FMY First Trust Mortgage Income Fund

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments

July 31, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES – 50.2%
		Collateralized Mortgage Obligations – 23.1%
		Banc of America Mortgage Trust
$44,653		Series 2002-L, Class 1A1 (a)		3.55%		12/01/32		$34,245
		Citigroup Mortgage Loan Trust
72,634		Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (b)		6.08%		09/01/35		73,367
10,965		Series 2009-10, Class 1A1 (a) (c)		4.15%		09/01/33		10,800
		Connecticut Avenue Securities Trust
1,000,000		Series 2019-R01, Class 2B1, 30 Day Average SOFR + CSA + 4.35% (b) (c)		9.53%		07/25/31		1,058,966
1,000,000		Series 2020-R02, Class 2B1, 30 Day Average SOFR + CSA + 3.00% (b) (c)		8.18%		01/25/40		997,771
		Countrywide Home Loan Mortgage Pass-Through Trust
240,345		Series 2006-HYB5, Class 3A1A, IO (a)		4.24%		09/01/36		213,865
		Credit Suisse Mortgage Trust
316,677		Series 2017-FHA1, Class A1 (c)		3.25%		04/01/47		282,995
		DSLA Mortgage Loan Trust
255,121		Series 2004-AR3, Class 2A2A, 1 Mo. CME Term SOFR + CSA + 0.74% (b)		6.10%		07/19/44		235,897
		Flagstar Mortgage Trust
1,044,721		Series 2021-9INV, Class A1 (c)		2.50%		09/01/41		899,843
		GSR Mortgage Loan Trust
2,390		Series 2003-10, Class 1A12 (a)		5.44%		10/01/33		2,285
79,702		Series 2005-AR1, Class 4A1 (a)		3.19%		01/01/35		69,841
		JP Morgan Mortgage Trust
225,014		Series 2006-A2, Class 4A1 (a)		5.60%		08/01/34		226,735
33,356		Series 2006-A2, Class 5A3 (a)		4.27%		11/01/33		32,417
		LHOME Mortgage Trust
1,000,000		Series 2023-RTL2, Class M (c) (d)		9.00%		06/25/28		915,075
		MASTR Alternative Loan Trust
3,544,999		Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.35% (b)		5.76%		03/25/36		351,398
		MASTR Asset Securitization Trust
15,664		Series 2003-11, Class 6A16		5.25%		12/01/33		14,809
		MortgageIT Trust
161,452		Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (b)		6.88%		05/01/35		152,046
		New Residential Mortgage Loan Trust
204,672		Series 2014-2A, Class A2 (c)		3.75%		05/01/54		189,570
		Pretium Mortgage Credit Partners I LLC
1,000,000		Series 2021-NPL2, Class A2 (c) (d)		3.84%		06/27/60		826,537
		PRKCM Trust
1,000,000		Series 2021-AFC1, Class B2 (c)		3.95%		08/01/56		577,329
		Residential Accredit Loans, Inc.
72,598		Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.54% (b)		5.95%		02/25/46		46,373
694,755		Series 2006-QS6, Class 1AV, IO (a)		0.77%		06/01/36		14,684
		Residential Asset Securitization Trust
19,412		Series 2004-A3, Class A7		5.25%		06/01/34		17,481
		Roc Mortgage Trust
1,000,000		Series 2021-RTL1, Class M (c)		5.68%		08/25/26		878,201
		RUN Trust
893,477		Series 2022-NQM1, Class A1 (c)		4.00%		03/01/67		845,321
		Starwood Mortgage Residential Trust
907,081		Series 2022-3, Class A1 (c)		4.16%		03/01/67		853,285

