NPORT-EX 2 FT22FTMortgageIncFd.htm

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments

July 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 52.3%
		Collateralized Mortgage Obligations – 35.1%
		Federal Home Loan Mortgage Corp.
$5,763		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		$6,017
8,882		Series 2303, Class SW, IO, Cost of Funds 11th District of San Fransisco x -15.87 + 121.11%, Capped at 10.00% (a)		10.00%		03/01/24		838
50,069		Series 2334, Class QS, 1 Mo. LIBOR x -3.5 + 28.18% (a)		27.85%		07/15/31		75,349
192,985		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		32,747
400,260		Series 2807, Class SB, IO, 1 Mo. LIBOR x -1 + 7.45% (a)		7.36%		11/15/33		72,636
943,303		Series 2975, Class SJ, IO, 1 Mo. LIBOR x -1 + 6.65% (a)		6.56%		05/15/35		181,829
220,971		Series 3012, Class GK, 1 Mo. LIBOR x -4.5 + 24.75% (a)		24.33%		06/15/35		388,052
13,874		Series 3195, Class SX, 1 Mo. LIBOR x -6.5 + 46.15% (a)		45.54%		07/15/36		48,439
99,463		Series 3410, Class HC		5.50%		02/01/38		117,630
46,460		Series 3451, Class SB, IO, 1 Mo. LIBOR x -1 + 6.03% (a)		5.94%		05/15/38		7,226
327,493		Series 3471, Class SD, IO, 1 Mo. LIBOR x -1 + 6.08% (a)		5.99%		12/15/36		59,399
250,000		Series 3797, Class KB		4.50%		01/01/41		303,815
150,568		Series 3985, Class GI, IO		3.00%		10/01/26		2,732
27,582		Series 4021, Class IP, IO		3.00%		03/01/27		1,457
450,088		Series 4057, Class YI, IO		3.00%		06/01/27		25,052
819,685		Series 4082, Class PI, IO		3.00%		06/01/27		44,304
4,185,514		Series 4142, Class IO, IO		3.00%		12/01/27		230,555
464,987		Series 4206, Class IA, IO		3.00%		03/01/33		45,270
503,199		Series 4258, Class CO		(b)		06/01/43		451,314
3,375,933		Series 4459, Class EI, IO		6.00%		06/01/36		444,941
352,629		Series 4615, Class GT, 1 Mo. LIBOR x -4 + 16.00%, Capped at 4.00% (a)		4.00%		10/15/42		344,379
2,190,451		Series 4619, Class IB, IO		4.00%		12/01/47		69,780
5,850,837		Series 4938, Class IB, IO		4.00%		07/01/49		685,574
		Federal Home Loan Mortgage Corp. STACR REMIC Trust
1,000,000		Series 2020-DNA2, Class B2, 1 Mo. LIBOR + 4.80% (c) (d)		4.89%		02/25/50		1,004,729
1,000,000		Series 2021-DNA5, Class B1, 30 Day SOFR + 3.05% (c) (d)		3.10%		01/25/34		1,019,281
1,000,000		Series 2021-HQA2, Class B2, 30 Day SOFR + 5.45% (c) (d)		5.50%		12/25/33		1,054,664
		Federal Home Loan Mortgage Corp. STACR Trust
775,000		Series 2018-HQA2, Class B1, 1 Mo. LIBOR + 4.25% (c) (d)		4.34%		10/25/48		811,023
1,000,000		Series 2019-HQA3, Class B2, 1 Mo. LIBOR + 7.50% (c) (d)		7.59%		09/25/49		1,061,423
		Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates
48,219		Series T-56, Class APO		(b)		05/01/43		47,966
		Federal Home Loan Mortgage Corp., STRIPS
50,566		Series 177, IO		7.00%		07/01/26		5,678
728,062		Series 243, Class 2, IO		5.00%		11/01/35		114,561
2,843,481		Series 303, Class C17, IO		3.50%		01/01/43		398,855
1,054,412		Series 324, Class C21, IO		6.00%		06/01/39		243,935
		Federal National Mortgage Association
47,163		Series 1996-46, Class ZA		7.50%		11/01/26		52,182
