# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-26-024915
**Filing Date:** 2026-6
**Character Count:** 85372
**Document Hash:** 65dbf8120d5b77ec42d0caeda30eec41
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-024915.hdr.sgml**: 20260622

**ACCESSION NUMBER**: 0000940400-26-024915

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260622

**DATE AS OF CHANGE**: 20260622

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST 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:** 261107160

**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 Intermediate Government Opportunities ETF (Series ID: S000080998)

| Class ID   | Class Name                                            | Ticker Symbol   |
|:---|:---|:---|
| C000243637 | First Trust Intermediate Government Opportunities ETF | MGOV            |

## 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 Intermediate Government Opportunities ETF

- **b. EDGAR series identifier (if any):** S000080998

- **c. LEI of Series:** 5493000G9GN9OLNUML64

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $133621488.89

**Total Liabilities:** $31351999.37

**Net Assets:** $102269489.52

**Stand-by Commitments:** $14973495.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2.81066000 | **1-Year:** 2169.39000000 | **5-Year:** 32218.12903000 | **10-Year:** 14833.28103000 | **30-Year:** 44.81336000

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

- **3-Month:** 0.00000000 | **1-Year:** 458.53823000 | **5-Year:** 1320.52153000 | **10-Year:** 948.63066000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000243637 | 2.08%                | -2.09%               | 0.25%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $27507.81                | $1317233.41                                |
| Month 2  | $70690.48                | $-564424.87                                |
| Month 3  | $83996.64                | $-184641.01                                |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                 | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-31.25       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | G2 MA7192                                                   | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1870514 | PA      | $1540955.01   | 1.51%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2023-81 YD                                              | CUSIP: 38384BJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1200000 | PA      | $1069661.52   | 1.05%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 11/15/33                                                | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1972000 | PA      | $1430787.56   | 1.40%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110000 | PA      | $96187.65     | 0.09%             | 2056-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES     | SCRT 2019-1 MA                                              | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    984997 | PA      | $954010.43    | 0.93%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS KSW4 A                                                 | CUSIP: 3137FJZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     19753 | PA      | $19726.40     | 0.02%             | 2028-10-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2014-60 EZ                                              | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1806162 | PA      | $1651215.75   | 1.61%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 4213 GZ                                                 | CUSIP: 3137B32M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1055423 | PA      | $999423.27    | 0.98%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | G2-30YR-Multi                                               | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $93322.33     | 0.09%             | 2056-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | SLST 2024-2 VF                                              | CUSIP: 35564CSK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    886593 | PA      | $904198.83    | 0.88%             | 2034-10-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra 10-Year U.S. Treasury Note Options                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        16 | NC      | $250.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 11/15/43                                                | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $64984.14     | 0.06%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GGP TRUST 2026-2PAK                                  | GGP 2026-2PAK A                                             | CUSIP: 37441HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249368.23    | 0.24%             | 2031-04-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS         | MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS TREAS PTF INST | CUSIP: 61747C582<br>LEI: 5493000A332Y142SOW84 | Long             | STIV             | RF                | US        |   1083410 | NS      | $1083409.60   | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS K-1512 X1                                              | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6200725 | PA      | $297600.05    | 0.29%             | 2034-04-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F040669<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -223000 | PA      | $-209001.55   | -0.20%            | 2056-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                | FN BM7129                                                   | CUSIP: 3140JB4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404303 | PA      | $369854.50    | 0.36%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN AS7738                                                   | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1298840 | PA      | $1165242.94   | 1.14%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2015-123 ZA                                             | CUSIP: 38379QDE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1447557 | PA      | $1353152.42   | 1.32%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                     | FHS 413 PO                                                  | CUSIP: 3133Q3ND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    688275 | PA      | $589253.94    | 0.58%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                | FN FA1348                                                   | CUSIP: 3140W1QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1286738 | PA      | $1274727.64   | 1.25%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-8531.25     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                   | PRPM 2024-RCF1 A2                                           | CUSIP: 693581AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $255422.78    | 0.25%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-HYB1                     | SEMT 2026-HYB1 A1B                                          | CUSIP: 81750GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260142 | PA      | $254689.27    | 0.25%             | 2056-04-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2023-54 PO                                              | CUSIP: 3136BQQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1022017 | PA      | $862780.13    | 0.84%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS K546 X1                                                | CUSIP: 3137HN4T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4117509 | PA      | $131868.15    | 0.13%             | 2030-05-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 4639 HZ                                                 | CUSIP: 3137BTEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1857204 | PA      | $1549655.30   | 1.52%             | 2053-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN MA4319                                                   | CUSIP: 31418DYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3856718 | PA      | $3035473.52   | 2.97%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2022-29 JZ                                              | CUSIP: 3136BMV70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1378613 | PA      | $1005710.79   | 0.98%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS K757 XAM                                               | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7058000 | PA      | $330213.82    | 0.32%             | 2031-08-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS K152 A1                                                | CUSIP: 3137BPVM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1153315 | PA      | $1117416.02   | 1.09%             | 2030-05-25      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV11                            | PMTLT 2025-INV11 A36                                        | CUSIP: 729916BK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363404 | PA      | $365281.10    | 0.36%             | 2056-11-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -21 | NC      | $-8203.13     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 5256 FC                                                 | CUSIP: 3137H92G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    780894 | PA      | $777357.95    | 0.76%             | 2052-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | SLST 2025-2 A2                                              | CUSIP: 35564C2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2200000 | PA      | $1871388.20   | 1.83%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2025-206 IO                                             | CUSIP: 38383JCS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4853379 | PA      | $293247.01    | 0.29%             | 2064-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FR ZS9446                                                   | CUSIP: 3132AAP73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379204 | PA      | $355805.64    | 0.35%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2012-118 VZ                                             | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2108455 | PA      | $1938454.27   | 1.90%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                | FN BM7079                                                   | CUSIP: 3140JB2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403009 | PA      | $383718.00    | 0.38%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN MA4199                                                   | CUSIP: 31418DUZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284512 | PA      | $960642.12    | 0.94%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -287000 | PA      | $-275679.48   | -0.27%            | 2056-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 4316 BZ                                                 | CUSIP: 3137B8YJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1173804 | PA      | $1083106.77   | 1.06%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BWAY TRUST 2025-1535                                 | BWAY 2025-1535 B                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275000 | PA      | $285963.76    | 0.28%             | 2042-05-07      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-875.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                   | PRPM 2024-RCF1 A3                                           | CUSIP: 693581AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97906.68     | 0.10%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-NQM1 TRUST                                 | PRPM 2026-NQM1 A1                                           | CUSIP: 74391DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243501 | PA      | $243117.25    | 0.24%             | 2071-02-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| J.P.MORGAN MTG TR 2022-LTV1                          | JPMMT 2022-LTV1 A2                                          | CUSIP: 465976AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    603102 | PA      | $543888.97    | 0.53%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 05/15/40                                                | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     79000 | PA      | $39735.77     | 0.04%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1305000 | PA      | $1308840.75   | 1.28%             | 2056-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS KG05 X1                                                | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  22161318 | PA      | $270137.60    | 0.26%             | 2031-01-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F050650<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30000 | PA      | $29559.74     | 0.03%             | 2056-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 02/15/35                                                | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $748966.14    | 0.73%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIDELIS MORTGAGE TRUST 2025-RTL2                     | FIDL 2025-RTL2 A1                                           | CUSIP: 31575JAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405000 | PA      | $406404.66    | 0.40%             | 2040-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2022-29 KZ                                              | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2465595 | PA      | $1861296.75   | 1.82%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Futures, Jun-2026,ETH                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        44 | NC      | $-61129.25    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2024-26 PO                                              | CUSIP: 3136BRVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1012993 | PA      | $791438.01    | 0.77%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM6 TRUST                                 | PRPM 2025-NQM6 A1                                           | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    558413 | PA      | $555935.90    | 0.54%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | G2-30YR-Multi                                               | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55000 | PA      | $51277.86     | 0.05%             | 2056-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F032666<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -389000 | PA      | $-353891.09   | -0.35%            | 2056-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS KG04 X1                                                | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  13059324 | PA      | $402122.69    | 0.39%             | 2030-11-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 05/15/35                                                | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1650000 | PA      | $1109415.53   | 1.08%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 5082 LA                                                 | CUSIP: 3137FF4T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2169862 | PA      | $1773352.96   | 1.73%             | 2051-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | T 3.5 01/15/29                                              | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1187625.00   | 1.16%             | 2029-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS 2018-TALL MORTGAGE TRUST                       | BBCMS 2018-TALL A                                           | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440000 | PA      | $416512.40    | 0.41%             | 2037-03-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 4741 GY                                                 | CUSIP: 3137FCBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1250000 | PA      | $1089204.38   | 1.07%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-1125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HOMES 2026-AFC1 TRUST                                | HOMES 2026-AFC1 A1                                          | CUSIP: 403972AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246045 | PA      | $244754.81    | 0.24%             | 2061-02-01      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                | FN 310211                                                   | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422802 | PA      | $389364.65    | 0.38%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | G2-30YR-Multi                                               | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370000 | PA      | $334156.25    | 0.33%             | 2056-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 5435 BS                                                 | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    912338 | PA      | $826169.62    | 0.81%             | 2054-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2026-2                         | RFT 2026-2 A                                                | CUSIP: 75805CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251000 | PA      | $250999.65    | 0.25%             | 2056-11-27      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF1 LLC                                   | PRPM 2026-RCF1 A1                                           | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394386 | PA      | $392535.15    | 0.38%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS K740 XAM                                               | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7700000 | PA      | $107408.07    | 0.11%             | 2027-10-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 11/15/35                                                | CUSIP: 912833X96<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    114000 | PA      | $74645.55     | 0.07%             | 2035-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2022-139 AL                                             | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    600000 | PA      | $551596.92    | 0.54%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F032658<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029000 | PA      | $936771.48    | 0.92%             | 2056-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-3656.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F050668<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -406000 | PA      | $-399597.73   | -0.39%            | 2056-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES     | SCRT 2018-4 MA                                              | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    986036 | PA      | $956112.79    | 0.93%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F052656<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1752000 | PA      | $1760988.81   | 1.72%             | 2056-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFA 2026-NQM1 TRUST                                  | MFRA 2026-NQM1 A1                                           | CUSIP: 55287YAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247863 | PA      | $247303.41    | 0.24%             | 2071-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHMS K-165 XAM                                              | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5180000 | PA      | $348603.64    | 0.34%             | 2034-09-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2022-191 BY                                             | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1745000 | PA      | $1664602.44   | 1.63%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                     | FR SD4005                                                   | CUSIP: 3132E0NW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365636 | PA      | $349932.13    | 0.34%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 08/15/35                                                | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $663710.80    | 0.65%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FHMS K129 XAM                                               | CUSIP: 3137H13T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   8000000 | PA      | $430115.20    | 0.42%             | 2031-05-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2026-CINV1         | CHASE 2026-CINV1 A11                                        | CUSIP: 161923CC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    976349 | PA      | $977865.74    | 0.96%             | 2057-01-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -10 | NC      | $-2656.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                     | FR ZT2264                                                   | CUSIP: 3132AEQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1661049 | PA      | $1607156.67   | 1.57%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2021-31 IO                                              | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4129523 | PA      | $281527.75    | 0.28%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| KRE COMMERCIAL MORTGAGE TRUST 2026-ICNA              | KRE 2026-ICNA A                                             | CUSIP: 48275LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $261152.55    | 0.26%             | 2043-05-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | G2-30YR-Multi                                               | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58000 | PA      | $57380.97     | 0.06%             | 2056-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN MA4392                                                   | CUSIP: 31418D3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3378056 | PA      | $2785928.04   | 2.72%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX 2026-J1 TRUST                                    | OBX 2026-J1 AF                                              | CUSIP: 67123TAU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409341 | PA      | $409945.83    | 0.40%             | 2056-01-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2026-R1                 | PAID 2026-R1 A                                              | CUSIP: 694971AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134530 | PA      | $134192.41    | 0.13%             | 2033-12-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F030660<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1453000 | PA      | $-1271459.49  | -1.24%            | 2056-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 05/15/34                                                | CUSIP: 9128337V6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2122316.01   | 2.08%             | 2034-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN BM6732                                                   | CUSIP: 3140JBPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350909 | PA      | $337858.05    | 0.33%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra 10-Year U.S. Treasury Note Options                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -9 | NC      | $-281.