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates
$8,167		Series 2001-SB1, Class A2		3.38%		08/01/31		$8,119
		VCAT LLC
1,000,000		Series 2021-NPL5, Class A2 (c) (d)		3.84%		08/25/51		830,848
1,000,000		Series 2021-NPL6, Class A2 (c) (d)		3.97%		09/25/51		858,144
		Vendee Mortgage Trust
32,935,242		Series 2010-1, Class DI, IO (a)		0.25%		04/01/40		235,642
		Washington Mutual Alternative Mortgage Pass-Through Certificates
10,273		Series 2007-5, Class A11, 1 Mo. CME Term SOFR + CSA x -6 + 39.48% (e)		7.01%		06/25/37		10,554
		WinWater Mortgage Loan Trust
222,792		Series 2015-3, Class B1 (a) (c)		3.85%		03/01/45		207,071
								11,971,514
		Commercial Mortgage-Backed Securities – 27.1%
		BAMLL Commercial Mortgage Securities Trust
1,000,000		Series 2013-WBRK, Class A (a) (c)		3.53%		03/01/37		896,835
		BANK
22,422,204		Series 2017-BNK7, Class XA, IO (a)		0.72%		09/01/60		506,558
		BBCMS Mortgage Trust
1,000,000		Series 2018-TALL, Class B, 1 Mo. CME Term SOFR + CSA + 1.12% (b) (c)		6.39%		03/15/37		833,199
		Benchmark Mortgage Trust
1,000,000		Series 2020-IG2, Class UBRD (a) (c)		3.51%		09/01/48		828,822
		CCRE Commercial Mortgage Securities L.P.
7,964,330		CFCRE Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2017-C8, Class XA, IO (a)		1.48%		06/01/50		333,482
		CD Mortgage Trust
8,645,611		Series 2018-CD7, Class XA, IO (a)		0.64%		08/01/51		235,790
		Citigroup Commercial Mortgage Trust
4,198,941		Series 2015-GC29, Class XA, IO (a)		1.01%		04/01/48		55,562
8,655,731		Series 2016-GC37, Class XA (a)		1.65%		04/01/49		282,892
5,541,329		Series 2016-P4, Class XA, IO (a)		1.89%		07/01/49		228,044
		COMM Mortgage Trust
142,472		Series 2013-LC13, Class XA, IO (a)		0.79%		08/01/46		1
122,774,000		Series 2014-UBS6, Class XB, IO (a) (c)		0.04%		12/01/47		85,414
3,829,000		Series 2015-CCRE26, Class XD, IO (a) (c)		1.22%		10/01/48		88,717
15,050,280		Series 2015-LC21, Class XA, IO (a)		0.65%		07/01/48		143,367
		Credit Suisse Mortgage Capital Certificates
1,000,000		Series 2021-980M, Class G (a) (c)		3.54%		07/15/31		674,439
		Credit Suisse Mortgage Trust
1,000,000		Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR + CSA + 3.94%, 4.09% Floor (b) (c)		9.17%		01/15/24		843,866
		CSAIL Commercial Mortgage Trust
5,895,004		Series 2020-C19, Class XA, IO (a)		1.10%		03/01/53		311,443
		FIVE Mortgage Trust
28,973,070		Series 2023-V1, Class XA, IO (b)		0.83%		02/01/56		917,818
		GS Mortgage Securities Corp Trust
1,000,000		Series 2018-3PCK, Class C, 1 Mo. CME Term SOFR + CSA + 3.50% (b) (c)		8.84%		09/15/31		939,281
		GS Mortgage Securities Trust
866,453		Series 2012-GCJ9, Class D (a) (c)		4.61%		11/01/45		797,254

