First Trust Mortgage Income Fund (FMY)
Portfolio of Investments
July 31, 2024 (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES – 56.0%
Collateralized Mortgage Obligations – 26.8%
Banc of America Mortgage Trust 
$27,450
Series 2002-L, Class 1A1 (a)
3.20
%
12/01/32
$21,121
Citigroup Mortgage Loan Trust 
54,611
Series 2005-6, Class A1, US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 2.10% (b)
7.56
%
09/01/35
54,096
7,827
Series 2009-10, Class 1A1 (a) (c)
5.72
%
09/01/33
7,776
Connecticut Avenue Securities Trust 
1,000,000
Series 2024-R02, Class 1B2, 30 Day Average SOFR +
3.70% (b) (c)
9.05
%
02/25/44
1,026,928
Countrywide Home Loan Mortgage Pass-Through Trust 
170,458
Series 2006-HYB5, Class 3A1A (a)
5.11
%
09/01/36
149,869
GSR Mortgage Loan Trust 
1,924
Series 2003-10, Class 1A12 (a)
6.62
%
10/01/33
1,829
77,308
Series 2005-AR1, Class 4A1 (a)
3.66
%
01/01/35
66,665
JP Morgan Mortgage Trust 
23,363
Series 2006-A2, Class 5A3 (a)
6.14
%
11/01/33
22,606
294,592
Series 2015-IVR2, Class A5 (a) (c)
6.88
%
01/01/45
294,791
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
979,904
1,000,000
Series 2024-RTL1, Class M, steps up to 13.45% on
8/25/2026 (c) (d)
11.95
%
01/25/29
1,032,043
800,000
Series 2024-RTL2, Class M, steps up to 13.08% on
10/25/2026 (c) (d)
11.58
%
03/25/29
822,135
MASTR Alternative Loan Trust 
3,544,967
Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA +
0.35% (b)
5.81
%
03/25/36
362,494
MFA Trust 
400,000
Series 2024-RPL1, Class M1 (a) (c)
4.42
%
02/01/66
332,728
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
1,007,669
Onslow Bay Mortgage Loan Trust 
1,157,961
Series 2021-NQM4, Class A1 (c)
1.96
%
10/01/61
967,077
Pretium Mortgage Credit Partners I LLC 
1,005,226
Series 2021-NPL2, Class A2, steps up to 7.84% on
6/27/2025 (c) (d)
3.84
%
06/27/60
955,409
PRKCM Trust 
1,000,000
Series 2021-AFC1, Class B2 (c)
3.95
%
08/01/56
669,154
PRPM LLC 
264,162
Series 2020-6, Class A2, steps up to 8.70% on 11/25/2024 (c) (d)
7.70
%
11/25/25
261,889
PRPM Trust 
725,000
Series 2024-NQM1, Class M1 (a) (c)
6.71
%
12/01/68
736,877
Residential Accredit Loans, Inc. 
64,661
Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA +
0.54% (b)
6.00
%
02/25/46
34,350
629,817
Series 2006-QS6, Class 1AV, IO (a)
0.77
%
06/01/36
12,922
Residential Asset Securitization Trust 
18,232
Series 2004-A3, Class A7
5.25
%
06/01/34
17,680
Roc Mortgage Trust 
1,000,000
Series 2021-RTL1, Class M (c)
6.68
%
08/25/26
938,963
Starwood Mortgage Residential Trust 
821,048
Series 2022-3, Class A1 (c)
4.16
%
03/01/67
800,091
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2024 (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 
$3,689
Series 2001-SB1, Class A2
3.38
%
08/01/31
$3,675
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
999,305
1,000,000
Series 2021-NPL6, Class A2, steps up to 7.97% on
9/25/2025 (c) (d)
3.97
%
09/25/51
1,001,907
Verus Securitization Trust 
533,000
Series 2021-5, Class B2 (c)
3.94
%
09/01/66
374,692
425,000
Series 2021-R2, Class B2 (c)
4.26
%
02/01/64
325,854
Washington Mutual Alternative Mortgage Pass-Through Certificates 
9,698
Series 2007-5, Class A11, (1 Mo. CME Term SOFR + CSA) x -6
+ 39.48% (e)
6.70
%
06/25/37
10,476
WinWater Mortgage Loan Trust 
205,032
Series 2015-3, Class B1 (a) (c)
3.84
%
03/01/45
191,249
 
