# EDGAR Filing Document

**Accession Number:** 0001319183
**File Stem:** 0001752724-25-156377
**Filing Date:** 2025-6
**Character Count:** 69846
**Document Hash:** 7e5f574dbd9934137b202e863c4c69de
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-156377.hdr.sgml**: 20250625

**ACCESSION NUMBER**: 0001752724-25-156377

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250625

**DATE AS OF CHANGE**: 20250625

**PERIOD START**: 20251031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21727
- **FILM NUMBER:** 251073525

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630765-8000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIRST TRUST/FIDAC MORTGAGE INCOME FUND
- **DATE OF NAME CHANGE:** 20050228

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** First Trust Mortgage Income Fund

- **b. Investment Company Act file number:** 811-21727

- **c. CIK number of Registrant:** 0001319183

- **d. LEI of Registrant:** 549300DJXDU5IDLS9H81

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 120 EAST LIBERTY DRIVE

  - **City:** Wheaton

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60187

  - **Telephone number:** 630-765-8000

**Item A.2. Information about the Series.**

- **a. Name of Series:** First Trust Mortgage Income Fund

- **c. LEI of Series:** 549300DJXDU5IDLS9H81

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

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

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $60027634.97

**Total Liabilities:** $6293264.78

**Net Assets:** $53734370.19

**Delayed Delivery Securities:** $754840.88

**Stand-by Commitments:** $4453332.87

**Cash Not Reported:** $10844.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 21.83916000 | **1-Year:** 2492.92093000 | **5-Year:** 7803.21063000 | **10-Year:** 5157.53099000 | **30-Year:** 1154.56910000