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Commercial Mortgage-Backed Securities (Continued)
		Hawaii Hotel Trust
$1,000,000		Series 2019-MAUI, Class A, 1 Mo. CME Term SOFR + CSA + 1.15% (b) (c)		6.42%		05/15/38		$994,405
		Houston Galleria Mall Trust
1,000,000		Series 2015-HGLR, Class D (c)		3.98%		03/01/37		907,091
		Hudsons Bay Simon JV Trust
306,078		Series 2015-HBFL, Class DFL, 1 Mo. CME Term SOFR + CSA + 3.90% (b) (c)		9.16%		08/05/34		251,812
		JP Morgan Chase Commercial Mortgage Securities Trust
20,331,933		Series 2016-JP4, Class XA, IO (a)		0.58%		12/01/49		296,596
969,086		Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA + 1.21%, 2.71% Floor (b) (c)		6.48%		06/15/35		902,247
		LSTAR Commercial Mortgage Trust
1,500,000		Series 2017-5, Class D (a) (c)		4.67%		03/01/50		1,035,753
24,682,963		Series 2017-5, Class X, IO (a) (c)		0.80%		03/01/50		417,964
		Morgan Stanley Bank of America Merrill Lynch Trust
19,849,108		Series 2014-C16, Class XA, IO (a)		0.87%		06/01/47		51,647
1,882,120		Series 2014-C19, Class XA, IO (a)		0.95%		12/01/47		14,478
5,632,500		Series 2014-C19, Class XE, IO (a) (c)		1.18%		12/01/47		85,093
435,653		Series 2016-C31, Class XA (a)		1.27%		11/01/49		13,438
		Morgan Stanley Capital I Trust
2,180,000		Series 2016-UBS9, Class XD, IO (a) (c)		1.59%		03/01/49		79,227
		Wells Fargo Commercial Mortgage Trust
1,265,946		Series 2015-C26, Class XA, IO (a)		1.18%		02/01/48		16,732
								14,069,267
		Total Mortgage-Backed Securities						26,040,781
		(Cost $29,588,757)
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 42.8%
		Collateralized Mortgage Obligations – 22.4%
		Federal Home Loan Mortgage Corp.
959		Series 2303, Class SW, IO, ECOFIN x -15.87 + 121.11%, Capped at 10.00% (e)		10.00%		03/01/24		22
122,165		Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (e)		6.50%		03/01/32		16,656
607,247		Series 2975, Class SJ, IO, 30 Day Average SOFR + CSA x -1 + 6.65% (e)		1.47%		05/15/35		40,761
155,876		Series 3012, Class GK, 30 Day Average SOFR + CSA x -4.5 + 24.75% (e)		1.43%		06/15/35		149,679
14,628		Series 3451, Class SB, IO, 30 Day Average SOFR + CSA x -1 + 6.03% (e)		0.85%		05/15/38		930
215,354		Series 3471, Class SD, IO, 30 Day Average SOFR + CSA x -1 + 6.08% (e)		0.90%		12/15/36		15,620
250,000		Series 3797, Class KB		4.50%		01/01/41		243,311
10,745		Series 4021, Class IP, IO		3.00%		03/01/27		369
184,828		Series 4057, Class YI, IO		3.00%		06/01/27		6,794
377,075		Series 4082, Class PI, IO		3.00%		06/01/27		13,756
246,415		Series 4206, Class IA, IO		3.00%		03/01/33		19,983
3,158,331		Series 4938, Class IB, IO		4.00%		07/01/49		408,711
		Federal Home Loan Mortgage Corp. STACR REMIC Trust
1,000,000		Series 2020-DNA2, Class B2, 30 Day Average SOFR + CSA + 4.80% (b) (c)		9.98%		02/25/50		988,052
1,000,000		Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA + 7.60% (b) (c)		12.78%		03/25/50		1,112,855

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		Federal Home Loan Mortgage Corp. STACR Trust
$1,000,000		Series 2019-DNA3, Class B2, 30 Day Average SOFR + CSA + 8.15% (b) (c)		13.33%		07/25/49		$1,106,247
1,000,000		Series 2019-DNA4, Class B2, 30 Day Average SOFR + CSA + 6.25% (b) (c)		11.43%		10/25/49		1,046,666
1,000,000		Series 2019-HQA3, Class B1, 30 Day Average SOFR + CSA + 3.00% (b) (c)		8.18%		09/25/49		1,014,040
		Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates
44,789		Series T-56, Class APO		(f)		05/01/43		44,367
		Federal Home Loan Mortgage Corp., STRIPS
19,649		Series 177, IO		7.00%		07/01/26		1,286
		Federal National Mortgage Association
15,509		Series 1996-46, Class ZA		7.50%		11/01/26		15,564
13,065		Series 1997-85, Class M, IO		6.50%		12/01/27		184
17,575		Series 2002-80, Class IO, IO		6.00%		09/01/32		1,131
44,967		Series 2003-15, Class MS, IO, 30 Day Average SOFR + CSA x -1 + 8.00% (e)		2.82%		03/25/33		4,450
53,628		Series 2003-44, Class IU, IO		7.00%		06/01/33		8,242
8,339		Series 2004-74, Class SW, 30 Day Average SOFR + CSA x -2 + 15.50% (e)		5.13%		11/25/31		8,620
26,268		Series 2005-59 Class SU, 30 Day Average SOFR + CSA x -5 + 25.50%, 0.00% Floor (e)		0.00%		06/25/35		23,247
54,495		Series 2005-6, Class SE, IO, 30 Day Average SOFR + CSA x -1 + 6.70% (e)		1.52%		02/25/35		3,709
27,674		Series 2007-100, Class SM, IO, 30 Day Average SOFR + CSA x -1 + 6.45% (e)		1.27%		10/25/37		2,261
156,894		Series 2007-37, Class SB, IO, 30 Day Average SOFR + CSA x -1 + 6.75% (e)		1.57%		05/25/37		14,683
294,177		Series 2008-17, Class BE		5.50%		10/01/37		290,160
615,133		Series 2010-103, Class ID, IO		5.00%		09/01/40		99,795
37,817		Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00%, 0.00% Floor (e)		0.00%		09/01/40		37,807
364,694		Series 2011-81, Class PI, IO		3.50%		08/01/26		10,290
54,363		Series 2012-111, Class B		7.00%		10/01/42		56,351
245,873		Series 2012-112, Class BI, IO		3.00%		09/01/31		4,918
1,310,939		Series 2012-125, Class MI, IO		3.50%		11/01/42		184,368
16,897		Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67%, 0.00% Floor (e)		0.00%		01/01/44		12,374
1,669,333		Series 2013-32, Class IG, IO		3.50%		04/01/33		178,634
196,232		Series 2013-51, Class PI, IO		3.00%		11/01/32		16,495
1,340,482		Series 2015-20, Class ES, IO, 30 Day Average SOFR + CSA x -1 + 6.15% (e)		0.97%		04/25/45		151,222
97,545		Series 2015-76, Class BI, IO		4.00%		10/01/39		2,478
168,142		Series 2016-74, Class LI, IO		3.50%		09/01/46		43,100
2,565,954		Series 2017-109, Class SJ, IO, 30 Day Average SOFR + CSA x -1 + 6.20% (e)		1.02%		01/25/48		274,811
1,930,248		Series 5179, Class GZ		2.00%		01/01/52		1,056,952
		Federal National Mortgage Association, STRIPS
17,276		Series 305, Class 12, IO (g)		6.50%		12/01/29		1,539
31,989		Series 355, Class 18, IO		7.50%		11/01/33		4,563
451,315		Series 406, Class 6, IO (g)		4.00%		01/01/41		74,102
		Government National Mortgage Association
215,907		Series 2004-95, Class QZ		4.50%		11/01/34		209,020
113,637		Series 2005-33, Class AY		5.50%		04/01/35		113,191

