NPORT-EX 2 FT22FT013125.htm EDGAR HTML
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments
January 31, 2025 (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES – 54.1%
Collateralized Mortgage Obligations – 25.0%
Banc of America Mortgage Trust 
$27,308
Series 2002-L, Class 1A1 (a)
3.20
%
12/25/32
$22,023
Citigroup Mortgage Loan Trust 
49,873
Series 2005-6, Class A1, US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 2.10% (b)
6.08
%
09/25/35
49,313
6,860
Series 2009-10, Class 1A1 (a) (c)
6.56
%
09/25/33
6,841
Connecticut Avenue Securities Trust 
1,000,000
Series 2024-R02, Class 1B2, 30 Day Average SOFR +
3.70% (b) (c)
8.05
%
02/25/44
1,045,065
Countrywide Home Loan Mortgage Pass-Through Trust 
154,200
Series 2006-HYB5, Class 3A1A (a)
5.44
%
09/20/36
136,009
Credit Suisse Mortgage Trust 
780,271
Series 2017-FHA1, Class A1 (c)
3.25
%
04/25/47
700,614
GSR Mortgage Loan Trust 
1,457
Series 2003-10, Class 1A12 (a)
6.67
%
10/25/33
1,382
76,099
Series 2005-AR1, Class 4A1 (a)
3.82
%
01/25/35
66,346
JP Morgan Mortgage Trust 
19,878
Series 2006-A2, Class 5A3 (a)
7.13
%
11/25/33
19,311
159,032
Series 2015-IVR2, Class A5 (a) (c)
6.16
%
01/25/45
159,108
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
987,785
1,000,000
Series 2024-RTL1, Class M, steps up to 13.45% on
8/25/2026 (c) (d)
11.95
%
01/25/29
1,021,994
800,000
Series 2024-RTL2, Class M, steps up to 13.08% on
10/25/2026 (c) (d)
11.58
%
03/25/29
815,744
MASTR Alternative Loan Trust 
3,538,405
Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA +
0.35% (b)
4.78
%
03/25/36
343,164
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
1,012,471
Onslow Bay Mortgage Loan Trust 
553,718
Series 2021-NQM4, Class A1 (c)
1.96
%
10/25/61
459,589
PRET Trust 
500,000
Series 2024-RPL1, Class M2 (a) (c)
4.06
%
10/25/63
374,039
PRKCM Trust 
1,000,000
Series 2021-AFC1, Class B2 (c)
3.95
%
08/25/56
679,424
PRPM LLC 
274,955
Series 2020-6, Class A2 (c)
8.70
%
11/25/25
274,622
710,000
Series 2024-RPL3, Class M1, steps up to 5.00% on
11/25/2028 (c) (d)
4.00
%
11/25/54
638,379
PRPM Trust 
725,000
Series 2024-NQM1, Class M1 (a) (c)
6.71
%
12/25/68
728,330
Residential Accredit Loans, Inc. 
64,116
Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA +
0.54% (b)
4.97
%
02/25/46
33,001
601,826
Series 2006-QS6, Class 1AV, IO (a)
0.77
%
06/25/36
12,076
Residential Asset Securitization Trust 
16,526
Series 2004-A3, Class A7
5.25
%
06/25/34
15,885
Roc Mortgage Trust 
1,000,000
Series 2021-RTL1, Class M (c)
6.68
%
08/25/26
969,145
Starwood Mortgage Residential Trust 
783,279
Series 2022-3, Class A1 (c)
4.16
%
03/25/67
753,015
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2025 (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 
$1,989
Series 2001-SB1, Class A2
3.38
%
08/25/31
$1,983
VCAT LLC 
347,676
Series 2021-NPL6, Class A2, steps up to 7.97% on
9/25/2025 (c) (d)
3.97
%
09/25/51
336,240
Verus Securitization Trust 
533,000
Series 2021-5, Class B2 (c)
3.94
%
09/25/66
386,068
425,000
Series 2021-R2, Class B2 (c)
4.26
%
02/25/64
315,264
760,166
Series 2022-1, Class A1, steps up to 3.72% on 1/1/2026 (c) (d)
2.72
%
01/01/67
693,974
Washington Mutual Alternative Mortgage Pass-Through Certificates 
9,399
Series 2007-5, Class A11, (1 Mo. CME Term SOFR + CSA) x -6
+ 39.48% (e)
12.93
%
06/25/37
9,457
WinWater Mortgage Loan Trust 
198,355
Series 2015-3, Class B1 (a) (c)
3.84
%
03/20/45
183,632
 
