<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>fmy_nq.txt
<DESCRIPTION>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
<TEXT>
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    FORM N-Q

       QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
                               INVESTMENT COMPANY

                  Investment Company Act file number 811-21727
                                                    -----------

                        First Trust Mortgage Income Fund
          -----------------------------------------------------------
               (Exact name of registrant as specified in charter)

                       120 East Liberty Drive, Suite 400
                               Wheaton, IL 60187
          -----------------------------------------------------------
              (Address of principal executive offices) (Zip code)

                             W. Scott Jardine, Esq.

                          First Trust Portfolios L.P.
                       120 East Liberty Drive, Suite 400
                               Wheaton, IL 60187
          -----------------------------------------------------------
                    (Name and address of agent for service)

        Registrant's telephone number, including area code: 630-765-8000
                                                           --------------

                      Date of fiscal year end: October 31
                                              ------------

                   Date of reporting period: January 31, 2017
                                            ------------------

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.


<PAGE>

ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule of Investments is attached
herewith.


FIRST TRUST MORTGAGE INCOME FUND (FMY)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2017 (UNAUDITED)

<TABLE>
<CAPTION>
   PRINCIPAL                                                                  STATED         STATED
     VALUE                              DESCRIPTION                           COUPON        MATURITY        VALUE
----------------  --------------------------------------------------------  -----------  --------------  ------------
MORTGAGE-BACKED SECURITIES - 66.8%

<S>               <C>                                                          <C>          <C>          <C>
                  COLLATERALIZED MORTGAGE OBLIGATIONS - 54.6%
                  Accredited Mortgage Loan Trust
$        425,443      Series 2003-2, Class A1 ............................     4.98%        10/01/33     $    434,985
                  ACE Securities Corp. Home Equity Loan Trust
       1,018,159      Series 2006-ASAP6, Class A2D (a)....................     0.99%        12/25/36          526,055
                  Bancof America Funding Corp.
         160,345      Series 2008-R2, Class 1A4 (b).......................     6.00%        09/01/37          167,352
                  Bancof America Mortgage Trust
          53,957      Series 2002-L, Class 1A1 (a)........................     2.86%        12/01/32           49,119
                  Chase Mortgage Finance Trust
         276,577      Series 2007-A1, Class 1A3 (a).......................     3.22%        02/01/37          274,864
                  Citigroup Mortgage Loan Trust
         206,277      Series 2005-6, Class A1 (a).........................     2.69%        09/01/35          213,433
         954,918      Series 2012-7, Class 10A2 (a) (b)...................     3.24%        09/01/36          887,547
                  Countrywide Alternative Loan Trust
         354,641      Series 2003-21T1, Class A5 .........................     5.50%        12/01/33          364,816
                  Countrywide Asset-Backed Certificates
         170,555      Series 2006-S8, Class A6 ...........................     5.51%        04/01/36          169,352
                  Countrywide Home Loan Mortgage Pass-Through Trust
         532,405      Series 2003-46, Class 2A1 (a).......................     3.30%        01/01/34          528,842
         381,743      Series 2006-21, Class A8 ...........................     5.75%        02/01/37          333,473
         648,573      Series 2006-HYB5, Class 3A1A (a)....................     3.15%        09/01/36          524,317
                  Credit Suisse First Boston Mortgage Securities Corp.
         384,198      Series 2004-AR2, Class 1A1 (a)......................     3.20%        03/01/34          378,531
         693,858      Series 2004-AR8, Class 6A1 (a)......................     3.03%        09/01/34          698,309
         100,847      Series 2005-5, Class 3A2 (a)........................     1.07%        07/25/35           96,925
                  Deutsche ALT-A Securities Inc Mortgage Loan Trust
          43,554      Series 2003-3, Class 3A1 ...........................     5.00%        10/01/18           43,973
                  DSLA Mortgage Loan Trust
         868,541      Series 2004-AR3, Class 2A2A (a).....................     1.14%        07/19/44          846,029
         924,905      Series 2007-AR1, Class 2A1A (a).....................     0.91%        04/19/47          810,638
                  GMAC Mortgage Corporation Loan Trust
         173,197      Series 2004-AR1, Class 22A (a)......................     3.59%        06/01/34          170,549
                  GSR Mortgage Loan Trust
         233,534      Series 2005-AR1, Class 4A1 (a)......................     2.79%        01/01/35          224,759
                  Harborview Mortgage Loan Trust
         525,296      Series 2004-6, Class 3A1 (a)........................     3.49%        08/01/34          509,502
                  Home Equity Asset Trust
          65,000      Series 2005-3, Class M4 (a).........................     1.41%        08/25/35           61,808
         520,000      Series 2005-9, Class M1 (a).........................     1.18%        04/25/36          482,504
                  Impac CMB Trust
         252,881      Series 2004-6, Class 1A2 (a)........................     1.55%        10/25/34          243,892
                  Irwin Home Equity Loan Trust
         170,837      Series 2006-3, Class 2A2 (b)........................     5.83%        09/01/37          171,732
                  IXIS Real Estate Capital Trust
       1,200,707      Series 2007-HE1, Class A3 (a).......................     0.93%        05/25/37          421,270
</TABLE>