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		Government National Mortgage Association (Continued)
$137,304		Series 2007-68, Class PI, IO, 1 Mo. CME Term SOFR + CSA x -1 + 6.65% (e)		1.28%		11/20/37		$3,312
100,000		Series 2008-2, Class HB		5.50%		01/01/38		98,430
113,348		Series 2008-73, Class SK, IO, 1 Mo. CME Term SOFR + CSA x -1 + 6.74% (e)		1.37%		08/20/38		5,158
162,258		Series 2009-79, Class PZ		6.00%		09/01/39		171,278
218,975		Series 2013-104, Class YS, IO, 1 Mo. CME Term SOFR + CSA x -1 + 6.15% (e)		0.81%		07/16/43		12,638
3,603,923		Series 2015-158, Class KS, IO, 1 Mo. CME Term SOFR + CSA x -1 + 6.25% (e)		0.88%		11/20/45		382,827
75,999		Series 2016-139, Class MZ		1.50%		07/01/45		56,215
160,382		Series 2017-4, Class CZ		3.00%		01/01/47		129,316
130,738		Series 2017-H18, Class DZ (g)		4.63%		09/01/67		122,763
10,259,019		Series 2020-13, Class BT, IO, 1 Mo. CME Term SOFR + CSA x -1 + 6.20%, Capped at 0.50% (e)		0.50%		11/20/45		213,235
1,478,000		Series 2022-146, Class PL		4.00%		08/01/52		1,269,235
								11,598,773
		Commercial Mortgage-Backed Securities – 15.3%
		Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
30,000,000		Series K043, Class X3, IO (a)		1.63%		02/01/43		664,656
14,500,000		Series K071, Class X3, IO (a)		2.01%		11/01/45		1,087,909
4,000,000		Series K110, Class X3, IO (a)		3.40%		06/01/48		693,659
4,605,411		Series K115, Class X3, IO (a)		2.96%		09/01/48		711,040
4,326,216		Series K118, Class X3, IO (a)		2.69%		10/25/48		620,561
1,900,000		Series K122, Class X3, IO (a)		2.63%		01/01/49		270,610
5,000,000		Series K124, Class X3, IO (a)		2.62%		02/01/49		713,068
3,343,856		Series K128, Class X3, IO (a)		2.78%		04/01/31		515,728
1,831,144		Series K739, Class X3, IO (a)		2.81%		11/25/48		171,605
342,148,454		Series KBX1, Class X1, IO (a)		0.09%		01/01/26		580,044
4,571,896		Series KG06, Class X3, IO (a)		2.73%		10/01/31		715,053
		Federal National Mortgage Association, ACES
13,100,000		Series 2019-M29, Class X4, IO		0.70%		03/01/29		380,188
		Freddie Mac Multiclass Certificates
5,979,399		Series 2021-P011, Class X1, IO (a)		1.78%		09/01/45		725,206
		Government National Mortgage Association
2,211,909		Series 2016-11, Class IO, IO (g)		0.78%		01/01/56		75,582
								7,924,909
		Pass-through Security – 5.1%
		Fannie Mae or Freddie Mac
2,000,000		Pool TBA (h)		3.00%		05/01/52		1,752,110
1,000,000		Pool TBA (h)		3.50%		06/02/52		907,402
								2,659,512
		Total U.S. Government Agency Mortgage-Backed Securities						22,183,194
		(Cost $25,463,004)
ASSET-BACKED SECURITIES – 6.1%
		Adams Outdoor Advertising LP
1,000,000		Series 2023-1, Class B (c)		8.81%		07/15/53		1,000,943
		AMSR Trust
1,000,000		Series 2020-SFR4, Class A (c)		1.36%		11/01/37		905,707