13,251,293
Commercial Mortgage-Backed Securities – 29.1%
BAMLL Commercial Mortgage Securities Trust 
1,000,000
Series 2013-WBRK, Class A (a) (c)
3.53
%
03/10/37
978,125
BANK 
20,965,876
Series 2017-BNK7, Class XA, IO (a)
0.68
%
09/15/60
295,311
8,897,810
Series 2019-BN23, Class XA, IO (a)
0.68
%
12/15/52
244,477
5,270,000
Series 2020-BNK26, Class XA, IO (a)
1.20
%
03/15/63
244,988
BBCMS Mortgage Trust 
1,000,000
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (b) (c)
5.23
%
03/15/37
963,681
Benchmark Mortgage Trust 
20,535,940
Series 2018-B5, Class XA, IO (a)
0.45
%
07/15/51
266,706
BX Commercial Mortgage Trust 
1,000,000
Series 2019-IMC, Class F, 1 Mo. CME Term SOFR + CSA +
2.90% (b) (c)
7.25
%
04/15/34
985,018
BX Trust 
1,000,000
Series 2021-ARIA, Class E, 1 Mo. CME Term SOFR + CSA +
2.25% (b) (c)
6.66
%
10/15/36
999,094
CCRE Commercial Mortgage Securities L.P. 
7,684,302
CFCRE Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2017-C8, Class XA, IO (a)
1.47
%
06/15/50
196,462
CD Commercial Mortgage Trust 
8,405,843
Series 2018-CD7, Class XA, IO (a)
0.64
%
08/15/51
164,918
Citigroup Commercial Mortgage Trust 
2,127,739
Series 2015-GC29, Class XA, IO (a)
0.94
%
04/10/48
21
8,350,239
Series 2016-GC37, Class XA, IO (a)
1.64
%
04/10/49
85,921
5,679,723
Series 2016-P4, Class XA, IO (a)
1.90
%
07/10/49
99,684
COMM Mortgage Trust 
3,829,000
Series 2015-CCRE26, Class XD, IO (a) (c)
1.21
%
10/10/48
23,053
12,311,384
Series 2015-LC21, Class XA, IO (a)
0.60
%
07/10/48
1,540
Credit Suisse Mortgage Trust 
1,000,000
Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR + 3.94%,
4.09% Floor (b) (f)
8.25
%
01/09/25
765,036
CSAIL Commercial Mortgage Trust 
250,000
Series 2015-C3, Class B (a)
4.11
%
08/15/48
228,694
5,821,506
Series 2020-C19, Class XA, IO (a)
1.09
%
03/15/53
250,292
FIVE Mortgage Trust 
25,797,368
Series 2023-V1, Class XA, IO
0.68
%
02/10/56
477,313
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2025 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES (Continued)
Commercial Mortgage-Backed Securities (Continued)
Great Wolf Trust 
$1,000,000
Series 2024-WOLF, Class E, 1 Mo. CME Term SOFR +
3.64% (b) (c)
7.95
%
03/15/39
$1,010,420
GS Mortgage Securities Trust 
823,474
Series 2012-GCJ9, Class D (a) (c)
4.75
%
11/10/45
753,310
Houston Galleria Mall Trust 
1,000,000
Series 2015-HGLR, Class D (c)
3.98
%
03/05/37
993,466
JP Morgan Chase Commercial Mortgage Securities Trust 
19,755,522
Series 2016-JP4, Class XA, IO (a)
0.57
%
12/15/49
146,643
969,086
Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA +
1.21%, 2.41% Floor (b) (c)
5.56
%
06/15/35
852,179
Life Mortgage Trust 
394,981
Series 2021-BMR, Class G, 1 Mo. CME Term SOFR + CSA +
2.95% (b) (c)
7.37
%
03/15/38
389,596
LSTAR Commercial Mortgage Trust 
22,929,728
Series 2017-5, Class X, IO (a) (c)
0.84
%
03/10/50
289,217
MCR Mortgage Trust 
385,000
Series 2024-TWA, Class F (c)
10.38
%
06/01/39
390,983
Morgan Stanley Bank of America Merrill Lynch Trust 
410,258
Series 2016-C31, Class XA, IO (a)
1.26
%
11/15/49
6,281
Morgan Stanley Capital I Trust 
2,180,000
Series 2016-UBS9, Class XD, IO (a) (c)
1.59
%
03/15/49
32,084
1,320,000
Series 2019-L2, Class C (a)
4.97
%
03/15/52
1,108,779
NYO Commercial Mortgage Trust 
530,000
Series 2021-1290, Class C, 1 Mo. CME Term SOFR + CSA +
1.99% (b) (c)
6.42
%
11/15/38
521,937
Wells Fargo Commercial Mortgage Trust 
1,034,000
Series 2016-NXS6, Class C (a)
4.40
%
11/15/49
970,772
WFLD Mortgage Trust 
764,835
Series 2014-MONT, Class A (a) (c)
3.75
%
08/10/31
720,441
 
