 | 892748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163616 | &nbsp;&nbsp;&nbsp; Pool AP1197  | 3.50% | 09/01/42 | 151896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85476 | &nbsp;&nbsp;&nbsp; Pool AP7963  | 4.00% | 09/01/42 | 81807 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1234869 | &nbsp;&nbsp;&nbsp; Pool AQ0411  | 3.50% | 10/01/42 | 1148204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172996 | &nbsp;&nbsp;&nbsp; Pool AQ9999  | 3.00% | 02/01/43 | 155255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1663986 | &nbsp;&nbsp;&nbsp; Pool AS1719  | 5.00% | 02/01/44 | 1663382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131307 | &nbsp;&nbsp;&nbsp; Pool AS7211  | 3.00% | 04/01/46 | 117869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 26549238 | &nbsp;&nbsp;&nbsp; Pool AS7738  | 3.00% | 08/01/46 | 23350653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 35628791 | &nbsp;&nbsp;&nbsp; Pool AS7749  | 3.50% | 08/01/46 | 32521713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151305 | &nbsp;&nbsp;&nbsp; Pool AS9990  | 4.50% | 07/01/47 | 145821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54461 | &nbsp;&nbsp;&nbsp; Pool AT0332  | 3.00% | 04/01/43 | 49003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54888 | &nbsp;&nbsp;&nbsp; Pool AY0013  | 4.50% | 01/01/45 | 53611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 16565424 | &nbsp;&nbsp;&nbsp; Pool BF0207  | 4.50% | 04/01/47 | 16355118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9632 | &nbsp;&nbsp;&nbsp; Pool BH9428  | 4.50% | 09/01/47 | 9310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31094 | &nbsp;&nbsp;&nbsp; Pool BJ6232  | 5.00% | 04/01/48 | 30852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 359196 | &nbsp;&nbsp;&nbsp; Pool BJ9100  | 4.50% | 02/01/48 | 350589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254711 | &nbsp;&nbsp;&nbsp; Pool BJ9111  | 4.50% | 03/01/48 | 248607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 839740 | &nbsp;&nbsp;&nbsp; Pool BJ9124  | 4.50% | 04/01/48 | 819623 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9191760 | &nbsp;&nbsp;&nbsp; Pool BM3867  | 4.00% | 02/01/46 | 8785817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3136507 | &nbsp;&nbsp;&nbsp; Pool BM4785  | 4.50% | 10/01/38 | 3136912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4136357 | &nbsp;&nbsp;&nbsp; Pool BM5671  | 4.50% | 01/01/49 | 4024777 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8616460 | &nbsp;&nbsp;&nbsp; Pool BM6429  | 3.00% | 09/01/48 | 7423632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 19445745 | &nbsp;&nbsp;&nbsp; Pool BM6732  | 4.00% | 11/01/48 | 18786201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14356710 | &nbsp;&nbsp;&nbsp; Pool BM7079  | 4.00% | 10/01/48 | 13444113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6289028 | &nbsp;&nbsp;&nbsp; Pool BM7129  | 3.00% | 01/01/47 | 5643747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 16487105 | &nbsp;&nbsp;&nbsp; Pool BM7521  | 3.50% | 10/01/48 | 14924605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 26934225 | &nbsp;&nbsp;&nbsp; Pool BM7665  | 3.50% | 02/01/48 | 24342916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 779437 | &nbsp;&nbsp;&nbsp; Pool BN4059  | 4.00% | 12/01/48 | 719102 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3712291 | &nbsp;&nbsp;&nbsp; Pool BV8046  | 4.50% | 09/01/52 | 3601713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3270419 | &nbsp;&nbsp;&nbsp; Pool CA2947  | 4.00% | 12/01/48 | 3070902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24570472 | &nbsp;&nbsp;&nbsp; Pool FA1263  | 4.50% | 01/01/50 | 24271380 |
| &nbsp;&nbsp;&nbsp;&nbsp; 24281703 | &nbsp;&nbsp;&nbsp; Pool FA1348  | 4.50% | 09/01/52 | 23820906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 17580453 | &nbsp;&nbsp;&nbsp; Pool FA1641  | 4.50% | 09/01/50 | 17083300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1367517 | &nbsp;&nbsp;&nbsp; Pool FM1284  | 3.50% | 02/01/46 | 1268483 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1207290 | &nbsp;&nbsp;&nbsp; Pool FM1285  | 4.00% | 10/01/43 | 1156513 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11437786 | &nbsp;&nbsp;&nbsp; Pool FM2197  | 4.50% | 03/01/47 | 11210650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 23238031 | &nbsp;&nbsp;&nbsp; Pool FM2863  | 3.50% | 09/01/48 | 21332984 |
| &nbsp;&nbsp;&nbsp;&nbsp; 63388242 | &nbsp;&nbsp;&nbsp; Pool FM2972  | 4.00% | 12/01/44 | 60576856 |
| &nbsp;&nbsp;&nbsp;&nbsp; 73170906 | &nbsp;&nbsp;&nbsp; Pool FM3003  | 4.00% | 05/01/49 | 69511239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5329261 | &nbsp;&nbsp;&nbsp; Pool FM8218  | 4.00% | 04/01/48 | 5016720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3653244 | &nbsp;&nbsp;&nbsp; Pool FM9408  | 4.50% | 06/01/46 | 3541199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14010042 | &nbsp;&nbsp;&nbsp; Pool FP0122  | 4.50% | 07/01/51 | 13475541 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10937807 | &nbsp;&nbsp;&nbsp; Pool FS0045  | 3.00% | 09/01/47 | 9657725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11551407 | &nbsp;&nbsp;&nbsp; Pool FS0074  | 3.00% | 01/01/47 | 10342350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 28940681 | &nbsp;&nbsp;&nbsp; Pool FS0742  | 3.50% | 05/01/44 | 26828294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10171463 | &nbsp;&nbsp;&nbsp; Pool FS1046  | 4.50% | 11/01/49 | 9875756 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** |  |
|  | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) |
| $29949855 | &nbsp;&nbsp;&nbsp; Pool FS1797  | 3.50% | 07/01/46 | $27732617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7568101 | &nbsp;&nbsp;&nbsp; Pool FS1884  | 4.00% | 05/01/42 | 7146536 |
| &nbsp;&nbsp;&nbsp;&nbsp; 35161303 | &nbsp;&nbsp;&nbsp; Pool FS2044  | 4.50% | 07/01/44 | 34341621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 21712931 | &nbsp;&nbsp;&nbsp; Pool FS2127  | 3.50% | 06/01/48 | 19956742 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6728918 | &nbsp;&nbsp;&nbsp; Pool FS2787  | 4.00% | 10/01/48 | 6430671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 13478699 | &nbsp;&nbsp;&nbsp; Pool FS2796  | 3.50% | 08/01/47 | 12452839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 14620676 | &nbsp;&nbsp;&nbsp; Pool FS2925  | 3.00% | 08/01/48 | 13081191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 34871747 | &nbsp;&nbsp;&nbsp; Pool FS3541  | 3.50% | 08/01/52 | 31230625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1317412 | &nbsp;&nbsp;&nbsp; Pool FS4013  | 4.00% | 04/01/42 | 1276083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1302133 | &nbsp;&nbsp;&nbsp; Pool FS4015  | 5.50% | 03/01/49 | 1328433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 22035921 | &nbsp;&nbsp;&nbsp; Pool FS4157  | 4.00% | 05/01/49 | 20680787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31714 | &nbsp;&nbsp;&nbsp; Pool MA0096  | 4.50% | 06/01/29 | 31616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14245 | &nbsp;&nbsp;&nbsp; Pool MA0295  | 5.00% | 01/01/30 | 14356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1804 | &nbsp;&nbsp;&nbsp; Pool MA0777  | 5.00% | 06/01/31 | 1822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17408 | &nbsp;&nbsp;&nbsp; Pool MA1222  | 4.00% | 10/01/32 | 17192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36615 | &nbsp;&nbsp;&nbsp; Pool MA1228  | 3.00% | 09/01/42 | 32861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1636 | &nbsp;&nbsp;&nbsp; Pool MA2509  | 3.00% | 01/01/46 | 1409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124099 | &nbsp;&nbsp;&nbsp; Pool MA3101  | 4.50% | 08/01/47 | 120443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82222 | &nbsp;&nbsp;&nbsp; Pool MA3123  | 5.00% | 08/01/47 | 81719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 42500000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 3.50% | 09/15/40 | 40714917 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp; Pool TBA  | 3.00% | 10/15/54 | 8560425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20000000 | &nbsp;&nbsp;&nbsp; Pool TBA  | 3.50% | 10/15/54 | 17820815 |
| &nbsp;&nbsp;&nbsp;&nbsp; 54765000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 3.00% | 09/15/55 | 46881170 |
| &nbsp;&nbsp;&nbsp;&nbsp; 81195000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 3.50% | 09/15/55 | 72436861 |
| &nbsp;&nbsp;&nbsp;&nbsp; 63732000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 4.00% | 09/15/55 | 58761533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 4.50% | 09/15/55 | 4741687 |
| &nbsp;&nbsp;&nbsp;&nbsp; 43720000 | &nbsp;&nbsp;&nbsp; Pool TBA  | 5.00% | 09/15/55 | 42527709 |
| &nbsp;&nbsp;&nbsp;&nbsp; 90319000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 5.50% | 09/15/55 | 89773796 |
| &nbsp;&nbsp;&nbsp;&nbsp; 56907000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 6.00% | 09/15/55 | 57644655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7553000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 4.50% | 10/01/55 | 7161023 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp; Pool TBA (h) | 4.00% | 10/15/55 | 9218146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10586000 | &nbsp;&nbsp;&nbsp; Pool TBA  | 5.00% | 10/15/55 | 10293173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 33092000 | &nbsp;&nbsp;&nbsp; Pool TBA  | 5.50% | 10/15/55 | 32871560 |
|  | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21217 | &nbsp;&nbsp;&nbsp; Pool 3227  | 6.00% | 04/20/32 | 21820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27894 | &nbsp;&nbsp;&nbsp; Pool 487108  | 6.00% | 04/15/29 | 28698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15515 | &nbsp;&nbsp;&nbsp; Pool 553144  | 5.50% | 04/15/33 | 15719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58313 | &nbsp;&nbsp;&nbsp; Pool 604338  | 5.00% | 05/15/33 | 58772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39696 | &nbsp;&nbsp;&nbsp; Pool 604897  | 5.00% | 12/15/33 | 39735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55813 | &nbsp;&nbsp;&nbsp; Pool 605389  | 5.00% | 04/15/34 | 56011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113140 | &nbsp;&nbsp;&nbsp; Pool 615403  | 4.50% | 08/15/33 | 112067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4187 | &nbsp;&nbsp;&nbsp; Pool 627123  | 5.50% | 03/15/34 | 4229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59912 | &nbsp;&nbsp;&nbsp; Pool 638704  | 5.50% | 11/15/36 | 62387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41206 | &nbsp;&nbsp;&nbsp; Pool 653143  | 4.90% | 04/15/36 | 41254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204851 | &nbsp;&nbsp;&nbsp; Pool 658324  | 5.50% | 03/15/37 | 211648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67352 | &nbsp;&nbsp;&nbsp; Pool 677190  | 5.00% | 06/15/38 | 67837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10935 | &nbsp;&nbsp;&nbsp; Pool 687833  | 6.00% | 08/15/38 | 11366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36742 | &nbsp;&nbsp;&nbsp; Pool 706840  | 4.50% | 05/15/40 | 36787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153048 | &nbsp;&nbsp;&nbsp; Pool 706855  | 4.50% | 09/15/40 | 153235 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** |  |
|  | Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) |
| $165256 | &nbsp;&nbsp;&nbsp; Pool 711483  | 4.00% | 01/15/40 | $157956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83777 | &nbsp;&nbsp;&nbsp; Pool 711543  | 4.00% | 11/15/40 | 80074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547160 | &nbsp;&nbsp;&nbsp; Pool 711563  | 4.50% | 03/15/41 | 547827 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2969610 | &nbsp;&nbsp;&nbsp; Pool 720225  | 4.50% | 07/15/39 | 2875723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173277 | &nbsp;&nbsp;&nbsp; Pool 723216  | 4.50% | 08/15/40 | 167536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44501 | &nbsp;&nbsp;&nbsp; Pool 723248  | 5.00% | 10/15/39 | 44831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145115 | &nbsp;&nbsp;&nbsp; Pool 724230  | 5.00% | 08/15/39 | 145547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41134 | &nbsp;&nbsp;&nbsp; Pool 724267  | 5.00% | 09/15/39 | 41249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112598 | &nbsp;&nbsp;&nbsp; Pool 724340  | 4.50% | 09/15/39 | 109344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71178 | &nbsp;&nbsp;&nbsp; Pool 725272  | 4.50% | 11/15/39 | 69141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26670 | &nbsp;&nbsp;&nbsp; Pool 726394  | 4.50% | 10/15/39 | 25920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138983 | &nbsp;&nbsp;&nbsp; Pool 733595  | 4.50% | 04/15/40 | 134614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55886 | &nbsp;&nbsp;&nbsp; Pool 733733  | 5.00% | 06/15/40 | 55940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379995 | &nbsp;&nbsp;&nbsp; Pool 736317  | 4.25% | 06/20/36 | 360218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72990 | &nbsp;&nbsp;&nbsp; Pool 736617  | 4.00% | 12/15/35 | 69463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 559763 | &nbsp;&nbsp;&nbsp; Pool 737673  | 4.50% | 11/15/40 | 540367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116430 | &nbsp;&nbsp;&nbsp; Pool 737996  | 4.00% | 02/15/41 | 109306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86050 | &nbsp;&nbsp;&nbsp; Pool 743673  | 4.50% | 07/15/40 | 83880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203637 | &nbsp;&nbsp;&nbsp; Pool 745478  | 5.00% | 08/20/40 | 200874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445227 | &nbsp;&nbsp;&nbsp; Pool 748939  | 4.00% | 09/20/40 | 417060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58137 | &nbsp;&nbsp;&nbsp; Pool 754384  | 4.50% | 03/20/42 | 57630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219382 | &nbsp;&nbsp;&nbsp; Pool 762905  | 4.50% | 04/15/41 | 212466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 657161 | &nbsp;&nbsp;&nbsp; Pool 769102  | 4.50% | 07/20/41 | 651656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169445 | &nbsp;&nbsp;&nbsp; Pool 781623  | 5.00% | 06/15/33 | 171455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25619 | &nbsp;&nbsp;&nbsp; Pool 781697  | 6.00% | 11/15/33 | 26627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140269 | &nbsp;&nbsp;&nbsp; Pool 781824  | 5.50% | 11/15/34 | 144191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5298 | &nbsp;&nbsp;&nbsp; Pool 781862  | 5.50% | 01/15/35 | 5468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5743 | &nbsp;&nbsp;&nbsp; Pool 782070  | 7.00% | 06/15/32 | 5856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30797 | &nbsp;&nbsp;&nbsp; Pool 782810  | 4.50% | 11/15/39 | 30039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51858 | &nbsp;&nbsp;&nbsp; Pool 783091  | 5.50% | 06/15/40 | 53511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93964 | &nbsp;&nbsp;&nbsp; Pool 783375  | 5.00% | 08/15/41 | 93905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135891 | &nbsp;&nbsp;&nbsp; Pool 783760  | 5.00% | 02/15/42 | 136897 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2248194 | &nbsp;&nbsp;&nbsp; Pool 784063  | 5.00% | 09/20/45 | 2244248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 296717 | &nbsp;&nbsp;&nbsp; Pool 784343  | 5.00% | 02/15/41 | 298876 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3011772 | &nbsp;&nbsp;&nbsp; Pool 784752  | 4.00% | 03/15/45 | 2878751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 862682 | &nbsp;&nbsp;&nbsp; Pool 785020  | 3.00% | 05/20/50 | 737813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1680260 | &nbsp;&nbsp;&nbsp; Pool AC0197  | 4.00% | 12/20/42 | 1584477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 261153 | &nbsp;&nbsp;&nbsp; Pool AD0026  | 3.50% | 06/20/33 | 252304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28981 | &nbsp;&nbsp;&nbsp; Pool AG8899  | 4.00% | 12/20/43 | 27328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492082 | &nbsp;&nbsp;&nbsp; Pool AI6317  | 4.50% | 06/20/44 | 472142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238820 | &nbsp;&nbsp;&nbsp; Pool AK2389  | 4.50% | 11/20/44 | 229537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57333 | &nbsp;&nbsp;&nbsp; Pool AN4469  | 5.00% | 12/15/40 | 57208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133526 | &nbsp;&nbsp;&nbsp; Pool AR8421  | 5.00% | 10/20/41 | 131313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 712951 | &nbsp;&nbsp;&nbsp; Pool BB1216  | 4.50% | 06/20/47 | 685026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336685 | &nbsp;&nbsp;&nbsp; Pool BB4731  | 4.00% | 07/20/47 | 312285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254485 | &nbsp;&nbsp;&nbsp; Pool BB4757  | 4.00% | 08/20/47 | 238718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153377 | &nbsp;&nbsp;&nbsp; Pool BB4769  | 4.00% | 08/20/47 | 142451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215871 | &nbsp;&nbsp;&nbsp; Pool BD0483  | 4.50% | 11/20/47 | 206951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319106 | &nbsp;&nbsp;&nbsp; Pool BF0415  | 5.00% | 06/20/35 | 315690 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** | **Pass-Through Securities (Continued)** |  |
|  | Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) |
| $259139 | &nbsp;&nbsp;&nbsp; Pool BL6909  | 5.00% | 03/20/49 | $255626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65961 | &nbsp;&nbsp;&nbsp; Pool MA1162  | 6.00% | 07/20/43 | 69002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8769 | &nbsp;&nbsp;&nbsp; Pool MA2215  | 3.50% | 09/20/44 | 7830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56372 | &nbsp;&nbsp;&nbsp; Pool MA2759  | 6.00% | 01/20/45 | 58898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27527 | &nbsp;&nbsp;&nbsp; Pool MA2897  | 6.00% | 03/20/45 | 28796 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1590207 | &nbsp;&nbsp;&nbsp; Pool MA5714  | 6.00% | 01/20/49 | 1663721 |
|  |  |  |  | 1611910080 |
|  | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | **Total U.S. Government Agency Mortgage-Backed Securities** | 4233015924 |
|  | (Cost $4,424,720,482) | (Cost $4,424,720,482) | (Cost $4,424,720,482) |  |
| **MORTGAGE-BACKED SECURITIES — 7.7%** | **MORTGAGE-BACKED SECURITIES — 7.7%** | **MORTGAGE-BACKED SECURITIES — 7.7%** | **MORTGAGE-BACKED SECURITIES — 7.7%** | **MORTGAGE-BACKED SECURITIES — 7.7%** |
|  | **Collateralized Mortgage Obligations — 5.2%** | **Collateralized Mortgage Obligations — 5.2%** | **Collateralized Mortgage Obligations — 5.2%** |  |
|  | Arroyo Mortgage Trust | Arroyo Mortgage Trust | Arroyo Mortgage Trust | Arroyo Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 9000000 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class M1 (g) | 4.76% | 04/25/49 | 8314127 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1543221 | &nbsp;&nbsp;&nbsp; Series 2019-3, Class A3 (g) | 3.42% | 10/25/48 | 1464246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1610874 | &nbsp;&nbsp;&nbsp; Series 2021-1R, Class A2 (g) | 1.48% | 10/25/48 | 1449822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2223973 | &nbsp;&nbsp;&nbsp; Series 2021-1R, Class A3 (g) | 1.64% | 10/25/48 | 1999801 |
|  | BRAVO Residential Funding Trust | BRAVO Residential Funding Trust | BRAVO Residential Funding Trust | BRAVO Residential Funding Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 951303 | &nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class A2 (g) | 1.26% | 02/25/49 | 888441 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2378256 | &nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class A3 (g) | 1.33% | 02/25/49 | 2213143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 950149 | &nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1 (g) | 5.57% | 03/25/65 | 952021 |
|  | Chase Home Lending Mortgage Trust | Chase Home Lending Mortgage Trust | Chase Home Lending Mortgage Trust | Chase Home Lending Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 1719812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-ATR2, Class A11, 1 Mo. CME Term SOFR + CSA <br> + 0.90% (c) (g) | 5.37% | 07/25/49 | 1637859 |
|  | CIM Trust | CIM Trust | CIM Trust | CIM Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 787630 | &nbsp;&nbsp;&nbsp; Series 2019-INV1, Class A11 (g) | 4.00% | 02/25/49 | 751316 |
|  | Citigroup Global Markets Mortgage Securities VII, Inc. | Citigroup Global Markets Mortgage Securities VII, Inc. | Citigroup Global Markets Mortgage Securities VII, Inc. | Citigroup Global Markets Mortgage Securities VII, Inc. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp; Series 2003-UP2, Class PO1, PO (d) | (e) | 12/25/18 | 215 |
|  | COLT Mortgage Loan Trust | COLT Mortgage Loan Trust | COLT Mortgage Loan Trust | COLT Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4816598 | &nbsp;&nbsp;&nbsp; Series 2025-4, Class A1, steps up to 6.79% on 05/01/2029 (g) (i) | 5.79% | 04/25/70 | 4849024 |
|  | Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3891800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2M2, 30 Day Average SOFR + <br> 2.00% (c) (g) | 6.35% | 11/25/41 | 3923906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M2, 30 Day Average SOFR + <br> 3.00% (c) (g) | 7.35% | 01/25/42 | 5123752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2105071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R01, Class 1M1, 30 Day Average SOFR + <br> 1.05% (c) (g) | 5.40% | 01/25/44 | 2105286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4876028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R04, Class 1A1, 30 Day Average SOFR + <br> 1.00% (c) (g) | 5.35% | 05/25/44 | 4880449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4720405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R05, Class 2A1, 30 Day Average SOFR + <br> 1.00% (c) (g) | 5.35% | 07/25/44 | 4728811 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5542254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-R02, Class 1A1, 30 Day Average SOFR + <br> 1.00% (c) (g) | 5.35% | 02/25/45 | 5545375 |
|  | Credit Suisse Mortgage Trust | Credit Suisse Mortgage Trust | Credit Suisse Mortgage Trust | Credit Suisse Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238423 | &nbsp;&nbsp;&nbsp; Series 2018-RPL9, Class A (g) | 3.85% | 09/25/57 | 230257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437848 | &nbsp;&nbsp;&nbsp; Series 2021-RPL4, Class A1 (g) | 4.12% | 12/27/60 | 436360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 975427 | &nbsp;&nbsp;&nbsp; Series 2021-RPL6, Class A1 (g) | 2.00% | 10/25/60 | 877886 |
|  | Ellington Financial Mortgage Trust | Ellington Financial Mortgage Trust | Ellington Financial Mortgage Trust | Ellington Financial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2422000 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class M1 (g) | 3.47% | 11/25/59 | 2271009 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Ellington Financial Mortgage Trust (Continued) | Ellington Financial Mortgage Trust (Continued) | Ellington Financial Mortgage Trust (Continued) | Ellington Financial Mortgage Trust (Continued) |
| $5499025 | &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1 (g) | 4.30% | 04/25/67 | $5437171 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6425560 | &nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, steps up to 6.73% on 01/01/27 (g) (i) | 5.73% | 02/25/68 | 6409238 |
|  | FARM Mortgage Trust | FARM Mortgage Trust | FARM Mortgage Trust | FARM Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5104147 | &nbsp;&nbsp;&nbsp; Series 2024-1, Class A (f) (g) | 4.69% | 10/01/53 | 4873593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5980652 | &nbsp;&nbsp;&nbsp; Series 2024-2, Class A (f) (g) | 5.20% | 08/01/54 | 5881772 |
|  | Flagstar Mortgage Trust | Flagstar Mortgage Trust | Flagstar Mortgage Trust | Flagstar Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110989 | &nbsp;&nbsp;&nbsp; Series 2018-2, Class A4 (g) | 3.50% | 04/25/48 | 107867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3430424 | &nbsp;&nbsp;&nbsp; Series 2018-4, Class B1 (f) (g) | 4.13% | 07/25/48 | 3176587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1188002 | &nbsp;&nbsp;&nbsp; Series 2019-2, Class A11 (g) | 3.50% | 12/25/49 | 1063740 |
|  | GMACM Mortgage Loan Trust | GMACM Mortgage Loan Trust | GMACM Mortgage Loan Trust | GMACM Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 723 | &nbsp;&nbsp;&nbsp; Series 2003-J10, Class A1 (d) | 4.75% | 01/25/19 | 478 |
|  | GS Mortgage-Backed Securities Trust | GS Mortgage-Backed Securities Trust | GS Mortgage-Backed Securities Trust | GS Mortgage-Backed Securities Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238789 | &nbsp;&nbsp;&nbsp; Series 2019-PJ3, Class A1 (g) | 3.50% | 03/25/50 | 224376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2923096 | &nbsp;&nbsp;&nbsp; Series 2021-PJ6, Class A8 (g) | 2.50% | 11/25/51 | 2595901 |
|  | HOMES Trust | HOMES Trust | HOMES Trust | HOMES Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5224911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AFC1, Class A1, steps up to 6.22% <br> on 09/01/2028 (g) (i) | 5.22% | 08/25/59 | 5202776 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2695510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AFC2, Class A1A, steps up to 6.47% <br> on 06/01/2029 (g) (i) | 5.47% | 06/25/60 | 2692816 |