                     See Notes to Portfolio of Investments


<PAGE>


FIRST TRUST MORTGAGE INCOME FUND (FMY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)

<TABLE>
<CAPTION>
   PRINCIPAL                                                                  STATED         STATED
     VALUE                              DESCRIPTION                           COUPON        MATURITY        VALUE
----------------  --------------------------------------------------------  -----------  --------------  ------------
MORTGAGE-BACKED SECURITIES (CONTINUED)

<S>               <C>                                                          <C>          <C>          <C>
                  COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
                  JP Morgan Mortgage Trust
$      1,442,409      Series 2005-ALT1, Class 4A1 (a).....................     3.15%        10/01/35     $  1,350,696
       1,347,964      Series 2006-A2, Class 4A1 (a).......................     3.18%        08/01/34        1,356,877
         339,572      Series 2006-A2, Class 5A3 (a).......................     3.13%        11/01/33          346,076
                  JP Morgan Re-REMIC
         416,484      Series 2009-7, Class 12A1 (b).......................     6.25%        01/01/37          426,012
                  MASTR Alternative Loan Trust
       4,053,370      Series 2006-2, Class 2A3 (a)........................     1.12%        03/25/36          905,488
                  MASTR Asset Backed Securities Trust
         994,367      Series 2006-HE5, Class A3 (a).......................     0.93%        11/25/36          648,380
       1,492,456      Series 2006-NC2, Class A3 (a).......................     0.88%        08/25/36          765,031
         681,235      Series 2006-NC2, Class A5 (a).......................     1.01%        08/25/36          357,893
                  Mellon Residential Funding Corp. Mortgage Pass-Through
                    Trust
         423,786      Series 2001-TBC1, Class A1 (a)......................     1.47%        11/15/31          398,688
         396,140      Series 2002-TBC2, Class A (a).......................     1.63%        08/15/32          379,514
                  Meritage Mortgage Loan Trust
         363,895      Series 2004-2, Class M3 (a).........................     1.75%        01/25/35          349,319
                  Morgan Stanley Mortgage Loan Trust
         318,182      Series 2004-7AR, Class 2A6 (a)......................     3.15%        09/01/34          325,134
                  MortgageIT Trust
         378,574      Series 2005-2, Class 2A (a).........................     2.42%        05/01/35          371,549
                  Nomura Asset Acceptance Corporation
         771,026      Series 2004-AR4, Class M1 (a).......................     1.37%        12/25/34          724,084
                  Nomura Resecuritization Trust
       1,263,000      Series 2015-6R, Class 2A4 (a) (b)...................     7.08%        01/02/37        1,024,293
                  Provident Funding Mortgage Loan Trust
         124,285      Series 2005-1, Class 1A1 (a)........................     2.98%        05/01/35          124,485
                  Residential Accredit Loans, Inc.
         174,000      Series 2006-QO1, Class 2A1 (a)......................     1.04%        02/25/46          104,386
       2,238,324      Series 2006-QS6, Class 1AV, IO (a)..................     0.75%        06/01/36           66,287
                  Saxon Asset Securities Trust
       1,057,288      Series 2007-2, Class A2D (a)........................     1.07%        05/25/47          764,930
                  Springleaf Mortgage Loan Trust
         155,764      Series 2013-3A, Class A (b).........................     1.87%        09/01/57          156,146
         850,000      Series 2013-3A, Class M3 (b)........................     5.00%        09/01/57          852,016
                  Structured Adjustable Rate Mortgage Loan Trust
         518,399      Series 2004-2, Class 4A2 (a)........................     3.07%        03/01/34          520,946
                  Thornburg Mortgage Securities Trust
         414,118      Series 2003-4, Class A1 (a).........................     1.41%        09/25/43          400,926
                  Towd Point Mortgage Trust
         775,382      Series 2015-2, Class 2A1 (a) (b)....................     3.75%        11/01/57          797,665
                  Wachovia Mortgage Loan Trust, LLC
         429,613      Series 2006-A, Class 3A1 (a)........................     3.07%        05/01/36          411,559
                  WaMu Mortgage Pass-Through Certificates
         233,110      Series 2003-AR5, Class A7 (a).......................     2.83%        06/01/33          236,555
         589,518      Series 2004-AR1, Class A (a)........................     2.82%        03/01/34          593,183
</TABLE>


                     See Notes to Portfolio of Investments


<PAGE>


FIRST TRUST MORTGAGE INCOME FUND (FMY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)

<TABLE>
<CAPTION>
   PRINCIPAL                                                                  STATED         STATED
     VALUE                              DESCRIPTION                           COUPON        MATURITY        VALUE
----------------  --------------------------------------------------------  -----------  --------------  ------------
MORTGAGE-BACKED SECURITIES (CONTINUED)

