NPORT-EX 2 FT22FT013124.htm EDGAR HTML
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments
January 31, 2024 (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES – 53.2%
Collateralized Mortgage Obligations – 18.0%
Banc of America Mortgage Trust 
$27,624
Series 2002-L, Class 1A1 (a)
3.21
%
12/01/32
$20,933
Citigroup Mortgage Loan Trust 
66,739
Series 2005-6, Class A1, US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 2.10% (b)
7.20
%
09/01/35
66,091
9,515
Series 2009-10, Class 1A1 (a) (c)
5.66
%
09/01/33
9,358
Connecticut Avenue Securities Trust 
1,000,000
Series 2019-R01, Class 2B1, 30 Day Average SOFR + CSA +
4.35% (b) (c)
9.81
%
07/25/31
1,073,460
Countrywide Home Loan Mortgage Pass-Through Trust 
235,533
Series 2006-HYB5, Class 3A1A (a)
4.97
%
09/01/36
204,628
GSR Mortgage Loan Trust 
2,081
Series 2003-10, Class 1A12 (a)
5.70
%
10/01/33
1,971
78,500
Series 2005-AR1, Class 4A1 (a)
3.68
%
01/01/35
67,187
JP Morgan Mortgage Trust 
26,619
Series 2006-A2, Class 5A3 (a)
6.13
%
11/01/33
25,576
491,639
Series 2015-IVR2, Class A5 (a) (c)
6.90
%
01/01/45
488,353
LHOME Mortgage Trust 
1,000,000
Series 2023-RTL2, Class M, steps up to 11.00% on
1/25/2026 (c) (d)
9.00
%
06/25/28
928,558
MASTR Alternative Loan Trust 
3,544,968
Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA +
0.35% (b)
5.80
%
03/25/36
375,235
MASTR Asset Securitization Trust 
14,189
Series 2003-11, Class 6A16
5.25
%
12/01/33
13,629
NYMT Loan Trust 
1,000,000
Series 2024-BPL1, Class A2, steps up to 10.12% on
7/25/2026 (c) (d)
8.62
%
02/25/29
1,000,034
Pretium Mortgage Credit Partners I LLC 
1,000,000
Series 2021-NPL2, Class A2, steps up to 7.84% on
6/27/2025 (c) (d)
3.84
%
06/27/60
895,566
PRKCM Trust 
1,000,000
Series 2021-AFC1, Class B2 (c)
3.95
%
08/01/56
662,762
Residential Accredit Loans, Inc. 
67,534
Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA +
0.54% (b)
5.99
%
02/25/46
38,333
655,528
Series 2006-QS6, Class 1AV, IO (a)
0.77
%
06/01/36
13,674
Residential Asset Securitization Trust 
18,781
Series 2004-A3, Class A7
5.25
%
06/01/34
17,145
Roc Mortgage Trust 
1,000,000
Series 2021-RTL1, Class M (c)
5.68
%
08/25/26
915,859
Starwood Mortgage Residential Trust 
875,399
Series 2022-3, Class A1 (c)
4.16
%
03/01/67
846,667
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates 
6,255
Series 2001-SB1, Class A2
3.38
%
08/01/31
6,232
VCAT LLC 
1,000,000
Series 2021-NPL5, Class A2, steps up to 7.84% on
8/25/2025 (c) (d)
3.84
%
08/25/51
914,537
1,000,000
Series 2021-NPL6, Class A2, steps up to 7.97% on
9/25/2025 (c) (d)
3.97
%
09/25/51
933,111
Washington Mutual Alternative Mortgage Pass-Through Certificates 
9,902
Series 2007-5, Class A11, (1 Mo. CME Term SOFR + CSA) x -6
+ 39.48% (e)
6.78
%
06/25/37
10,779
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2024 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES (Continued)
Collateralized Mortgage Obligations (Continued)
WinWater Mortgage Loan Trust 
$210,850
Series 2015-3, Class B1 (a) (c)
3.84
%
03/01/45
$194,495
 