|  | JP Morgan Mortgage Trust | JP Morgan Mortgage Trust | JP Morgan Mortgage Trust | JP Morgan Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3334 | &nbsp;&nbsp;&nbsp; Series 2004-S2, Class 5A1 | 5.50% | 12/25/19 | 3288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378383 | &nbsp;&nbsp;&nbsp; Series 2015-IVR2, Class A5 (f) (g) | 5.89% | 01/25/45 | 377796 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1155862 | &nbsp;&nbsp;&nbsp; Series 2019-1, Class A5 (g) | 4.00% | 05/25/49 | 1076854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 497354 | &nbsp;&nbsp;&nbsp; Series 2019-8, Class A15 (g) | 3.50% | 03/25/50 | 447490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5086827 | &nbsp;&nbsp;&nbsp; Series 2019-INV1, Class B1 (f) (g) | 4.93% | 09/25/49 | 4931066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891151 | &nbsp;&nbsp;&nbsp; Series 2019-INV2, Class A15 (g) | 3.50% | 02/25/50 | 809758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3302193 | &nbsp;&nbsp;&nbsp; Series 2020-INV1, Class A15 (g) | 3.50% | 08/25/50 | 2952609 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11850000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3, Class A1C, steps up to 6.64% <br> on 04/01/2029 (g) (i) | 5.64% | 09/25/55 | 11842088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5MPR, Class A1C, steps up to 6.82% <br> on 05/01/2029 (g) (i) | 5.82% | 11/25/55 | 3012440 |
|  | Mello Mortgage Capital Acceptance | Mello Mortgage Capital Acceptance | Mello Mortgage Capital Acceptance | Mello Mortgage Capital Acceptance |
| &nbsp;&nbsp;&nbsp;&nbsp; 3571378 | &nbsp;&nbsp;&nbsp; Series 2018-MTG2, Class A9 (g) | 4.31% | 10/25/48 | 3409844 |
|  | MetLife Securitization Trust | MetLife Securitization Trust | MetLife Securitization Trust | MetLife Securitization Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3749417 | &nbsp;&nbsp;&nbsp; Series 2018-1A, Class A (g) | 3.75% | 03/25/57 | 3635664 |
|  | MFRA Trust | MFRA Trust | MFRA Trust | MFRA Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 12578786 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A1, steps up to 6.72% <br> on 12/01/2028 (g) (i) | 5.72% | 12/25/69 | 12623186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1874017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, steps up to 6.44% <br> on 02/01/2029 (g) (i) | 5.44% | 03/25/70 | 1870096 |
|  | New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3161146 | &nbsp;&nbsp;&nbsp; Series 2015-2A, Class B1 (g) | 4.50% | 08/25/55 | 3116279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2729732 | &nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1 (g) | 3.75% | 03/25/56 | 2624812 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2089546 | &nbsp;&nbsp;&nbsp; Series 2016-3A, Class B1 (g) | 4.00% | 09/25/56 | 2029783 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6468523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4A, Class A1S, 1 Mo. CME Term SOFR + CSA + <br> 0.75% (c) (g) | 5.22% | 01/25/48 | 6346246 |
|  | OBX Trust | OBX Trust | OBX Trust | OBX Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 844067 | &nbsp;&nbsp;&nbsp; Series 2018-EXP1, Class 1A3 (g) | 4.00% | 04/25/48 | 796180 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust |
| $5360928 | &nbsp;&nbsp;&nbsp; Series 2021-NQM4, Class A1 (g) | 1.96% | 10/25/61 | $4523958 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2343708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, steps up to 6.60% <br> on 03/01/2029 (g) (i) | 5.60% | 03/25/65 | 2348359 |
|  | PRKCM Trust | PRKCM Trust | PRKCM Trust | PRKCM Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2768113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-HOME1, Class A1A, steps up to 6.55% <br> on 03/01/2029 (g) (i) | 5.55% | 02/25/60 | 2768903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 966183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-HOME1, Class A1B, steps up to 6.65% <br> on 03/01/2029 (g) (i) | 5.65% | 02/25/60 | 968333 |
|  | Provident Funding Mortgage Trust | Provident Funding Mortgage Trust | Provident Funding Mortgage Trust | Provident Funding Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 1039506 | &nbsp;&nbsp;&nbsp; Series 2019-1, Class A5 (g) | 3.00% | 12/25/49 | 894364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2231986 | &nbsp;&nbsp;&nbsp; Series 2020-1, Class A5 (g) | 3.00% | 02/25/50 | 1902848 |
|  | PRPM LLC | PRPM LLC | PRPM LLC | PRPM LLC |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448598 | &nbsp;&nbsp;&nbsp; Series 2024-8, Class A1, steps up to 8.90% on 12/25/2027 (g) (i) | 5.90% | 12/25/29 | 445625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4441538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RPL2, Class A1, steps up to 4.50% <br> on 05/25/2028 (g) (i) | 3.50% | 05/25/54 | 4290600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8952715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RPL3, Class A1, steps up to 5.00% <br> on 11/25/2028 (g) (i) | 4.00% | 11/25/54 | 8683874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15261652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RPL4, Class A1, steps up to 5.00% <br> on 12/25/2028 (g) (i) | 4.00% | 12/25/54 | 14818168 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5723085 | &nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, steps up to 9.47% on 05/01/2028 (g) (i) | 6.47% | 05/25/30 | 5734188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4892906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, steps up to 6.69% <br> on 05/01/2029 (g) (i) | 5.69% | 04/25/70 | 4908794 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1919237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RPL3, Class A1, steps up to 4.25% <br> on 04/01/2028 (g) (i) | 3.25% | 04/25/55 | 1837388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5435281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RPL4, Class A1, steps up to 4.00% <br> on 05/01/2029 (g) (i) | 3.00% | 05/25/55 | 5074905 |
|  | Seasoned Credit Risk Transfer Trust | Seasoned Credit Risk Transfer Trust | Seasoned Credit Risk Transfer Trust | Seasoned Credit Risk Transfer Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 10159114 | &nbsp;&nbsp;&nbsp; Series 2017-1, Class M2 (g) | 4.00% | 01/25/56 | 9790866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1216393 | &nbsp;&nbsp;&nbsp; Series 2017-2, Class M1 (g) | 4.00% | 08/25/56 | 1210912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2471459 | &nbsp;&nbsp;&nbsp; Series 2017-4, Class M (g) | 4.75% | 06/25/57 | 2435187 |
|  | Sequoia Mortgage Trust | Sequoia Mortgage Trust | Sequoia Mortgage Trust | Sequoia Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195711 | &nbsp;&nbsp;&nbsp; Series 2017-CH1, Class A13 (g) | 4.00% | 08/25/47 | 185151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4420567 | &nbsp;&nbsp;&nbsp; Series 2018-CH1, Class B1B (g) | 4.43% | 03/25/48 | 4231494 |
|  | Starwood Mortgage Residential Trust | Starwood Mortgage Residential Trust | Starwood Mortgage Residential Trust | Starwood Mortgage Residential Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 6800421 | &nbsp;&nbsp;&nbsp; Series 2022-3, Class A1 (g) | 4.16% | 03/25/67 | 6651024 |
|  | TIAA Bank Mortgage Loan Trust | TIAA Bank Mortgage Loan Trust | TIAA Bank Mortgage Loan Trust | TIAA Bank Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 715357 | &nbsp;&nbsp;&nbsp; Series 2018-3, Class A1 (g) | 4.00% | 11/25/48 | 675383 |
|  | Towd Point Mortgage Trust | Towd Point Mortgage Trust | Towd Point Mortgage Trust | Towd Point Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 603284 | &nbsp;&nbsp;&nbsp; Series 2017-2, Class A2 (g) | 3.25% | 04/25/57 | 600811 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9130323 | &nbsp;&nbsp;&nbsp; Series 2019-1, Class A1 (g) | 3.75% | 03/25/58 | 8847845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3290285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-HY2, Class A1, 1 Mo. CME Term SOFR + CSA + <br> 1.00% (c) (g) | 5.47% | 05/25/58 | 3368191 |
|  | TRK Trust | TRK Trust | TRK Trust | TRK Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2744835 | &nbsp;&nbsp;&nbsp; Series 2021-INV1, Class A1 (g) | 1.15% | 07/25/56 | 2472117 |
|  | Verus Securitization Trust | Verus Securitization Trust | Verus Securitization Trust | Verus Securitization Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2979870 | &nbsp;&nbsp;&nbsp; Series 2025-3, Class A1, steps up to 6.62% on 04/01/2029 (g) (i) | 5.62% | 05/25/70 | 2994359 |
|  | Vista Point Securitization Trust | Vista Point Securitization Trust | Vista Point Securitization Trust | Vista Point Securitization Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 6662000 | &nbsp;&nbsp;&nbsp; Series 2020-1, Class M1 (g) | 4.15% | 03/25/65 | 6547334 |
|  | Wells Fargo Mortgage Backed Securities Trust | Wells Fargo Mortgage Backed Securities Trust | Wells Fargo Mortgage Backed Securities Trust | Wells Fargo Mortgage Backed Securities Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170206 | &nbsp;&nbsp;&nbsp; Series 2019-1, Class A1 (g) | 3.92% | 11/25/48 | 162055 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** | **Collateralized Mortgage Obligations (Continued)** |  |
|  | WinWater Mortgage Loan Trust | WinWater Mortgage Loan Trust | WinWater Mortgage Loan Trust | WinWater Mortgage Loan Trust |
| $581533 | &nbsp;&nbsp;&nbsp; Series 2016-1, Class 2A3 (g) | 3.00% | 12/20/30 | $559731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2872676 | &nbsp;&nbsp;&nbsp; Series 2016-1, Class B1 (f) (g) | 3.78% | 01/20/46 | 2738599 |
|  |  |  |  | 266886266 |
|  | **Commercial Mortgage-Backed Securities — 2.5%** | **Commercial Mortgage-Backed Securities — 2.5%** | **Commercial Mortgage-Backed Securities — 2.5%** |  |
|  | Arbor Multifamily Mortgage Securities Trust | Arbor Multifamily Mortgage Securities Trust | Arbor Multifamily Mortgage Securities Trust | Arbor Multifamily Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 19400000 | &nbsp;&nbsp;&nbsp; Series 2020-MF1, Class A4 (g) | 2.50% | 05/15/53 | 17790106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1493390 | &nbsp;&nbsp;&nbsp; Series 2020-MF1, Class A5 (g) | 2.76% | 05/15/53 | 1374159 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2963000 | &nbsp;&nbsp;&nbsp; Series 2020-MF1, Class AS (g) | 3.06% | 05/15/53 | 2724244 |
|  | BANK | BANK | BANK | BANK |
| &nbsp;&nbsp;&nbsp;&nbsp; 7700078 | &nbsp;&nbsp;&nbsp; Series 2019-BN23, Class XA, IO (f) | 0.68% | 12/15/52 | 190297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8205251 | &nbsp;&nbsp;&nbsp; Series 2020-BN26, Class XA, IO (f) | 1.19% | 03/15/63 | 335669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3450000 | &nbsp;&nbsp;&nbsp; Series 2022-BNK43, Class ASB | 4.50% | 08/15/55 | 3417170 |
|  | BBCMS Mortgage Trust | BBCMS Mortgage Trust | BBCMS Mortgage Trust | BBCMS Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA + <br> 0.87% (c) (g) | 5.26% | 03/15/37 | 6662895 |
|  | Benchmark Mortgage Trust | Benchmark Mortgage Trust | Benchmark Mortgage Trust | Benchmark Mortgage Trust |
| &nbsp;&nbsp; 140940850 | &nbsp;&nbsp;&nbsp; Series 2023-V2, Class XA, IO (f) | 0.99% | 05/15/55 | 3317790 |
| &nbsp;&nbsp;&nbsp;&nbsp; 75121745 | &nbsp;&nbsp;&nbsp; Series 2024-V6, Class XA, IO (f) | 1.34% | 03/15/57 | 3143432 |
|  | BMO Mortgage Trust | BMO Mortgage Trust | BMO Mortgage Trust | BMO Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 78500000 | &nbsp;&nbsp;&nbsp; Series 2024-5C3, Class XA, IO (f) | 1.12% | 02/15/57 | 2596552 |
|  | BPR Trust | BPR Trust | BPR Trust | BPR Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4343394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-WILL, Class A, 1 Mo. CME Term SOFR + CSA + <br> 1.75% (c) (g) | 6.21% | 06/15/38 | 4334677 |
|  | BWAY Trust | BWAY Trust | BWAY Trust | BWAY Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3595000 | &nbsp;&nbsp;&nbsp; Series 2025-1535, Class A (f) (g) | 6.31% | 05/05/42 | 3670035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1480000 | &nbsp;&nbsp;&nbsp; Series 2025-1535, Class B (f) (g) | 7.46% | 05/05/42 | 1534671 |
|  | BX Commercial Mortgage Trust | BX Commercial Mortgage Trust | BX Commercial Mortgage Trust | BX Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2900000 | &nbsp;&nbsp;&nbsp; Series 2020-VIV4, Class A (g) | 2.84% | 03/09/44 | 2648481 |
|  | BX Trust | BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5740000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-GW, Class A, 1 Mo. CME Term SOFR + <br> 1.60% (c) (g) | 5.94% | 07/15/42 | 5767440 |
|  | Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending |
| &nbsp;&nbsp;&nbsp;&nbsp; 4640007 | &nbsp;&nbsp;&nbsp; Series 2019-CF3, Class ASB | 2.94% | 01/15/53 | 4472332 |
|  | CFCRE Commercial Mortgage Trust | CFCRE Commercial Mortgage Trust | CFCRE Commercial Mortgage Trust | CFCRE Commercial Mortgage Trust |
| &nbsp;&nbsp; 202128402 | &nbsp;&nbsp;&nbsp; Series 2017-C8, Class XA, IO (f) | 1.47% | 06/15/50 | 3723043 |
|  | Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 86878709 | &nbsp;&nbsp;&nbsp; Series 2016-P4, Class XA, IO (f) | 1.89% | 07/10/49 | 773863 |
|  | COMM Mortgage Trust | COMM Mortgage Trust | COMM Mortgage Trust | COMM Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2555121 | &nbsp;&nbsp;&nbsp; Series 2016-DC2, Class A4 | 3.50% | 02/10/49 | 2549108 |
| &nbsp;&nbsp;&nbsp;&nbsp; 41260000 | &nbsp;&nbsp;&nbsp; Series 2024-277P, Class X, IO (f) (g) | 0.66% | 08/10/44 | 1091348 |
|  | Credit Suisse Mortgage Trust | Credit Suisse Mortgage Trust | Credit Suisse Mortgage Trust | Credit Suisse Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2800000 | &nbsp;&nbsp;&nbsp; Series 2019-UVIL, Class A (g) | 3.16% | 12/15/41 | 2583908 |
|  | CSAIL Commercial Mortgage Trust | CSAIL Commercial Mortgage Trust | CSAIL Commercial Mortgage Trust | CSAIL Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3254678 | &nbsp;&nbsp;&nbsp; Series 2019-C18, Class ASB | 2.87% | 12/15/52 | 3158189 |
| &nbsp;&nbsp;&nbsp;&nbsp; 56096326 | &nbsp;&nbsp;&nbsp; Series 2020-C19, Class XA, IO (f) | 1.09% | 03/15/53 | 2094923 |
|  | FIVE Mortgage Trust | FIVE Mortgage Trust | FIVE Mortgage Trust | FIVE Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 30132866 | &nbsp;&nbsp;&nbsp; Series 2023-V1, Class XA, IO (b) | 0.67% | 02/10/56 | 446810 |
|  | GS Mortgage Securities Trust | GS Mortgage Securities Trust | GS Mortgage Securities Trust | GS Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4025000 | &nbsp;&nbsp;&nbsp; Series 2024-FAIR, Class A (f) (g) | 5.88% | 07/15/29 | 4133087 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** | **MORTGAGE-BACKED SECURITIES (Continued)** |
|  | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** | **Commercial Mortgage-Backed Securities (Continued)** |  |
|  | Hilton USA Trust | Hilton USA Trust | Hilton USA Trust | Hilton USA Trust |
| $4250000 | &nbsp;&nbsp;&nbsp; Series 2016-HHV, Class A (g) | 3.72% | 11/05/38 | $4175885 |
|  | Houston Galleria Mall Trust | Houston Galleria Mall Trust | Houston Galleria Mall Trust | Houston Galleria Mall Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5425000 | &nbsp;&nbsp;&nbsp; Series 2025-HGLR, Class A (f) (g) | 5.46% | 02/05/45 | 5515350 |
|  | JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 1462209 | &nbsp;&nbsp;&nbsp; Series 2017-JP5, Class A4 | 3.46% | 03/15/50 | 1441867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3561390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA + <br> 1.21% (c) (g) | 5.60% | 06/15/35 | 3045559 |
|  | JW Trust | JW Trust | JW Trust | JW Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BERY, Class A, 1 Mo. CME Term SOFR + <br> 1.59% (c) (g) | 5.93% | 11/15/39 | 3509581 |
|  | Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4527000 | &nbsp;&nbsp;&nbsp; Series 2018-MP, Class A (f) (g) | 4.28% | 07/11/40 | 4263232 |
|  | MSWF Commercial Mortgage Trust | MSWF Commercial Mortgage Trust | MSWF Commercial Mortgage Trust | MSWF Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 22156474 | &nbsp;&nbsp;&nbsp; Series 2023-1, Class XA, IO (f) | 0.86% | 05/15/56 | 1143041 |
|  | NY Commercial Mortgage Trust | NY Commercial Mortgage Trust | NY Commercial Mortgage Trust | NY Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3230000 | &nbsp;&nbsp;&nbsp; Series 2025-299P, Class A (f) (g) | 5.66% | 02/10/47 | 3332680 |
|  | NYO Commercial Mortgage Trust | NYO Commercial Mortgage Trust | NYO Commercial Mortgage Trust | NYO Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1290, Class A, 1 Mo. CME Term SOFR + CSA + <br> 1.10% (c) (g) | 5.55% | 11/15/38 | 5297688 |
|  | One Bryant Park Trust | One Bryant Park Trust | One Bryant Park Trust | One Bryant Park Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2250000 | &nbsp;&nbsp;&nbsp; Series 2019-OBP, Class A (g) | 2.52% | 09/15/54 | 2040241 |
|  | SKY Trust | SKY Trust | SKY Trust | SKY Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 2961332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LINE, Class A, 1 Mo. CME Term SOFR + <br> 2.59% (c) (g) | 6.93% | 04/15/42 | 2975771 |
|  | Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3519700 | &nbsp;&nbsp;&nbsp; Series 2018-C47, Class AS | 4.67% | 09/15/61 | 3467284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; Series 2021-C61, Class ASB | 2.53% | 11/15/54 | 4632852 |
|  |  |  |  | 129375260 |
|  | **Total Mortgage-Backed Securities** | **Total Mortgage-Backed Securities** | **Total Mortgage-Backed Securities** | 396261526 |
|  | (Cost $401,151,069) | (Cost $401,151,069) | (Cost $401,151,069) |  |
| **U.S. GOVERNMENT BONDS AND NOTES — 4.4%** | **U.S. GOVERNMENT BONDS AND NOTES — 4.4%** | **U.S. GOVERNMENT BONDS AND NOTES — 4.4%** | **U.S. GOVERNMENT BONDS AND NOTES — 4.4%** | **U.S. GOVERNMENT BONDS AND NOTES — 4.4%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 20000000 | U.S. Treasury Bond, STRIPS  | (e) | 11/15/39 | 10269176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 25000000 | U.S. Treasury Bond, STRIPS  | (e) | 02/15/40 | 12674038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 25000000 | U.S. Treasury Bond, STRIPS  | (e) | 02/15/41 | 11963883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 25000000 | U.S. Treasury Bond, STRIPS  | (e) | 05/15/41 | 11780344 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6268600 | U.S. Treasury Inflation Indexed Bonds (j) | 0.13% | 07/15/30 | 5898466 |
| &nbsp;&nbsp;&nbsp;&nbsp; 41000000 | U.S. Treasury Note (k) | 4.13% | 02/15/27 | 41061660 |
| &nbsp;&nbsp;&nbsp;&nbsp; 34000000 | U.S. Treasury Note  | 4.50% | 04/15/27 | 34285547 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | U.S. Treasury Note  | 4.13% | 11/15/27 | 10045117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 15000000 | U.S. Treasury Note  | 4.25% | 01/15/28 | 15118066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 18000000 | U.S. Treasury Note  | 2.88% | 05/15/28 | 17522930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 58600000 | U.S. Treasury Note (k) | 4.13% | 07/31/28 | 59002875 |
|  | **Total U.S. Government Bonds and Notes** | **Total U.S. Government Bonds and Notes** | **Total U.S. Government Bonds and Notes** | 229622102 |
|  | (Cost $226,594,146) | (Cost $226,594,146) | (Cost $226,594,146) |  |
| **ASSET-BACKED SECURITIES — 1.8%** | **ASSET-BACKED SECURITIES — 1.8%** | **ASSET-BACKED SECURITIES — 1.8%** | **ASSET-BACKED SECURITIES — 1.8%** | **ASSET-BACKED SECURITIES — 1.8%** |
|  | Capital Street Master Trust | Capital Street Master Trust | Capital Street Master Trust | Capital Street Master Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 30 Day Average SOFR + 1.35% (c) (g) | 5.69% | 10/16/28 | 5000959 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 30 Day Average SOFR + <br> 1.10% (c) (g) (l) | 5.45% | 08/16/29 | 2500000 |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** |
|  | CoreVest American Finance Trust | CoreVest American Finance Trust | CoreVest American Finance Trust | CoreVest American Finance Trust |
| $2963810 | &nbsp;&nbsp;&nbsp; Series 2020-3, Class A (g) | 1.36% | 08/15/53 | $2926668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3139029 | &nbsp;&nbsp;&nbsp; Series 2020-4, Class A (g) | 1.17% | 12/15/52 | 3113072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5233936 | &nbsp;&nbsp;&nbsp; Series 2021-1, Class A (g) | 1.57% | 04/15/53 | 5106365 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1050913 | &nbsp;&nbsp;&nbsp; Series 2021-2, Class A (g) | 1.41% | 07/15/54 | 1006048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 703337 | &nbsp;&nbsp;&nbsp; Series 2021-3, Class A (g) | 1.90% | 10/15/54 | 685204 |
|  | CWABS, Inc. Asset-Backed Certificates Trust | CWABS, Inc. Asset-Backed Certificates Trust | CWABS, Inc. Asset-Backed Certificates Trust | CWABS, Inc. Asset-Backed Certificates Trust |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class M1, 1 Mo. CME Term SOFR + CSA + <br> 0.86% (c) | 5.32% | 08/25/34 | 54607 |
|  | Diamond Resorts Owner Trust | Diamond Resorts Owner Trust | Diamond Resorts Owner Trust | Diamond Resorts Owner Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 1827967 | &nbsp;&nbsp;&nbsp; Series 2021-1A, Class A (g) | 1.51% | 11/21/33 | 1823764 |
|  | Exeter Select Automobile Receivables Trust | Exeter Select Automobile Receivables Trust | Exeter Select Automobile Receivables Trust | Exeter Select Automobile Receivables Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4250000 | &nbsp;&nbsp;&nbsp; Series 2025-1, Class D | 6.14% | 09/15/31 | 4362282 |
|  | FirstKey Homes Trust | FirstKey Homes Trust | FirstKey Homes Trust | FirstKey Homes Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4043113 | &nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class A (g) | 1.34% | 08/17/37 | 4023893 |
|  | FNA VI LLC | FNA VI LLC | FNA VI LLC | FNA VI LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; 2741577 | &nbsp;&nbsp;&nbsp; Series 2021-1A, Class A (g) | 1.35% | 01/10/32 | 2546922 |
|  | GSAMP Trust | GSAMP Trust | GSAMP Trust | GSAMP Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 1313150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SEA1, Class M2, 1 Mo. CME Term SOFR + CSA + <br> 1.65% (c) (g) | 6.12% | 05/25/36 | 1549920 |
|  | Island Finance Trust | Island Finance Trust | Island Finance Trust | Island Finance Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A (g) | 6.54% | 03/19/35 | 3038102 |
|  | M360 Ltd. | M360 Ltd. | M360 Ltd. | M360 Ltd. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CRE3, Class A, 1 Mo. CME Term SOFR + CSA + <br> 1.50% (c) (g) | 5.97% | 11/22/38 | 289198 |
|  | Oscar US Funding XVII LLC | Oscar US Funding XVII LLC | Oscar US Funding XVII LLC | Oscar US Funding XVII LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; 4900000 | &nbsp;&nbsp;&nbsp; Series 2024-2A, Class A3 (g) | 4.47% | 03/12/29 | 4891859 |
|  | Pagaya AI Debt Grantor Trust | Pagaya AI Debt Grantor Trust | Pagaya AI Debt Grantor Trust | Pagaya AI Debt Grantor Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4252763 | &nbsp;&nbsp;&nbsp; Series 2024-10, Class A (g) | 5.18% | 06/15/32 | 4263384 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4836201 | &nbsp;&nbsp;&nbsp; Series 2024-11, Class A (g) | 5.09% | 07/15/32 | 4841024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4999573 | &nbsp;&nbsp;&nbsp; Series 2025-1, Class A2 (g) | 5.16% | 07/15/32 | 5007489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4000487 | &nbsp;&nbsp;&nbsp; Series 2025-2, Class A (b) (g) | 4.83% | 10/15/32 | 3997923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; Series 2025-5, Class A2 (g) | 5.11% | 03/15/33 | 2503647 |
|  | Pagaya AI Debt Trust | Pagaya AI Debt Trust | Pagaya AI Debt Trust | Pagaya AI Debt Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; Series 2025-4, Class A2 (g) | 5.37% | 01/17/33 | 5024097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2607458 | &nbsp;&nbsp;&nbsp; Series 2025-R1, Class A1 (g) | 4.87% | 05/18/26 | 2607074 |
|  | PFS Financing Corp. | PFS Financing Corp. | PFS Financing Corp. | PFS Financing Corp. |
| &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; Series 2025-C, Class A, 30 Day Average SOFR + 0.95% (c) (g) | 5.29% | 04/15/29 | 2502250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp; Series 2025-D, Class A (g) | 4.47% | 05/15/30 | 4003859 |
|  | Progress Residential Trust | Progress Residential Trust | Progress Residential Trust | Progress Residential Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 5493212 | &nbsp;&nbsp;&nbsp; Series 2025-SFR1, Class A (g) | 3.40% | 02/17/42 | 5194321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4341000 | &nbsp;&nbsp;&nbsp; Series 2025-SFR3, Class A (g) | 3.39% | 07/17/42 | 4064220 |
|  | Saluda Grade Alternative Mortgage Trust | Saluda Grade Alternative Mortgage Trust | Saluda Grade Alternative Mortgage Trust | Saluda Grade Alternative Mortgage Trust |
| &nbsp;&nbsp;&nbsp;&nbsp; 4706441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NPL1, Class A1, steps up to 10.12% <br> on 12/01/2027 (g) (i) | 7.12% | 01/25/30 | 4708257 |
|  | VCAT LLC | VCAT LLC | VCAT LLC | VCAT LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; 3970202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NPL2, Class A1, steps up to 8.98% <br> on 01/25/2028 (g) (i) | 5.98% | 01/25/55 | 3973190 |
|  | **Total Asset-Backed Securities** | **Total Asset-Backed Securities** | **Total Asset-Backed Securities** | 95609598 |
|  | (Cost $94,571,783) | (Cost $94,571,783) | (Cost $94,571,783) |  |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **U.S. GOVERNMENT AGENCY SECURITIES — 0.4%** | **U.S. GOVERNMENT AGENCY SECURITIES — 0.4%** | **U.S. GOVERNMENT AGENCY SECURITIES — 0.4%** | **U.S. GOVERNMENT AGENCY SECURITIES — 0.4%** | **U.S. GOVERNMENT AGENCY SECURITIES — 0.4%** |
| $10000000 | Tennessee Valley Authority  | 4.88% | 05/15/35 | $10156639 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10225000 | Tennessee Valley Authority  | 5.25% | 02/01/55 | 9923365 |
|  | **Total U.S. Government Agency Securities** | **Total U.S. Government Agency Securities** | **Total U.S. Government Agency Securities** | 20080004 |
|  | (Cost $19,805,477) | (Cost $19,805,477) | (Cost $19,805,477) |  |