119,828		Series 1997-85, Class M, IO		6.50%		12/01/27		6,128
32,241		Series 2002-80, Class IO, IO		6.00%		09/01/32		3,042
64,571		Series 2003-15, Class MS, IO, 1 Mo. LIBOR x -1 + 8.00% (a)		7.91%		03/25/33		12,966
87,679		Series 2003-44, Class IU, IO		7.00%		06/01/33		17,336
482,124		Series 2003-62, Class PO		(b)		07/01/33		455,587
401,011		Series 2004-49, Class SN, IO, 1 Mo. LIBOR x -1 + 7.10% (a)		7.01%		07/25/34		69,238
13,205		Series 2004-74, Class SW, 1 Mo. LIBOR x -2 + 15.50% (a)		15.32%		11/25/31		17,054
258,405		Series 2004-W10, Class A6		5.75%		08/01/34		283,418
273,214		Series 2005-122, Class SN, 1 Mo. LIBOR x -4 + 28.60% (a)		28.24%		01/25/36		455,498
20,048		Series 2005-59 Class SU, 1 Mo. LIBOR x -5 + 25.50% (a)		25.05%		06/25/35		31,940

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 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)
$87,436		Series 2005-6, Class SE, IO, 1 Mo. LIBOR x -1 + 6.70% (a)		6.61%		02/25/35		$16,463
42,466		Series 2007-100, Class SM, IO, 1 Mo. LIBOR x -1 + 6.45% (a)		6.36%		10/25/37		8,813
230,989		Series 2007-37, Class SB, IO, 1 Mo. LIBOR x -1 + 6.75% (a)		6.66%		05/25/37		46,798
294,177		Series 2008-17, Class BE		5.50%		10/01/37		366,307
979,329		Series 2010-103, Class ID, IO		5.00%		09/01/40		193,317
496,818		Series 2010-59, Class EI, IO		6.00%		06/01/40		96,296
59,943		Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00% (a)		24.50%		09/01/40		99,416
1,046,620		Series 2011-81, Class PI, IO		3.50%		08/01/26		53,916
84,372		Series 2012-111, Class B		7.00%		10/01/42		102,613
640,520		Series 2012-112, Class BI, IO		3.00%		09/01/31		17,372
2,023,764		Series 2012-125, Class MI, IO		3.50%		11/01/42		288,879
15,482		Series 2012-74, Class OA		(b)		03/01/42		14,785
15,482		Series 2012-75, Class AO		(b)		03/01/42		14,775
802,080		Series 2013-130, Class GS, IO, 1 Mo. LIBOR x -1 + 6.25% (a)		6.16%		09/25/33		105,207
27,044		Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67% (a)		10.40%		01/01/44		33,649
1,054,604		Series 2013-32, Class IG, IO		3.50%		04/01/33		111,717
303,819		Series 2013-51, Class PI, IO		3.00%		11/01/32		26,300
2,204,934		Series 2015-20, Class ES, IO, 1 Mo. LIBOR x -1 + 6.15% (a)		6.06%		04/25/45		399,403
331,532		Series 2015-76, Class BI, IO		4.00%		10/01/39		20,745
1,416,217		Series 2015-97, Class AI, IO		4.00%		09/01/41		61,093
168,142		Series 2016-74, Class LI, IO		3.50%		09/01/46		51,885
4,369,441		Series 2017-109, Class SJ, IO, 1 Mo. LIBOR x -1+ 6.20% (a)		6.11%		01/25/48		787,444
1,959,432		Series 5112, Class ID, IO		7.00%		01/01/30		273,374
		Federal National Mortgage Association, STRIPS
33,792		Series 305, Class 12, IO (e)		6.50%		12/01/29		4,316
45,346		Series 355, Class 18, IO		7.50%		11/01/33		8,888
1,549,843		Series 387, Class 10, IO		6.00%		04/01/38		303,512
689,720		Series 406, Class 6, IO (e)		4.00%		01/01/41		79,520
616,755		Series 413, Class 173, IO (e)		4.50%		07/01/42		100,755
		Government National Mortgage Association
310,423		Series 2004-95, Class QZ		4.50%		11/01/34		339,664
170,662		Series 2005-33, Class AY		5.50%		04/01/35		189,958