9,724,173
Commercial Mortgage-Backed Securities – 35.2%
1211 Avenue of the Americas Trust 
935,000
Series 2015-1211, Class C (a) (c)
4.28
%
08/01/35
883,252
Aventura Mall Trust 
1,250,000
Series 2018-AVM, Class D (a) (c)
4.25
%
07/01/40
1,093,015
BAMLL Commercial Mortgage Securities Trust 
1,000,000
Series 2013-WBRK, Class A (a) (c)
3.65
%
03/01/37
913,179
BANK 
22,262,400
Series 2017-BNK7, Class XA, IO (a)
0.85
%
09/01/60
434,126
2,160,500
Series 2020-BNK30, Class E (c)
2.50
%
12/01/53
1,348,433
BBCMS Mortgage Trust 
1,000,000
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (b) (c)
6.25
%
03/15/37
954,009
Benchmark Mortgage Trust 
21,200,694
Series 2018-B5, Class XA, IO (a)
0.61
%
07/01/51
342,247
1,000,000
Series 2020-IG2, Class UBRD (a) (c)
3.63
%
09/01/48
876,622
CCRE Commercial Mortgage Securities L.P. 
7,874,306
CFCRE Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2017-C8, Class XA, IO (a)
1.64
%
06/01/50
286,698
CD Mortgage Trust 
8,597,134
Series 2018-CD7, Class XA, IO (a)
0.80
%
08/01/51
213,344
Citigroup Commercial Mortgage Trust 
4,155,615
Series 2015-GC29, Class XA, IO (a)
1.15
%
04/01/48
35,077
8,561,280
Series 2016-GC37, Class XA, IO (a)
1.81
%
04/01/49
218,934
5,688,849
Series 2016-P4, Class XA, IO (a)
2.05
%
07/01/49
191,081
COMM Mortgage Trust 
122,774,000
Series 2014-UBS6, Class XB, IO (a) (c)
0.11
%
12/01/47
42,553
3,829,000
Series 2015-CCRE26, Class XD, IO (a) (c)
1.36
%
10/01/48
67,777
14,607,535
Series 2015-LC21, Class XA, IO (a)
0.78
%
07/01/48
91,090
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)
9.28
%
01/15/24
892,613
CSAIL Commercial Mortgage Trust 
5,872,060
Series 2020-C19, Class XA, IO (a)
1.22
%
03/01/53
290,343
FIVE Mortgage Trust 
25,836,206
Series 2023-V1, Class XA, IO
1.04
%
02/01/56
602,911
GS Mortgage Securities Corp Trust 
1,000,000
Series 2018-3PCK, Class C, 1 Mo. CME Term SOFR + CSA +
3.50% (b) (c)
8.95
%
09/15/31
978,299
GS Mortgage Securities Trust 
823,474
Series 2012-GCJ9, Class D (a) (c)
4.75
%
11/01/45
754,108
Houston Galleria Mall Trust 
1,000,000
Series 2015-HGLR, Class D (c)
3.98
%
03/01/37
939,877
Hudsons Bay Simon JV Trust 
11
Series 2015-HBFL, Class DFL, 1 Mo. CME Term SOFR + CSA +
3.90% (b) (c)
9.36
%
08/05/34
8
JP Morgan Chase Commercial Mortgage Securities Trust 
20,142,183
Series 2016-JP4, Class XA, IO (a)
0.71
%
12/01/49
247,225
969,086
Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA +
1.21%, 2.71% Floor (b) (c)
6.59
%
06/15/35
888,927
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2024 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES (Continued)
Commercial Mortgage-Backed Securities (Continued)
LSTAR Commercial Mortgage Trust 
$1,500,000
Series 2017-5, Class D (a) (c)
4.82
%
03/01/50
$1,068,202
23,478,829
Series 2017-5, Class X, IO (a) (c)
0.98
%
03/01/50
378,444
LUXE Trust 
1,000,000
Series 2021-TRIP, Class F, 1 Mo. CME Term SOFR + CSA +
3.25% (b) (c)
8.70
%
10/15/38
980,769
Morgan Stanley Bank of America Merrill Lynch Trust 
11,238,728
Series 2014-C16, Class XA, IO (a)
1.01
%
06/01/47
1,754
1,845,487
Series 2014-C19, Class XA, IO (a)
1.10
%
12/01/47
5,125
5,632,500
Series 2014-C19, Class XE, IO (a) (c)
1.33
%
12/01/47
55,073
426,498
Series 2016-C31, Class XA, IO (a)
1.41
%
11/01/49
11,011
Morgan Stanley Capital I Trust 
2,180,000
Series 2016-UBS9, Class XD, IO (a) (c)
1.75
%
03/01/49
63,641
1,320,000
Series 2019-L2, Class C (a)
5.14
%
03/01/52
1,120,751
VMC Finance 
820,463
Series 2021-HT1, Class A, 1 Mo. CME Term SOFR + CSA +
1.65% (b) (c)
7.10
%
01/18/37
806,853
Wells Fargo Commercial Mortgage Trust 
1,217,385
Series 2015-C26, Class XA, IO (a)
1.32
%
02/01/48
9,293
1,034,000
Series 2016-NXS6, Class C (a)
4.54
%
11/01/49
937,213
 