<S>               <C>                                                          <C>          <C>          <C>
                  COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
                  WaMu Mortgage Pass-Through Certificates (Continued)
$        672,191      Series 2004-AR10, Class A1B (a).....................     1.19%        07/25/44     $    646,525
         524,626      Series 2004-AR13, Class A1A (a).....................     1.49%        11/25/34          503,761
         682,240      Series 2005-AR1, Class A1A (a)......................     1.41%        01/25/45          646,803
         995,085      Series 2005-AR11, Class A1A (a).....................     1.09%        08/25/45          964,839
         925,323      Series 2005-AR6, Class 2A1A (a).....................     1.00%        04/25/45          880,480
         404,767      Series 2005-AR9, Class A1A (a)......................     1.41%        07/25/45          395,242
         672,786      Series 2006-AR2, Class 1A1 (a)......................     2.73%        03/01/36          630,887
                  Washington Mutual Alternative Mortgage Pass-Through
                    Certificates
          32,985      Series 2007-5, Class A11 (c)........................    34.85%        06/25/37           65,833
                  Washington Mutual MSC Mortgage Pass-Through Certificates
         459,095      Series 2004-RA1, Class 2A ..........................     7.00%        03/01/34          502,757
                  Wells Fargo Mortgage Backed Securities Trust
         550,994      Series 2003-H, Class A1 (a).........................     3.03%        09/01/33          553,152
         600,054      Series 2004-A, Class A1 (a).........................     3.11%        02/01/34          606,961
       1,148,400      Series 2004-R, Class 1A1 (a)........................     3.03%        09/01/34        1,163,939
         295,579      Series 2004-S, Class A1 (a).........................     3.04%        09/01/34          302,039
         618,870      Series 2004-Y, Class 1A2 (a)........................     3.00%        11/01/34          614,075
         293,786      Series 2005-AR10, Class 2A17 (a)....................     3.05%        06/01/35          300,272
         611,816      Series 2005-AR16, Class 1A1 (a).....................     3.14%        08/01/33          629,109
         278,843      Series 2005-AR3, Class 2A1 (a)......................     3.09%        03/01/35          281,802
         466,968      Series 2005-AR8, Class 1A1 (a)......................     3.07%        06/01/35          475,071
         534,853      Series 2006-13, Class A5 ...........................     6.00%        10/01/36          538,405
         185,533      Series 2007-16, Class 1A1 ..........................     6.00%        12/04/37          192,846
         274,308      Series 2007-2, Class 1A13 ..........................     6.00%        03/01/37          272,733
          65,522      Series 2007-8, Class 2A2 ...........................     6.00%        07/01/37           65,465
                                                                                                         ------------
                                                                                                           35,625,690
                                                                                                         ------------

                  COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.2%
                  Banc of America Commercial Mortgage Trust
         650,000      Series 2007-3, Class AJ, STRIP .....................     5.63%        06/01/49          655,709
                  Bayview Commercial Asset Trust
         537,991      Series 2004-2, Class A (a) (b)......................     1.20%        08/25/34          497,210
                  BXHTL Mortgage Trust
         800,000      Series 2015-JWRZ, Class B (a) (d)...................     2.47%        05/15/29          800,792
                  COMM Mortgage Trust
         150,000      Series 2007-C9, Class AJ ...........................     5.65%        12/01/49          152,183
                  Greenwich Capital Commercial Funding Corp.
         700,000      Series 2007-GG11, Class AJ .........................     6.03%        12/01/49          699,757
                  Hudsons Bay Simon JV Trust
         510,000      Series 2015-HBFL, Class DFL (a) (b).................     4.43%        08/05/34          507,057
                  Hyatt Hotel Portfolio Trust
       1,040,000      Series 2015-HYT, Class B (a) (b)....................     2.47%        11/15/29        1,043,398
</TABLE>


                     See Notes to Portfolio of Investments


<PAGE>


FIRST TRUST MORTGAGE INCOME FUND (FMY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)

<TABLE>
<CAPTION>
   PRINCIPAL                                                                  STATED         STATED
     VALUE                              DESCRIPTION                           COUPON        MATURITY        VALUE
----------------  --------------------------------------------------------  -----------  --------------  ------------
MORTGAGE-BACKED SECURITIES (CONTINUED)

<S>               <C>                                                          <C>          <C>          <C>
                  COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
                  JP Morgan Chase Commercial Mortgage Securities Corp
$          5,137      Series 2007-CB18, Class A4 .........................     5.44%        06/01/47     $      5,133
                  LB-UBS Commercial Mortgage Trust
           8,011      Series 2007-C1, Class AJ ...........................     5.48%        02/11/40            8,021
         440,000      Series 2007-C2, Class AM ...........................     5.49%        02/11/40          442,106
                  UBS-Barclays Commercial Mortgage Trust
      14,852,876      Series 2013-C5, Class XA, IO (a) (b)................     1.03%        03/01/46          716,919
                  Wachovia Bank Commercial Mortgage Trust
         740,000      Series 2007-C30, Class AJ ..........................     5.41%        12/01/43          750,228
         650,000      Series 2007-C33, Class AJ, STRIP ...................     5.97%        02/01/51          652,532
                  Waldorf Astoria Boca Raton Trust
       1,000,000      Series 2016-BOCA, Class E (a) (d)...................     5.12%        06/15/29        1,004,024
                                                                                                         ------------
                                                                                                            7,935,069
                                                                                                         ------------
                  TOTAL MORTGAGE-BACKED SECURITIES.....................................................    43,560,759
                  (Cost $43,846,108)                                                                     ------------