63,970		Series 2005-68, Class DP, 1 Mo. LIBOR x -2.41 + 16.43% (a)		16.21%		06/17/35		80,461
234,715		Series 2005-68, Class KI, IO, 1 Mo. LIBOR x -1 + 6.30% (a)		6.22%		09/20/35		48,273
35,592		Series 2006-28, Class VS, 1 Mo. LIBOR x -13 + 87.10% (a)		86.01%		06/20/36		107,195
372,023		Series 2007-14, Class PB		5.40%		03/01/37		413,827
57,897		Series 2007-50, Class AI, IO, 1 Mo. LIBOR x -1 + 6.78% (a)		6.69%		08/20/37		990
191,361		Series 2007-68, Class PI, IO, 1 Mo. LIBOR x -1 + 6.65% (a)		6.57%		11/20/37		27,188
100,000		Series 2008-2, Class HB		5.50%		01/01/38		116,138
304,000		Series 2008-32, Class JD		5.50%		04/01/38		363,561
173,098		Series 2008-73, Class SK, IO, 1 Mo. LIBOR x -1 + 6.74% (a)		6.66%		08/20/38		28,592
32,791		Series 2009-100, Class SL, IO, 1 Mo. LIBOR x -1 + 6.50% (a)		6.41%		05/16/39		180
132,382		Series 2009-12, Class IE, IO		5.50%		03/01/39		16,885
143,953		Series 2009-79, Class PZ		6.00%		09/01/39		179,666
3,340,309		Series 2010-57, Class TI, IO		5.00%		05/01/40		693,061
324,791		Series 2013-104, Class YS, IO, 1 Mo. LIBOR x -1 + 6.15% (a)		6.06%		07/16/43		57,525
135,063		Series 2014-41, Class ST, 1 Mo. LIBOR x -2.67 + 11.47% (a)		11.24%		11/20/42		144,939
5,288,971		Series 2015-158, Class KS, IO, 1 Mo. LIBOR x -1 + 6.25% (a)		6.17%		11/20/45		1,006,488
73,754		Series 2016-139, Class MZ		1.50%		07/01/45		65,754
151,053		Series 2017-4, Class CZ		3.00%		01/01/47		164,612
119,218		Series 2017-H18, Class DZ (e)		4.61%		09/01/67		148,720
15,719,694		Series 2020-13, Class BT, IO, 1 Mo. LIBOR x -1 + 6.20%, Capped at 0.50% (a)		0.50%		11/20/45		319,537
4,767,314		Series 2020-146, Class CI, IO		2.50%		10/01/50		668,450

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 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)
$6,116,363		Series 2021-23, Class BI, IO		2.00%		02/01/51		$708,724
3,705,051		Series 2021-69, Class IX, IO		3.00%		04/01/51		564,849
								20,948,634
		Commercial Mortgage-Backed Securities – 14.0%
		Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
4,000,000		Series K110, Class X3, IO (f)		3.40%		06/01/48		1,019,149
3,330,000		Series K112, Class X3, IO (f)		3.00%		07/01/48		762,154
4,605,411		Series K115, Class X3, IO (f)		2.96%		09/01/48		1,030,877
4,326,216		Series K118, Class X3, IO (f)		2.69%		10/25/48		903,986
1,900,000		Series K122, Class X3, IO (f)		2.63%		01/01/49		393,220
3,343,856		Series K128, Class X3, IO (f)		2.79%		04/01/31		743,068
3,250,000		Series K-1517, Class X3, IO (f)		3.28%		08/01/38		1,127,437
3,000,000		Series K-1520, Class X3, IO (f)		3.09%		04/01/39		1,017,965
1,831,144		Series K739, Class X3, IO (f)		2.85%		11/25/48		279,430
		Federal National Mortgage Association, ACES
13,100,000		Series 2019-M9, Class X4, IO		0.70%		03/01/29		538,734
		Government National Mortgage Association
2,801,876		Series 2016-11, Class IO (e)		0.86%		01/01/56		135,919
6,993,995		Series 2016-166, Class IO (e)		1.00%		04/01/58		405,222
								8,357,161
		Pass-through Security – 3.2%
		Federal Home Loan Mortgage Corp.