19,023,877
Total Mortgage-Backed Securities
28,748,050
(Cost $30,831,093)
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 39.3%
Collateralized Mortgage Obligations – 22.9%
Federal Home Loan Mortgage Corp. 
70
Series 2303, Class SW, IO, ECOFIN x -15.87 + 121.11%, Capped
at 10.00% (e)
10.00
%
03/01/24
0
111,312
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
14,485
579,501
Series 2975, Class SJ, IO, (30 Day Average SOFR + CSA) x -1 +
6.65% (e)
1.19
%
05/15/35
43,841
13,793
Series 3451, Class SB, IO, (30 Day Average SOFR + CSA) x -1 +
6.03% (e)
0.57
%
05/15/38
1,065
198,400
Series 3471, Class SD, IO, (30 Day Average SOFR + CSA) x -1 +
6.08% (e)
0.62
%
12/15/36
17,105
8,555
Series 4021, Class IP, IO
3.00
%
03/01/27
253
151,566
Series 4057, Class YI, IO
3.00
%
06/01/27
4,825
300,480
Series 4082, Class PI, IO
3.00
%
06/01/27
9,492
221,734
Series 4206, Class IA, IO
3.00
%
03/01/33
16,416
1,040,240
Series 4959, Class JF, 30 Day Average SOFR + CSA + 0.40% (b)
5.91
%
03/25/50
1,008,784
1,084,509
Series 4990, Class AF, 30 Day Average SOFR + CSA +
0.45% (b)
5.86
%
07/25/50
1,048,619
1,028,322
Series 5004, Class FG, 30 Day Average SOFR + CSA +
0.40% (b)
5.86
%
08/25/50
983,809
Federal Home Loan Mortgage Corp. STACR REMIC Trust 
1,000,000
Series 2020-DNA1, Class B2, 30 Day Average SOFR + CSA +
5.25% (b) (c)
10.71
%
01/25/50
1,066,260
1,000,000
Series 2020-DNA2, Class B2, 30 Day Average SOFR + CSA +
4.80% (b) (c)
10.26
%
02/25/50
1,064,434
1,000,000
Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA +
7.60% (b) (c)
13.06
%
03/25/50
1,158,208
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2024 (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)
13.61
%
07/25/49
$1,159,777
1,000,000
Series 2019-DNA4, Class B2, 30 Day Average SOFR + CSA +
6.25% (b) (c)
11.71
%
10/25/49
1,108,316
Federal Home Loan Mortgage Corp. Structured Pass-Through
Certificates 
44,054
Series T-56, Class APO, PO
(f)
05/01/43
34,444
Federal Home Loan Mortgage Corp., STRIPS 
13,718
Series 177, IO
7.00
%
07/01/26
737
Federal National Mortgage Association 
10,250
Series 1996-46, Class ZA
7.50
%
11/01/26
10,297
1,467
Series 1997-85, Class M, IO
6.50
%
12/01/27
5
15,158
Series 2002-80, Class IO, IO
6.00
%
09/01/32
856
41,067
Series 2003-15, Class MS, IO, (30 Day Average SOFR + CSA) x
-1 + 8.00% (e)
2.54
%
03/25/33
4,537
47,817
Series 2003-44, Class IU, IO
7.00
%
06/01/33
6,850
47,464
Series 2005-6, Class SE, IO, (30 Day Average SOFR + CSA) x -1
+ 6.70% (e)
1.24
%
02/25/35
3,939
26,064
Series 2007-100, Class SM, IO, (30 Day Average SOFR + CSA) x
-1 + 6.45% (e)
0.99
%
10/25/37
2,423
147,444
Series 2007-37, Class SB, IO, (30 Day Average SOFR + CSA) x
-1 + 6.75% (e)
1.29
%
05/25/37
15,971
294,177
Series 2008-17, Class BE
5.50
%
10/01/37
293,597
580,705
Series 2010-103, Class ID, IO
5.00
%
09/01/40
91,198
35,150
Series 2010-99, Class SG, (30 Day Average SOFR + CSA) x -5 +
25.00%, 0.00% Floor (b) (e)
0.00
%
09/01/40
35,581
261,989
Series 2011-81, Class PI, IO
3.50
%
08/01/26
5,694
176,375
Series 2012-112, Class BI, IO
3.00
%
09/01/31
2,591
1,252,827
Series 2012-125, Class MI, IO
3.50
%
11/01/42
175,294
16,897
Series 2013-132, Class SW, (30 Day Average SOFR + CSA) x
-2.67 + 10.67%, 0.00% Floor (b) (e)
0.00
%
01/01/44
13,114
1,521,660
Series 2013-32, Class IG, IO
3.50
%
04/01/33
134,779
1,263,158
Series 2015-20, Class ES, IO, (30 Day Average SOFR + CSA) x
-1 + 6.15% (e)
0.69
%
04/25/45
167,328
61,163
Series 2015-76, Class BI, IO
4.00
%
10/01/39
905
168,142
Series 2016-74, Class LI, IO
3.50
%
09/01/46
42,842
2,314,570
Series 2017-109, Class SJ, IO, (30 Day Average SOFR + CSA) x
-1 + 6.20% (e)
0.74
%
01/25/48
292,993
1,949,631
Series 5179, Class GZ
2.00
%
01/01/52
1,059,645
Federal National Mortgage Association, STRIPS 
14,282
Series 305, Class 12, IO (g)
6.50
%
12/01/29
1,149
28,553
Series 355, Class 18, IO
7.50
%
11/01/33
3,733
421,422
Series 406, Class 6, IO (g)
4.00
%
01/01/41
68,800
Government National Mortgage Association 
104,507
Series 2005-33, Class AY
5.50
%
04/01/35
105,076
127,400
Series 2007-68, Class PI, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.65% (e)
1.20
%
11/20/37
3,917
100,000
Series 2008-2, Class HB
5.50
%
01/01/38
99,764
107,322
Series 2008-73, Class SK, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.74% (e)
1.29
%
08/20/38
5,810
203,178
Series 2013-104, Class YS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.15% (e)
0.70
%
07/16/43
15,162
3,470,712
Series 2015-158, Class KS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.25% (e)
0.80
%
11/20/45
439,463
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2024 (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)
$76,571
Series 2016-139, Class MZ
1.50
%
07/01/45
$58,125
162,803
Series 2017-4, Class CZ
3.00
%
01/01/47
131,591
133,793
Series 2017-H18, Class DZ (g)
4.63
%
09/01/67
126,926
9,747,450
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
202,377
 