15,456,442
Total Mortgage-Backed Securities
28,707,735
(Cost $30,168,185)
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 36.1%
Collateralized Mortgage Obligations – 22.0%
Federal Home Loan Mortgage Corp. 
86,220
Series 2439, Class XI, IO, if (30 Day Average SOFR) x -1 is less
than 7.39%, then 6.50%, otherwise 0.00% (e)
6.50
%
03/15/32
10,322
440,951
Series 2975, Class SJ, IO, (30 Day Average SOFR + CSA) x -1 +
6.65% (e)
2.13
%
05/15/35
35,750
11,415
Series 3451, Class SB, IO, (30 Day Average SOFR + CSA) x -1 +
6.03% (e)
1.51
%
05/15/38
853
170,179
Series 3471, Class SD, IO, (30 Day Average SOFR + CSA) x -1 +
6.08% (e)
1.56
%
12/15/36
14,186
4,958
Series 4021, Class IP, IO
3.00
%
03/15/27
101
85,057
Series 4057, Class YI, IO
3.00
%
06/15/27
1,931
167,016
Series 4082, Class PI, IO
3.00
%
06/15/27
3,715
169,045
Series 4206, Class IA, IO
3.00
%
03/15/33
10,556
953,689
Series 4959, Class JF, 30 Day Average SOFR + CSA + 0.45% (b)
4.92
%
03/25/50
926,276
1,010,004
Series 4990, Class AF, 30 Day Average SOFR + CSA +
0.40% (b)
4.87
%
07/25/50
978,474
928,210
Series 5004, Class FG, 30 Day Average SOFR + CSA +
0.40% (b)
4.87
%
08/25/50
895,287
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2025 (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. (Continued)
$1,988,983
Series 5179, Class GZ
2.00
%
01/25/52
$1,065,401
1,039,042
Series 5350, Class PO, PO
(g)
11/25/53
800,705
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)
9.72
%
01/25/50
1,120,854
1,000,000
Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA +
7.60% (b) (c)
12.07
%
03/25/50
1,219,134
Federal Home Loan Mortgage Corp. Structured Pass-Through
Certificates 
43,450
Series T-56, Class APO, PO
(g)
05/25/43
34,448
Federal Home Loan Mortgage Corp., STRIPS 
5,494
Series 177, Class IO, IO
7.00
%
07/01/26
169
Federal National Mortgage Association 
2,459
Series 1996-46, Class ZA
7.50
%
11/25/26
2,463
10,903
Series 2002-80, Class IO, IO
6.00
%
09/25/32
481
35,802
Series 2003-15, Class MS, IO, (30 Day Average SOFR + CSA) x
-1 + 8.00% (e)
3.53
%
03/25/33
3,760
39,660
Series 2003-44, Class IU, IO
7.00
%
06/25/33
5,181
38,211
Series 2005-6, Class SE, IO, (30 Day Average SOFR + CSA) x -1
+ 6.70% (e)
2.23
%
02/25/35
3,020
23,726
Series 2007-100, Class SM, IO, (30 Day Average SOFR + CSA) x
-1 + 6.45% (e)
1.98
%
10/25/37
1,981
125,254
Series 2007-37, Class SB, IO, (30 Day Average SOFR + CSA) x
-1 + 6.75% (e)
2.28
%
05/25/37
13,652
294,177
Series 2008-17, Class BE
5.50
%
10/25/37
285,592
530,900
Series 2010-103, Class ID, IO
5.00
%
09/25/40
79,850
30,039
Series 2010-99, Class SG, (30 Day Average SOFR + CSA) x -5 +
25.00%, 0.00% Floor (e)
1.75
%
09/25/40
30,809
88,740
Series 2011-81, Class PI, IO
3.50
%
08/25/26
872
44,293
Series 2012-112, Class BI, IO
3.00
%
09/25/31
191
1,143,019
Series 2012-125, Class MI, IO
3.50
%
11/25/42
154,704
16,897
Series 2013-132, Class SW, (30 Day Average SOFR + CSA) x
-2.67 + 10.67%, 0.00% Floor (e)
0.00
%
01/25/44
11,696
1,237,696
Series 2013-32, Class IG, IO
3.50
%
04/25/33
95,200
1,124,360
Series 2015-20, Class ES, IO, (30 Day Average SOFR + CSA) x
-1 + 6.15% (e)
1.68
%
04/25/45
119,146
168,142
Series 2016-74, Class LI, IO
3.50
%
09/25/46
40,221
2,060,674
Series 2017-109, Class SJ, IO, (30 Day Average SOFR + CSA) x
-1 + 6.20% (e)
1.73
%
01/25/48
229,349
269,130
Series 2020-47, Class FA, 30 Day Average SOFR + CSA +
0.40% (b)
4.87
%
07/25/50
263,166
1,065,535
Series 2024-84, Class FD, 30 Day Average SOFR + 1.15% (b)
5.50
%
11/25/54
1,048,541
1,010,191
Series 5478, Class NF, 30 Day Average SOFR + 1.30% (b)
5.65
%
12/25/54
1,007,179
Federal National Mortgage Association, STRIPS 
9,572
Series 305, Class 12, IO (h)
6.50
%
12/25/29
632
23,528
Series 355, Class 18, IO
7.50
%
11/25/33
2,762
377,813
Series 406, Class 6, IO (h)
4.00
%
01/25/41
59,717
Government National Mortgage Association 
86,739
Series 2005-33, Class AY
5.50
%
04/16/35
87,255
112,105
Series 2007-68, Class PI, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.65% (e)
2.24
%
11/20/37
3,082
100,000
Series 2008-2, Class HB
5.50
%
01/16/38
100,235
93,478
Series 2008-73, Class SK, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.74% (e)
2.33
%
08/20/38
4,791
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2025 (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)
$166,690
Series 2013-104, Class YS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.15% (e)
1.73
%
07/16/43
$12,661
3,182,874
Series 2015-158, Class KS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.25% (e)
1.84
%
11/20/45
396,315
77,727
Series 2016-139, Class MZ
1.50
%
07/20/45
59,744
167,755
Series 2017-4, Class CZ
3.00
%
01/20/47
130,347
140,116
Series 2017-H18, Class DZ (h)
4.63
%
09/20/67
129,278
8,648,207
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
177,029
 