380,816		Pool K36017		5.00%		09/01/47		411,026
751,564		Pool U99176		4.00%		12/01/47		831,306
		Federal National Mortgage Association
593,272		Pool AB5688		3.50%		07/01/37		641,146
								1,883,478
		Total U.S. Government Agency Mortgage-Backed Securities						31,189,273
		(Cost $31,216,259)
MORTGAGE-BACKED SECURITIES – 33.8%
		Collateralized Mortgage Obligations – 22.6%
		Accredited Mortgage Loan Trust
170,519		Series 2003-2, Class A1		4.98%		10/01/33		179,140
		ACE Securities Corp. Home Equity Loan Trust
747,856		Series 2006-ASAP6, Class A2D, 1 Mo. LIBOR + 0.22% (d)		0.31%		12/25/36		364,462
		Banc of America Mortgage Trust
46,578		Series 2002-L, Class 1A1 (f)		3.07%		12/01/32		40,868
97,910		Series 2005-A, Class 2A1 (f)		2.58%		02/01/35		101,591
		Chase Mortgage Finance Trust
60,596		Series 2007-A1, Class 1A3 (f)		2.47%		02/01/37		61,505
		Citigroup Mortgage Loan Trust
123,618		Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (d)		2.22%		09/01/35		129,371
21,114		Series 2009-10, Class 1A1 (c) (f)		2.76%		09/01/33		21,347
276,442		Series 2012-7, Class 10A2 (c) (f)		2.46%		09/01/36		254,524
		Connecticut Avenue Securities Trust
1,000,000		Series 2019-RO2, Class 1B1, 1 Mo. LIBOR + 4.15% (c) (d)		4.24%		08/25/31		1,029,665
		Countrywide Home Loan Mortgage Pass-Through Trust
169,672		Series 2003-46, Class 2A1 (f)		2.80%		01/01/34		169,969

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		Countrywide Home Loan Mortgage Pass-Through Trust (Continued)
$48,819		Series 2005-HYB3, Class 2A6B (f)		2.61%		06/01/35		$50,843
171,143		Series 2006-21, Class A8		5.75%		02/01/37		128,624
284,091		Series 2006-HYB5, Class 3A1A (f)		2.77%		09/01/36		270,807
		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 (c) (d)		4.25%		12/06/22		1,005,134
		Credit Suisse First Boston Mortgage Securities Corp.