---

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **EXCHANGE-TRADED FUNDS — 0.1%** | **EXCHANGE-TRADED FUNDS — 0.1%** | **EXCHANGE-TRADED FUNDS — 0.1%** |
|  | **Capital Markets — 0.1%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20000 | First Trust Commercial Mortgage Opportunities ETF (m) | 406700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60000 | First Trust Intermediate Government Opportunities ETF (m) | 1201800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73956 | First Trust Long Duration Opportunities ETF (m) | 1565279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22500 | First Trust Structured Credit Income Opportunities ETF (m) | 463725 |
|  | **Total Exchange-Traded Funds** | 3637504 |
|  | (Cost $3,826,415) |  |

---

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

---

| | | | |
|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Maturity**<br>| **Value** |
| **U.S. TREASURY BILLS — 12.3%** | **U.S. TREASURY BILLS — 12.3%** | **U.S. TREASURY BILLS — 12.3%** | **U.S. TREASURY BILLS — 12.3%** |
| $20000000 | U.S. Treasury Bill <br> (e) | 08/21/25 | 19952322 |
| &nbsp;&nbsp; 100000000 | U.S. Treasury Bill (k)<br> (e) | 08/26/25 | 99701875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 70000000 | U.S. Treasury Bill <br> (e) | 09/04/25 | 69717722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | U.S. Treasury Bill <br> (e) | 09/11/25 | 9951227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 90000000 | U.S. Treasury Bill <br> (e) | 10/21/25 | 89141780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | U.S. Treasury Bill <br> (e) | 10/23/25 | 9902331 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20000000 | U.S. Treasury Bill <br> (e) | 10/28/25 | 19793126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | U.S. Treasury Bill <br> (e) | 11/04/25 | 9888847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 20000000 | U.S. Treasury Bill <br> (e) | 11/12/25 | 19757998 |
| &nbsp;&nbsp; 180000000 | U.S. Treasury Bill <br> (e) | 11/18/25 | 177693969 |
| &nbsp;&nbsp; 100000000 | U.S. Treasury Bill <br> (e) | 11/25/25 | 98638208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | U.S. Treasury Bill (n)<br> (e) | 12/02/25 | 9860506 |
|  | **Total U.S. Treasury Bills** | **Total U.S. Treasury Bills** | 633999911 |
|  | (Cost $634,012,051) | (Cost $634,012,051) |  |

---

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **MONEY MARKET FUNDS — 1.3%** | **MONEY MARKET FUNDS — 1.3%** | **MONEY MARKET FUNDS — 1.3%** |
| &nbsp;&nbsp;&nbsp;&nbsp; 68132997 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.16% (o) | 68132997 |
|  | (Cost $68,132,997) |  |
|  | **Total Investments — 109.9%** | 5680359566 |
|  | (Cost $5,872,814,420) |  |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of** <br>**Contracts**<br>| **Description** | **Notional** <br>**Amount**<br>| **Exercise** <br>**Price**<br>| **Expiration** <br>**Date**<br>| **Value** |
| **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** | **PURCHASED OPTIONS — 0.0%** |
|  | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** | **Call Options Purchased — 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | U.S. 10-Year Treasury Futures Call  | $111063 | $114.00 | 08/22/25 | 47 |
|  | (Cost $81) |  |  |  |  |