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

- **3-Month:** 85.60482000 | **1-Year:** 1200.00860000 | **5-Year:** 1737.90112000 | **10-Year:** 2382.87648000 | **30-Year:** 147.06023000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 0.62%                | 1.53%                | -0.44%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $89600.16                | $392308.33                                 |
| Month 2  | $29005.72                | $-324221.54                                |
| Month 3  | $111582.16               | $746995.54                                 |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                        | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -10 | NC      | $-6718.75     | -0.01%            |  |  |  | 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        |        28 | NC      | $-15375.72    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MASTR Alternative Loans Trust               | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3538405 | PA      | $333353.82    | 0.62%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bank                                        | Bank 2019-BNK19                                                                  | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11592712 | PA      | $386766.49    | 0.72%             | 2061-08-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392FMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9748 | PA      | $386.39       | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | 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        |    864000 | PA      | $814896.98    | 1.52%             | 2037-03-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F64S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1831144 | PA      | $102217.02    | 0.19%             | 2048-11-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1                                | FIVE 2023-V1 Mortgage Trust                                                      | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25784081 | PA      | $435194.03    | 0.81%             | 2056-02-10      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                | WinWater Mortgage Loan Trust 2015-3                                              | CUSIP: 97651JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173171 | PA      | $162238.06    | 0.30%             | 2045-03-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust               | Life 2021-BMR Mortgage Trust                                                     | CUSIP: 53218CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348600 | PA      | $339968.87    | 0.63%             | 2038-03-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380CUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169016 | PA      | $136676.32    | 0.25%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38376R7P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141742 | PA      | $135693.74    | 0.25%             | 2067-09-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A84C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17370 | PA      | $21.45        | 0.00%             | 2031-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                  | CUSIP: 95000KBH7<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |   1034000 | PA      | $986371.69    | 1.84%             | 2049-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368918 | PA      | $58138.47     | 0.11%             | 2041-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31395UCS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428706 | PA      | $38817.55     | 0.07%             | 2035-05-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379FN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3122941 | PA      | $458364.12    | 0.85%             | 2045-11-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                                      | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $503646.25    | 0.94%             | 2035-03-19      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK7                                                                   | CUSIP: 06541XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20882997 | PA      | $263984.06    | 0.49%             | 2060-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396YQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294177 | PA      | $293400.15    | 0.55%             | 2037-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2019-IMC                                            | CUSIP: 05608BAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $655707.96    | 1.22%             | 2034-04-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904611 | PA      | $866100.54    | 1.61%             | 2050-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK23                                                                  | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8883094 | PA      | $234669.13    | 0.44%             | 2052-12-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-1                                       | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $766233.00    | 1.43%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264019 | PA      | $256808.09    | 0.48%             | 2050-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052656<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $698598.23    | 1.30%             | 2055-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2016-UBS9                                         | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $23689.62     | 0.04%             | 2049-03-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28788 | PA      | $32071.48     | 0.06%             | 2040-09-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380A3T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78019 | PA      | $62064.29     | 0.12%             | 2045-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102700 | PA      | $1088377.91   | 2.03%             | 2038-05-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A9D96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1111739 | PA      | $150703.62    | 0.28%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059884 | PA      | $1052162.13   | 1.96%             | 2054-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2022-3                                       | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769208 | PA      | $754302.44    | 1.40%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136ATF58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168142 | PA      | $40360.23     | 0.08%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus              | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22797403 | PA      | $249221.21    | 0.46%             | 2050-03-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $642175.69    | 1.20%             | 2036-10-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARLU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72042 | PA      | $1462.22      | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2003-10                                                  | CUSIP: 36228FYJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1432 | PA      | $1352.87      | 0.00%             | 2033-10-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82614 | PA      | $82785.96     | 0.15%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R02                                     | CUSIP: 20754GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1015188.50   | 1.89%             | 2044-02-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $550796.40    | 1.03%             | 2048-06-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A0EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56914 | PA      | $487.73       | 0.00%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HCKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2454000 | PA      | $644510.46    | 1.20%             | 2031-02-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fidelis Mortgage Trust                      | Fidelis Mortgage Trust 2025-RTL1                                                 | CUSIP: 31575LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $992846.90    | 1.85%             | 2040-02-27      | Variable      | 8.