11,679,064
Commercial Mortgage-Backed Securities – 10.6%
Federal Home Loan Mortgage Corp. Multifamily Structured
Pass-Through Certificates 
3,698,596
Series K043, Class X3, IO (a)
3.23
%
02/25/43
37
14,500,000
Series K071, Class X3, IO (a)
2.01
%
11/25/45
743,172
4,000,000
Series K110, Class X3, IO (a)
3.40
%
06/25/48
573,767
4,326,216
Series K118, Class X3, IO (a)
2.69
%
10/25/48
522,700
1,900,000
Series K122, Class X3, IO (a)
2.63
%
01/25/49
230,635
3,343,856
Series K128, Class X3, IO (a)
2.78
%
04/25/31
449,569
1,831,144
Series K739, Class X3, IO (a)
2.80
%
11/25/48
113,276
2,454,000
Series K755, Class X3, IO (a)
5.64
%
02/25/31
659,771
1,663,400
Series K757, Class X3, IO (a)
5.55
%
08/25/31
473,866
4,571,896
Series KG06, Class X3, IO (a)
2.74
%
10/25/31
625,531
Federal National Mortgage Association, ACES 
15,150,000
Series 2019-M29, Class X4, IO
0.70
%
03/25/29
347,977
Freddie Mac Multiclass Certificates 
5,653,804
Series 2021-P011, Class X1, IO (a)
1.77
%
09/25/45
629,698
Government National Mortgage Association 
4,977,503
Series 2024-32, Class IO, IO (a)
0.71
%
06/16/63
252,118
 