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts**<br>| **Description** | **Notional**<br> **Amount**<br>| **Exercise**<br> **Price**<br>| **Expiration**<br> **Date**<br>| **Value** |
| **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** | **WRITTEN OPTIONS — (0.2)%** |
|  | **Call Options Written — (0.1)%** | **Call Options Written — (0.1)%** | **Call Options Written — (0.1)%** | **Call Options Written — (0.1)%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (305) | 3 Month SOFR Futures Call  | $(73714687)<br>| $97.50 | 12/10/27 | $(198250)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (13) | U.S. 2-Year Treasury Futures Call  | (2690797)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104.25 | 08/22/25 | (609)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (75) | U.S. 2-Year Treasury Futures Call  | (15523828)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104.50 | 08/22/25 | (2344)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (62) | U.S. 2-Year Treasury Futures Call  | (12833031)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104.25 | 11/21/25 | (24219)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (300) | U.S. 2-Year Treasury Futures Call  | (62238281)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104.50 | 11/21/25 | (84375)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (200) | U.S. 5-Year Treasury Futures Call  | (21634375)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109.00 | 08/22/25 | (23438)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (200) | U.S. 5-Year Treasury Futures Call  | (21634375)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.50 | 08/22/25 | (4688)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (91) | U.S. 5-Year Treasury Futures Call  | (9857148)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111.00 | 11/21/25 | (18484)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (50) | U.S. 5-Year Treasury Futures Call  | (5416016)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112.00 | 11/21/25 | (5859)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (170) | U.S. 10-Year Treasury Futures Call  | (18880625)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112.00 | 08/22/25 | (39844)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (25) | U.S. 10-Year Treasury Futures Call  | (2776563)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115.00 | 08/22/25 | (781)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (612) | U.S. 10-Year Treasury Futures Call  | (67970250)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114.00 | 11/21/25 | (267750)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (324) | U.S. 10-Year Treasury Futures Call  | (35984250)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115.00 | 11/21/25 | (96187)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (91) | U.S. 10-Year Treasury Futures Call  | (10106688)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 11/21/25 | (18484)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (20) | U.S. Treasury Long Bond Futures Call  | (2268125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124.00 | 02/20/26 | (18750)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (41) | U.S. Treasury Long Bond Futures Call  | (4681688)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113.00 | 08/22/25 | (77516)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (370) | U.S. Treasury Long Bond Futures Call  | (42249375)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 08/22/25 | (185000)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (86) | U.S. Treasury Long Bond Futures Call  | (9820125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123.00 | 08/22/25 | (4031)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1642) | U.S. Treasury Long Bond Futures Call  | (187495875)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124.00 | 08/22/25 | (51312)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (89) | U.S. Treasury Long Bond Futures Call  | (10162687)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128.00 | 08/22/25 | (1391)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (166) | U.S. Treasury Long Bond Futures Call  | (18892875)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 11/21/25 | (324219)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (445) | U.S. Treasury Long Bond Futures Call  | (50646562)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118.00 | 11/21/25 | (591016)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (749) | U.S. Treasury Long Bond Futures Call  | (85245562)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120.00 | 11/21/25 | (667078)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (81) | U.S. Treasury Long Bond Futures Call  | (9218813)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121.00 | 11/21/25 | (59484)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (513) | U.S. Treasury Long Bond Futures Call  | (58385812)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122.00 | 11/21/25 | (304594)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (391) | U.S. Treasury Long Bond Futures Call  | (44500687)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124.00 | 11/21/25 | (158844)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (41) | U.S. Treasury Long Bond Futures Call  | (4666313)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125.00 | 11/21/25 | (14094)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (13) | U.S. Treasury Long Bond Futures Call  | (1479563)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126.00 | 11/21/25 | (3859)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (47) | U.S. Treasury Long Bond Futures Call  | (5349188)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128.00 | 11/21/25 | (10281)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (200) | U.S. Treasury Long Bond Futures Call  | (22762500)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130.00 | 11/21/25 | (31250)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (42) | Ultra 10-Year U.S. Treasury Futures Call  | (4749281)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116.00 | 08/22/25 | (3281)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (61) | Ultra 10-Year U.S. Treasury Futures Call  | (6899672)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115.00 | 11/21/25 | (62906)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (42) | Ultra U.S. Treasury Long Bond Futures Call  | (4927125)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122.00 | 08/22/25 | (9844)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5) | Ultra U.S. Treasury Long Bond Futures Call  | (586563)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125.00 | 08/22/25 | (469)<br>|
|  | **Total Call Options Written** | **Total Call Options Written** | **Total Call Options Written** | **Total Call Options Written** | (3364531)<br>|
|  | (Premiums received $7,476,236) | (Premiums received $7,476,236) | (Premiums received $7,476,236) | (Premiums received $7,476,236) |  |
|  | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** | **Put Options Written — (0.1)%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (500) | 3 Month SOFR Futures Put  | (120843750)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95.00 | 12/10/27 | (181250)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (305) | 3 Month SOFR Futures Put  | (73714687)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95.50 | 12/10/27 | (162031)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (334) | U.S. 2-Year Treasury Futures Put  | (69291953)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103.00 | 11/21/25 | (62625)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (81) | U.S. 2-Year Treasury Futures Put  | (16804336)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103.25 | 11/21/25 | (25313)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (362) | U.S. 2-Year Treasury Futures Put  | (75100859)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103.50 | 11/21/25 | (181000)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (439) | U.S. 5-Year Treasury Futures Put  | (47487543)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.75 | 08/22/25 | (13719)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (112) | U.S. 5-Year Treasury Futures Put  | (12131875)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.00 | 11/21/25 | (19250)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (372) | U.S. 5-Year Treasury Futures Put  | (40295156)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.50 | 11/21/25 | (93000)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (174) | U.S. 10-Year Treasury Futures Put  | (19324875)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 08/22/25 | (32625)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (168) | U.S. 10-Year Treasury Futures Put  | (18658500)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107.00 | 11/21/25 | (42000)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (20) | U.S. 10-Year Treasury Futures Put  | (2221250)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107.50 | 11/21/25 | (6250)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (286) | U.S. 10-Year Treasury Futures Put  | (31763875)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.00 | 11/21/25 | (111719)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (287) | U.S. 10-Year Treasury Futures Put  | (31874937)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109.00 | 11/21/25 | (170406)<br>|

---

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts**<br>| **Description** | **Notional**<br> **Amount**<br>| **Exercise**<br> **Price**<br>| **Expiration**<br> **Date**<br>| **Value** |
| **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** | **WRITTEN OPTIONS (Continued)** |
|  | **Put Options Written (Continued)** | **Put Options Written (Continued)** | **Put Options Written (Continued)** | **Put Options Written (Continued)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1710) | U.S. Treasury Long Bond Futures Put  | $(195260625)<br>| $116.00 | 08/22/25 | $(3954375)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (63) | U.S. Treasury Long Bond Futures Put  | (7170188)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98.00 | 11/21/25 | (11813)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (167) | U.S. Treasury Long Bond Futures Put  | (19006688)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99.00 | 11/21/25 | (33922)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (84) | U.S. Treasury Long Bond Futures Put  | (9560250)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103.00 | 11/21/25 | (32813)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (92) | U.S. Treasury Long Bond Futures Put  | (10470750)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105.00 | 11/21/25 | (53187)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (21) | U.S. Treasury Long Bond Futures Put  | (2390063)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106.00 | 11/21/25 | (14438)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1085) | U.S. Treasury Long Bond Futures Put  | (123486562)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107.00 | 11/21/25 | (915469)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (183) | U.S. Treasury Long Bond Futures Put  | (20827688)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108.00 | 11/21/25 | (185859)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (146) | U.S. Treasury Long Bond Futures Put  | (16616625)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 11/21/25 | (214437)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (200) | U.S. Treasury Long Bond Futures Put  | (22762500)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112.00 | 11/21/25 | (421875)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (120) | U.S. Treasury Long Bond Futures Put  | (13608750)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 02/20/26 | (307500)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (21) | &nbsp;&nbsp;&nbsp; Ultra 10-Year U.S. Treasury Long Bond Futures <br> Put <br>| (2374641)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111.00 | 08/22/25 | (3281)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (197) | Ultra U.S. Treasury Long Bond Futures Put  | (23110562)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 08/22/25 | (30781)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (21) | Ultra U.S. Treasury Long Bond Futures Put  | (2463563)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112.00 | 08/22/25 | (5578)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8) | Ultra U.S. Treasury Long Bond Futures Put  | (938500)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110.00 | 11/21/25 | (11125)<br>|
|  | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | **Total Put Options Written** | (7297641)<br>|
|  | (Premiums received $9,433,641) | (Premiums received $9,433,641) | (Premiums received $9,433,641) | (Premiums received $9,433,641) |  |
|  | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | (10662172)<br>|
|  | (Premiums received $16,909,877) | (Premiums received $16,909,877) | (Premiums received $16,909,877) | (Premiums received $16,909,877) |  |
|  | **Net Other Assets and Liabilities — (9.7)%** | **Net Other Assets and Liabilities — (9.7)%** | **Net Other Assets and Liabilities — (9.7)%** | **Net Other Assets and Liabilities — (9.7)%** | (499313906)<br>|
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $5170383535 |

---

**Futures Contracts at July 31, 2025:**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Long** | **Number of** <br>**Contracts**<br>| **Expiration** <br>**Date**<br>| **Notional** <br>**Value**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)/** <br>**Value**<br>|
| U.S. 2-Year Treasury Notes | 2470 | Sep-2025 | &nbsp;&nbsp; $511251409 | &nbsp;&nbsp; $(487016)<br>|

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Short** |  |  |  |  |
| U.S. 10-Year Treasury Notes | 4225 | Sep-2025 | &nbsp;&nbsp; $(469239063)<br>| &nbsp;&nbsp; $(2603833)<br>|
| U.S. 5-Year Treasury Notes | 862 | Sep-2025 | &nbsp;&nbsp; (93244156)<br>| &nbsp;&nbsp; (249293)<br>|
| U.S. Treasury Long Bond Futures | 1954 | Sep-2025 | &nbsp;&nbsp; (223122375)<br>| &nbsp;&nbsp; (2620262)<br>|
| Ultra 10-Year U.S. Treasury Notes | 7294 | Sep-2025 | &nbsp;&nbsp; (824791844)<br>| &nbsp;&nbsp; (6738647)<br>|
| Ultra U.S. Treasury Bond Futures | 2426 | Sep-2025 | &nbsp;&nbsp; (284600125)<br>| &nbsp;&nbsp; (3544247)<br>|
|  |  |  | &nbsp;&nbsp; $(1894997563)<br>| &nbsp;&nbsp; $(15756282)<br>|
|  |  | &nbsp;&nbsp; Total | &nbsp;&nbsp; $(1383746154)<br>| &nbsp;&nbsp; $(16243298)<br>|

---

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(d) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P. (the "Advisor").

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

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

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

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

&nbsp;&nbsp;&nbsp;&nbsp;(g) This security, sold within the terms of a private placement memorandum, is exempt
 from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions
 exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of
 increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which
 require subjective judgment. At July 31, 2025, securities noted as such amounted to $501,825,991 or 9.7% of net assets.

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

&nbsp;&nbsp;&nbsp;&nbsp;(i) Step-up security. A security where the coupon increases or steps up at a predetermined
 date.

&nbsp;&nbsp;&nbsp;&nbsp;(j) Security whose principal value is adjusted in accordance with changes to the country's Consumer Price Index. Interest is calculated on the basis of the current adjusted principal value.

&nbsp;&nbsp;&nbsp;&nbsp;(k) All or a portion of this security is segregated as collateral for open futures and
 options contracts. At July 31, 2025, the segregated value of these securities amounts to $111,148,660.

&nbsp;&nbsp;&nbsp;&nbsp;(l) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures approved by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940
 and rules thereunder, as amended. At July 31, 2025, securities noted as such are valued at $2,500,000 or 0.0% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(m) Investment in an affiliated fund.

&nbsp;&nbsp;&nbsp;&nbsp;(n) When-issued security. The interest rate shown reflects the rate in effect at July
 31, 2025. Interest will begin accruing on the security's first settlement date.

&nbsp;&nbsp;&nbsp;&nbsp;(o) Rate shown reflects yield as of July 31, 2025.

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

---

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

---

------

**Valuation Inputs**

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

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

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

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

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

------

**First Trust Low Duration Opportunities ETF (LMBS)**

**Portfolio of Investments (Continued)**

**July 31, 2025 (Unaudited)**

A summary of the inputs used to value the Fund's investments as of July 31, 2025 is as follows:

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**7/31/2025**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| &nbsp;&nbsp;&nbsp; U.S. Government Agency Mortgage-Backed <br> Securities<br>| $4233015924 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $4233015924 | &nbsp;&nbsp; $— |
| Mortgage-Backed Securities | 396261526 | &nbsp;&nbsp; — | &nbsp;&nbsp; 396261526 | &nbsp;&nbsp; — |
| U.S. Government Bonds and Notes | 229622102 | &nbsp;&nbsp; — | &nbsp;&nbsp; 229622102 | &nbsp;&nbsp; — |
| Asset-Backed Securities | 95609598 | &nbsp;&nbsp; — | &nbsp;&nbsp; 95609598 | &nbsp;&nbsp; — |
| U.S. Government Agency Securities | 20080004 | &nbsp;&nbsp; — | &nbsp;&nbsp; 20080004 | &nbsp;&nbsp; — |
| Exchange-Traded Funds\* | 3637504 | &nbsp;&nbsp; 3637504 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| U.S. Treasury Bills | 633999911 | &nbsp;&nbsp; — | &nbsp;&nbsp; 633999911 | &nbsp;&nbsp; — |
| Money Market Funds | 68132997 | &nbsp;&nbsp; 68132997 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total Investments | 5680359566 | &nbsp;&nbsp; 71770501 | &nbsp;&nbsp; 5608589065 | &nbsp;&nbsp; — |
| Purchased Options | 47 | &nbsp;&nbsp; 47 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total | $5680359613 | &nbsp;&nbsp; $71770548 | &nbsp;&nbsp; $5608589065 | &nbsp;&nbsp; $— |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**7/31/2025**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Written Options | $(10662172)<br>| &nbsp;&nbsp; $(10662172)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |
| Futures Contracts | (16243298)<br>| &nbsp;&nbsp; (16243298)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total | $(26905470)<br>| &nbsp;&nbsp; $(26905470)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |

---

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

\* See Portfolio of Investments for industry breakout.

------

**Affiliated Transactions**

Amounts relating to investments in affiliated funds at July 31, 2025, and for the fiscal year-to-date period (November 1, 2024 to July 31, 2025) are as follows:

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Security Name | Shares at <br>7/31/2025<br>| Value at <br>10/31/2024<br>| Purchases | Sales | Change in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Realized <br>Gain <br>(Loss)<br>| Value at <br>7/31/2025<br>| Dividend <br>Income<br>|
| &nbsp;&nbsp;&nbsp; First Trust Commercial Mortgage <br> Opportunities ETF<br>| 20000 | $151525 | $254985 | $— | $190 | $— | $406700 | $11996 |
| &nbsp;&nbsp;&nbsp; First Trust Intermediate Government <br> Opportunities ETF<br>| 60000 | 657054 | 547080 |  | (2334)<br>|  | 1201800 | 32251 |
| &nbsp;&nbsp;&nbsp; First Trust Long Duration Opportunities <br> ETF<br>| 73956 | 1576002 |  |  | (10723)<br>|  | 1565279 | 47332 |
| &nbsp;&nbsp;&nbsp; First Trust Structured Credit Income <br> Opportunities ETF<br>| 22500 | 319611 | 155955 | (16203)<br>| 4549 | (187)<br>| 463725 | 19767 |
|  |  | $2704192 | $958020 | $(16203)<br>| $(8318)<br>| $(187)<br>| $3637504 | $111346 |

---

------

## 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 IV

- **b. Investment Company Act file number:** 811-22559

- **c. CIK number of Registrant:** 0001517936

- **d. LEI of Registrant:** 5493006CBTW7P2B31B80

- **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 Low Duration Opportunities ETF

- **b. EDGAR series identifier (if any):** S000046204

- **c. LEI of Series:** 549300ZVBPE1RKOPM784

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $6726422215.87

**Total Liabilities:** $1556038710.78

**Net Assets:** $5170383505.09

**Stand-by Commitments:** $1472210712.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 792.62298000 | **1-Year:** 152863.50533000 | **5-Year:** 1486193.75937000 | **10-Year:** 868024.64980000 | **30-Year:** 167255.59045000