14,484,224
Commercial Mortgage-Backed Securities – 29.2%
BAMLL Commercial Mortgage Securities Trust 
1,000,000
Series 2013-WBRK, Class A (a) (c)
3.53
%
03/01/37
946,660
BANK 
21,172,895
Series 2017-BNK7, Class XA, IO (a)
0.71
%
09/01/60
362,713
8,917,836
Series 2019-BNK23, Class XA, IO (a)
0.68
%
12/01/52
268,525
5,334,117
Series 2020-BNK26, Class XA, IO (a)
1.20
%
03/01/63
265,896
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
941,874
135,000
Series 2020-BID, Class D, 1 Mo. CME Term SOFR + CSA +
4.63% (b) (c)
10.07
%
10/15/37
133,521
Benchmark Mortgage Trust 
20,639,817
Series 2018-B5, Class XA, IO (a)
0.46
%
07/01/51
307,232
BX Commercial Mortgage Trust 
1,000,000
Series 2019-IMC, Class F, 1 Mo. CME Term SOFR + CSA +
2.90% (b) (c)
8.28
%
04/15/34
974,633
CCRE Commercial Mortgage Securities L.P. 
7,779,265
CFCRE Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2017-C8, Class XA, IO (a)
1.47
%
06/01/50
238,918
CD Commercial Mortgage Trust 
8,544,747
Series 2018-CD7, Class XA, IO (a)
0.64
%
08/01/51
190,877
Citigroup Commercial Mortgage Trust 
4,110,479
Series 2015-GC29, Class XA, IO (a)
1.01
%
04/01/48
14,233
8,449,731
Series 2016-GC37, Class XA, IO (a)
1.65
%
04/01/49
152,734
5,683,961
Series 2016-P4, Class XA, IO (a)
1.89
%
07/01/49
145,401
COMM Mortgage Trust 
122,774,000
Series 2014-UBS6, Class XB, IO (a) (c)
0.04
%
12/01/47
2,320
3,829,000
Series 2015-CCRE26, Class XD, IO (a) (c)
1.21
%
10/01/48
45,786
13,701,910
Series 2015-LC21, Class XA, IO (a)
0.61
%
07/01/48
39,166
Credit Suisse Mortgage Trust 
1,000,000
Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR + 3.94%,
4.09% Floor (b) (f)
9.27
%
01/25/25
904,209
CSAIL Commercial Mortgage Trust 
5,848,234
Series 2020-C19, Class XA, IO (a)
1.09
%
03/01/53
272,342
FIVE Mortgage Trust 
25,817,857
Series 2023-V1, Class XA, IO
0.68
%
02/01/56
536,402
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2024 (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)
8.97
%
03/15/39
$1,005,221
GS Mortgage Securities Corp Trust 
1,000,000
Series 2018-3PCK, Class C, 1 Mo. CME Term SOFR + CSA +
3.50% (b) (c)
8.94
%
09/15/31
979,753
GS Mortgage Securities Trust 
823,474
Series 2012-GCJ9, Class D (a) (c)
4.60
%
11/01/45
753,672
Houston Galleria Mall Trust 
1,000,000
Series 2015-HGLR, Class D (c)
3.98
%
03/01/37
958,253
JP Morgan Chase Commercial Mortgage Securities Trust 
19,948,995
Series 2016-JP4, Class XA, IO (a)
0.57
%
12/01/49
197,016
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
882,263
Life Mortgage Trust 
489,519
Series 2021-BMR, Class G, 1 Mo. CME Term SOFR + CSA +
2.95% (b) (c)
8.39
%
03/15/38
469,443
LSTAR Commercial Mortgage Trust 
23,232,508
Series 2017-5, Class X, IO (a) (c)
0.83
%
03/01/50
358,650
Morgan Stanley Bank of America Merrill Lynch Trust 
1,587,551
Series 2014-C19, Class XA, IO (a)
0.86
%
12/01/47
103
5,632,500
Series 2014-C19, Class XE, IO (a) (c)
1.13
%
12/01/47
19,760
419,759
Series 2016-C31, Class XA, IO (a)
1.26
%
11/01/49
8,463
Morgan Stanley Capital I Trust 
2,180,000
Series 2016-UBS9, Class XD, IO (a) (c)
1.59
%
03/01/49
47,246
1,320,000
Series 2019-L2, Class C (a)
4.97
%
03/01/52
1,089,318
VMC Finance 
487,718
Series 2021-HT1, Class A, 1 Mo. CME Term SOFR + CSA +
1.65% (b) (c)
7.10
%
01/18/37
479,247
Wells Fargo Commercial Mortgage Trust 
1,073,113
Series 2015-C26, Class XA, IO (a)
1.13
%
02/01/48
2,140
1,034,000
Series 2016-NXS6, Class C (a)
4.39
%
11/01/49
951,562
WFLD Mortgage Trust 
1,000,000
Series 2014-MONT, Class A (a) (c)
3.75
%
08/01/31
886,000
 