5,622,117
Pass-through Security – 3.5%
Fannie Mae or Freddie Mac 
2,000,000
Pool TBA (i)
4.00
%
02/01/55
1,829,062
Total U.S. Government Agency Mortgage-Backed Securities
19,130,243
(Cost $21,959,962)
ASSET-BACKED SECURITIES – 9.5%
Adams Outdoor Advertising LP 
1,000,000
Series 2023-1, Class B (c)
8.81
%
07/15/53
1,043,663
CoreVest American Finance Trust 
251,017
Series 2021-1, Class A (c)
1.57
%
04/15/53
241,705
7,696,323
Series 2021-3, Class XA, IO (a) (c)
2.39
%
10/15/54
245,954
Exeter Automobile Receivables Trust 
750,000
Series 2024-1A, Class E (c)
7.89
%
08/15/31
767,900
Gracie Point International Funding LLC 
692,000
Series 2024-1A, Class D, 90 Day Average SOFR + 7.15% (b) (c)
12.06
%
03/01/28
693,251
Island Finance Trust 
500,000
Series 2025-1A, Class B (c)
7.95
%
03/19/35
506,572
500,000
Series 2025-1A, Class C (c) (j)
10.00
%
03/19/35
467,624
Mid-State Capital Corp. Trust 
65,560
Series 2005-1, Class A
5.75
%
01/15/40
65,432
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2025 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
ASSET-BACKED SECURITIES (Continued)
PAGAYA AI Debt Trust 
$992,861
Series 2024-3, Class D (c)
9.00
%
10/15/31
$1,002,354
Total Asset-Backed Securities
5,034,455
(Cost $4,902,820)
 
Shares
Description
Value
MONEY MARKET FUNDS – 2.4%
1,260,520
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.24% (k)
1,260,520
(Cost $1,260,520)
 
Total Investments – 102.1%
54,132,953
(Cost $58,291,487)
 