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

- **3-Month:** 198.92402000 | **1-Year:** 19152.27434000 | **5-Year:** 54150.77649000 | **10-Year:** 5191.95610000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144500 | -0.06%               | 1.04%                | 0.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $568426.80               | $-51788870.43                              |
| Month 2  | $5893429.54              | $50211251.70                               |
| Month 3  | $453624.32               | $-34968509.28                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398EDX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1004976 | PA      | $1019387.89   | 0.02%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396VCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16862 | PA      | $16663.48     | 0.00%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377LBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1406100 | PA      | $1392586.44   | 0.03%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Trust Intermediate Government Opportunities ETF  | First Trust Intermediate Government Opportunities ETF           | CUSIP: 33738D838<br>LEI: 5493000G9GN9OLNUML64 | Long             | EC               | RF                | US        |     60000 | NS      | $1201800.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8560425.40   | 0.17%             | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AYT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2415285 | PA      | $1980964.93   | 0.04%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL3 LLC                                              | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8952715 | PA      | $8683873.71   | 0.17%             | 2054-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380HCX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2201284 | PA      | $226061.28    | 0.00%             | 2041-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AVQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5961666 | PA      | $587715.91    | 0.01%             | 2047-03-25      | Floating      | 1.59%                 | 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        |  56096326 | PA      | $2094922.91   | 0.04%             | 2053-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374MLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123428 | PA      | $104208.30    | 0.00%             | 2035-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200MLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58313 | PA      | $58772.19     | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BDZM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773054 | PA      | $14426.20     | 0.00%             | 2028-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14865104 | PA      | $14340922.99  | 0.28%             | 2050-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395K2B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763586 | PA      | $810687.13    | 0.02%             | 2034-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394UCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703373 | PA      | $1722263.03   | 0.03%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7L27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15704680 | PA      | $13385668.51  | 0.26%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                           | WinWater Mortgage Loan Trust 2016-1                             | CUSIP: 97655JBS0<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |    581533 | PA      | $559730.54    | 0.01%             | 2030-12-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                         | BRAVO Residential Funding Trust 2021-NQM1                       | CUSIP: 10569TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2378256 | PA      | $2213142.90   | 0.04%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131307 | PA      | $117868.56    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543026 | PA      | $547449.91    | 0.01%             | 2037-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VEB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8746456 | PA      | $8544819.83   | 0.17%             | 2046-02-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7171007 | PA      | $7035673.16   | 0.14%             | 2049-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31294MFY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1036 | PA      | $1031.33      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HH6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11475000 | PA      | $11532092.72  | 0.22%             | 2032-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                           | METLIFE SECURITIZATION TRUST 2018-1                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3749417 | PA      | $3635664.53   | 0.07%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4927682 | PA      | $4925497.74   | 0.10%             | 2032-02-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15065271 | PA      | $12898966.45  | 0.25%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FF4B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 107703000 | PA      | $2132340.61   | 0.04%             | 2027-12-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380B3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303000 | PA      | $205226.93    | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B3CM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5388000 | PA      | $4838015.05   | 0.09%             | 2043-07-15      | Fixed         | 4.00%                 | 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        | 202128402 | PA      | $3723043.46   | 0.07%             | 2050-06-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | Corevest American Finance 2020-4 Trust                          | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3139029 | PA      | $3113071.75   | 0.06%             | 2052-12-15      | Fixed         | 1.17%                 | 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        |   4527000 | PA      | $4263232.08   | 0.08%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AFNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12828897 | PA      | $10469489.52  | 0.20%             | 2043-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85750 | PA      | $9108.32      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394AWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163182 | PA      | $162420.69    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78491000 | PA      | $3465644.52   | 0.07%             | 2031-09-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  41565013 | PA      | $2596271.25   | 0.05%             | 2031-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1493390 | PA      | $1374158.64   | 0.03%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust 2018-CH1                                 | CUSIP: 81747DCC1<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |   4420567 | PA      | $4231494.54   | 0.08%             | 2048-03-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379EKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    761373 | PA      | $77408.93     | 0.00%             | 2044-05-20      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140J9J77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3136507 | PA      | $3136911.57   | 0.06%             | 2038-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JB4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6289028 | PA      | $5643746.81   | 0.11%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                         | BBCMS 2018-TALL Mortgage Trust                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6662894.70   | 0.13%             | 2037-03-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VYP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4619714 | PA      | $4553740.79   | 0.09%             | 2043-11-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2018-4                      | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6468523 | PA      | $6346246.03   | 0.12%             | 2048-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-P009            | CUSIP: 3137H13X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32649925 | PA      | $934734.70    | 0.02%             | 2031-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395KL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203357 | PA      | $198940.79    | 0.00%             | 2034-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F6RQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15791117 | PA      | $14808857.63  | 0.29%             | 2050-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HQPT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262504 | PA      | $244391.77    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138A2HT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64307 | PA      | $63525.38     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PC90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13633886 | PA      | $10890023.14  | 0.21%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3133THHD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1347 | PA      | $1363.39      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  84673955 | PA      | $127561.31    | 0.00%             | 2026-02-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375L4C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378102 | PA      | $377104.91    | 0.01%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53269611 | PA      | $3045578.14   | 0.06%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                            | GSAMP Trust 2006-SEA1                                           | CUSIP: 36244LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1313150 | PA      | $1549920.10   | 0.03%             | 2036-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K96H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52298 | PA      | $53725.80     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12044819 | PA      | $9025361.16   | 0.17%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376T7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6663881 | PA      | $5538587.58   | 0.11%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                         | Wells Fargo Commercial Mortgage Trust 2021-C61                  | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4632852.00   | 0.09%             | 2054-11-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132G7GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38086 | PA      | $37055.29     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380VVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    980189 | PA      | $719163.96    | 0.01%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                       | CUSIP: 31342WBL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    595550 | PA      | $595829.44    | 0.01%             | 2048-12-01      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16708373 | PA      | $16032515.78  | 0.31%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172996 | PA      | $155254.60    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19793126.60  | 0.38%             | 2025-10-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AYVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5509910 | PA      | $4912378.59   | 0.10%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55886 | PA      | $55940.10     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379YV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4279820 | PA      | $535634.91    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31405FTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108870 | PA      | $110100.40    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AT7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2447000 | PA      | $2235142.66   | 0.04%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47178209 | PA      | $409761.62    | 0.01%             | 2026-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F6JT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8887505 | PA      | $667432.07    | 0.01%             | 2045-10-15      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3408475 | PA      | $3536450.25   | 0.07%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18330589 | PA      | $17585339.17  | 0.34%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES 2024-AFC1 Trust                                           | CUSIP: 403945AC2<br>LEI: 2549009KYOPIDSS2IL61 | Long             | ABS-MBS          | CORP              | US        |   5224911 | PA      | $5202775.87   | 0.10%             | 2059-08-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63456 | PA      | $53666.39     | 0.00%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32719052 | PA      | $29379415.07  | 0.57%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X5NP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11437786 | PA      | $11210650.32  | 0.22%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A94X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5309364 | PA      | $550708.51    | 0.01%             | 2042-11-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AAST6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145115 | PA      | $145547.25    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380RAP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6700000 | PA      | $3366059.10   | 0.07%             | 2062-08-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323523 | PA      | $58327.25     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                              | FANNIE MAE OR FREDDIE MAC                                       | CUSIP: 01F0426A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7553000 | PA      | $7161022.87   | 0.14%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -42 | NC      | $-9843.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B22X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $432625.50    | 0.01%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BAB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4861629 | PA      | $4659017.93   | 0.09%             | 2050-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72238116 | PA      | $2618833.97   | 0.05%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CS95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2615041 | PA      | $280862.99    | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2025-NQM6 Trust                                             | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |   2343708 | PA      | $2348359.25   | 0.05%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380BC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6126444 | PA      | $5526232.11   | 0.11%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622A2E99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135891 | PA      | $136896.89    | 0.00%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMD74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7697561 | PA      | $7520428.61   | 0.15%             | 2027-09-25      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DM5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10646260 | PA      | $9875872.94   | 0.19%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  65526053 | PA      | $399944.82    | 0.01%             | 2026-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                         | Wells Fargo Mortgage Backed Securities 2019-1 Trust             | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170206 | PA      | $162055.18    | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                         | VCAT 2025 NPL2 LLC                                              | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3970202 | PA      | $3973190.01   | 0.08%             | 2055-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QPM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187143 | PA      | $14559.20     | 0.00%             | 2044-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PP62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7822319 | PA      | $5814732.25   | 0.11%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EKGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49510 | PA      | $45932.03     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7UG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9278366 | PA      | $8125691.12   | 0.16%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F032690<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  81195000 | PA      | $72436860.73  | 1.40%             | 2055-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380XDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3182475 | PA      | $398558.87    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137APLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37930 | PA      | $370.74       | 0.00%             | 2027-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394ERF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1316729 | PA      | $1335853.41   | 0.03%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FNH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14014801 | PA      | $2657290.36   | 0.05%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32989115 | PA      | $31606359.87  | 0.61%             | 2033-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36193FLA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133526 | PA      | $131312.52    | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2024-277P Mortgage Trust                                   | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41260000 | PA      | $1091347.63   | 0.02%             | 2044-08-10      | Variable      | 0.66%                 | 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        |      -391 | NC      | $-158843.75   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11795000 | PA      | $9981739.42   | 0.19%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                    | PFS Financing Corp                                              | CUSIP: 69335PFW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2502250.25   | 0.05%             | 2029-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B9AH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3405795 | PA      | $3352562.26   | 0.06%             | 2044-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B32M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17451952 | PA      | $16411878.17  | 0.32%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21712931 | PA      | $19956741.84  | 0.39%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394CCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807457 | PA      | $63102.21     | 0.00%             | 2035-02-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90000000 | PA      | $89141779.80  | 1.72%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                  | Tennessee Valley Authority                                      | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  10225000 | PA      | $9923365.36   | 0.19%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14524908 | PA      | $12917728.29  | 0.25%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376UJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2949033 | PA      | $391416.01    | 0.01%             | 2047-04-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397SMA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153341 | PA      | $150354.01    | 0.00%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BQGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6060741 | PA      | $4911909.39   | 0.10%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381HJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20357684 | PA      | $11654544.06  | 0.23%             | 2063-05-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617BFRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215871 | PA      | $206951.48    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -112 | NC      | $-19250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XDN28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3653244 | PA      | $3541199.52   | 0.07%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNJP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15743691 | PA      | $14519220.86  | 0.28%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Trust 2025-4                                     | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5024097.00   | 0.10%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5793130 | PA      | $481922.95    | 0.01%             | 2035-11-16      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381AP59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3298418 | PA      | $3101898.02   | 0.06%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128LXG20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150833 | PA      | $152142.01    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557829 | PA      | $35239.23     | 0.00%             | 2039-09-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust 2019-INV1                                             | CUSIP: 12555DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787630 | PA      | $751315.80    | 0.01%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| M360 Ltd.                                              | M360 2021-CRE3 Ltd                                              | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    293657 | PA      | $289198.31    | 0.01%             | 2038-11-22      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6FD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23238031 | PA      | $21332983.54  | 0.41%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2021741 | PA      | $1634681.34   | 0.03%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-RPL3 LLC                                              | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1919237 | PA      | $1837387.85   | 0.04%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37151661 | PA      | $1941404.63   | 0.04%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F83U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24471000 | PA      | $1349631.93   | 0.03%             | 2030-11-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WA4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1663986 | PA      | $1663381.54   | 0.03%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417YDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31714 | PA      | $31615.71     | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8917916 | PA      | $7570314.55   | 0.15%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  57790000 | PA      | $2381017.35   | 0.05%             | 2029-09-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60716 | PA      | $4102.97      | 0.00%             | 2041-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15538361 | PA      | $710768.14    | 0.01%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336685 | PA      | $312284.83    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419JSX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1825958 | PA      | $1837292.01   | 0.04%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20167816 | PA      | $19469255.09  | 0.38%             | 2052-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14074159 | PA      | $11181103.02  | 0.22%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617JKVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259139 | PA      | $255626.11    | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSSV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4731126 | PA      | $4745585.06   | 0.09%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108232 | PA      | $2358.71      | 0.00%             | 2028-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                         | CWABS Inc Asset-Backed Certificates Trust 2004-5                | CUSIP: 1266716K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54593 | PA      | $54606.72     | 0.00%             | 2034-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                         | GMACM Mortgage Loan Trust 2003-J10                              | CUSIP: 36185NM72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       723 | PA      | $478.40       | 0.00%             | 2019-01-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9218145.60   | 0.18%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8811778 | PA      | $8153909.80   | 0.16%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112598 | PA      | $109344.45    | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2020-INV1                              | CUSIP: 46591VBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3302193 | PA      | $2952609.38   | 0.06%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -362 | NC      | $-181000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATM76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2377121 | PA      | $405133.16    | 0.01%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376MDW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1635370 | PA      | $215202.43    | 0.00%             | 2047-01-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31339NKJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106174 | PA      | $107959.42    | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22384 | PA      | $2386.28      | 0.00%             | 2033-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                         | FARM 2024-2 Mortgage Trust                                      | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5980652 | PA      | $5881772.51   | 0.11%             | 2054-08-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 157119696 | PA      | $8317523.93   | 0.16%             | 2030-06-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200M7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39696 | PA      | $39735.23     | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | 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        |       -63 | NC      | $-11812.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679922 | PA      | $578612.89    | 0.01%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381NPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36956847 | PA      | $32006177.73  | 0.62%             | 2055-06-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BPRX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24985124 | PA      | $24117718.26  | 0.47%             | 2037-12-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -91 | NC      | $-18484.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44501 | PA      | $44830.66     | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419AEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107874 | PA      | $106571.88    | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10585331 | PA      | $10085066.31  | 0.20%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                            | Island Finance Trust 2025-1                                     | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3038101.80   | 0.06%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                         | BRAVO Residential Funding Trust 2021-NQM1                       | CUSIP: 10569TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    951303 | PA      | $888440.69    | 0.02%             | 2049-02-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -91 | NC      | $-18484.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97000 | PA      | $97345.12     | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | 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        |       -86 | NC      | $-4031.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377U2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29666 | PA      | $294.89       | 0.00%             | 2038-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7FG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3817069 | PA      | $3704945.27   | 0.07%             | 2044-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392JGL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4158 | PA      | $4111.75      | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141489 | PA      | $1116957.69   | 0.02%             | 2036-12-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HCUG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19334348 | PA      | $14779574.24  | 0.29%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278117 | PA      | $273199.72    | 0.01%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EGGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42046 | PA      | $43078.40     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                       | Hilton USA Trust 2016-HHV                                       | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4175885.53   | 0.08%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2019-2                                    | CUSIP: 042858AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $8314127.10   | 0.16%             | 2049-04-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H63G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3060996 | PA      | $2815135.88   | 0.05%             | 2037-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AAFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394891 | PA      | $333519.35    | 0.01%             | 2042-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2021-R02                    | CUSIP: 20754KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3891800 | PA      | $3923906.17   | 0.08%             | 2041-11-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380T4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2533607 | PA      | $29849.44     | 0.00%             | 2040-05-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395BVS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25150 | PA      | $2699.99      | 0.00%             | 2036-03-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416XLP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $341.82       | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258316 | PA      | $258404.10    | 0.00%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B4CS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9262614 | PA      | $8175266.64   | 0.16%             | 2056-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MC82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19616852 | PA      | $12282003.14  | 0.24%             | 2061-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2025-1       | CUSIP: 35564CWZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2162654 | PA      | $2192034.43   | 0.04%             | 2035-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F64R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 121769110 | PA      | $2173456.84   | 0.04%             | 2027-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1107965 | PA      | $1095040.35   | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58530863 | PA      | $2873221.53   | 0.06%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F052698<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  90319000 | PA      | $89773795.68  | 1.74%             | 2055-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 115487153 | PA      | $4103893.72   | 0.08%             | 2030-11-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379KAF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17669922 | PA      | $15794040.90  | 0.31%             | 2055-05-16      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393VKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300979 | PA      | $302872.57    | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $-6250.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380BHQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357430 | PA      | $245510.17    | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AT5V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    759926 | PA      | $667925.58    | 0.01%             | 2042-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | FREMF 2025-K541 Mortgage Trust                                  | CUSIP: 3137HLXX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 219994980 | PA      | $5810067.41   | 0.11%             | 2030-02-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393VKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656135 | PA      | $640328.52    | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AQT75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3660 | PA      | $11.84        | 0.00%             | 2044-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38385GUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20313584 | PA      | $18425836.92  | 0.36%             | 2055-05-20      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36230N2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58137 | PA      | $57629.57     | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W1QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24281703 | PA      | $23820905.90  | 0.46%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JCQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26934225 | PA      | $24342916.29  | 0.47%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379WN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675412 | PA      | $137799.49    | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11551407 | PA      | $10342350.00  | 0.20%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K8ZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104847 | PA      | $106826.89    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | 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        |       -41 | NC      | $-77515.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2728059 | PA      | $494771.10    | 0.01%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79994305 | PA      | $3927824.35   | 0.08%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ACW96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1267301 | PA      | $1254582.24   | 0.02%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797QL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $99701875.00  | 1.93%             | 2025-08-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KB72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5298 | PA      | $5468.10      | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379979 | PA      | $348092.61    | 0.01%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378UBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583039 | PA      | $67646.17     | 0.00%             | 2043-09-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B5SZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9563647 | PA      | $829460.86    | 0.02%             | 2049-08-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -120 | NC      | $-307500.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3   | CUSIP: 35563PLC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9473600 | PA      | $8825871.99   | 0.17%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2549 | PA      | $62.34        | 0.00%             | 2038-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10045117.20  | 0.19%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395BW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210390 | PA      | $8724.15      | 0.00%             | 2030-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BDUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10424260 | PA      | $927714.36    | 0.02%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AQK69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72990 | PA      | $69462.56     | 0.00%             | 2035-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BPBU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162047 | PA      | $108800.04    | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24555096 | PA      | $23739208.32  | 0.46%             | 2052-10-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -21 | NC      | $-5578.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust Series 2025-3                          | CUSIP: 46593RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11850000 | PA      | $11842087.76  | 0.23%             | 2055-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FXQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51000000 | PA      | $2604865.80   | 0.05%             | 2030-10-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B27G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21082959 | PA      | $19541409.13  | 0.38%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B06R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2860239 | PA      | $2342234.91   | 0.05%             | 2048-03-25      | Fixed         | 3.50%                 | 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        |       -84 | NC      | $-32812.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -25 | NC      | $-781.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PFS Financing Corp.                                    | PFS Financing Corp                                              | CUSIP: 69335PFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4003858.80   | 0.08%             | 2030-05-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BR2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136619 | PA      | $72907.16     | 0.00%             | 2043-08-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                         | Provident Funding Mortgage Trust 2020-1                         | CUSIP: 743874AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2231986 | PA      | $1902848.11   | 0.04%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374MBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1313823 | PA      | $1309031.46   | 0.03%             | 2035-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10937807 | PA      | $9657725.43   | 0.19%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36198TAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492082 | PA      | $472141.70    | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374HVU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24644 | PA      | $24897.19     | 0.00%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3622AAPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    862682 | PA      | $737812.70    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AL7G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138983 | PA      | $134613.72    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | 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        |      -183 | NC      | $-185859.38   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIVE 2023-V1                                           | FIVE 2023-V1 Mortgage Trust                                     | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30132866 | PA      | $446810.14    | 0.01%             | 2056-02-10      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36210BDM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27894 | PA      | $28697.98     | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36225B3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25619 | PA      | $26626.57     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KD98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74454 | PA      | $66901.60     | 0.00%             | 2037-12-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAHL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2698076 | PA      | $2230742.54   | 0.04%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379YEV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1868355 | PA      | $156689.81    | 0.00%             | 2040-05-20      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15947 | PA      | $15466.89     | 0.00%             | 2038-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -81 | NC      | $-25312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-2                             | CUSIP: 69545GAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000487 | PA      | $3997923.15   | 0.08%             | 2032-10-15      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48993 | PA      | $6870.16      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138M4KK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163616 | PA      | $151895.91    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 313920PF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1146 | PA      | $19.31        | 0.00%             | 2031-08-18      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419MB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355257 | PA      | $356442.08    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    973071 | PA      | $1004424.17   | 0.02%             | 2039-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FJD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2137410 | PA      | $1990288.69   | 0.04%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9058994 | PA      | $4500109.76   | 0.09%             | 2052-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -287 | NC      | $-170406.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A0XA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $543437.90    | 0.01%             | 2040-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11984934 | PA      | $11732573.51  | 0.23%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379CUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12659 | PA      | $671.12       | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-RPL6 Trust                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975427 | PA      | $877886.12    | 0.02%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376LU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239265 | PA      | $237297.79    | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11698512 | PA      | $11337594.16  | 0.22%             | 2050-07-25      | Floating      | 4.86%                 | 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        |       -89 | NC      | $-1390.