NPORT-EX 2 FT22FTMortgageIncomeFund.htm

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments

January 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 58.7%
		Collateralized Mortgage Obligations – 35.2%
		Federal Home Loan Mortgage Corp.
$9,187		Series 1394, Class ID, Cost of Funds 11th District of San Fransisco x -4.67 + 44.56%, Capped at 9.57% (a)		9.57%		10/15/22		$9,763
11,993		Series 2303, Class SW, Cost of Funds 11th District of San Fransisco x -15.87 + 121.11%, Capped at 10.00% (a)		10.00%		03/01/24		1,340
55,924		Series 2334, Class QS, 1 Mo. LIBOR x -3.5 + 28.18% (a)		27.73%		07/15/31		87,249
217,270		Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (a)		6.50%		03/01/32		37,636
470,845		Series 2807, Class SB, IO, 1 Mo. LIBOR x -1 + 7.45% (a)		7.32%		11/15/33		89,257
1,077,821		Series 2975, Class SJ, IO, 1 Mo. LIBOR x -1 + 6.65% (a)		6.52%		05/15/35		214,168
246,587		Series 3012, Class GK, 1 Mo. LIBOR x -4.5 + 24.75% (a)		24.18%		06/15/35		451,399
244,188		Series 3108, Class QZ		6.00%		02/01/36		359,621
13,874		Series 3195, Class SX, 1 Mo. LIBOR x -6.5 + 46.15% (a)		45.33%		07/15/36		51,876
664,570		Series 3210, Class ZA		6.00%		09/01/36		855,209
113,687		Series 3410, Class HC		5.50%		02/01/38		133,585
54,264		Series 3451, Class SB, IO, 1 Mo. LIBOR x -1 + 6.03% (a)		5.90%		05/15/38		8,882
380,279		Series 3471, Class SD, IO, 1 Mo. LIBOR x -1 + 6.08% (a)		5.95%		12/15/36		63,688
250,000		Series 3797, Class KB		4.50%		01/01/41		296,300
287,655		Series 3985, Class GI, IO		3.00%		10/01/26		7,546
33,215		Series 4021, Class IP, IO		3.00%		03/01/27		1,710
530,212		Series 4057, Class YI, IO		3.00%		06/01/27		31,871
993,946		Series 4082, Class PI, IO		3.00%		06/01/27		57,467
5,020,309		Series 4142, Class IO, IO		3.00%		12/01/27		293,613
615,527		Series 4206, Class IA, IO		3.00%		03/01/33		61,924
756,519		Series 4258, Class CO		(b)		06/01/43		674,120
3,988,569		Series 4459, Class EI, IO		6.00%		06/01/36		558,895
391,353		Series 4615, Class GT, 1 Mo. LIBOR x -4 + 16.00%, Capped at 4.00% (a)		4.00%		10/15/42		385,370
3,211,820		Series 4619, Class IB, IO		4.00%		12/01/47		122,218
7,537,730		Series 4938, Class IB, IO		4.00%		07/01/49		925,292
		Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates
48,720		Series T-56, Class APO		(b)		05/01/43		47,803
		Federal Home Loan Mortgage Corp., STRIPS
59,287		Series 177, IO		7.00%		06/17/26		7,256
834,621		Series 243, Class 2, IO		5.00%		11/01/35		135,578
3,457,568		Series 303, Class C17, IO		3.50%		01/01/43		481,695
		Federal National Mortgage Association
55,217		Series 1996-46, Class ZA		7.50%		11/01/26		61,651
169,320		Series 1997-85, Class M, IO		6.50%		12/01/27		10,702
37,013		Series 2002-80, Class IO, IO		6.00%		09/01/32		3,951
75,270		Series 2003-15, Class MS, IO, 1 Mo. LIBOR x -1 + 8.00% (a)		7.85%		03/25/33		14,973
97,146		Series 2003-44, Class IU, IO		7.00%		06/01/33		20,497
541,733		Series 2003-62, Class PO		(b)		07/01/33		512,371
455,341		Series 2004-49, Class SN, IO, 1 Mo. LIBOR x -1 + 7.10% (a)		6.97%		07/25/34		83,738
14,609		Series 2004-74, Class SW, 1 Mo. LIBOR x -2 + 15.50% (a)		15.24%		11/25/31		19,582
307,770		Series 2004-W10, Class A6		5.75%		08/01/34		338,681
273,214		Series 2005-122, Class SN, 1 Mo. LIBOR x -4 + 28.60% (a)		28.01%		01/25/36		486,845
22,904		Series 2005-59 SU, 1 Mo. LIBOR x -5 + 25.50% (a)		24.85%		06/25/35		37,777
93,352		Series 2005-6, Class SE, IO, 1 Mo. LIBOR x -1 + 6.70% (a)		6.57%		02/25/35		18,690
440,311		Series 2005-74, Class NZ		6.00%		09/01/35		608,831
297,989		Series 2006-105, Class ZA		6.00%		11/01/36		409,279
595,657		Series 2006-5, Class 3A2 (c)		2.73%		05/01/35		607,099
45,092		Series 2007-100, Class SM, IO, 1 Mo. LIBOR x -1 + 6.45% (a)		6.32%		10/25/37		9,155