Number of
Contracts
Description
Notional
Amount
Exercise
Price
Expiration
Date
Value
PURCHASED OPTIONS – 0.0%
Call Options Purchased – 0.0%
10
U.S. Treasury Bond Futures Call
$113,906
$120.00
02/21/25
625
(Cost $8,464)
Total Call Options Purchased
625
(Cost $8,464)
Total Purchased Options
625
(Cost $8,464)
WRITTEN OPTIONS – (0.1)%
Put Options Written – (0.1)%
(10
)
U.S. Treasury 5 Year Note Futures Put
(106,391
)
106.50
03/21/25
(6,563
)
(Premiums received $7,630)
(10
)
U.S. Treasury Bond Futures Put
(113,906
)
113.00
05/23/25
(24,844
)
(Premiums received $23,879)
Total Put Options Written
(31,407
)
(Premiums received $31,509)
Total Written Options
(31,407
)
(Premiums received $31,509)
 
Net Other Assets and Liabilities – (2.0)%
(1,080,325
)
Net Assets – 100.0%
$53,021,846
 
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
10-Year U.S. Treasury Note Futures
Long
48
Mar 2025
$5,224,500
$(80,717)
CME Ultra Long Term U.S. Treasury Bond Futures
Long
3
Mar 2025
355,406
(2,937)
U.S. Treasury 2 Year Note Futures
Long
22
Mar 2025
4,523,750
(2,161)
U.S. Treasury 5 Year Note Futures
Long
11
Mar 2025
1,170,297
(6,794)
U.S. Treasury Bond Futures
Long
30
Mar 2025
3,417,188
(118,979)
U.S. Treasury Ultra 10 Year Note Futures
Long
55
Mar 2025
6,125,625
(130,969)
 
 
$20,816,766
$(342,557)
 
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2025 (Unaudited)
(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 (the “1933 Act”), 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 “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, 2025, securities noted as such amounted to $29,752,958 or 56.1%
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, 2025.
(e)
Inverse floating rate security.
(f)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers
(see Restricted Securities table).
(g)
Zero coupon security.
(h)
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.
(i)
All or portion of this security is part of a mortgage dollar roll agreement.
(j)
This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Fund’s Board of
Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At
January 31, 2025, securities noted as such are valued at $467,624 or 0.9% of net assets.
(k)
Rate shown reflects yield as of January 31, 2025.
 
Abbreviations throughout the Portfolio of Investments:
ACES
– Alternative Credit Enhancement Securities
CME
– Chicago Mercantile Exchange
CSA
– Credit Spread Adjustment
IO
– Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
PO
– Principal-Only Security
REMIC
– Real Estate Mortgage Investment Conduit
SOFR
– Secured Overnight Financing Rate
STACR
– Structured Agency Credit Risk
STRIPS
– Separate Trading of Registered Interest and Principal of Securities
TBA
– To-Be-Announced Security
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
•
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.
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
January 31, 2025 (Unaudited)
A summary of the inputs used to value the Fund’s investments as of January 31, 2025 is as follows: 
ASSETS TABLE
 
Total
Value at
1/31/2025
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Mortgage-Backed Securities
$28,707,735
$—
$28,707,735
$—
U.S. Government Agency Mortgage-Backed Securities
19,130,243
—
19,130,243
—
Asset-Backed Securities
5,034,455
—
5,034,455
—
Money Market Funds
1,260,520
1,260,520
—
—
Total Investments
54,132,953
1,260,520
52,872,433
—
Purchased Options
625
625
—
—
Total
$54,133,578
$1,261,145
$52,872,433
$—
 
LIABILITIES TABLE
 
Total
Value at
1/31/2025
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Futures Contracts
$(342,557
)
$(342,557
)
$—
$—
Written Options
(31,407
)
(31,407
)
—
—
Total
$(373,964
)
$(373,964
)
$—
$—
Restricted Securities 
As of January 31, 2025, the Fund held restricted securities as shown in the following table that the Advisor deemed illiquid pursuant to procedures adopted by the Fund’s Board of Trustees: 
Security
Acquisition
Date
Principal
Value
Current Price
Carrying
Cost
Value
% of
Net
Assets
Credit Suisse Mortgage Trust, 8.25%, 01/09/25
03/10/22
$1,000,000
$76.50
$1,000,000
$765,036
1.44
%