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 25.5%

                  COLLATERALIZED MORTGAGE OBLIGATIONS - 14.6%
                  Federal Home Loan Mortgage Corp.
         490,579      Series 2439, Class XI, IO (c).......................     6.50%        03/01/32          109,429
       1,125,764      Series 2807, Class SB, IO (c).......................     6.68%        11/15/33          160,777
       2,241,988      Series 2975, Class SJ, IO (c).......................     5.88%        05/15/35          348,071
          13,874      Series 3195, Class SX (c)...........................    41.15%        07/15/36           50,839
         210,538      Series 3410, Class HC ..............................     5.50%        02/01/38          223,787
         592,553      Series 3619, Class EI, IO ..........................     4.50%        05/01/24           13,283
         408,427      Series 3692, Class PS, IO (c).......................     5.83%        05/15/38           15,656
       1,837,691      Series 3726, Class KI, IO ..........................     3.50%        04/01/25          105,287
       2,654,651      Series 3784, Class BI, IO ..........................     3.50%        01/01/21          120,909
         250,000      Series 3797, Class KB ..............................     4.50%        01/01/41          278,303
       1,486,608      Series 3870, Class WS, IO (c).......................     5.83%        06/15/31          184,301
         572,295      Series 3898, Class NI, IO ..........................     5.00%        07/01/40           39,833
         109,415      Series 4021, Class IP, IO ..........................     3.00%        03/01/27            9,483
       1,263,782      Series 4206, Class IA, IO ..........................     3.00%        03/01/33          186,989
         516,719      Series 4615, Class GT (c)...........................     4.00%        10/15/42          479,984
                  Federal National Mortgage Association
         166,427      Series 2003-15, Class MS, IO (c)....................     7.23%        03/25/33           38,969
          29,338      Series 2004-74, Class SW (c)........................    13.96%        11/25/31           40,751
         358,512      Series 2005-122, Class SN (c).......................    25.52%        01/25/36          362,534
         157,983      Series 2006-5, Class 3A2 (a)........................     2.87%        05/01/35          166,562
         207,921      Series 2007-30, Class ZM ...........................     4.25%        04/01/37          220,464
           9,947      Series 2008-50, Class AI, IO .......................     5.50%        06/01/23              456
         353,000      Series 2009-28, Class HX ...........................     5.00%        05/01/39          400,278
       1,853,792      Series 2010-10, Class NI, IO .......................     5.00%        01/01/39           71,814
       2,483,337      Series 2010-103, Class ID, IO ......................     5.00%        09/01/40          350,435
       1,481,622      Series 2010-104, Class CI, IO ......................     4.00%        09/01/20           65,208
       3,623,672      Series 2010-139, Class KI, IO ......................     1.09%        12/01/40          156,333
</TABLE>


                     See Notes to Portfolio of Investments


<PAGE>


FIRST TRUST MORTGAGE INCOME FUND (FMY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)

<TABLE>
<CAPTION>
   PRINCIPAL                                                                  STATED         STATED
     VALUE                              DESCRIPTION                           COUPON        MATURITY        VALUE
----------------  --------------------------------------------------------  -----------  --------------  ------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)

<S>               <C>                                                          <C>          <C>          <C>
                  COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
                  Federal National Mortgage Association (Continued)
$         99,235      Series 2010-142, Class PS, IO (c)...................     5.28%        05/25/40     $      3,267
         470,227      Series 2010-145, Class TI, IO ......................     3.50%        12/01/20           22,649
         706,156      Series 2010-40, Class MI, IO .......................     4.50%        08/01/24           11,285
         305,428      Series 2011-5, Class IK, IO ........................     8.00%        02/01/21           30,442
       3,906,811      Series 2011-66, Class QI, IO .......................     3.50%        07/01/21          198,269
         240,064      Series 2012-111, Class B ...........................     7.00%        10/01/42          275,407
       2,598,231      Series 2012-112, Class BI, IO ......................     3.00%        09/01/31          281,335
       2,210,385      Series 2012-125, Class MI, IO ......................     3.50%        11/01/42          432,099
       2,957,203      Series 2013-32, Class IG, IO .......................     3.50%        04/01/33          436,610
         695,978      Series 2013-51, Class PI, IO .......................     3.00%        11/01/32           84,558
       1,639,412      Series 2015-20, Class ES, IO (c)....................     5.38%        04/25/45          307,277
       2,271,446      Series 2015-76, Class BI, IO .......................     4.00%        10/01/39          292,226
       5,689,455      Series 2015-97, Class AI, IO .......................     4.00%        09/01/41          982,728
         168,142      Series 2016-74, Class LI, IO .......................     3.50%        09/01/46           64,823
                  Federal National Mortgage Association, STRIP
       1,552,204      Series 406, Class 6, IO ............................     4.00%        01/01/41          302,578
                  Government National Mortgage Association
         242,720      Series 2005-33, Class AY ...........................     5.50%        04/01/35          274,881
         137,461      Series 2005-68, Class DP (c)........................    14.59%        06/17/35          171,723
         190,148      Series 2005-68, Class KI, IO (c)....................     5.52%        09/20/35           31,768
         159,091      Series 2007-50, Class AI, IO (c)....................     6.00%        08/20/37           23,016
         440,852      Series 2008-73, Class SK, IO (c)....................     5.96%        08/20/38           73,497
         271,561      Series 2009-65, Class NJ, IO .......................     5.50%        07/01/39           19,275
       1,371,551      Series 2010-115, Class IQ, IO ......................     4.50%        11/01/38           91,377
         715,000      Series 2010-61, Class KE ...........................     5.00%        05/01/40          845,181
       1,541,563      Series 2011-131, Class EI, IO ......................     4.50%        08/01/39           66,134
                                                                                                         ------------
                                                                                                            9,523,140
                                                                                                         ------------