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

January 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		Federal National Mortgage Association (Continued)
$246,376		Series 2007-30, Class ZM		4.25%		04/01/37		$298,210
253,590		Series 2007-37, Class SB, IO, 1 Mo. LIBOR x -1 + 6.75% (a)		6.62%		05/25/37		52,999
294,177		Series 2008-17, Class BE		5.50%		10/01/37		372,444
682,000		Series 2008-2, Class PH		5.50%		02/01/38		835,147
494,000		Series 2009-28, Class HX		5.00%		05/01/39		611,070
196,912		Series 2009-37, Class NZ		5.71%		02/01/37		257,652
1,113,482		Series 2010-103, Class ID, IO		5.00%		09/01/40		227,752
70,697		Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00% (a)		24.28%		09/01/40		121,068
760,399		Series 2011-52, Class LB		5.50%		06/01/41		873,771
76,232		Series 2011-66, Class QI, IO		3.50%		07/01/21		265
1,348,914		Series 2011-81, Class PI, IO		3.50%		08/01/26		71,079
93,181		Series 2012-111, Class B		7.00%		10/01/42		112,552
925,054		Series 2012-112, Class BI, IO		3.00%		09/01/31		48,492
2,488,853		Series 2012-125, Class MI, IO		3.50%		11/01/42		349,305
17,727		Series 2012-74, Class OA		(b)		03/01/42		16,921
17,727		Series 2012-75, Class AO		(b)		03/01/42		16,909
917,248		Series 2013-130, Class GS, IO (a)		6.12%		09/25/33		130,789
52,694		Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67% (a)		10.28%		01/01/44		65,534
1,260,921		Series 2013-32, Class IG, IO		3.50%		04/01/33		134,597
339,826		Series 2013-51, Class PI, IO		3.00%		11/01/32		29,754
2,678,887		Series 2015-20, Class ES, IO, 1 Mo. LIBOR x -1 + 6.15% (a)		6.00%		04/25/45		471,937
607,533		Series 2015-76, Class BI, IO		4.00%		10/01/39		38,428
1,983,226		Series 2015-97, Class AI, IO		4.00%		09/01/41		98,039
168,142		Series 2016-74, Class LI, IO		3.50%		09/01/46		54,085
5,456,568		Series 2017-109, Class SJ, IO, 1 Mo. LIBOR x -1+ 6.20% (a)		6.07%		01/25/48		917,040
		Federal National Mortgage Association, STRIPS