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US LONG BOND(CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1954 | NC      | $-2620262.45  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-INV2                              | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    891151 | PA      | $809757.72    | 0.02%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B2Y53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14963987 | PA      | $12029689.67  | 0.23%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341968 | PA      | $27981.57     | 0.00%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                   | Fannie Mae REMIC Trust 2007-W1                                  | CUSIP: 31396XD43<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |   1712406 | PA      | $1766619.49   | 0.03%             | 2047-06-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373YD92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95883 | PA      | $95599.44     | 0.00%             | 2033-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622AAEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3011772 | PA      | $2878750.74   | 0.06%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BKYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14142200 | PA      | $12097667.73  | 0.23%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2024-V6 Mortgage Trust                                | CUSIP: 081927AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  75121745 | PA      | $3143431.85   | 0.06%             | 2057-03-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124099 | PA      | $120443.23    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75515 | PA      | $4563.97      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRT64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11765237 | PA      | $10401317.53  | 0.20%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                       | THREE-MONTH SOFR                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -305 | NC      | $-198250.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374LCL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68101 | PA      | $66817.73     | 0.00%             | 2035-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B9HC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4105089 | PA      | $3959919.47   | 0.08%             | 2050-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADZ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775064 | PA      | $145089.96    | 0.00%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AG6S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14007099 | PA      | $13416173.37  | 0.26%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 3837427Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93773 | PA      | $93792.14     | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213197 | PA      | $216161.89    | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -372 | NC      | $-93000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371NGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3565 | PA      | $3518.27      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -286 | NC      | $-111718.75   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12667990 | PA      | $11281460.94  | 0.22%             | 2044-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK23                                                 | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7700078 | PA      | $190296.65    | 0.00%             | 2052-12-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                        | United States Treasury Inflation Indexed Bonds                  | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5898465.83   | 0.11%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                            | United States Treasury Strip Principal                          | CUSIP: 912803DK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $12674038.00  | 0.25%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FAMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35832 | PA      | $3648.31      | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2025-NQM1 Trust                                             | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |   1874017 | PA      | $1870095.58   | 0.04%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62202 | PA      | $1353.89      | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29398759 | PA      | $22799716.34  | 0.44%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KRU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244540 | PA      | $242719.76    | 0.00%             | 2036-03-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394FHE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21817 | PA      | $1716.28      | 0.00%             | 2035-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398LXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425832 | PA      | $434573.27    | 0.01%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FJG45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461863 | PA      | $446592.65    | 0.01%             | 2048-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396QLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $4397625.76   | 0.09%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418ALJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36615 | PA      | $32860.59     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374NV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223348 | PA      | $222991.26    | 0.00%             | 2036-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                         | Wells Fargo Commercial Mortgage Trust 2018-C47                  | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |   3519700 | PA      | $3467283.57   | 0.07%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FNHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5458097 | PA      | $654997.26    | 0.01%             | 2049-06-15      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38385GPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23272496 | PA      | $22464698.71  | 0.43%             | 2055-05-20      | Floating      | 3.63%                 | 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        |      -166 | NC      | $-324218.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24006055 | PA      | $1814108.77   | 0.04%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31339WW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49821 | PA      | $2451.09      | 0.00%             | 2029-01-15      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                            | Capital Street Master Trust                                     | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2500000.00   | 0.05%             | 2029-08-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132XXEZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301287 | PA      | $294238.66    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FH4X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3494914 | PA      | $3141319.34   | 0.06%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335ADT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239075 | PA      | $245939.36    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2025-R02                    | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5542254 | PA      | $5545374.57   | 0.11%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                            | United States Treasury Strip Principal                          | CUSIP: 912803DJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $10269175.60  | 0.20%             | 2039-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P4G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12991946 | PA      | $11146935.06  | 0.22%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2015-2                      | CUSIP: 64829EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3161146 | PA      | $3116279.30   | 0.06%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729551 | PA      | $729834.05    | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | 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        |      -513 | NC      | $-304593.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Starwood Mortgage Residential                          | Starwood Mortgage Residential Trust 2022-3                      | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6800421 | PA      | $6651024.20   | 0.13%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36183KUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238820 | PA      | $229537.05    | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  68030390 | PA      | $2004277.35   | 0.04%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36182D3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28981 | PA      | $27328.44     | 0.00%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200NRJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55813 | PA      | $56010.72     | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44313315 | PA      | $4690506.79   | 0.09%             | 2035-05-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2021-1R                                   | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610874 | PA      | $1449821.91   | 0.03%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164593 | PA      | $164360.07    | 0.00%             | 2034-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373SM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165547 | PA      | $165058.89    | 0.00%             | 2033-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GAFM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7161 | PA      | $11.88        | 0.00%             | 2025-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 156110984 | PA      | $8052766.53   | 0.16%             | 2034-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380XHF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5878027 | PA      | $5336497.63   | 0.10%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378NNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4270 | PA      | $4011.62      | 0.00%             | 2044-11-16      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                             | SKY Trust 2025-LINE                                             | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2961332 | PA      | $2975771.05   | 0.06%             | 2042-04-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BPRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26476423 | PA      | $20546561.79  | 0.40%             | 2053-01-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | CoreVest American Finance 2020-3 Trust                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2963810 | PA      | $2926668.25   | 0.06%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                              | BPR Trust 2021-WILL                                             | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4343394 | PA      | $4334676.97   | 0.08%             | 2038-06-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HHF89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23351060 | PA      | $23202404.46  | 0.45%             | 2054-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2021-1       | CUSIP: 35564CKH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18696418 | PA      | $16906050.72  | 0.33%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | EFMT 2023-1                                                     | CUSIP: 26844QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6425560 | PA      | $6409237.64   | 0.12%             | 2068-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X4NB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207290 | PA      | $1156512.91   | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Trust Commercial Mortgage Opportunities ETF      | First Trust Commercial Mortgage Opportunities ETF               | CUSIP: 33738D762<br>LEI: 254900TMRGSMLWIAPA66 | Long             | EC               | RF                | US        |     20000 | NS      | $406700.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381RHP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    772303 | PA      | $111664.66    | 0.00%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7097422 | PA      | $1487406.74   | 0.03%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AJV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22340 | PA      | $596.75       | 0.00%             | 2029-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68953 | PA      | $67068.80     | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11510000 | PA      | $9172131.39   | 0.18%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AJJJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12969458 | PA      | $12177040.09  | 0.24%             | 2039-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4099234 | PA      | $3579648.36   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FP81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19759118 | PA      | $4338523.42   | 0.08%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AC2L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40975888 | PA      | $35826939.75  | 0.69%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FN3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2906791 | PA      | $2812086.18   | 0.05%             | 2049-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394CCQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171285 | PA      | $1076.73      | 0.00%             | 2033-07-25      | Floating      | 0.40%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2024-11                            | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4836201 | PA      | $4841023.80   | 0.09%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A4N88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776952 | PA      | $745775.87    | 0.01%             | 2042-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70811000 | PA      | $1533660.04   | 0.03%             | 2027-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1910807 | PA      | $1898136.29   | 0.04%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378F3M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2223000 | PA      | $1839602.97   | 0.04%             | 2043-02-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -13 | NC      | $-609.39      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-RR15            | CUSIP: 3137F92K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 112345000 | PA      | $10586235.65  | 0.20%             | 2034-10-27      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AFGX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2125346 | PA      | $2062254.85   | 0.04%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19400000 | PA      | $17790106.52  | 0.34%             | 2053-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CAX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464000 | PA      | $440249.84    | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14620676 | PA      | $13081190.90  | 0.25%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AVJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22337 | PA      | $2859.94      | 0.00%             | 2042-10-15      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WMLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54461 | PA      | $49003.36     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RC96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15231768 | PA      | $11330003.09  | 0.22%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179RGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27527 | PA      | $28796.20     | 0.00%             | 2045-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418CPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82222 | PA      | $81719.26     | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                           | NY Commercial Mortgage Trust 2025-299P                          | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3230000 | PA      | $3332680.09   | 0.06%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4140976 | PA      | $319551.28    | 0.01%             | 2046-09-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137APVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56817 | PA      | $308.23       | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac Stacr Remic Trust 2025-Hqa1                         | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   3875000 | PA      | $3874402.09   | 0.07%             | 2045-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140QAHZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3270419 | PA      | $3070902.15   | 0.06%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31359KW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1559 | PA      | $30.81        | 0.00%             | 2026-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TN96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250412 | PA      | $24495.50     | 0.00%             | 2042-08-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XGEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10171463 | PA      | $9875755.64   | 0.19%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6TV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12754601 | PA      | $10901330.28  | 0.21%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410LMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515420 | PA      | $502716.17    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | Ellington Financial Mortgage Trust 2022-2                       | CUSIP: 31572YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5499025 | PA      | $5437171.51   | 0.11%             | 2067-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212156 | PA      | $167358.52    | 0.00%             | 2046-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2024-10                            | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4252763 | PA      | $4263383.94   | 0.08%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RMR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3411972 | PA      | $1974596.52   | 0.04%             | 2059-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Recei                         | Exeter Select Automobile Receivables Trust 2025-1               | CUSIP: 30185AAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4362281.60   | 0.08%             | 2031-09-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BV6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31721308 | PA      | $30880030.84  | 0.60%             | 2055-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EQYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719457 | PA      | $715922.95    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B4HE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2450000 | PA      | $2295312.64   | 0.04%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55652865 | PA      | $3896847.00   | 0.08%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A8AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2358891 | PA      | $2332888.68   | 0.05%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380GAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3403933 | PA      | $351414.89    | 0.01%             | 2047-08-16      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36294SLD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204851 | PA      | $211648.06    | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3133SSSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5958987 | PA      | $5511065.99   | 0.11%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MBZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85476 | PA      | $81806.76     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1 | NC      | $46.88        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378GZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713148 | PA      | $12079.44     | 0.00%             | 2027-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. ULTRA TREASURY BOND                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -21 | NC      | $-3281.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CYG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1086399 | PA      | $961986.22    | 0.02%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393NTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6487 | PA      | $6493.97      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FVAT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31923372 | PA      | $30489533.89  | 0.59%             | 2050-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140GYPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9632 | PA      | $9310.23      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383T5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $10181268.00  | 0.20%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                         | Bravo Residential Funding Trust 2025-Nqm3                       | CUSIP: 105927AC1<br>LEI: 254900KREJHICFBDC014 | Long             | ABS-MBS          | CORP              | US        |    950149 | PA      | $952020.84    | 0.02%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B46X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3389998 | PA      | $3283639.51   | 0.06%             | 2049-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31427M5H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27824979 | PA      | $25311301.78  | 0.49%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FLCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224301 | PA      | $31836.75     | 0.00%             | 2042-04-25      | Variable      | 3.50%                 | 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        |      -862 | NC      | $-249293.36   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-1                                 | CUSIP: 46650HAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155862 | PA      | $1076853.54   | 0.02%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 312946C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59232 | PA      | $56871.63     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380YZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3886122 | PA      | $599182.82    | 0.01%             | 2044-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ATJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20406 | PA      | $2205.63      | 0.00%             | 2042-08-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3622A2QQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2248194 | PA      | $2244247.56   | 0.04%             | 2045-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EQPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284761 | PA      | $283703.67    | 0.01%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40362477 | PA      | $206260.33    | 0.00%             | 2026-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F050692<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43720000 | PA      | $42527708.82  | 0.82%             | 2055-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60118 | PA      | $3321.89      | 0.00%             | 2038-04-16      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148216 | PA      | $152453.32    | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AAV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6643 | PA      | $6438.21      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797PP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19952322.20  | 0.39%             | 2025-08-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta                         | Mello Mortgage Capital Acceptance 2018-MTG2                     | CUSIP: 585499AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3571378 | PA      | $3409844.00   | 0.07%             | 2048-10-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292KZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7254 | PA      | $7308.25      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-1                                | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9130323 | PA      | $8847844.68   | 0.17%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383T5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22341349 | PA      | $18960064.02  | 0.37%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9888846.70   | 0.19%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375GGT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4609930 | PA      | $346900.02    | 0.01%             | 2042-07-16      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394VL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10411935 | PA      | $5567.89      | 0.00%             | 2035-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ASF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12583069 | PA      | $1514484.30   | 0.03%             | 2046-07-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31281LCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174869 | PA      | $177004.28    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -174 | NC      | $-32625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -62 | NC      | $-24218.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55125 | PA      | $37258.16     | 0.00%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                       | THREE-MONTH SOFR                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -305 | NC      | $-162031.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FRNY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8706789 | PA      | $7644524.17   | 0.15%             | 2040-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348057 | PA      | $368651.86    | 0.01%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379NPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4467 | PA      | $0.00         | 0.00%             | 2037-05-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2                         | JW Trust 2024-BERY                                              | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3509580.90   | 0.07%             | 2039-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B7LQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13904888 | PA      | $11980816.21  | 0.23%             | 2042-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622A2ZG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296717 | PA      | $298875.81    | 0.01%             | 2041-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                       | THREE-MONTH SOFR                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -500 | NC      | $-181250.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 3132HTUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3887006 | PA      | $2968913.40   | 0.06%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7YC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9012189 | PA      | $3911079.07   | 0.08%             | 2051-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373SV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1791710 | PA      | $1787008.02   | 0.03%             | 2033-04-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                            | Diamond Resorts Owner Trust 2021-1                              | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1827967 | PA      | $1823764.27   | 0.04%             | 2033-11-21      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| First Trust Long Duration Opportunities ETF            | First Trust Long Duration Opportunities ETF                     | CUSIP: 33738D606<br>LEI: 54930081NDDOB374EM36 | Long             | EC               | RF                | US        |     73956 | NS      | $1565278.74   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416LU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56639 | PA      | $57219.15     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FQY23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79276000 | PA      | $3730260.83   | 0.07%             | 2028-09-27      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-RPL4 LLC                                              | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5435281 | PA      | $5074905.18   | 0.10%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32049 | PA      | $161.54       | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151305 | PA      | $145821.01    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL2 LLC                                              | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4441538 | PA      | $4290600.44   | 0.08%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2018-EXP1 Trust                                             | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844067 | PA      | $796180.50    | 0.02%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GHBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136633 | PA      | $135123.10    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4368632 | PA      | $4381985.65   | 0.08%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38645000 | PA      | $770156.21    | 0.01%             | 2027-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379ENH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1957164 | PA      | $164367.75    | 0.00%             | 2044-08-20      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9GH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258863 | PA      | $264400.30    | 0.01%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES 2025-AFC2 Trust                                           | CUSIP: 43761YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2695510 | PA      | $2692815.79   | 0.05%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                | Fannie Mae Grantor Trust 2005-T1                                | CUSIP: 31394C7D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1546848 | PA      | $1485838.89   | 0.03%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust                                        | CUSIP: 46593VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3012440.40   | 0.06%             | 2055-11-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2019-2                                  | CUSIP: 33852BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1188002 | PA      | $1063740.51   | 0.02%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-RPL4 Trust                                            | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437848 | PA      | $436359.82    | 0.01%             | 2060-12-27      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GSMS Trust 2024-Fair                                            | CUSIP: 36270JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4025000 | PA      | $4133086.55   | 0.08%             | 2029-07-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398QFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318522 | PA      | $317312.91    | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9C80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4626156 | PA      | $4569254.46   | 0.09%             | 2031-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398THN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232320 | PA      | $58352.08     | 0.00%             | 2050-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       342 | PA      | $19.12        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396X7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181428 | PA      | $188045.57    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                         | Saluda Grade Alternative Mortgage Trust 2025-NPL1               | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4706441 | PA      | $4708257.37   | 0.09%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EJLY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44539 | PA      | $47018.74     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DM6Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8264410 | PA      | $7638812.02   | 0.15%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13289280 | PA      | $11917773.12  | 0.23%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34000000 | PA      | $34285546.96  | 0.66%             | 2027-04-15      | Fixed         | 4.50%                 | 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        |   5233936 | PA      | $5106364.98   | 0.10%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                               | MSILF Treasury Portfolio                                        | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |  68132997 | NS      | $68132997.45  | 1.32%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FX3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63500000 | PA      | $4016000.35   | 0.08%             | 2030-09-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2025-GW                                                | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5740000 | PA      | $5767440.07   | 0.11%             | 2042-07-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A0JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109976 | PA      | $11948.81     | 0.00%             | 2033-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trus                         | CoreVest American Finance 2021-3 Trust                          | CUSIP: 21873NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    703337 | PA      | $685203.58    | 0.01%             | 2054-10-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18267313 | PA      | $15088944.77  | 0.29%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128KV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105287 | PA      | $107974.61    | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KHZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39492 | PA      | $34470.84     | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138YDAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54888 | PA      | $53610.68     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378ACU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27384 | PA      | $2490.43      | 0.00%             | 2041-04-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140MM5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3712291 | PA      | $3601712.88   | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179RB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56372 | PA      | $58897.82     | 0.00%             | 2045-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393EHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355000 | PA      | $345924.46    | 0.01%             | 2033-08-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380RFV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9254748 | PA      | $3206169.77   | 0.06%             | 2062-06-16      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10917513 | PA      | $8165394.66   | 0.16%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | CoreVest American Finance 2021-2 Trust                          | CUSIP: 21873BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050913 | PA      | $1006048.29   | 0.02%             | 2054-07-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55537412 | PA      | $3683618.82   | 0.07%             | 2030-07-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FAJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39842 | PA      | $5626.56      | 0.00%             | 2032-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394UET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68481 | PA      | $70197.06     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Trust 2025-1535                                            | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3595000 | PA      | $3670034.84   | 0.07%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398SGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140046 | PA      | $6922.78      | 0.00%             | 2040-11-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DQPZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30400011 | PA      | $27226044.20  | 0.53%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCEY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34429 | PA      | $4346.11      | 0.00%             | 2033-12-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 313920B41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       808 | PA      | $805.91       | 0.00%             | 2031-09-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62261 | PA      | $8175.64      | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161248 | PA      | $16387.79     | 0.00%             | 2040-10-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2021-1       | CUSIP: 35564CJU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3980949 | PA      | $3646821.61   | 0.07%             | 2031-05-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F032492<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42500000 | PA      | $40714916.70  | 0.79%             | 2040-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397KTL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44180 | PA      | $43004.34     | 0.00%             | 2036-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39116 | PA      | $5732.70      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4917659 | PA      | $490100.74    | 0.01%             | 2042-09-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371LNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13456 | PA      | $13703.93     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4          | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2471459 | PA      | $2435186.59   | 0.05%             | 2057-06-25      | Variable      | 4.75%                 | 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        |       -47 | NC      | $-10281.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10586000 | PA      | $10293173.24  | 0.20%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XTD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14010042 | PA      | $13475541.20  | 0.26%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1067175 | PA      | $1020366.34   | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36292MS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41206 | PA      | $41253.85     | 0.00%             | 2036-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394VL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23061 | PA      | $23308.06     | 0.00%             | 2035-02-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138AKXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66832 | PA      | $66801.41     | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26549238 | PA      | $23350652.86  | 0.45%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R01                    | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2105071 | PA      | $2105286.17   | 0.04%             | 2044-01-25      | Floating      | 5.40%                 | 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        |     -1710 | NC      | $-3954375.00  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AL2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64331 | PA      | $536.47       | 0.00%             | 2026-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-1                             | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4999573 | PA      | $5007488.92   | 0.10%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3131XQ6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12786584 | PA      | $11833048.24  | 0.23%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377VQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4038505 | PA      | $82423.05     | 0.00%             | 2038-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FLEW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3642438 | PA      | $3235636.83   | 0.06%             | 2049-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7822 | PA      | $8100.23      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381EWE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23874757 | PA      | $11824813.64  | 0.23%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59446 | PA      | $3152.83      | 0.00%             | 2043-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F8ZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5700000 | PA      | $4973988.72   | 0.10%             | 2030-12-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365803 | PA      | $364744.54    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379FDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28299300 | PA      | $21442314.57  | 0.41%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9951227.10   | 0.19%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                  | One Bryant Park Trust 2019-OBP                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2040240.83   | 0.04%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2016-1                      | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2729732 | PA      | $2624812.49   | 0.05%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFRA 2024-NQM3 Trust                                            | CUSIP: 55287GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12578786 | PA      | $12623185.83  | 0.24%             | 2069-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5367268 | PA      | $5295342.26   | 0.10%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15118066.35  | 0.29%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35139737 | PA      | $27880214.98  | 0.54%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379AWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4290683 | PA      | $37359.83     | 0.00%             | 2044-03-16      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H73N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4816116 | PA      | $4429177.31   | 0.09%             | 2031-12-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6163563 | PA      | $4917040.72   | 0.10%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36178YGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1680260 | PA      | $1584477.36   | 0.03%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378FUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48063 | PA      | $5770.02      | 0.00%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397KDY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40997 | PA      | $42777.30     | 0.00%             | 2037-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AU5M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12453495 | PA      | $10999571.86  | 0.21%             | 2047-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359196 | PA      | $350589.02    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MEZN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2879 | PA      | $2869.19      | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EKNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318422 | PA      | $295347.65    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1302133 | PA      | $1328433.11   | 0.03%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KAZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140269 | PA      | $144191.17    | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690000 | PA      | $466889.67    | 0.01%             | 2043-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H8H87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3831936.80   | 0.07%             | 2031-02-25      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -324 | NC      | $-96187.