12,363,202
Commercial Mortgage-Backed Securities – 13.1%
Federal Home Loan Mortgage Corp. Multifamily Structured
Pass-Through Certificates 
30,000,000
Series K043, Class X3, IO (a)
1.69
%
02/01/43
437,565
14,500,000
Series K071, Class X3, IO (a)
2.08
%
11/01/45
983,727
4,000,000
Series K110, Class X3, IO (a)
3.52
%
06/01/48
664,976
4,605,411
Series K115, Class X3, IO (a)
3.06
%
09/01/48
684,186
4,326,216
Series K118, Class X3, IO (a)
2.79
%
10/25/48
598,453
1,900,000
Series K122, Class X3, IO (a)
2.72
%
01/01/49
262,143
5,000,000
Series K124, Class X3, IO (a)
2.71
%
02/01/49
700,660
3,343,856
Series K128, Class X3, IO (a)
2.88
%
04/01/31
507,193
1,831,144
Series K739, Class X3, IO (a)
2.90
%
11/25/48
153,142
323,032,160
Series KBX1, Class X1, IO (a)
0.24
%
01/01/26
328,072
4,571,896
Series KG06, Class X3, IO (a)
2.83
%
10/01/31
703,789
Federal National Mortgage Association, ACES 
13,100,000
Series 2019-M29, Class X4, IO
0.70
%
03/01/29
356,289
Freddie Mac Multiclass Certificates 
5,757,547
Series 2021-P011, Class X1, IO (a)
1.78
%
09/01/45
688,472
 