39,323		Series 305, Class 12, IO (d)		6.50%		12/01/29		5,493
51,335		Series 355, Class 18, IO		7.50%		11/01/33		10,678
1,799,942		Series 387, Class 10, IO		6.00%		04/01/38		329,164
869,992		Series 406, Class 6, IO (d)		4.00%		01/01/41		115,471
710,867		Series 413, Class 173, IO (d)		4.50%		07/01/42		115,744
		Government National Mortgage Association
347,838		Series 2004-95, Class QZ		4.50%		11/01/34		381,239
197,086		Series 2005-33, Class AY		5.50%		04/01/35		221,379
73,633		Series 2005-68, Class DP, 1 Mo. LIBOR x -2.41 + 16.43% (a)		16.12%		06/17/35		94,819
269,369		Series 2005-68, Class KI, IO, 1 Mo. LIBOR x -1 + 6.30% (a)		6.17%		09/20/35		57,974
38,788		Series 2006-28, Class VS, 1 Mo. LIBOR x -13 + 87.10% (a)		85.40%		06/20/36		125,517
418,692		Series 2007-14, Class PB		5.40%		03/01/37		469,309
66,204		Series 2007-50, Class AI, IO, 1 Mo. LIBOR x -1 + 6.78% (a)		6.64%		08/20/37		4,137
221,129		Series 2007-68, Class PI, IO, 1 Mo. LIBOR x -1 + 6.65% (a)		6.52%		11/20/37		33,383
100,000		Series 2008-2, Class HB		5.50%		01/01/38		118,341
304,000		Series 2008-32, Class JD		5.50%		04/01/38		367,228
190,881		Series 2008-73, Class SK, IO, 1 Mo. LIBOR x -1 + 6.74% (a)		6.61%		08/20/38		34,505
179,964		Series 2009-100, Class SL, IO, 1 Mo. LIBOR x -1 + 6.50% (a)		6.37%		05/16/39		4,171
154,066		Series 2009-12, Class IE, IO		5.50%		03/01/39		23,165
4,362		Series 2009-65, Class NJ, IO		5.50%		07/01/39		20
139,709		Series 2009-79, Class PZ		6.00%		09/01/39		178,553
358,381		Series 2013-104, Class YS, IO, 1 Mo. LIBOR x -1 + 6.15% (a)		6.02%		07/16/43		66,134
175,954		Series 2014-41, Class St, 1 Mo. LIBOR x -2.67 + 11.47% (a)		11.12%		11/20/42		191,354
5,947,547		Series 2015-158, Class KS, IO, 1 Mo. LIBOR x -1 + 6.25% (a)		6.12%		11/20/45		1,162,052
73,203		Series 2016-139, Class MZ		1.50%		07/01/45		68,026
148,807		Series 2017-4, Class CZ		3.00%		01/01/47		161,580
116,507		Series 2017-H18, Class DZ (d)		4.61%		09/01/67		147,192