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F052664<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803000 | PA      | $806178.86    | 0.79%             | 2056-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN MA4271                                                   | CUSIP: 31418DW99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385488 | PA      | $288298.81    | 0.28%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2026-1                      | JPMMT 2026-1 A11                                            | CUSIP: 46594NCH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277705 | PA      | $276087.76    | 0.27%             | 2056-07-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2026-NQM3  | SAN 2026-NQM3 A1LC                                          | CUSIP: 802929AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $154719.05    | 0.15%             | 2066-03-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN BF0207                                                   | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1090431 | PA      | $1075637.93   | 1.05%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                   | PRPM 2024-RCF2 A2                                           | CUSIP: 693987AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $253247.57    | 0.25%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2024-47 AI                                              | CUSIP: 38381LAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4769574 | PA      | $249755.89    | 0.24%             | 2064-06-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                     | FR ZL8982                                                   | CUSIP: 3131XQ6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370862 | PA      | $346887.00    | 0.34%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                | FN 310208                                                   | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581247 | PA      | $512611.91    | 0.50%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 08/15/34                                                | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1047450.74   | 1.02%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-4312.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -11 | NC      | $-10742.19    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 5066 MA                                                 | CUSIP: 3137F8N66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1747372 | PA      | $1451148.39   | 1.42%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 11/15/34                                                | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1087000 | PA      | $749401.91    | 0.73%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | G2-30YR-Multi                                               | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214000 | PA      | $212175.75    | 0.21%             | 2056-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -222000 | PA      | $-201738.08   | -0.20%            | 2056-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FR ZS9776                                                   | CUSIP: 3132AA2H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901719 | PA      | $839638.08    | 0.82%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 5642 FN                                                 | CUSIP: 3137HQEA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2003455 | PA      | $2003731.09   | 1.96%             | 2056-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                          | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-4350.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -11 | NC      | $-4125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Futures, Jun-2026,ETH                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        50 | NC      | $-76997.60    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-1875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 10-Year T-Note Futures, Jun-2026,ETH                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -15 | NC      | $19098.70     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                          | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-3412.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-4218.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -9 | NC      | $-42187.50    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-781.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -15 | NC      | $-30000.00    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-3593.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -221 | NC      | $580672.99    | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-6015.63     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1718.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-4156.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-1367.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-78.13       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-3343.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-2812.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-531.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-6656.25     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-4750.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra 10-Year U.S. Treasury Note Options                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-593.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-171.88      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-1062.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-992.19      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-265.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-31.25       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        54 | NC      | $-215407.62   | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -51 | NC      | $-796.88      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-7125.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -23 | NC      | $-16171.88    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                          | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -13 | NC      | $-10887.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-13781.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-46.88       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-218.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-1875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-93.76       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                          | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-8093.75     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        64 | NC      | $-219275.79   | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-3718.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -26 | NC      | $-33109.39    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BMO 2023-C7 MORTGAGE TRUST                           | BMO 2023-C7 A5                                              | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $529882.35    | 0.52%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MTG TR 2022-1                         | SGR 2022-1 A1                                               | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    608091 | PA      | $575800.22    | 0.56%             | 2062-03-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN FS0704                                                   | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386464 | PA      | $369590.49    | 0.36%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN MA4057                                                   | CUSIP: 31418DQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3407748 | PA      | $2835846.96   | 2.77%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2025-4 FY                                               | CUSIP: 38385CCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1164984 | PA      | $1175105.42   | 1.15%             | 2055-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 08/15/38                                                | CUSIP: 912834AT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54000 | PA      | $30217.29     | 0.03%             | 2038-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 08/15/44                                                | CUSIP: 912834NV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    180000 | PA      | $69921.47     | 0.07%             | 