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4132 | PA      | $74.43        | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ARQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141497 | PA      | $2795.73      | 0.01%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    993918 | PA      | $958477.23    | 1.78%             | 2050-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43343 | PA      | $37447.55     | 0.07%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                    | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19661114 | PA      | $121381.82    | 0.23%             | 2049-12-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396VUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121914 | PA      | $15147.78     | 0.03%             | 2037-05-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052664<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $299176.59    | 0.56%             | 2055-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $224723.07    | 0.42%             | 2049-01-25      | Variable      | 2.72%                 | 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        |   7633328 | PA      | $169456.83    | 0.32%             | 2050-06-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2009-10                                            | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6449 | PA      | $6415.36      | 0.01%             | 2033-09-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust               | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $361740.58    | 0.67%             | 2038-11-15      | Floating      | 6.98%                 | 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        |   5816997 | PA      | $230329.23    | 0.43%             | 2053-03-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22682 | PA      | $2556.55      | 0.00%             | 2033-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1031806 | PA      | $1007639.52   | 1.88%             | 2052-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31339WYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82079 | PA      | $9578.03      | 0.02%             | 2032-03-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 31364JL84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8590 | PA      | $529.29       | 0.00%             | 2029-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                             | Mid-State Capital Corp 2005-1 Trust                                              | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53052 | PA      | $52985.10     | 0.10%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375LYK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108627 | PA      | $2538.47      | 0.00%             | 2037-11-20      | Floating      | 2.22%                 | 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        |   5677124 | PA      | $76019.52     | 0.14%             | 2049-07-10      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137B2FS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154836 | PA      | $9197.17      | 0.02%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030652<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1736029.40   | 3.23%             | 2055-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $997430.50    | 1.86%             | 2039-03-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2024-NQM1 Trust                                                             | CUSIP: 693977AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $731537.76    | 1.36%             | 2068-12-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2018-CD7 Mortgage Trust                                                       | CUSIP: 12512JAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8378132 | PA      | $154121.61    | 0.29%             | 2051-08-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING                   | Adams Outdoor Advertising LP                                                     | CUSIP: 006346AX8<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1046371.70   | 1.95%             | 2053-07-15      | Fixed         | 8.81%                 | 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        |       -10 | NC      | $-8593.75     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mortgage Trust                     | NYMT Loan Trust Series 2024-BPL1                                                 | CUSIP: 62956MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1010785.20   | 1.88%             | 2029-02-25      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1129620.49   | 2.10%             | 2052-03-15      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692000 | PA      | $691861.81    | 1.29%             | 2028-03-01      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B0QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2005651 | PA      | $247903.51    | 0.46%             | 2048-01-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3829000 | PA      | $10040.40     | 0.02%             | 2048-10-10      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378VMF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157238 | PA      | $14278.27     | 0.03%             | 2043-07-16      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2024-RPL3 LLC                                                               | CUSIP: 69381LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $640767.69    | 1.19%             | 2054-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31392JMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33972 | PA      | $3924.27      | 0.01%             | 2033-03-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042657<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1000000 | PA      | $-956484.68   | -1.78%            | 2055-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QO1 Trust                                                       | CUSIP: 761118RJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64115 | PA      | $32735.93     | 0.06%             | 2046-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-3593.75     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                               | CUSIP: 31282YBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3880 | PA      | $93.75        | 0.00%             | 2026-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $248276.17    | 0.46%             | 2040-07-11      | Variable      | 4.42%                 | 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        |    969086 | PA      | $837818.27    | 1.56%             | 2035-06-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31398TW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517741 | PA      | $76885.90     | 0.14%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-R2                                               | CUSIP: 92538DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $322519.45    | 0.60%             | 2064-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15150000 | PA      | $326905.19    | 0.61%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQ3D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12589940 | PA      | $862767.19    | 1.61%             | 2047-11-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31359KF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1229 | PA      | $1229.69      | 0.00%             | 2026-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2023-RTL2                                                   | CUSIP: 50205BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $989313.10    | 1.84%             | 2028-06-25      | Variable      | 9.00%                 | 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        |   5626992 | PA      | $616395.37    | 1.15%             | 2045-09-25      | Variable      | 1.76%                 | 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        |       -10 | NC      | $-2500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     45217 | PA      | $44480.00     | 0.08%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AHX88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16897 | PA      | $13114.64     | 0.02%             | 2044-01-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Trust 2024-3                                                      | CUSIP: 69547XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    754655 | PA      | $763651.12    | 1.42%             | 2031-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ROC Securities Trust                        | Roc Mortgage Trust 2021-RTL1                                                     | CUSIP: 77118TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $982810.80    | 1.83%             | 2026-08-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                    | MSILF Treasury Portfolio                                                         | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |   2499599 | NS      | $2499598.60   | 4.65%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HH6A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1663400 | PA      | $464583.13    | 0.86%             | 2061-10-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AA7M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1181873 | PA      | $87710.96     | 0.16%             | 2033-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37660 | PA      | $4700.00      | 0.01%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375XJW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90914 | PA      | $4724.66      | 0.01%             | 2038-08-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040669<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $465921.98    | 0.87%             | 2055-06-15      | 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        |        45 | NC      | $61945.90     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137H4YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1998944 | PA      | $1106963.90   | 2.06%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL2                                                   | CUSIP: 50205JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $809358.32    | 1.51%             | 2029-03-25      | Variable      | 11.58%                | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FCLG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14500000 | PA      | $685013.35    | 1.27%             | 2045-11-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743749 | PA      | $691322.82    | 1.29%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20480337 | PA      | $251211.82    | 0.47%             | 2051-07-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC1 Trust                                                            | CUSIP: 69357TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $683918.10    | 1.27%             | 2056-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2012-GCJ9                                           | CUSIP: 36192PAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771224 | PA      | $705326.70    | 1.31%             | 2045-11-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $905906.36    | 1.69%             | 2039-06-12      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31394B6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36839 | PA      | $3225.14      | 0.01%             | 2035-02-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati              | Residential Asset Securitization Trust 2004-A3                                   | CUSIP: 45660NF75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16022 | PA      | $15740.53     | 0.03%             | 2034-06-25      | Fixed         | 5.25%                 | 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        |        10 | NC      | $10400.70     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    993153 | PA      | $838656.55    | 1.56%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK26                                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5197116 | PA      | $227704.37    | 0.42%             | 2063-03-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382CDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8458177 | PA      | $187206.51    | 0.35%             | 2045-11-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC21 Mortgage Trust                                                    | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7481994 | PA      | $98.01        | 0.00%             | 2048-07-10      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4326216 | PA      | $508526.79    | 0.95%             | 2048-10-25      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22972 | PA      | $2217.26      | 0.00%             | 2037-10-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur              | Banc of America Mortgage 2002-L Trust                                            | CUSIP: 05948JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27308 | PA      | $21927.48     | 0.04%             | 2032-12-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2025-2 LLC                                                                  | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $753623.55    | 1.40%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75490 | PA      | $65164.91     | 0.12%             | 2035-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040651<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $466039.17    | 0.87%             | 2055-05-15      | Fixed         | 4.00%                 | 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        |         2 | NC      | $1667.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-CNTR                                                                   | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $656186.80    | 1.22%             | 2025-01-09      | Floating      | 8.27%                 | Yes           |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $614369.52    | 1.14%             | 2042-05-05      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-FHA1 Trust                                                             | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752339 | PA      | $685371.01    | 1.28%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2006-A2                                                 | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18764 | PA      | $18146.72     | 0.03%             | 2033-11-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C3 Commercial Mortgage Trust                                          | CUSIP: 12635FAY0<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $235613.08    | 0.44%             | 2048-08-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533000 | PA      | $380094.24    | 0.71%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397TP97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11208 | PA      | $994.65       | 0.00%             | 2038-05-15      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2024-RPL1 Trust                                                             | CUSIP: 693989AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $374974.15    | 0.70%             | 2063-10-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC29                                    | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29330 | PA      | $0.45         | 0.00%             | 2048-04-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA2                                          | CUSIP: 35565LBE5<br>LEI: 5493000ITBJ4KEFYWF83 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1182244.40   | 2.20%             | 2050-03-25      | Floating      | 12.07%                | 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        |        57 | NC      | $41150.07     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| LHOME Mortgage Trust                        | LHOME Mortgage Trust 2024-RTL1                                                   | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1013429.40   | 1.89%             | 2029-01-25      | Variable      | 11.95%                | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2021-NQM4 Trust                                                              | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541112 | PA      | $456924.72    | 0.85%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-GC37                                    | CUSIP: 17290XAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8297244 | PA      | $52104.20     | 0.10%             | 2049-04-10      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374DNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $101871.06    | 0.19%             | 2038-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1 | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1111 | PA      | $1107.75      | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H4C81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4571896 | PA      | $618577.07    | 1.15%             | 2031-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AK7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092168 | PA      | $142468.99    | 0.27%             | 2045-04-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FYUM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3343856 | PA      | $439338.54    | 0.82%             | 2031-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    944832 | PA      | $919247.52    | 1.71%             | 2050-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                 | Island Finance Trust 2025-1                                                      | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $512697.00    | 0.95%             | 2035-03-19      | Fixed         | 7.95%                 | 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        |        -4 | NC      | $-4087.84     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588979 | PA      | $15632.73     | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-INV1                                             | CUSIP: 924929AG7<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002584.00   | 1.87%             | 2070-02-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9159 | PA      | $10489.81     | 0.02%             | 2037-06-25      | Floating      | 12.83%                | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trus              | CoreVest American Finance 2021-3 Trust                                           | CUSIP: 21873NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7510127 | PA      | $211739.78    | 0.39%             | 2054-10-15      | Variable      | 2.52%                 | 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        |    233725 | PA      | $227464.87    | 0.42%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406707 | PA      | $4992.94      | 0.01%             | 2049-11-15      | Variable      | 1.40%                 | 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        |    147379 | PA      | $147367.07    | 0.27%             | 2045-01-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4923498 | PA      | $255550.20    | 0.48%             | 2063-06-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31397WVU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165818 | PA      | $15894.20     | 0.03%             | 2036-12-15      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2006-HYB5                                        | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152181 | PA      | $133667.27    | 0.25%             | 2036-09-20      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-23

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

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

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