                  COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.3%
                  Government National Mortgage Association
         218,000      Series 2013-57, Class D ............................     2.35%        06/01/46          190,467
                                                                                                         ------------
                                                                                                              190,467
                                                                                                         ------------

                  PASS-THROUGH SECURITIES - 10.6%
                  Federal Home Loan Mortgage Corp.
         971,106      Gold Pool ..........................................     3.00%        08/01/46          961,458
         697,949      Pool A94738 ........................................     4.50%        11/01/40          752,767
         551,357      Pool K36017 ........................................     5.00%        09/01/47          590,436
                  Federal National Mortgage Association
       1,125,535      Pool 831145 ........................................     6.00%        12/01/35        1,283,942
       1,140,491      Pool 843971 ........................................     6.00%        11/01/35        1,321,069
         976,400      Pool AS9194 ........................................     4.50%        12/01/44        1,067,027
</TABLE>


                     See Notes to Portfolio of Investments


<PAGE>


FIRST TRUST MORTGAGE INCOME FUND (FMY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)

<TABLE>
<CAPTION>
   PRINCIPAL                                                                  STATED         STATED
     VALUE                              DESCRIPTION                           COUPON        MATURITY        VALUE
----------------  --------------------------------------------------------  -----------  --------------  ------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)

<S>               <C>                                                          <C>          <C>          <C>
                  PASS-THROUGH SECURITIES (CONTINUED)
                  Federal National Mortgage Association (Continued)
$        922,831      Pool AT2720 ........................................     3.00%        05/01/43     $    918,460
                                                                                                         ------------
                                                                                                            6,895,159
                                                                                                         ------------
                  TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES..............................    16,608,766
                  (Cost $19,028,600)                                                                     ------------

ASSET-BACKED SECURITIES - 1.4%
                  Green Tree Financial Corp.
           6,504      Series 1997-2, Class A6 ............................     7.24%        06/15/28            6,505
          21,389      Series 1997-3, Class A6 ............................     7.32%        03/15/28           22,079
          15,320      Series 1997-7, Class A6 ............................     6.76%        07/15/28           15,539
                  Mid-State Capital Corp. Trust
         473,472      Series 2004-1, Class M1 ............................     6.50%        08/01/37          513,023
         344,393      Series 2005-1, Class A .............................     5.75%        01/01/40          371,318
                                                                                                         ------------
                  TOTAL ASSET-BACKED SECURITIES........................................................       928,464
                  (Cost $938,395)                                                                        ------------

                  TOTAL INVESTMENTS - 93.7%............................................................    61,097,989
                  (Cost $63,813,103) (e)

                  NET OTHER ASSETS AND LIABILITIES - 6.3%..............................................     4,115,354
                                                                                                         ------------
                  NET ASSETS - 100.0%..................................................................  $ 65,213,343
                                                                                                         ============
</TABLE>

-----------------------------

(a)   Floating or variable rate security. The interest rate shown reflects the
      rate in effect at January 31, 2017.

(b)   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.
      ("First Trust" or the "Advisor"), the Fund's 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,
      2017, securities noted as such amounted to $7,247,347, or 11.11% of net
      assets.

(c)   Inverse floating rate instrument. The interest rate shown reflects the
      rate in effect at January 31, 2017.

(d)   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 Note 2C - Restricted Securities in the
      Notes to Portfolio of Investments).

(e)   Aggregate cost for financial reporting purposes, which approximates the
      aggregate cost for federal income tax purposes. As of January 31, 2017,
      the aggregate gross unrealized appreciation for all securities in which
      there was an excess of value over tax cost was $1,626,285 and the
      aggregate gross unrealized depreciation for all securities in which there
      was an excess of tax cost over value was $4,341,399.