2044-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2020-K110 MORTGAGE TRUST                       | FHMS K110 X1                                                | CUSIP: 3137FTZS9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3021521 | PA      | $159529.08    | 0.16%             | 2030-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | GNR 2025-21 IO                                              | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4153333 | PA      | $292271.68    | 0.29%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-2187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2026-R1     | RPM 2026-R1A A                                              | CUSIP: 76089TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403680 | PA      | $404235.06    | 0.40%             | 2034-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 4959 LB                                                 | CUSIP: 3137FRNY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    350000 | PA      | $317437.79    | 0.31%             | 2040-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F022667<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052000 | PA      | $880696.30    | 0.86%             | 2056-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 4798 GZ                                                 | CUSIP: 3137F5MU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    891317 | PA      | $844854.83    | 0.83%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2012-134 ZC                                             | CUSIP: 3136AAWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1467937 | PA      | $1163098.85   | 1.14%             | 2042-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2025-49 FA                                              | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2357534 | PA      | $2346802.76   | 2.29%             | 2055-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNMA-30YR                                                   | CUSIP: 01F042665<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -601000 | PA      | $-577669.58   | -0.56%            | 2056-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                | FN BM7521                                                   | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2469695 | PA      | $2290161.77   | 2.24%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN AL9394                                                   | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1464096 | PA      | $1304189.26   | 1.28%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM2 TRUST                                  | OBX 2022-NQM2 A1B                                           | CUSIP: 67448DAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $353908.55    | 0.35%             | 2062-01-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-109.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN BM4963                                                   | CUSIP: 3140J9QR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2102354 | PA      | $1881788.34   | 1.84%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | SLST 2025-1 A2                                              | CUSIP: 35564CUE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1250000 | PA      | $1079216.50   | 1.06%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                | FNR 2015-89 CZ                                              | CUSIP: 3136AQYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    454754 | PA      | $424631.70    | 0.42%             | 2045-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 11/15/44                                                | CUSIP: 912834PB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $95802.03     | 0.09%             | 2044-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2016-94 MB                                              | CUSIP: 3136AULL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1350000 | PA      | $1084559.90   | 1.06%             | 2046-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2026-FL1                                 | FIGRE 2026-FL1 A1LC                                         | CUSIP: 31684XAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $254943.46    | 0.25%             | 2056-03-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN AS7749                                                   | CUSIP: 3138WHTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897399 | PA      | $831603.83    | 0.81%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-1      | RPM 2025-1A A                                               | CUSIP: 76089YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220001 | PA      | $220439.88    | 0.22%             | 2033-06-27      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| OBX 2026-NQM2 TRUST                                  | OBX 2026-NQM4 A1LC                                          | CUSIP: 67124FAC0<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $155088.94    | 0.15%             | 2066-02-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FG U90690                                                   | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148980 | PA      | $139869.11    | 0.14%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                               | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -9 | NC      | $-15046.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-5      | RPM 2025-5A A3                                              | CUSIP: 76089KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $255356.13    | 0.25%             | 2034-06-26      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | SLST 2025-1 YF                                              | CUSIP: 35564CWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1306976 | PA      | $1327086.14   | 1.30%             | 2035-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FNR 2024-6 AL                                               | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1500000 | PA      | $1167335.55   | 1.14%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 5075 Q                                                  | CUSIP: 3137FF7E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2102851 | PA      | $1746356.94   | 1.71%             | 2051-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | T 3.5 02/15/29                                              | CUSIP: 91282CQA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4200000 | PA      | $4155046.90   | 4.06%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FN FS4157                                                   | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278518 | PA      | $265265.86    | 0.26%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT | S 0 05/15/38                                                | CUSIP: 912834AE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    980000 | PA      | $556429.39    | 0.54%             | 2038-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                     | FR SL1523                                                   | CUSIP: 31427NVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2144610 | PA      | $1971818.77   | 1.93%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION             | G2-30YR-Multi                                               | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58000 | PA      | $55883.91     | 0.05%             | 2056-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                      | FHR 5325 SA                                                 | CUSIP: 3137HABM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1070263 | PA      | $974133.73    | 0.95%             | 2052-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |

### Signature

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

**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