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $-18750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -300 | NC      | $-84375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671887 | PA      | $564506.52    | 0.01%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21217 | PA      | $21820.07     | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28378838 | PA      | $809943.40    | 0.02%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AKVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229234 | PA      | $180.45       | 0.00%             | 2044-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HNBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37825 | PA      | $35136.25     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128UNBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1973 | PA      | $1989.34      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2024-DNA2                         | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |   6397296 | PA      | $6427345.78   | 0.12%             | 2044-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $663998.63    | 0.01%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380ASK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5434061 | PA      | $754066.14    | 0.01%             | 2046-09-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35161303 | PA      | $34341620.59  | 0.66%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ALAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256000 | PA      | $263006.13    | 0.01%             | 2040-08-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                          | GS Mortgage-Backed Securities Trust 2021-PJ6                    | CUSIP: 36262LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923096 | PA      | $2595900.64   | 0.05%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379CA89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669925 | PA      | $643575.82    | 0.01%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                            | PRKCM 2025-HOME1                                                | CUSIP: 69382FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    966183 | PA      | $968333.31    | 0.02%             | 2060-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                     | BMO 2024-5C3 Mortgage Trust                                     | CUSIP: 09660QAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  78500000 | PA      | $2596552.35   | 0.05%             | 2057-02-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10766348 | PA      | $9523599.54   | 0.18%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2004-S2                                | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3334 | PA      | $3287.77      | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FRV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 150334000 | PA      | $12924447.00  | 0.25%             | 2033-05-27      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83559 | PA      | $2280.47      | 0.00%             | 2037-05-20      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                         | Vista Point Securitization Trust 2020-1                         | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6662000 | PA      | $6547333.66   | 0.13%             | 2065-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26512410 | PA      | $23795288.31  | 0.46%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551160 | PA      | $510443.58    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3003671 | PA      | $2774094.88   | 0.05%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120802 | PA      | $14753.17     | 0.00%             | 2034-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13777666 | PA      | $13688223.24  | 0.26%             | 2054-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B8RV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8820089 | PA      | $1158807.99   | 0.02%             | 2050-02-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FJZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1771944 | PA      | $1770436.23   | 0.03%             | 2028-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23850 | PA      | $25251.27     | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137BKRL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19092735 | PA      | $190.93       | 0.00%             | 2043-06-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                         | Chase Home Lending Mortgage Trust 2019-ATR2                     | CUSIP: 16159GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719812 | PA      | $1637858.73   | 0.03%             | 2049-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  68018000 | PA      | $220885.73    | 0.00%             | 2026-02-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -75 | NC      | $-2343.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56234658 | PA      | $2913039.64   | 0.06%             | 2034-08-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377UX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74031 | PA      | $4655.41      | 0.00%             | 2041-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371MJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       213 | PA      | $211.91       | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                         | CSAIL 2019-C18 Commercial Mortgage Trust                        | CUSIP: 12597DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3254678 | PA      | $3158188.57   | 0.06%             | 2052-12-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35410560 | PA      | $1771537.20   | 0.03%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15344642 | PA      | $13466893.15  | 0.26%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9M71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2256114 | PA      | $2205400.39   | 0.04%             | 2032-01-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQXX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771702 | PA      | $689292.87    | 0.01%             | 2036-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $612163.20    | 0.01%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ER2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918673 | PA      | $892747.72    | 0.02%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7AV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6061820 | PA      | $5823200.91   | 0.11%             | 2052-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137BP7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 266849884 | PA      | $930932.51    | 0.02%             | 2026-03-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GAFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33639 | PA      | $2261.00      | 0.00%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171265 | PA      | $178529.25    | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371MRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37889 | PA      | $38123.97     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418SYU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3545 | PA      | $3538.50      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-8 LLC                                                 | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448598 | PA      | $445624.73    | 0.01%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K8VV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227226 | PA      | $217343.64    | 0.00%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31329MUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8794098 | PA      | $7866848.89   | 0.15%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                            | Capital Street Master Trust                                     | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5000959.00   | 0.10%             | 2028-10-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393XRL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139188 | PA      | $143923.59    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                  | Tennessee Valley Authority                                      | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $10156639.10  | 0.20%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7568101 | PA      | $7146536.32   | 0.14%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100179 | PA      | $87604.91     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128P7UF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10083 | PA      | $9841.50      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376F4G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171658 | PA      | $166453.48    | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2025-SFR1 Trust                            | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5493212 | PA      | $5194320.71   | 0.10%             | 2042-02-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQPQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713890 | PA      | $77743.13     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620ABW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71178 | PA      | $69140.87     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9059 | PA      | $9590.92      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40390 | PA      | $40423.21     | 0.00%             | 2040-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29273633 | PA      | $2063653.54   | 0.04%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9860505.60   | 0.19%             | 2025-12-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29903 | PA      | $30146.07     | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393XSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151820 | PA      | $156984.69    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38385EQX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10814301 | PA      | $10484124.25  | 0.20%             | 2036-02-20      | Fixed         | 4.50%                 | 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        |  22156474 | PA      | $1143041.40   | 0.02%             | 2056-05-15      | Variable      | 0.86%                 | 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        |       -21 | NC      | $-14437.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GSUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12955 | PA      | $12081.67     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379PC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3047871 | PA      | $240497.43    | 0.00%             | 2045-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392JM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12477 | PA      | $12283.10     | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27258 | PA      | $28618.50     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4396284 | PA      | $3877904.02   | 0.08%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-NQM2 Trust                                            | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4892906 | PA      | $4908794.16   | 0.09%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BA4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6952749 | PA      | $6720160.91   | 0.13%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 113895992 | PA      | $7026984.07   | 0.14%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374GSA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61545 | PA      | $61897.26     | 0.00%             | 2034-04-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7942221 | PA      | $7418565.69   | 0.14%             | 2044-03-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18077817 | PA      | $16162982.68  | 0.31%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2025-3                               | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |   2979870 | PA      | $2994358.86   | 0.06%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179NJF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65961 | PA      | $69002.39     | 0.00%             | 2043-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GSKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38752 | PA      | $37171.72     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | 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        |      -167 | NC      | $-33921.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7AS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5456857 | PA      | $5050166.35   | 0.10%             | 2037-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36176DKS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219382 | PA      | $212465.74    | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153377 | PA      | $142450.52    | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F030694<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54765000 | PA      | $46881169.70  | 0.91%             | 2055-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6870963 | PA      | $6037073.69   | 0.12%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JBPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19445745 | PA      | $18786200.54  | 0.36%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374JPK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132698 | PA      | $1480.81      | 0.00%             | 2034-10-16      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397HM70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130223 | PA      | $114695.26    | 0.00%             | 2037-05-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNQN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5874228 | PA      | $5434453.60   | 0.11%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-INV1                              | CUSIP: 46591DAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5086827 | PA      | $4931065.62   | 0.10%             | 2049-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BNRK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7958046 | PA      | $874928.26    | 0.02%             | 2046-04-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398EXD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177000 | PA      | $174110.86    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2023-V2 Mortgage Trust                                | CUSIP: 08163TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 140940850 | PA      | $3317789.90   | 0.06%             | 2055-05-15      | Variable      | 0.99%                 | 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        |   3561390 | PA      | $3045558.86   | 0.06%             | 2035-06-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165256 | PA      | $157956.21    | 0.00%             | 2040-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | Ellington Financial Mortgage Trust 2019-2                       | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2422000 | PA      | $2271009.13   | 0.04%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376JCK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59060 | PA      | $57865.32     | 0.00%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179QN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8769 | PA      | $7829.56      | 0.00%             | 2044-09-20      | Fixed         | 3.50%                 | 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        |  86878709 | PA      | $773863.41    | 0.01%             | 2049-07-10      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254485 | PA      | $238718.42    | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397RDR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129079 | PA      | $128638.43    | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8709877 | PA      | $7983808.65   | 0.15%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393RFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730000 | PA      | $738226.37    | 0.01%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ALJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15384 | PA      | $15162.29     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | 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        |      -200 | NC      | $-31250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417YKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14245 | PA      | $14356.22     | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620ARQ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559763 | PA      | $540366.78    | 0.01%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43636000 | PA      | $2616842.19   | 0.05%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31408FKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148915 | PA      | $152999.42    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QDE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5640429 | PA      | $5207331.25   | 0.10%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132MQFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637868 | PA      | $622300.51    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H4RF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9436981 | PA      | $8010653.03   | 0.15%             | 2035-11-25      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28940681 | PA      | $26828294.00  | 0.52%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A2PK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1774485 | PA      | $82032.69     | 0.00%             | 2041-03-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297BHR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36742 | PA      | $36786.91     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31394YH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184931 | PA      | $187750.63    | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398NNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61127 | PA      | $53265.28     | 0.00%             | 2040-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15169951 | PA      | $13555386.76  | 0.26%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003000 | PA      | $965906.05    | 0.02%             | 2041-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4792002 | PA      | $4517466.51   | 0.09%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7307029 | PA      | $789101.44    | 0.02%             | 2050-01-25      | Floating      | 1.54%                 | 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        |      -200 | NC      | $-421875.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378HPP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251623 | PA      | $193553.29    | 0.00%             | 2042-09-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20055756 | PA      | $16385750.93  | 0.32%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-2       | CUSIP: 35564CDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $10126950.90  | 0.20%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                | Fannie Mae Grantor Trust 2002-T8                                | CUSIP: 31392DSE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12604049 | PA      | $13132229.45  | 0.25%             | 2032-07-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2021-NQM4 Trust                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5360928 | PA      | $4523958.40   | 0.09%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A6D61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2969610 | PA      | $2875722.64   | 0.06%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. ULTRA TREASURY BOND                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -42 | NC      | $-3281.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H8UD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 200000000 | PA      | $3553608.00   | 0.07%             | 2032-08-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AXJW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41605 | PA      | $90.84        | 0.00%             | 2031-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31368HMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24858 | PA      | $26299.31     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2020-VIV4                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2648481.26   | 0.05%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BLTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51950 | PA      | $4562.65      | 0.00%             | 2035-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $-4687.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377LBS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89000 | PA      | $85372.02     | 0.00%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137H4CM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55000000 | PA      | $6154610.00   | 0.12%             | 2033-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35628791 | PA      | $32521713.04  | 0.63%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FTF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2515155 | PA      | $630475.66    | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KGD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279275 | PA      | $279256.14    | 0.01%             | 2034-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374GV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350649 | PA      | $351392.14    | 0.01%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H8VE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9479177 | PA      | $7856135.55   | 0.15%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate                          | Cantor Commercial Real Estate Lending 2019-CF3                  | CUSIP: 12529TAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4640007 | PA      | $4472331.54   | 0.09%             | 2053-01-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B16B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732650 | PA      | $699314.50    | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F042699<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4741687.50   | 0.09%             | 2055-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-2       | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13104736 | PA      | $12374014.95  | 0.24%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130375 | PA      | $14629.84     | 0.00%             | 2046-12-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254711 | PA      | $248607.01    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | 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        |     -1642 | NC      | $-51312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132VMK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1434412 | PA      | $1345729.03   | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AWMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211866 | PA      | $33954.73     | 0.00%             | 2042-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397TJN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102089 | PA      | $1270.16      | 0.00%             | 2038-05-15      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $17522929.62  | 0.34%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30797 | PA      | $30038.89     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AUAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70037 | PA      | $1426.24      | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  89115244 | PA      | $8703083.82   | 0.17%             | 2035-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A9N98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173277 | PA      | $167536.44    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F9CT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4725000 | PA      | $4123468.28   | 0.08%             | 2030-12-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $17820815.00  | 0.34%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17433647 | PA      | $16543140.13  | 0.32%             | 2052-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1568908 | PA      | $1441418.37   | 0.03%             | 2049-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FV2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 112919000 | PA      | $7369827.91   | 0.14%             | 2029-01-27      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381A3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5914394 | PA      | $5568182.17   | 0.11%             | 2048-11-20      | Fixed         | 4.00%                 | 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        |      -370 | NC      | $-185000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNA VI LLC                                             | FNA VI LLC                                                      | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2741577 | PA      | $2546922.14   | 0.05%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2018-4                                  | CUSIP: 33851LAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3430424 | PA      | $3176586.75   | 0.06%             | 2048-07-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HHSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32719757 | PA      | $32686182.93  | 0.63%             | 2054-12-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2018-2                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110989 | PA      | $107866.70    | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                         | JPMCC Commercial Mortgage Securities Trust 2017-JP5             | CUSIP: 46647TAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1462209 | PA      | $1441866.57   | 0.03%             | 2050-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AMMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6842 | PA      | $6807.06      | 0.00%             | 2040-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3330 | PA      | $3458.63      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36295QKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67352 | PA      | $67836.81     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2   | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3613444 | PA      | $3484118.02   | 0.07%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B1HG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    826035 | PA      | $742542.27    | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93964 | PA      | $93904.92     | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1Z58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 103911035 | PA      | $2200898.06   | 0.04%             | 2028-07-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A92Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106859 | PA      | $15989.32     | 0.00%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MJDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1087 | PA      | $1139.80      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379R6F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2828985 | PA      | $1710430.06   | 0.03%             | 2057-09-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AA2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21958705 | PA      | $20166883.26  | 0.39%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138A2CR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209731 | PA      | $191866.51    | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234307 | PA      | $224102.80    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | 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        |       -13 | NC      | $-3859.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A8ZJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650304 | PA      | $11418.89     | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AV5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210905 | PA      | $3970.86      | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FLCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205066 | PA      | $29086.43     | 0.00%             | 2041-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74232 | PA      | $75880.20     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PF22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18922945 | PA      | $14251698.61  | 0.28%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393YES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51350 | PA      | $50752.90     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4   | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23595375 | PA      | $22691589.34  | 0.44%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418ALC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17408 | PA      | $17191.72     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -334 | NC      | $-62625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398JGX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    885050 | PA      | $877432.02    | 0.02%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335A3R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146254 | PA      | $129379.08    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63388242 | PA      | $60576856.01  | 1.17%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13202020 | PA      | $12707407.37  | 0.25%             | 2050-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397QNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119350 | PA      | $119666.71    | 0.00%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5144526 | PA      | $5024175.60   | 0.10%             | 2046-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68233 | PA      | $61258.06     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                         | Provident Funding Mortgage Trust 2019-1                         | CUSIP: 74387LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039506 | PA      | $894363.71    | 0.02%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375XBM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322494 | PA      | $325816.23    | 0.01%             | 2038-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4439472 | PA      | $2667275.01   | 0.05%             | 2059-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BS3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2196788 | PA      | $2163757.18   | 0.04%             | 2035-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56457100 | PA      | $5179859.92   | 0.10%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6KR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  73170906 | PA      | $69511238.96  | 1.34%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F040693<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63732000 | PA      | $58761533.03  | 1.14%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132FTAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1339443 | PA      | $1317300.83   | 0.03%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JB2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14356710 | PA      | $13444112.74  | 0.26%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust 2017-CH1                                 | CUSIP: 81746HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195711 | PA      | $185150.90    | 0.00%             | 2047-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39340 | PA      | $40545.19     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-HY2                              | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3290285 | PA      | $3368190.98   | 0.07%             | 2058-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384BJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10738770 | PA      | $9475184.04   | 0.18%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22169686 | PA      | $19994245.22  | 0.39%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58262 | PA      | $2025.70      | 0.00%             | 2038-09-20      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140J8JM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9191760 | PA      | $8785816.53   | 0.17%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376LWH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    934178 | PA      | $2188.69      | 0.00%             | 2035-07-20      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W1MM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24570472 | PA      | $24271380.18  | 0.47%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64367000 | PA      | $2348532.98   | 0.05%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620C1FT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203637 | PA      | $200873.67    | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640975 | PA      | $623051.73    | 0.01%             | 2037-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382AEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7760289 | PA      | $7091643.56   | 0.14%             | 2049-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJ5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34871747 | PA      | $31230625.39  | 0.60%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417FUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386144 | PA      | $352462.79    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-468.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MCXR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1022 | PA      | $1019.24      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379AVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552723 | PA      | $8706.39      | 0.00%             | 2028-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-2                                | CUSIP: 89173HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603284 | PA      | $600811.36    | 0.01%             | 2057-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3MR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22349481 | PA      | $20666554.18  | 0.40%             | 2048-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B4PW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7407596 | PA      | $7316125.96   | 0.14%             | 2049-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BUDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22521827 | PA      | $22460037.89  | 0.43%             | 2054-11-25      | Floating      | 5.35%                 | 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        |       -81 | NC      | $-59484.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376T2N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8659 | PA      | $8286.42      | 0.00%             | 2040-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64993000 | PA      | $2589965.85   | 0.05%             | 2029-10-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HAMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10367392.00  | 0.20%             | 2031-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XG7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29949855 | PA      | $27732617.41  | 0.54%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107000 | PA      | $105010.15    | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XCDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5329261 | PA      | $5016720.19   | 0.10%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK26                                                 | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8205251 | PA      | $335669.45    | 0.01%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ENRL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382315 | PA      | $377353.66    | 0.01%             | 2043-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC Series 2019-UVIL                                           | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2583907.76   | 0.05%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26551804 | PA      | $19232490.98  | 0.37%             | 2060-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-2 LLC                                                 | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5723085 | PA      | $5734187.57   | 0.11%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23633 | PA      | $24993.31     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35370319 | PA      | $33958898.45  | 0.66%             | 2033-10-25      | Fixed         | 3.00%                 | 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        |     -1085 | NC      | $-915468.75   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2018-RPL9 Trust                                            | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238423 | PA      | $230257.15    | 0.00%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTZJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33049785 | PA      | $33073356.45  | 0.64%             | 2054-12-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31413RK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78433 | PA      | $79819.65     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376K2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60559 | PA      | $60803.54     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31281LCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62513 | PA      | $62256.05     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $-5859.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36225BYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169445 | PA      | $171454.97    | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398SKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2821000 | PA      | $2681552.61   | 0.05%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38011 | PA      | $3024.47      | 0.00%             | 2035-05-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BRLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13338336 | PA      | $10783921.54  | 0.21%             | 2053-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31409GV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28641 | PA      | $28739.25     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 180000000 | PA      | $177693969.60 | 3.44%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                            | Houston Galleria Mall Trust 2025-HGLR                           | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5425000 | PA      | $5515349.58   | 0.11%             | 2045-02-05      | Variable      | 5.46%                 | 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        |      2470 | NC      | $-487016.16   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F060691<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56907000 | PA      | $57644654.71  | 1.11%             | 2055-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22035921 | PA      | $20680786.79  | 0.40%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142665 | PA      | $138458.11    | 0.00%             | 2038-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377TAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317489 | PA      | $315657.72    | 0.01%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13449534 | PA      | $11962401.75  | 0.23%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M8UG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115175 | PA      | $116035.88    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ASPG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8774460 | PA      | $6993371.85   | 0.14%             | 2046-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  82019000 | PA      | $5522339.27   | 0.11%             | 2030-06-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60257 | PA      | $6180.29      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62643 | PA      | $974.61       | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F4W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2187324 | PA      | $250192.63    | 0.00%             | 2048-04-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36290RU43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113140 | PA      | $112066.88    | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376CKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455000 | PA      | $449848.54    | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132E0NW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8894055 | PA      | $8399453.36   | 0.16%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5299934 | PA      | $5198110.29   | 0.10%             | 2035-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5743 | PA      | $5856.22      | 0.00%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                  | TRK 2021-INV1 Trust                                             | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2744835 | PA      | $2472117.10   | 0.05%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379JUY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10943081 | PA      | $9731536.59   | 0.19%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-5                             | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2503647.00   | 0.05%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AYMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4470691 | PA      | $3863848.74   | 0.07%             | 2057-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    536000 | PA      | $545520.75    | 0.01%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31412NZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5673 | PA      | $5718.30      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2223210 | PA      | $2151985.92   | 0.04%             | 2050-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. ULTRA TREASURY BOND                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -61 | NC      | $-62906.