15,831,552
Total Mortgage-Backed Securities
30,315,776
(Cost $31,910,075)
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 30.0%
Collateralized Mortgage Obligations – 19.3%
Federal Home Loan Mortgage Corp. 
100,377
Series 2439, Class XI, IO, if (30 Day Average SOFR + CSA) x -1
+ 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (e)
6.50
%
03/01/32
12,578
519,155
Series 2975, Class SJ, IO, (30 Day Average SOFR + CSA) x -1 +
6.65% (e)
1.20
%
05/15/35
40,207
12,427
Series 3451, Class SB, IO, (30 Day Average SOFR + CSA) x -1 +
6.03% (e)
0.58
%
05/15/38
964
187,915
Series 3471, Class SD, IO, (30 Day Average SOFR + CSA) x -1 +
6.08% (e)
0.63
%
12/15/36
16,504
6,732
Series 4021, Class IP, IO
3.00
%
03/01/27
167
119,364
Series 4057, Class YI, IO
3.00
%
06/01/27
3,217
233,654
Series 4082, Class PI, IO
3.00
%
06/01/27
6,229
203,873
Series 4206, Class IA, IO
3.00
%
03/01/33
13,558
983,680
Series 4959, Class JF, 30 Day Average SOFR + CSA + 0.45% (b)
5.91
%
03/25/50
963,214
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 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. (Continued)
$1,040,743
Series 4990, Class AF, 30 Day Average SOFR + CSA +
0.40% (b)
5.86
%
07/25/50
$1,019,350
970,228
Series 5004, Class FG, 30 Day Average SOFR + CSA +
0.40% (b)
5.86
%
08/25/50
937,184
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
1,113,007
1,000,000
Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA +
7.60% (b) (c)
13.06
%
03/25/50
1,187,963
500,000
Series 2024-HQA1, M2, 30 Day Average SOFR + 2.00% (b) (c)
7.35
%
03/25/44
503,286
Federal Home Loan Mortgage Corp. Structured Pass-Through
Certificates 
43,752
Series T-56, Class APO, PO
(g)
05/01/43
34,693
Federal Home Loan Mortgage Corp., STRIPS 
9,194
Series 177, IO
7.00
%
07/01/26
390
Federal National Mortgage Association 
6,408
Series 1996-46, Class ZA
7.50
%
11/01/26
6,416
13,157
Series 2002-80, Class IO, IO
6.00
%
09/01/32
641
38,660
Series 2003-15, Class MS, IO, (30 Day Average SOFR + CSA) x
-1 + 8.00% (e)
2.54
%
03/25/33
4,127
43,947
Series 2003-44, Class IU, IO
7.00
%
06/01/33
5,873
42,390
Series 2005-6, Class SE, IO, (30 Day Average SOFR + CSA) x -1
+ 6.70% (e)
1.24
%
02/25/35
3,492
25,286
Series 2007-100, Class SM, IO, (30 Day Average SOFR + CSA) x
-1 + 6.45% (e)
0.99
%
10/25/37
2,284
134,788
Series 2007-37, Class SB, IO, (30 Day Average SOFR + CSA) x
-1 + 6.75% (e)
1.29
%
05/25/37
15,177
294,177
Series 2008-17, Class BE
5.50
%
10/01/37
293,972
555,357
Series 2010-103, Class ID, IO
5.00
%
09/01/40
83,979
32,258
Series 2010-99, Class SG, (30 Day Average SOFR + CSA) x -5 +
25.00%, 0.00% Floor (e)
0.00
%
09/01/40
33,381
164,037
Series 2011-81, Class PI, IO
3.50
%
08/01/26
2,558
117,710
Series 2012-112, Class BI, IO
3.00
%
09/01/31
1,149
1,200,738
Series 2012-125, Class MI, IO
3.50
%
11/01/42
164,942
16,897
Series 2013-132, Class SW, (30 Day Average SOFR + CSA) x
-2.67 + 10.67%, 0.00% Floor (e)
0.00
%
01/01/44
13,283
1,345,592
Series 2013-32, Class IG, IO
3.50
%
04/01/33
111,164
1,193,686
Series 2015-20, Class ES, IO, (30 Day Average SOFR + CSA) x
-1 + 6.15% (e)
0.69
%
04/25/45
164,611
31,051
Series 2015-76, Class BI, IO
4.00
%
10/01/39
241
168,142
Series 2016-74, Class LI, IO
3.50
%
09/01/46
41,781
2,155,935
Series 2017-109, Class SJ, IO, (30 Day Average SOFR + CSA) x
-1 + 6.20% (e)
0.74
%
01/25/48
287,740
1,969,208
Series 5179, Class GZ
2.00
%
01/01/52
1,060,836
1,259,715
Series 5350, Class PO, PO
(g)
11/01/53
1,049,793
Federal National Mortgage Association, STRIPS 
11,640
Series 305, Class 12, IO (h)
6.50
%
12/01/29
840
25,772
Series 355, Class 18, IO
7.50
%
11/01/33
3,091
400,608
Series 406, Class 6, IO (h)
4.00
%
01/01/41
64,236
Government National Mortgage Association 
95,803
Series 2005-33, Class AY
5.50
%
04/01/35
96,070
119,605
Series 2007-68, Class PI, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.65% (e)
1.19
%
11/20/37
3,218
100,000
Series 2008-2, Class HB
5.50
%
01/01/38
99,632
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 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)
$100,681
Series 2008-73, Class SK, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.74% (e)
1.28
%
08/20/38
$4,979
186,708
Series 2013-104, Class YS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.15% (e)
0.71
%
07/16/43
14,398
3,324,357
Series 2015-158, Class KS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.25% (e)
0.79
%
11/20/45
437,351
77,147
Series 2016-139, Class MZ
1.50
%
07/01/45
59,617
165,260
Series 2017-4, Class CZ
3.00
%
01/01/47
132,826
136,918
Series 2017-H18, Class DZ (h)
4.63
%
09/01/67
129,864
9,224,380
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
188,112
 