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

January 31, 2021 (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)
$18,504,173		Series 2020-13, Class BT, IO, 1 Mo. LIBOR x -1 + 6.20%, Capped at 0.50% (a)		0.50%		11/20/45		$365,308
4,955,072		Series 2020-146, Class CI, IO		2.50%		10/01/50		588,873
								21,342,801
		Commercial Mortgage-Backed Securities – 17.8%
		Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
19,919,236		Series K087, Class X1, IO (c)		0.36%		12/01/28		557,520
4,000,000		Series K110, Class X3, IO (c)		3.40%		06/01/48		1,063,316
3,330,000		Series K112, Class X3, IO (c)		3.00%		07/01/48		795,684
4,605,411		Series K115, Class X3, IO (c)		2.96%		09/01/48		1,084,522
4,326,216		Series K118, Class X3, IO (c)		2.69%		10/01/53		941,993
1,900,000		Series K122, Class X3, IO (c)		2.63%		01/01/49		411,877
3,250,000		Series K-1517, Class X3, IO (c)		3.28%		08/01/38		1,126,860
23,289,946		Series K736, Class X1, IO (c)		1.31%		07/01/26		1,399,470
1,831,144		Series K739, Class X3, IO (c)		2.85%		09/01/27		295,436
		Federal National Mortgage Association, ACES
13,100,000		Series 2019-M9, Class X4, IO		0.70%		03/01/29		571,005
		Government National Mortgage Association
218,000		Series 2013-57, Class D (d)		2.35%		06/01/46		225,879
3,021,841		Series 2016-11, Class IO (d)		0.86%		01/01/56		152,880
4,995,608		Series 2016-143, Class IO		0.85%		10/01/56		282,498
9,511,500		Series 2016-166, Class IO (d)		1.00%		04/01/58		594,236
12,639,727		Series 2017-126, Class IO (c)		0.77%		08/01/59		759,836
10,034,655		Series 2017-7, Class IO (d)		0.81%		12/01/58		540,625
								10,803,637
		Pass-through Security – 5.7%
		Federal Home Loan Mortgage Corp.
384,154		Pool K36017		5.00%		09/01/47		418,894
785,264		Pool U99176		4.00%		12/01/47		867,623
		Federal National Mortgage Association
305		Pool 535919		6.50%		05/01/21		343
513,749		Pool 831145		6.00%		12/01/35		614,721
569,479		Pool 843971		6.00%		11/01/35		672,417
793,065		Pool AB5688		3.50%		07/01/37		866,551
								3,440,549
		Total U.S. Government Agency Mortgage-Backed Securities						35,586,987
		(Cost $35,712,192)
MORTGAGE-BACKED SECURITIES – 37.2%
		Collateralized Mortgage Obligations – 32.0%
		Accredited Mortgage Loan Trust
234,871		Series 2003-2, Class A1		4.98%		10/01/33		249,181
		ACE Securities Corp. Home Equity Loan Trust
774,575		Series 2006-ASAP6, Class A2D, 1 Mo. LIBOR + 0.22% (e)		0.35%		12/25/36		406,548
		Banc of America Mortgage Trust
47,531		Series 2002-L, Class 1A1 (c)		3.06%		12/01/32		41,072
109,065		Series 2005-A, Class 2A1 (c)		3.12%		02/01/35		111,974
		Chase Mortgage Finance Trust
73,297		Series 2007-A1, Class 1A3 (c)		2.97%		02/01/37		74,028