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416XYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773225 | PA      | $776439.65    | 0.02%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2963000 | PA      | $2724244.13   | 0.05%             | 2053-05-15      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71703883 | PA      | $3993891.93   | 0.08%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36176LGK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    657161 | PA      | $651656.07    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | 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        |     -4225 | NC      | $-2603832.61  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AUKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168771 | PA      | $165603.42    | 0.00%             | 2046-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35529637 | PA      | $2606699.32   | 0.05%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375GHS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6711842 | PA      | $4055925.85   | 0.08%             | 2042-07-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1   | CUSIP: 35563PAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10159114 | PA      | $9790866.04   | 0.19%             | 2056-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M92Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243294 | PA      | $232615.62    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374UCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    486050 | PA      | $493181.39    | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FPKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9721808 | PA      | $9402602.37   | 0.18%             | 2049-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51363527 | PA      | $44848677.04  | 0.87%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179UK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1590207 | PA      | $1663721.05   | 0.03%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143626 | PA      | $128803.23    | 0.00%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2022-1       | CUSIP: 35564CMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9160551.00   | 0.18%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376PWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732000 | PA      | $732497.76    | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR09            | CUSIP: 3137FTG68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37600000 | PA      | $2622611.28   | 0.05%             | 2028-11-27      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B8D30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12764067 | PA      | $12336248.50  | 0.24%             | 2050-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B1GZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    956924 | PA      | $24389.50     | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Trust 2025-1535                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1534671.50   | 0.03%             | 2042-05-05      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9MP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31433 | PA      | $29979.68     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140H74S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31094 | PA      | $30852.23     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36213FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15515 | PA      | $15718.86     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36291FVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4187 | PA      | $4228.55      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                          | GS Mortgage-Backed Securities Corp Trust 2019-PJ3               | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238789 | PA      | $224376.24    | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -197 | NC      | $-30781.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B3FV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11838 | PA      | $6110.60      | 0.00%             | 2043-01-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396FPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26480 | PA      | $26608.81     | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BPAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19650814 | PA      | $19009672.50  | 0.37%             | 2052-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BAHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14641698 | PA      | $14087845.51  | 0.27%             | 2050-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                           | WinWater Mortgage Loan Trust 2016-1                             | CUSIP: 97655JCB6<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |   2872676 | PA      | $2738599.16   | 0.05%             | 2046-01-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377UAJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771202 | PA      | $761686.14    | 0.01%             | 2041-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $98638208.00  | 1.91%             | 2025-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                          | TIAA Bank Mortgage Loan Trust 2018-3                            | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715357 | PA      | $675383.26    | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MLC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18564705 | PA      | $13556267.73  | 0.26%             | 2060-06-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B8YJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17090959 | PA      | $15539616.04  | 0.30%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ANAM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875000 | PA      | $741831.83    | 0.01%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ANCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13725 | PA      | $12613.26     | 0.00%             | 2041-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396HX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82490 | PA      | $88238.36     | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7231381 | PA      | $5954216.43   | 0.12%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132XXS34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490900 | PA      | $479752.47    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H8WD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5223868 | PA      | $5080067.86   | 0.10%             | 2052-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                          | NYO Commercial Mortgage Trust 2021-1290                         | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $5297688.14   | 0.10%             | 2038-11-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735241 | PA      | $784990.09    | 0.02%             | 2041-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WK70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432542 | PA      | $450970.97    | 0.01%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96172 | PA      | $96506.24     | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395DAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31648 | PA      | $32913.98     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374DKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175685 | PA      | $175608.10    | 0.00%             | 2037-12-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393DRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5495 | PA      | $5480.67      | 0.00%             | 2027-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9700000 | PA      | $9770794.48   | 0.19%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620C5BG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445227 | PA      | $417060.22    | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378BM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20206204 | PA      | $13037048.58  | 0.25%             | 2055-01-16      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268268 | PA      | $49121.94     | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380AAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1134854 | PA      | $1023376.44   | 0.02%             | 2036-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221514 | PA      | $220032.63    | 0.00%             | 2040-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H7DA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86974 | PA      | $84960.56     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B0PK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    905000 | PA      | $824755.19    | 0.02%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70000000 | PA      | $69717722.20  | 1.35%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F64T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  46072531 | PA      | $1246344.89   | 0.02%             | 2027-09-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -168 | NC      | $-42000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9750000 | PA      | $7448486.18   | 0.14%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26670 | PA      | $25920.35     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913837 | PA      | $881632.70    | 0.02%             | 2048-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396AAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66441 | PA      | $6093.66      | 0.00%             | 2035-08-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ATPL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1840857 | PA      | $188189.87    | 0.00%             | 2042-08-15      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ALYJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1878000 | PA      | $1728109.31   | 0.03%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FTZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  96907000 | PA      | $2938510.96   | 0.06%             | 2027-12-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQEU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7094692 | PA      | $783015.56    | 0.02%             | 2049-12-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF 2019-KL04 Mortgage Trust                                  | CUSIP: 30297TAU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7498000 | PA      | $7448864.11   | 0.14%             | 2025-10-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31427NRL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14819568 | PA      | $13933717.01  | 0.27%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41000000 | PA      | $41061660.31  | 0.79%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380JLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4642059 | PA      | $2514727.78   | 0.05%             | 2059-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR09            | CUSIP: 3137FTG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  47500000 | PA      | $3124238.88   | 0.06%             | 2029-02-27      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BACY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5946963 | PA      | $5712090.54   | 0.11%             | 2050-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2025-SFR3 Trust                            | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4341000 | PA      | $4064219.58   | 0.08%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397QQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507000 | PA      | $1556714.12   | 0.03%             | 2041-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31385XQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5755 | PA      | $5939.07      | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $-23437.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| First Trust Structured Credit Income Opportunities ETF | First Trust Structured Credit Income Opportunities ETF          | CUSIP: 33738D770<br>LEI: 2549004N8C03JQQ2OB54 | Long             | EC               | RF                | US        |     22500 | NS      | $463725.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BMNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311868 | PA      | $224034.79    | 0.00%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TYW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153248 | PA      | $16787.30     | 0.00%             | 2043-01-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376JCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2384904 | PA      | $98346.52     | 0.00%             | 2036-04-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378GM88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1031133 | PA      | $1069510.68   | 0.02%             | 2042-12-20      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3129882Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493781 | PA      | $488929.51    | 0.01%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7EW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5523136 | PA      | $5273147.70   | 0.10%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AWC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597364 | PA      | $432400.74    | 0.01%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B47H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3511211 | PA      | $3414589.12   | 0.07%             | 2049-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397PRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129167 | PA      | $133676.12    | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TTN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474123 | PA      | $469691.25    | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128KHFQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48717 | PA      | $50115.66     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58600000 | PA      | $59002875.00  | 1.14%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BLDP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367936 | PA      | $379985.48    | 0.01%             | 2038-05-15      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A2HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2032486 | PA      | $1978627.05   | 0.04%             | 2041-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F5MU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12689296 | PA      | $11900904.52  | 0.23%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2025-DNA1                         | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |   2028125 | PA      | $2030531.78   | 0.04%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK43                                                 | CUSIP: 06541QAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3417170.49   | 0.07%             | 2055-08-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376GL99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2167895 | PA      | $1949389.32   | 0.04%             | 2052-09-16      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A62R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1881849 | PA      | $1901942.82   | 0.04%             | 2041-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297BH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153048 | PA      | $153234.59    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76956911 | PA      | $2874863.93   | 0.06%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AATY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41134 | PA      | $41249.17     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F72T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  77535017 | PA      | $4263549.79   | 0.08%             | 2030-10-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396LC99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125630 | PA      | $124352.11    | 0.00%             | 2036-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B9JR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11969763 | PA      | $3624812.91   | 0.07%             | 2050-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2   | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1216393 | PA      | $1210912.04   | 0.02%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2025-4 Mortgage Loan Trust                                 | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |   4816598 | PA      | $4849023.61   | 0.09%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 3133Q3ND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4634310 | PA      | $3926123.78   | 0.08%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396CNQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1307728 | PA      | $1374431.87   | 0.03%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H13R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 150417141 | PA      | $6733122.47   | 0.13%             | 2031-05-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-RR19            | CUSIP: 3137H2P57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20098730 | PA      | $1034312.83   | 0.02%             | 2029-04-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24778 | PA      | $800.64       | 0.00%             | 2039-03-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75429 | PA      | $75445.60     | 0.00%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AAZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435138 | PA      | $214147.34    | 0.00%             | 2042-12-25      | None          | 0.00%                 | 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        |       -41 | NC      | $-14093.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TLD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953680 | PA      | $745865.88    | 0.01%             | 2043-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374UNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2032826 | PA      | $2133394.98   | 0.04%             | 2039-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418BYF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1636 | PA      | $1409.13      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2022-R02                    | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5123752.00   | 0.10%             | 2042-01-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56302644 | PA      | $1698566.31   | 0.03%             | 2029-09-25      | Variable      | 0.88%                 | 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        |     -2426 | NC      | $-3544247.09  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315004 | PA      | $296738.86    | 0.01%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36180BA35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261153 | PA      | $252303.80    | 0.00%             | 2033-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72079 | PA      | $75298.28     | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375XME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271195 | PA      | $2669.94      | 0.00%             | 2038-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378PXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688000 | PA      | $649877.71    | 0.01%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367517 | PA      | $1268483.36   | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W1ZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17580453 | PA      | $17083299.60  | 0.33%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADR35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $599093.40    | 0.01%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195852 | PA      | $152949.60    | 0.00%             | 2043-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H4A92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7804 | PA      | $7013.37      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    547160 | PA      | $547826.68    | 0.01%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153901 | PA      | $142190.79    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392FLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83348 | PA      | $79591.45     | 0.00%             | 2032-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410FWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47457 | PA      | $49910.54     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AR3D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116430 | PA      | $109306.22    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                            | PRKCM 2025-HOME1                                                | CUSIP: 69382FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2768113 | PA      | $2768903.06   | 0.05%             | 2060-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H3HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57746 | PA      | $53479.51     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BYGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $493563.30    | 0.01%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19160 | PA      | $19771.56     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7L61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40287 | PA      | $39881.55     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                         | FARM 2024-1 Mortgage Trust                                      | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5104147 | PA      | $4873593.01   | 0.09%             | 2053-10-01      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-11125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2016-DC2 Mortgage Trust                                    | CUSIP: 12594CBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555121 | PA      | $2549108.45   | 0.05%             | 2049-02-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FUCU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7220190 | PA      | $6961759.22   | 0.13%             | 2050-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33092000 | PA      | $32871559.96  | 0.64%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6728918 | PA      | $6430670.89   | 0.12%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2024-2       | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24771838 | PA      | $25195074.69  | 0.49%             | 2034-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985846 | PA      | $958867.81    | 0.02%             | 2037-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 158924816 | PA      | $2233974.36   | 0.04%             | 2031-01-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397JSA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28738 | PA      | $28414.32     | 0.00%             | 2037-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-8                                 | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497354 | PA      | $447489.94    | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QT54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23658 | PA      | $23238.67     | 0.00%             | 2034-04-20      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -170 | NC      | $-39843.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13278006 | PA      | $11762711.22  | 0.23%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384X5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11595676 | PA      | $11555513.13  | 0.22%             | 2054-11-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278117 | PA      | $272531.47    | 0.01%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FUAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4048686 | PA      | $3927589.99   | 0.08%             | 2050-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31403E7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12033 | PA      | $12062.09     | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16565424 | PA      | $16355117.92  | 0.32%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617ARK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    712951 | PA      | $685025.91    | 0.01%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BRGT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81835 | PA      | $2000.38      | 0.00%             | 2054-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9902330.90   | 0.19%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2019-3                                    | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543221 | PA      | $1464245.86   | 0.03%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AN7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12266394 | PA      | $11774812.06  | 0.23%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379WTL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10783 | PA      | $10869.10     | 0.00%             | 2031-03-20      | Variable      | 5.42%                 | 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        |     -7294 | NC      | $-6738646.62  | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JBEB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8616460 | PA      | $7423632.43   | 0.14%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3WL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5818015 | PA      | $5493829.03   | 0.11%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MFN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1234869 | PA      | $1148204.36   | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2872414 | PA      | $2743977.05   | 0.05%             | 2035-05-16      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137H1M86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100924000 | PA      | $4387620.44   | 0.08%             | 2028-10-27      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36186G6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57333 | PA      | $57208.24     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -439 | NC      | $-13718.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R04                    | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4876028 | PA      | $4880448.79   | 0.09%             | 2044-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36296DEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10935 | PA      | $11365.87     | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262827 | PA      | $270248.87    | 0.01%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393CSV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208647 | PA      | $213935.05    | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-3       | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3161451 | PA      | $2980852.35   | 0.06%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A6A53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27409 | PA      | $496.06       | 0.00%             | 2027-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7FQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88900 | PA      | $90584.18     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11106000 | PA      | $10465917.91  | 0.20%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AYFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86050 | PA      | $83879.61     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FP5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8434868 | PA      | $8150475.13   | 0.16%             | 2049-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2024-HQA1                         | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8111705.60   | 0.16%             | 2044-03-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23600000 | PA      | $21103214.40  | 0.41%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76545746 | PA      | $3033339.52   | 0.06%             | 2030-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417Y2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1804 | PA      | $1822.02      | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398MUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107378 | PA      | $93652.31     | 0.00%             | 2040-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374Y6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763151 | PA      | $27609.13     | 0.00%             | 2037-07-20      | Floating      | 2.13%                 | 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        |      -749 | NC      | $-667078.13   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7EX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33673000 | PA      | $30616858.72  | 0.59%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373AM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750548 | PA      | $749947.82    | 0.01%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377FVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122628 | PA      | $1182090.05   | 0.02%             | 2040-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383UTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7800615 | PA      | $7586907.33   | 0.15%             | 2052-08-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FPVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8661610 | PA      | $8390140.80   | 0.16%             | 2049-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H92G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27728533 | PA      | $27148609.97  | 0.53%             | 2052-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3   | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9563803 | PA      | $8904387.30   | 0.17%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JLQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779437 | PA      | $719101.72    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JAJR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4136357 | PA      | $4024776.82   | 0.08%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R05                    | CUSIP: 20754XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4720405 | PA      | $4728810.65   | 0.09%             | 2044-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H53U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8815818 | PA      | $5639871.08   | 0.11%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Secu                         | Citigroup Global Markets Mortgage Securities VII Inc            | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       215 | PA      | $214.60       | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380NLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2033357 | PA      | $1068726.46   | 0.02%             | 2061-05-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374BDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150490 | PA      | $150498.64    | 0.00%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132D9H56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8312943 | PA      | $7573150.26   | 0.15%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17549114 | PA      | $16763938.66  | 0.32%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                            | United States Treasury Strip Principal                          | CUSIP: 912803DS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $11780344.00  | 0.23%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20785514 | PA      | $14736008.51  | 0.29%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $500740.80    | 0.01%             | 2040-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2016-3                      | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2089546 | PA      | $2029783.01   | 0.04%             | 2056-09-25      | Variable      | 4.00%                 | 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        |      -146 | NC      | $-214437.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya Ai Debt Trust 2025-R1                                    | CUSIP: 69547CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2607458 | PA      | $2607073.85   | 0.05%             | 2026-05-18      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382P4V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5341976 | PA      | $723615.51    | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -612 | NC      | $-267750.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    839740 | PA      | $819622.94    | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                         | FirstKey Homes 2020-SFR1 Trust                                  | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4043113 | PA      | $4023893.01   | 0.08%             | 2037-08-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13478699 | PA      | $12452839.05  | 0.24%             | 2047-08-01      | Fixed         | 3.50%                 | 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        |    378383 | PA      | $377796.37    | 0.01%             | 2045-01-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396QAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1636639 | PA      | $1642548.10   | 0.03%             | 2037-02-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31296UZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55907 | PA      | $55714.87     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ANZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1302153 | PA      | $1209089.38   | 0.02%             | 2042-04-15      | Fixed         | 4.50%                 | 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        |      -445 | NC      | $-591015.63   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410K5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6406 | PA      | $6782.84      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378KSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86649 | PA      | $71493.05     | 0.00%             | 2053-12-16      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415324 | PA      | $346236.09    | 0.01%             | 2043-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MDBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11909 | PA      | $11855.77     | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384VNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9562312 | PA      | $9642258.45   | 0.19%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQ3C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 123088560 | PA      | $2824439.34   | 0.05%             | 2029-09-25      | Variable      | 0.65%                 | 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        |       -92 | NC      | $-53187.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620AQAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379995 | PA      | $360217.68    | 0.01%             | 2036-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5364468 | PA      | $4947137.87   | 0.10%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 113233000 | PA      | $5927288.96   | 0.11%             | 2031-08-25      | Variable      | 0.99%                 | 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        |   3919872 | PA      | $422872.69    | 0.01%             | 2045-09-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17102738 | PA      | $12870964.79  | 0.25%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99925 | PA      | $8225.95      | 0.00%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A1ZF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145492 | PA      | $1125.09      | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6UD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14765278 | PA      | $11398249.47  | 0.22%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2021-1R                                   | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2223973 | PA      | $1999801.33   | 0.04%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374VSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3732326 | PA      | $3734525.03   | 0.07%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                                 | Oscar US Funding XVII LLC                                       | CUSIP: 68784BAC8<br>LEI: 353800UI8625NXT7ND41 | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $4891859.58   | 0.09%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51858 | PA      | $53510.98     | 0.00%             | 2040-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HM7C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52297 | PA      | $48645.50     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383YWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10708075 | PA      | $8281149.54   | 0.16%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $6968327.20   | 0.13%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AWVX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83762 | PA      | $1602.07      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50653400 | PA      | $2482791.58   | 0.05%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383LNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10173000 | PA      | $9261827.79   | 0.18%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24606247 | PA      | $23535461.47  | 0.46%             | 2050-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FV2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43873697 | PA      | $1602004.17   | 0.03%             | 2028-12-27      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  59029000 | PA      | $2031955.86   | 0.04%             | 2029-11-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BFTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6865256 | PA      | $6210619.16   | 0.12%             | 2036-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19757997.60  | 0.38%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AHZ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5936463 | PA      | $706004.50    | 0.01%             | 2041-11-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21787 | PA      | $440.45       | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101854 | PA      | $8279.74      | 0.00%             | 2040-01-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18648981 | PA      | $16826425.42  | 0.33%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2   | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13077903 | PA      | $12078486.62  | 0.23%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B27D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2366667 | PA      | $2275044.56   | 0.04%             | 2058-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL4 LLC                                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15261652 | PA      | $14818168.15  | 0.29%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317412 | PA      | $1276083.36   | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398G3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226689 | PA      | $209957.19    | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR14            | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34897468 | PA      | $4711290.79   | 0.09%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BMNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527914 | PA      | $377851.94    | 0.01%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132A2XV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    862063 | PA      | $910447.24    | 0.02%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31282YWM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90936 | PA      | $10284.05     | 0.00%             | 2036-08-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396PSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313274 | PA      | $314703.47    | 0.01%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377XLV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12955 | PA      | $8.04         | 0.00%             | 2026-08-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H9DF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7871994 | PA      | $5783209.99   | 0.11%             | 2048-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16487105 | PA      | $14924604.67  | 0.29%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BQLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8793849 | PA      | $6662849.04   | 0.13%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AAP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16315230 | PA      | $15071486.96  | 0.29%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5295759 | PA      | $5148900.27   | 0.10%             | 2049-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HJSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5129868 | PA      | $5164280.99   | 0.10%             | 2055-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XH60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215442 | PA      | $222627.56    | 0.00%             | 2045-11-20      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    842440 | PA      | $879567.81    | 0.02%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36291URZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59912 | PA      | $62386.90     | 0.00%             | 2036-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ARBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4923691 | PA      | $4465596.75   | 0.09%             | 2046-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136090 | PA      | $138225.87    | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22927972 | PA      | $22797120.00  | 0.44%             | 2054-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63500 | PA      | $64972.49     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395TYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785000 | PA      | $794333.65    | 0.02%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292HN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1610 | PA      | $1666.23      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                            | United States Treasury Strip Principal                          | CUSIP: 912803DQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $11963882.75  | 0.23%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AUDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2242762 | PA      | $2193380.44   | 0.04%             | 2046-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8435 | PA      | $8367.19      | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381ATW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $9069290.00   | 0.18%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369616 | PA      | $391282.80    | 0.01%             | 2035-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226963 | PA      | $217542.19    | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FTJK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4351834 | PA      | $4197720.38   | 0.08%             | 2049-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H9KK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9199324 | PA      | $9092663.59   | 0.18%             | 2042-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F6RT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15942247 | PA      | $15039520.65  | 0.29%             | 2050-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A6AH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415871 | PA      | $376087.43    | 0.01%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AFH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394875 | PA      | $384303.23    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83777 | PA      | $80074.39     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617G6N86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319106 | PA      | $315689.78    | 0.01%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371NLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29294 | PA      | $30192.21     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434864 | PA      | $371799.63    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AXAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13315592 | PA      | $11568484.19  | 0.22%             | 2047-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3012304 | PA      | $2770890.40   | 0.05%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122938 | PA      | $5073.18      | 0.00%             | 2037-07-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382AEP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1763702 | PA      | $17740.55     | 0.00%             | 2049-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66865 | PA      | $55597.47     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-23

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

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

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