                     See Notes to Portfolio of Investments


<PAGE>


FIRST TRUST MORTGAGE INCOME FUND (FMY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)

IO    Interest-Only Security - Principal amount shown represents par value on
      which interest payments are based.

STRIP Separate Trading of Registered Interest and Principal of Securities

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2017 is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio
of Investments):

<TABLE>
<CAPTION>
                                                                                   LEVEL 2        LEVEL 3
                                                      TOTAL         LEVEL 1      SIGNIFICANT    SIGNIFICANT
                                                    VALUE AT        QUOTED       OBSERVABLE    UNOBSERVABLE
                                                    1/31/2017       PRICES         INPUTS         INPUTS
                                                  -------------  -------------  -------------  -------------
<S>                                               <C>            <C>            <C>            <C>
Mortgage-Backed Securities......................  $  43,560,759  $          --  $  43,560,759  $          --
U.S. Government Agency Mortgage-Backed
   Securities...................................     16,608,766             --     16,608,766             --
Asset-Backed Securities.........................        928,464             --        928,464             --
                                                  -------------  -------------  -------------  -------------
Total Investments...............................     61,097,989             --     61,097,989             --
Futures Contracts...............................            125            125             --             --
                                                  -------------  -------------  -------------  -------------
Total...........................................  $  61,098,114  $         125  $  61,097,989  $          --
                                                  =============  =============  =============  =============
</TABLE>

All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at January 31, 2017.

OPEN FUTURES CONTRACTS AT JANUARY 31, 2017 (see Note 2D - Futures Contracts in
the Notes to Portfolio of Investments):

<TABLE>
<CAPTION>
                                                                                                      UNREALIZED
                                                               NUMBER OF  EXPIRATION    NOTIONAL     APPRECIATION/
LONG FUTURES CONTRACTS                                         CONTRACTS    MONTH        VALUE      (DEPRECIATION)
-------------------------------------------------------------  ---------  ----------  ------------  --------------
<S>                                                                <C>     <C>         <C>             <C>
U.S. Treasury Long Bond Futures                                    5       Mar-2017    $  754,219      $    125
</TABLE>


                     See Notes to Portfolio of Investments


<PAGE>


NOTES TO PORTFOLIO OF INVESTMENTS

                     FIRST TRUST MORTGAGE INCOME FUND (FMY)
                          JANUARY 31, 2017 (UNAUDITED)

                                1. ORGANIZATION

First Trust Mortgage Income Fund (the "Fund") is a diversified, closed-end
management investment company organized as a Massachusetts business trust on
February 22, 2005, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act"). The Fund
trades under the ticker symbol FMY on the New York Stock Exchange ("NYSE").

The Fund is considered an investment company and follows accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies."

                     2. VALUATION AND INVESTMENT PRACTICES

A. PORTFOLIO VALUATION

The net asset value ("NAV") of the Common Shares of the Fund is determined
daily, as of the close of regular trading on the NYSE, normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. If the NYSE closes early
on a valuation day, the NAV is determined as of that time. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.

The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Fund's
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Fund's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to
the Portfolio of Investments. The Fund's investments are valued as follows:

      U.S. government securities, mortgage-backed securities, asset-backed
      securities and other debt securities are fair valued on the basis of
      valuations provided by dealers who make markets in such securities or by a
      third-party pricing service approved by the Fund's Board of Trustees,
      which may use the following valuation inputs when available:

            1)    benchmark yields;

            2)    reported trades;

            3)    broker/dealer quotes;

            4)    issuer spreads;

            5)    benchmark securities;

            6)    bids and offers; and

            7)    reference data including market research publications.

      Exchange-traded futures contracts are valued at the closing price in the
      market where such contracts are principally traded. If no closing price is
      available, exchange-traded futures contracts are fair valued at the mean
      of their most recent bid and asked price, if available, and otherwise at
      their closing bid price.

      Fixed income and other debt securities having a remaining maturity of
      sixty days or less when purchased are fair valued at cost adjusted for
      amortization of premiums and accretion of discounts (amortized cost),
      provided the Advisor's Pricing Committee has determined that the use of
      amortized cost is an appropriate reflection of fair value given market and
      issuer-specific conditions existing at the time of the determination.
      Factors that may be considered in determining the appropriateness of the
      use of amortized cost include, but are not limited to, the following:

            1)    the credit conditions in the relevant market and changes
                  thereto;

            2)    the liquidity conditions in the relevant market and changes
                  thereto;

            3)    the interest rate conditions in the relevant market and
                  changes thereto (such as significant changes in interest
                  rates);

            4)    issuer-specific conditions (such as significant credit
                  deterioration); and

            5)    any other market-based data the Advisor's Pricing Committee
                  considers relevant. In this regard, the Advisor's Pricing
                  Committee may use last-obtained market-based data to assist it
                  when valuing portfolio securities using amortized cost.

Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Fund's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended (the "1933 Act")) for which a third-party pricing service is
unable to provide a market price; securities whose trading has been formally


<PAGE>


NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)

                     FIRST TRUST MORTGAGE INCOME FUND (FMY)
                          JANUARY 31, 2017 (UNAUDITED)

suspended; a security whose market or fair value price is not available from a
pre-established pricing source; a security with respect to which an event has
occurred that is likely to materially affect the value of the security after the
market has closed but before the calculation of the Fund's NAV or make it
difficult or impossible to obtain a reliable market quotation; and a security
whose price, as provided by the third-party pricing service, does not reflect
the security's fair value. As a general principle, the current fair value of a
security would appear to be the amount which the owner might reasonably expect
to receive for the security upon its current sale. When fair value prices are
used, generally they will differ from market quotations or official closing
prices on the applicable exchanges. A variety of factors may be considered in
determining the fair value of such securities, including, but not limited to,
the following:

      1)    the fundamental business data relating to the issuer;

      2)    an evaluation of the forces which influence the market in which
            these securities are purchased and sold;

      3)    the type, size and cost of security;

      4)    the financial statements of the issuer;

      5)    the credit quality and cash flow of the issuer, based on the
            Advisor's or external analysis;

      6)    the information as to any transactions in or offers for the
            security;

      7)    the price and extent of public trading in similar securities (or
            equity securities) of the issuer/borrower, or comparable companies;

      8)    the coupon payments;

      9)    the quality, value and salability of collateral, if any, securing
            the security;

      10)   the business prospects of the issuer, including any ability to
            obtain money or resources from a parent or affiliate and an
            assessment of the issuer's management;

      11)   the prospects for the issuer's industry, and multiples (of earnings
            and/or cash flows) being paid for similar businesses in that
            industry; and

      12)   other relevant factors.

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:

      o     Level 1 - Level 1 inputs are quoted prices in active markets for
            identical investments. An active market is a market in which
            transactions for the investment occur with sufficient frequency and
            volume to provide pricing information on an ongoing basis.

      o     Level 2 - Level 2 inputs are observable inputs, either directly or
            indirectly, and include the following:

            o     Quoted prices for similar investments in active markets.

            o     Quoted prices for identical or similar investments in markets
                  that are non-active. A non-active market is a market where
                  there are few transactions for the investment, the prices are
                  not current, or price quotations vary substantially either
                  over time or among market makers, or in which little
                  information is released publicly.

            o     Inputs other than quoted prices that are observable for the
                  investment (for example, interest rates and yield curves
                  observable at commonly quoted intervals, volatilities,
                  prepayment speeds, loss severities, credit risks, and default
                  rates).

            o     Inputs that are derived principally from or corroborated by
                  observable market data by correlation or other means.

      o     Level 3 - Level 3 inputs are unobservable inputs. Unobservable
            inputs 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, 2017, is
included with the Fund's Portfolio of Investments.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.

The Fund invests in interest-only securities. For these securities, if there is
a change in the estimated cash flows, based on an evaluation of current
information, then the estimated yield is adjusted. Additionally, if the
evaluation of current information indicates a permanent impairment of the
security, the cost basis of the security is written down and a loss is
recognized. Debt obligations may be placed on non-accrual status and the related
interest income may be reduced by ceasing current accruals and writing off
interest receivables when the collection of all or a portion of interest has
become doubtful based on consistently applied procedures. A debt obligation is
removed from non-accrual status when the issuer resumes interest payments or
when collectability of interest is reasonably assured.

Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. The


<PAGE>


NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)

                     FIRST TRUST MORTGAGE INCOME FUND (FMY)
                          JANUARY 31, 2017 (UNAUDITED)

Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed-delivery or forward purchase commitments until
payment is made. At January 31, 2017, the Fund had no when-issued,
delayed-delivery or forward purchase commitments.

C. RESTRICTED SECURITIES

The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the 1933 Act. Prior
to registration, restricted securities may only be resold in transactions exempt
from registration under Rule 144A under the 1933 Act, normally to qualified
institutional buyers. As of January 31, 2017, the Fund held restricted
securities as shown in the following table that the Advisor has deemed illiquid
pursuant to procedures adopted by the Fund's Board of Trustees. 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. The Fund does not have the right
to demand that such securities be registered. These securities are valued
according to the valuation procedures as stated in the Portfolio Valuation note
(Note 2A) and are not expressed as a discount to the carrying value of a
comparable unrestricted security. There are no unrestricted securities with the
same maturity dates and yields for these issuers.

<TABLE>
<CAPTION>
                                                     ACQUISITION   PRINCIPAL    CURRENT    CARRYING                 % OF NET
SECURITY                                                DATE         VALUE       PRICE       COST         VALUE      ASSETS
---------------------------------------------------  -----------  -----------  ---------  -----------  -----------  ---------
<S>                                                    <C>        <C>          <C>        <C>          <C>             <C>
BXHTL Mortgage Trust, Series 2015-JWRZ, Class B        6/19/15    $   800,000  $  100.10  $   800,000  $   800,792     1.23%
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA,
   Class E                                             7/12/16      1,000,000     100.40    1,000,000    1,004,024     1.54
                                                                                          -----------  -----------  ---------
                                                                                          $ 1,800,000  $ 1,804,816     2.77%
                                                                                          -----------  -----------  ---------
</TABLE>