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

January 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		Citigroup Mortgage Loan Trust
$141,208		Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (e)		2.22%		09/01/35		$146,181
28,823		Series 2009-10, Class 1A1 (c) (f)		2.79%		09/01/33		29,109
324,914		Series 2012-7, Class 10A2 (c) (f)		2.95%		09/01/36		298,465
		Countrywide Home Loan Mortgage Pass-Through Trust
174,956		Series 2003-46, Class 2A1 (c)		2.81%		01/01/34		176,139
56,545		Series 2005-HYB3, Class 2A6B (c)		3.40%		06/01/35		58,606
192,638		Series 2006-21, Class A8		5.75%		02/01/37		143,171
360,730		Series 2006-HYB5, Class 3A1A (c)		3.03%		09/01/36		341,355
		Credit Suisse Commercial Mortgage Securities Corp. Pass-Through Certificates
1,000,000		Series 2020-UNFI, Class A, 1 Mo. LIBOR + 0.50%, 4.25% minimum (e) (f)		4.25%		12/06/22		1,003,619
		Credit Suisse First Boston Mortgage Securities Corp.
329,425		Series 2004-AR2, Class 1A1 (c)		3.24%		03/01/34		341,994
27,875		Series 2004-AR8, Class 6A1 (c)		2.78%		09/01/34		27,929
66,857		Series 2005-5, Class 3A2, 1 Mo. LIBOR + 0.30% (e)		0.43%		07/25/35		65,309
		Credit Suisse Mortgage Trust
326,211		Series 2017-FHA1, Class A1 (f)		3.25%		04/01/47		339,558
		Deutsche ALT-A Securities, Inc., Mortgage Loan Trust
2,734		Series 2003-3, Class 3A1		5.00%		10/25/33		2,733
		DSLA Mortgage Loan Trust
406,401		Series 2004-AR3, Class 2A2A, 1 Mo. LIBOR + 0.74% (e)		0.87%		07/19/44		388,958
497,332		Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.14% (e)		0.27%		03/01/37		471,013
		Galton Funding Mortgage Trust
112,326		Series 2018-2, Class A41 (f)		4.50%		10/01/58		114,551
		GSR Mortgage Loan Trust
6,001		Series 2003-10, Class 1A12 (c)		2.86%		10/01/33		5,960
151,147		Series 2005-AR1, Class 4A1 (c)		2.68%		01/01/35		147,579
		Harborview Mortgage Loan Trust
248,729		Series 2004-6, Class 3A1 (c)		3.27%		08/01/34		247,822
		Home Equity Asset Trust
20,073		Series 2005-3, Class M4, 1 Mo. LIBOR + 0.64% (e)		1.09%		08/25/35		20,112
356,874		Series 2005-9, Class M1, 1 Mo. LIBOR + 0.41% (e)		0.54%		04/25/36		354,976
		Impac CMB Trust
110,204		Series 2004-6, Class 1A2, 1 Mo. LIBOR + 0.78% (e)		0.91%		10/25/34		111,201
		IXIS Real Estate Capital Trust
1,052,060		Series 2007-HE1, Class A3, 1 Mo. LIBOR + 0.16% (e)		0.29%		05/25/37		369,278
		JP Morgan Mortgage Trust
622,455		Series 2005-ALT1, Class 4A1 (c)		3.16%		10/01/35		565,690
388,284		Series 2006-A2, Class 4A1 (c)		3.06%		08/01/34		405,289
95,836		Series 2006-A2, Class 5A3 (c)		2.54%		11/01/33		99,711
63,762		Series 2014-2, Class 1A1 (f)		3.00%		06/01/29		65,533
		MASTR Adjustable Rate Mortgages Trust
25,831		Series 2004-13, Class 3A7B, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00% (c)		2.12%		11/01/34		26,157
		MASTR Alternative Loan Trust
3,572,526		Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (e)		0.48%		03/25/36		191,892
		MASTR Asset Backed Securities Trust
708,464		Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (e)		0.29%		11/25/36		529,048
1,170,293		Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.11% (e)		0.35%		08/25/36		627,539
534,183		Series 2006-NC2, Class A5, 1 Mo. LIBOR + 0.24% (e)		0.61%		08/25/36		296,528