10,434,185
Commercial Mortgage-Backed Securities – 10.7%
Federal Home Loan Mortgage Corp. Multifamily Structured
Pass-Through Certificates 
30,000,000
Series K043, Class X3, IO (a)
1.63
%
02/01/43
209,013
14,500,000
Series K071, Class X3, IO (a)
2.01
%
11/01/45
862,185
4,000,000
Series K110, Class X3, IO (a)
3.40
%
06/01/48
626,169
4,326,216
Series K118, Class X3, IO (a)
2.69
%
10/25/48
567,138
1,900,000
Series K122, Class X3, IO (a)
2.63
%
01/01/49
249,056
3,343,856
Series K128, Class X3, IO (a)
2.78
%
04/01/31
484,851
1,831,144
Series K739, Class X3, IO (a)
2.80
%
11/25/48
132,607
2,454,000
Series K755, Class X3, IO (a)
5.64
%
02/01/59
705,696
4,571,896
Series KG06, Class X3, IO (a)
2.74
%
10/01/31
666,888
Federal National Mortgage Association, ACES 
15,150,000
Series 2019-M29, Class X4, IO
0.70
%
03/01/29
357,159
Freddie Mac Multiclass Certificates 
5,706,367
Series 2021-P011, Class X1, IO (a)
1.77
%
09/01/45
663,445
Government National Mortgage Association 
5,051,736
Series 2024-32, Class IO, IO (a)
0.71
%
06/01/63
253,481
 