D. FUTURES CONTRACTS

The Fund may purchase or sell (i.e., is long or short) exchange-listed futures
contracts to hedge against changes in interest rates (interest rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or
sell a specific quantity of an underlying instrument at a specified price and at
a specified date. Depending on the terms of the contract, futures contracts are
settled either through physical delivery of the underlying instrument on the
settlement date or by payment of a cash settlement amount on the settlement
date. Open futures contracts can also be closed out prior to settlement by
entering into an offsetting transaction in a matching futures contract. If the
Fund is not able to enter into an offsetting transaction, the Fund will continue
to be required to maintain margin deposits on the futures contract. When the
contract is closed or expires, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed or expired.

Upon entering into a futures contract, the Fund must deposit funds, called
margin, with its custodian in the name of the clearing broker equal to a
specified percentage of the current value of the contract. Open futures contacts
are marked to market daily. Pursuant to the contract, the Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation margin.

If market conditions change unexpectedly, the Fund may not achieve the
anticipated benefits of the futures contract and may realize a loss. The use of
futures contracts involves the risk of imperfect correlation in movements in the
price of the futures contracts, interest rates and the underlying instruments.

E. INVERSE FLOATING-RATE SECURITIES

An inverse floating-rate security is one where the coupon is inversely indexed
to a short-term floating interest rate multiplied by a specific factor. As the
floating rate rises, the coupon is reduced. Conversely, as the floating rate
declines, the coupon is increased. The price of these securities may be more
volatile than the price of a comparable fixed-rate security. These instruments
are typically used to enhance the yield of the portfolio and have the effect of
creating leverage. These securities, if any, are identified on the Portfolio of
Investments.

F. STRIPPED MORTGAGE-BACKED SECURITIES

Stripped Mortgage-Backed Securities are created by segregating the cash flows
from underlying mortgage loans or mortgage securities to create two or more new
securities, each with a specified percentage of the underlying security's
principal or interest payments. Mortgage securities may be partially stripped so
that each investor class receives some interest and some principal. When
securities are completely stripped, however, all of the interest is distributed
to holders of one type of security known as an interest-only security ("IO
Security") and all of the principal is distributed to holders of another type of
security known as a principal-only security. These securities, if any, are
identified on the Portfolio of Investments.


<PAGE>


NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)

                     FIRST TRUST MORTGAGE INCOME FUND (FMY)
                          JANUARY 31, 2017 (UNAUDITED)

G. INTEREST-ONLY SECURITIES

An IO Security is the interest-only portion of a mortgage-backed security that
receives some or all of the interest portion of the underlying mortgage-backed
security and little or no principal. A reference principal value called a
notional value is used to calculate the amount of interest due to the IO
Security. IO Securities are sold at a deep discount to their notional principal
amount. Generally speaking, when interest rates are falling and prepayment rates
are increasing, the value of an IO Security will fall. Conversely, when interest
rates are rising and prepayment rates are decreasing, generally the value of an
IO Security will rise. These securities, if any, are identified on the Portfolio
of Investments.

                           3. DERIVATIVE TRANSACTIONS

During the fiscal year-to-date period (November 1, 2016 to January 31, 2017),
the amount of notional values of futures contracts opened and closed in the Fund
were $2,129,344 and $1,375,125, respectively.


<PAGE>

ITEM 2. CONTROLS AND PROCEDURES.

(a)   The registrant's principal executive and principal financial officers, or
      persons performing similar functions, have concluded that the registrant's
      disclosure controls and procedures (as defined in Rule 30a-3(c) under the
      Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
      270.30a-3(c))) are effective, as of a date within 90 days of the filing
      date of the report that includes the disclosure required by this
      paragraph, based on their evaluation of these controls and procedures
      required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
      Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
      amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b)   There were no changes in the registrant's internal control over financial
      reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
      270.30a-3(d)) that occurred during the registrant's last fiscal quarter
      that have materially affected, or are reasonably likely to materially
      affect, the registrant's internal control over financial reporting.

ITEM 3. EXHIBITS.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.


<PAGE>


                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)           First Trust Mortgage Income Fund
               --------------------------------------------------

By (Signature and Title)*               /s/ James M. Dykas
                                        ----------------------------------------
                                        James M. Dykas, President and
                                        Chief Executive Officer
                                        (principal executive officer)

Date: March 20, 2017
     ----------------

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.

By (Signature and Title)*               /s/ James M. Dykas
                                        ----------------------------------------
                                        James M. Dykas, President and
                                        Chief Executive Officer
                                        (principal executive officer)

Date: March 20, 2017
     ----------------

By (Signature and Title)*               /s/ Donald P. Swade
                                        ----------------------------------------
                                        Donald P. Swade, Treasurer,
                                        Chief Financial Officer and
                                        Chief Accounting Officer
                                        (principal financial officer)

Date: March 20, 2017
     ----------------

* Print the name and title of each signing officer under his or her signature.
</TEXT>
</DOCUMENT>