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

January 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		MASTR Asset Securitization Trust
$12,186		Series 2003-11, Class 5A2		5.25%		12/01/23		$12,265
40,512		Series 2003-11, Class 6A16		5.25%		12/01/33		41,810
		Mellon Residential Funding Corp. Mortgage Pass-Through Trust
178,790		Series 2001-TBC1, Class A1, 1 Mo. LIBOR + 0.70% (e)		0.83%		11/15/31		181,066
189,513		Series 2002-TBC2, Class A, 1 Mo. LIBOR + 0.86% (e)		0.99%		08/15/32		181,181
		Meritage Mortgage Loan Trust
2,469		Series 2004-2, Class M3, 1 Mo. LIBOR + 0.98% (e)		1.11%		01/25/35		2,618
		Morgan Stanley Mortgage Loan Trust
274,264		Series 2004-7AR, Class 2A6 (c)		2.65%		09/01/34		277,745
		MortgageIT Trust
126,429		Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (e)		1.79%		05/01/35		134,876
		New Residential Mortgage Loan Trust
348,148		Series 2014-2A, Class A2 (f)		3.75%		05/01/54		372,968
427,618		Series 2016-1A, Class A1 (f)		3.75%		03/01/56		455,710
338,462		Series 2016-3A, Class A1 (f)		3.75%		09/01/56		364,233
		Nomura Asset Acceptance Corporation
685,269		Series 2004-AR4, Class M1, 1 Mo. LIBOR + 1.10% (e)		1.23%		12/25/34		710,128
		Nomura Resecuritization Trust
1,071,016		Series 2015-6R, Class 2A4 (c) (f)		6.00%		01/02/37		814,278
		Oakwood Mortgage Investors, Inc.
11,911		Series 2001-B, Class A2, 1 Mo. LIBOR + 0.38% (e) (f)		0.50%		08/15/30		11,921
		Residential Accredit Loans, Inc.
104,326		Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.27% (e)		0.67%		02/25/46		75,453
1,089,239		Series 2006-QS6, Class 1AV, IO (c)		0.76%		06/01/36		24,915
		Residential Asset Securitization Trust
24,615		Series 2004-A3, Class A7		5.25%		06/01/34		25,785
		Saxon Asset Securities Trust
753,553		Series 2007-2, Class A2D, 1 Mo. LIBOR + 0.30% (e)		0.43%		05/25/47		653,424
		Sequoia Mortgage Trust
191,786		Series 2017-CH2, Class A10 (f)		4.00%		12/01/47		193,101
51,375		Series 2018-CH2, Class A12 (f)		4.00%		06/01/48		51,592
		Structured Adjustable Rate Mortgage Loan Trust
190,000		Series 2004-2, Class 4A2 (c)		2.74%		03/01/34		186,929
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates
28,414		Series 2001-SB1, Class A2		3.38%		08/01/31		27,622
		Thornburg Mortgage Securities Trust
167,228		Series 2003-4, Class A1, 1 Mo. LIBOR + 0.64% (e)		0.77%		09/25/43		169,221
		Towd Point Mortgage Trust
53,810		Series 2015-2, Class 2A1 (f)		3.75%		11/01/57		53,827
464,349		Series 2016-1, Class A3B (f)		3.00%		02/01/55		474,382
1,045,000		Series 2016-2, Class M2 (f)		3.00%		08/01/55		1,115,487
		Vendee Mortgage Trust
59,259,292		Series 2010-1, Class DI, IO (c)		0.29%		04/01/40		733,778
		Wachovia Mortgage Loan Trust, LLC
91,216		Series 2006-A, Class 3A1 (c)		3.33%		05/01/36		88,243
		WaMu Mortgage Pass-Through Certificates
133,771		Series 2003-AR5, Class A7 (c)		3.74%		06/01/33		134,973
221,599		Series 2004-AR1, Class A (c)		3.68%		03/01/34		233,054
257,589		Series 2004-AR10, Class A1B, 1 Mo. LIBOR + 0.42% (e)		0.55%		07/25/44		259,174
226,386		Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (e)		0.85%		11/25/34		228,107
33,953		Series 2004-AR3, Class A2 (c)		3.66%		06/01/34		34,790
286,566		Series 2005-AR1, Class A1A, 1 Mo. LIBOR + 0.64% (e)		0.77%		01/25/45		283,350