5,777,688
Total U.S. Government Agency Mortgage-Backed Securities
16,211,873
(Cost $18,649,298)
ASSET-BACKED SECURITIES – 8.8%
Adams Outdoor Advertising LP 
1,000,000
Series 2023-1, Class B (c)
8.81
%
07/15/53
1,042,510
CoreVest American Finance Trust 
474,995
Series 2020-2, Class A (c)
3.38
%
05/01/52
465,586
270,534
Series 2021-1, Class A (c)
1.57
%
04/01/53
254,078
8,636,670
Series 2021-3, Class XA, IO (a) (c)
2.38
%
10/01/54
348,708
Exeter Automobile Receivables Trust 
750,000
Series 2024-1A, Class E (c)
7.89
%
08/15/31
766,507
Gracie Point International Funding LLC 
692,000
Series 2024-1A, Class D, 90 Day Average SOFR + 7.15% (b) (c)
12.50
%
03/01/28
693,817
Mid-State Capital Corp. Trust 
88,675
Series 2005-1, Class A
5.75
%
01/01/40
87,983
PAGAYA AI Debt Trust 
117,006
Series 2022-3, Class A (c)
6.06
%
03/15/30
116,965
1,000,000
Series 2024-3, Class D (c)
9.00
%
10/15/31
988,159
Total Asset-Backed Securities
4,764,313
(Cost $4,680,816)
 
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2024 (Unaudited)
Shares
Description
Value
MONEY MARKET FUNDS – 3.6%
1,941,878
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.14% (i)
$1,941,878
(Cost $1,941,878)
 
Total Investments – 98.4%
53,233,840
(Cost $57,182,067)
 
Number of
Contracts
Description
Notional
Amount
Exercise
Price
Expiration
Date
Value
WRITTEN OPTIONS – (0.0)%
Call Options Written – (0.0)%
(10
)
U.S. Treasury Long Bond Futures Call
$(1,207,813
)
$126.00
11/22/24
(13,750
)
(Premiums received $11,380)
Put Options Written – (0.0)%
(10
)
U.S. 10-Year Treasury Futures Put
(1,118,125
)
108.00
11/22/24
(3,125
)
(Premiums received $8,412)
Total Written Options
(16,875
)
(Premiums received $19,792)
 
Net Other Assets and Liabilities – 1.6%
875,240
Net Assets – 100.0%
$54,092,205
 
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
10-Year U.S. Treasury Note Futures
Long
108
Sep 2024
$12,075,750
$301,366
US Treasury 2 Year Note Futures
Long
16
Sep 2024
3,285,875
18,348
US Treasury 5 Year Note Futures
Long
6
Sep 2024
647,344
7,199
US Treasury Bond Futures
Long
17
Sep 2024
2,053,281
53,055
US Treasury Ultra 10 Year Note Futures
Long
38
Sep 2024
4,391,969
138,656
 
 
$22,454,219
$518,624
 
(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 July 31, 2024, securities noted as such amounted to $31,091,329 or 57.5% 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, 2024.
(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)
Rate shown reflects yield as of July 31, 2024.
 
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2024 (Unaudited)
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
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, 2024 is as follows: 
ASSETS TABLE
 
Total
Value at
7/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Mortgage-Backed Securities
$30,315,776
$—
$30,315,776
$—
U.S. Government Agency Mortgage-Backed Securities
16,211,873
—
16,211,873
—
Asset-Backed Securities
4,764,313
—
4,764,313
—
Money Market Funds
1,941,878
1,941,878
—
—
Total Investments
53,233,840
1,941,878
51,291,962
—
Futures Contracts
518,624
518,624
—
—
Total
$53,752,464
$2,460,502
$51,291,962
$—
 
LIABILITIES TABLE
 
Total
Value at
7/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Written Options
$(16,875
)
$(16,875
)
$—
$—
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2024 (Unaudited)
Restricted Securities 
As of July 31, 2024, 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, 9.27%, 01/25/25
03/10/22
1,000,000
$90.42
$1,000,000
$904,209
1.67
%
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