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
ASSET-BACKED SECURITIES (Continued)
		CoreVest American Finance Trust
$9,015,252		Series 2021-3, Class XA, IO (a) (c)		2.39%		10/01/54		$564,195
		Mid-State Capital Corp. Trust
127,067		Series 2005-1, Class A		5.75%		01/01/40		124,327
		PAGAYA AI Debt Trust
577,840		Series 2022-3, Class A (c)		6.06%		03/15/30		575,813
		Total Asset-Backed Securities						3,170,985
		(Cost $3,288,517)

    

Shares		Description		Value
MONEY MARKET FUNDS – 4.7%
2,423,488		Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (i)		2,423,488
		(Cost $2,423,488)

    

	Total Investments – 103.8%			53,818,448
	(Cost $60,763,766)

    

Number of Contracts		Description		Notional Amount		Exercise Price		Expiration Date		Value
CALL OPTIONS PURCHASED – 0.0%
10		U.S. 10-Year Treasury Futures Call		$1,109		$113.50		11/24/23		11,094
10		U.S. 5-Year Treasury Futures Call		227		107.75		08/25/23		2,265
10		U.S. 5-Year Treasury Futures Call		992		108.00		11/24/23		9,922
		Total Call Options Purchased								23,281
		(Premiums paid $34,298)

    

	Net Other Assets and Liabilities – (3.8)%	(1,996,061)
	Net Assets – 100.0%	$51,845,668

    

Futures Contracts		Position		Number of Contracts		Expiration Date		Notional Value		Unrealized Appreciation (Depreciation)/ Value
US Treasury 10 Year Note Future		Long		39		Sep 2023		$ 4,344,844		$12,266
US Treasury 2 Year Note Future		Long		15		Sep 2023		3,045,469		8,477
US Treasury 5 Year Note Future		Long		5		Sep 2023		534,102		(898)
US Treasury Bond Future		Long		37		Sep 2023		4,604,187		74,781
US Treasury Ultra 10 Year Note Future		Long		22		Sep 2023		2,573,656		39,750
US Treasury Ultra Long Bond Future		Long		2		Sep 2023		264,437		5,437
								$15,366,695		$139,813

    

(a)	Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically.
(b)	Floating or variable rate security.
(c)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund’s investment advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At July 31, 2023, securities noted as such amounted to $29,207,693 or 56.3% of net assets.
(d)	Step-up security. A security where the coupon increases or steps up at a predetermined date. Interest rate shown reflects the rate in effect at July 31, 2023.

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2023 (Unaudited)

(e)	Inverse floating rate security.
(f)	Zero coupon security.
(g)	Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period.
(h)	All or portion of this security is part of a mortgage dollar roll agreement.
(i)	Rate shown reflects yield as of July 31, 2023.

    

Abbreviations throughout the Portfolio of Investments:
ACES	Alternative Credit Enhancement Securities
CME	Chicago Mercantile Exchange
CSA	Credit Spread Adjustment
ECOFIN	Enterprise 11th District COFI Institutional Replacement Index
IO	Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
LIBOR	London Interbank Offered Rate
REMIC	Real Estate Mortgage Investment Conduit
SOFR	Secured Overnight Financing Rate
STACR	Structured Agency Credit Risk
STRIPS	Separate Trading of Registered Interest and Principal of Securities
TBA	To-Be-Announced Security

Valuation Inputs

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

•	Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
•	Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
•	Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.

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

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows:

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Mortgage-Backed Securities	$ 26,040,781	$ —	$ 26,040,781	$ —
U.S. Government Agency Mortgage-Backed Securities	22,183,194	—	22,183,194	—
Asset-Backed Securities	3,170,985	—	3,170,985	—
Money Market Funds	2,423,488	2,423,488	—	—
Total Investments	53,818,448	2,423,488	51,394,960	—
Call Options Purchased	23,281	23,281	—	—
Futures Contracts	139,813	139,813	—	—
Total	$ 53,981,542	$ 2,586,582	$ 51,394,960	$—