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

January 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		WaMu Mortgage Pass-Through Certificates (Continued)
$402,459		Series 2005-AR11, Class A1A, 1 Mo. LIBOR + 0.32% (e)		0.77%		08/25/45		$402,356
430,167		Series 2005-AR6, Class 2A1A, 1 Mo. LIBOR + 0.46% (e)		0.59%		04/25/45		439,522
151,300		Series 2005-AR9, Class A1A, 1 Mo. LIBOR + 0.64% (e)		0.77%		07/25/45		150,604
269,120		Series 2006-AR2, Class 1A1 (c)		3.14%		03/01/36		267,893
		Washington Mutual Alternative Mortgage Pass-Through Certificates
16,151		Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (a)		38.70%		06/25/37		33,907
		Washington Mutual MSC Mortgage Pass-Through Certificates
224,457		Series 2004-RA1, Class 2A		7.00%		03/01/34		239,613
		WinWater Mortgage Loan Trust
357,249		Series 2015-3, Class B1 (c) (f)		3.88%		03/01/45		382,921
								19,420,630
		Commercial Mortgage-Backed Securities – 5.2%
		Citigroup Commercial Mortgage Trust
10,073,200		Series 2016-GC37, Class XA (c)		1.70%		04/01/49		707,446
1,454,302		Series 2016-P4, Class XA (c)		1.96%		07/01/49		109,917
		COMM Mortgage Trust
679,414		Series 2013-LC13, Class XA (c)		1.11%		08/01/46		16,070
		Hudsons Bay Simon JV Trust
510,000		Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.90% (e) (f)		4.04%		08/05/34		286,473
		JP Morgan Chase Commercial Mortgage Securities Trust
3,568,584		Series 2016-JP4, Class XA (c)		0.68%		12/01/49		92,308
		Morgan Stanley Bank of America Merrill Lynch Trust
2,147,894		Series 2014-C19, Class XA (c)		1.00%		12/01/47		63,487
511,797		Series 2016-C31, Class XA (c)		1.36%		11/01/49		29,065
		Morgan Stanley Capital I Trust
1,787,000		Series 2017-CLS, Class D, 1 Mo. LIBOR + 1.40% (e) (f)		1.53%		11/15/34		1,793,569
		Wells Fargo Commercial Mortgage Trust
1,444,926		Series 2015-C26, Class XA (c)		1.21%		02/01/48		58,730
								3,157,065
		Total Mortgage-Backed Securities						22,577,695
		(Cost $23,616,640)
ASSET-BACKED SECURITIES – 0.9%
		Green Tree Financial Corp.
21,833		Series 1998-4, Class A7		6.87%		04/01/30		22,307
		Mid-State Capital Corp. Trust
220,086		Series 2004-1, Class M1		6.50%		08/01/37		235,955
272,979		Series 2005-1, Class A		5.75%		01/01/40		296,227
		Total Asset-Backed Securities						554,489
		(Cost $516,930)

	Total Investments – 96.8%	58,719,171
	(Cost $59,845,762) (g)
	Net Other Assets and Liabilities – 3.2%	1,972,387
	Net Assets – 100.0%	$60,691,558

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

January 31, 2021 (Unaudited)

Futures Contracts:

Futures Contracts		Position		Number of Contracts		Expiration Date		Notional Value		Unrealized Appreciation (Depreciation)/ Value
U.S. Treasury 10-Year Notes		Short		4		Mar 2021		$ (548,125)		$(1,219)
U.S. Treasury 5-Year Notes		Short		5		Mar 2021		(629,375)		47
U.S. Treasury Ultra 10-Year Notes		Short		3		Mar 2021		(461,484)		1,516
Total Futures Contracts								$(1,638,984)		$ 344

(a)	Inverse floating rate security.
(b)	Zero coupon security.
(c)	Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically.
(d)	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.
(e)	Floating or variable rate security.
(f)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under 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, 2021, securities noted as such amounted to $8,221,297 or 13.5% of net assets.
(g)	Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,024,759 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,151,006. The net unrealized depreciation was $1,126,247. The unrealized amounts presented are inclusive of derivative contracts.

ACES	Alternative Credit Enhancement Securities
IO	Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
LIBOR	London Interbank Offered Rate
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.

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

January 31, 2021 (Unaudited)

A summary of the inputs used to value the Fund’s investments as of January 31, 2021 is as follows:

ASSETS TABLE
	Total Value at 1/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
U.S. Government Agency Mortgage-Backed Securities	$ 35,586,987	$ —	$ 35,586,987	$ —
Mortgage-Backed Securities	22,577,695	—	22,577,695	—
Asset-Backed Securities	554,489	—	554,489	—
Total Investments	58,719,171	—	58,719,171	—
Futures Contracts	1,563	1,563	—	—
Total	$ 58,720,734	$ 1,563	$ 58,719,171	$ —
LIABILITIES TABLE
	Total Value at 1/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Futures Contracts	$ (1,219)	$ (1,219)	$ —	$ —