7,068,667
Pass-through Security – 3.3%
Fannie Mae or Freddie Mac 
2,000,000
Pool TBA (h)
3.50
%
03/01/54
1,821,398
Total U.S. Government Agency Mortgage-Backed Securities
21,253,267
(Cost $23,822,720)
ASSET-BACKED SECURITIES – 6.4%
Adams Outdoor Advertising LP 
1,000,000
Series 2023-1, Class B (c)
8.81
%
07/15/53
1,030,218
CoreVest American Finance Trust 
8,852,721
Series 2021-3, Class XA, IO (a) (c)
2.53
%
10/01/54
456,966
Mid-State Capital Corp. Trust 
107,044
Series 2005-1, Class A
5.75
%
01/01/40
105,837
PAGAYA AI Debt Trust 
328,352
Series 2022-3, Class A (c)
6.06
%
03/15/30
327,989
1,000,000
Series 2023-7, Class A (c)
7.23
%
07/15/31
1,004,106
Santander Bank Auto Credit-Linked Notes 
500,000
Series 2023-B, Class E (c)
8.41
%
12/15/33
503,695
Total Asset-Backed Securities
3,428,811
(Cost $3,414,971)
 
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2024 (Unaudited)
Shares
Description
Value
MONEY MARKET FUNDS – 2.7%
1,443,084
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.18% (i)
$1,443,083
(Cost $1,443,083)
 
Total Investments – 101.6%
54,873,211
(Cost $59,511,867)
 
Number of
Contracts
Description
Notional
Amount
Exercise
Price
Expiration
Date
Value
CALL OPTIONS PURCHASED – 0.0%
5
U.S. Treasury Long Bond Futures Call
$611,719
$123.00
05/24/24
15,078
(Premiums paid $17,045)
 
Net Other Assets and Liabilities – (1.6)%
(856,498
)
Net Assets – 100.0%
$54,031,791
 
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
10-Year U.S. Treasury Note Futures
Long
49
Mar 2024
$5,504,078
$108,938
CME Ultra Long Term U.S. Treasury Bond Futures
Long
5
Mar 2024
646,094
3,719
Ultra 10-Year U.S. Treasury Notes
Long
56
Mar 2024
6,545,000
180,187
US Treasury 2 Year Note Futures
Long
14
Mar 2024
2,879,188
6,391
US Treasury 5 Year Note Futures
Long
14
Mar 2024
1,517,469
27,234
US Treasury Bond Futures
Long
19
Mar 2024
2,324,531
80,562
 
 
$19,416,360
$407,031
 
(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 January 31, 2024, securities noted as such amounted to $31,728,383 or 58.7% 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 January 31, 2024.
(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 January 31, 2024.
 
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2024 (Unaudited)
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
PO
– Principal-Only Security
REMIC
– Real Estate Mortgage Investment Conduit
SOFR
– Secured Overnight Financing Rate
STACR
– Structured Agency Credit Risk
STRIPS
– Separate Trading of Registered Interest and Principal of Securities
TBA
– To-Be-Announced Security
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
•
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 January 31, 2024 is as follows: 
 
Total
Value at
1/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Mortgage-Backed Securities
$28,748,050
$—
$28,748,050
$—
U.S. Government Agency Mortgage-Backed Securities
21,253,267
—
21,253,267
—
Asset-Backed Securities
3,428,811
—
3,428,811
—
Money Market Funds
1,443,083
1,443,083
—
—
Total Investments
54,873,211
1,443,083
53,430,128
—
Purchased Options
15,078
15,078
—
—
Futures Contracts
407,031
407,031
—
—
Total
$55,295,320
$1,865,192
$53,430,128
$—