323,075		Series 2004-AR2, Class 1A1 (f)		2.94%		03/01/34		338,725
		Credit Suisse Mortgage Trust
342,024		Series 2017-FHA1, Class A1 (c)		3.25%		04/01/47		363,129
		Deutsche ALT-A Securities, Inc., Mortgage Loan Trust
2,734		Series 2003-3, Class 3A1		5.00%		10/25/33		2,731
		DSLA Mortgage Loan Trust
367,003		Series 2004-AR3, Class 2A2A, 1 Mo. LIBOR + 0.74% (d)		0.83%		07/19/44		355,319
460,667		Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.14% (d)		0.23%		03/01/37		439,581
		Galton Funding Mortgage Trust
14,962		Series 2018-2, Class A41 (c)		4.50%		10/01/58		15,001
		GSR Mortgage Loan Trust
3,860		Series 2003-10, Class 1A12 (f)		2.46%		10/01/33		3,884
149,118		Series 2005-AR1, Class 4A1 (f)		2.77%		01/01/35		147,167
		Harborview Mortgage Loan Trust
233,102		Series 2004-6, Class 3A1 (f)		3.00%		08/01/34		233,804
		Home Equity Asset Trust
7,887		Series 2005-3, Class M4, 1 Mo. LIBOR + 0.96% (d)		1.05%		08/25/35		7,899
294,202		Series 2005-9, Class M1, 1 Mo. LIBOR + 0.62% (d)		0.70%		04/25/36		292,858
		IXIS Real Estate Capital Trust
1,036,656		Series 2007-HE1, Class A3, 1 Mo. LIBOR + 0.16% (d)		0.25%		05/25/37		367,051
		JP Morgan Mortgage Trust
580,130		Series 2005-ALT1, Class 4A1 (f)		2.43%		10/01/35		520,834
341,060		Series 2006-A2, Class 4A1 (f)		2.26%		08/01/34		359,181
77,662		Series 2006-A2, Class 5A3 (f)		2.49%		11/01/33		78,555
50,746		Series 2014-2, Class 1A1 (c)		3.00%		06/01/29		51,956
		MASTR Adjustable Rate Mortgages Trust
22,917		Series 2004-13, Class 3A7B, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00% (f)		2.08%		11/01/34		23,390
		MASTR Alternative Loan Trust
3,571,905		Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (d)		0.44%		03/25/36		278,607
		MASTR Asset Backed Securities Trust
672,671		Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (d)		0.25%		11/25/36		497,213
1,127,970		Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.22% (d)		0.31%		08/25/36		586,233
514,864		Series 2006-NC2, Class A5, 1 Mo. LIBOR + 0.48% (d)		0.57%		08/25/36		276,457
		MASTR Asset Securitization Trust
11,877		Series 2003-11, Class 5A2		5.25%		12/01/23		11,784
34,331		Series 2003-11, Class 6A16		5.25%		12/01/33		35,193
		Mellon Residential Funding Corp. Mortgage Pass-Through Trust
155,817		Series 2001-TBC1, Class A1, 1 Mo. LIBOR + 0.70% (d)		0.79%		11/15/31		158,694
171,657		Series 2002-TBC2, Class A, 1 Mo. LIBOR + 0.86% (d)		0.95%		08/15/32		165,808
		MortgageIT Trust
94,727		Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (d)		1.75%		05/01/35		95,097
		New Residential Mortgage Loan Trust
297,987		Series 2014-2A, Class A2 (c)		3.75%		05/01/54		317,282
		Nomura Asset Acceptance Corporation Alternative Loan Trust
561,902		Series 2004-AR4, Class M1, 1 Mo. LIBOR + 1.10% (d)		1.19%		12/25/34		561,918

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Collateralized Mortgage Obligations (Continued)
		Residential Accredit Loans, Inc.
$97,743		Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.54% (d)		0.63%		02/25/46		$69,599
948,431		Series 2006-QS6, Class 1AV, IO (f)		0.76%		06/01/36		21,652
		Residential Asset Securitization Trust
23,833		Series 2004-A3, Class A7		5.25%		06/01/34		24,864
		Structured Adjustable Rate Mortgage Loan Trust
159,652		Series 2004-2, Class 4A2 (f)		2.61%		03/01/34		160,883
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates
22,643		Series 2001-SB1, Class A2		3.38%		08/01/31		22,222
		Thornburg Mortgage Securities Trust
151,782		Series 2003-4, Class A1, 1 Mo. LIBOR + 0.64% (d)		0.73%		09/25/43		154,777
		Vendee Mortgage Trust
51,795,468		Series 2010-1, Class DI, IO (f)		0.30%		04/01/40		497,573
		Wachovia Mortgage Loan Trust, LLC
58,685		Series 2006-A, Class 3A1 (f)		3.00%		05/01/36		57,367
		WaMu Mortgage Pass-Through Certificates
116,837		Series 2003-AR5, Class A7 (f)		2.57%		06/01/33		119,129
191,172		Series 2004-AR1, Class A (f)		2.42%		03/01/34		197,154
210,995		Series 2004-AR10, Class A1B, 1 Mo. LIBOR + 0.84% (d)		0.93%		07/25/44		211,182
207,906		Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (d)		0.81%		11/25/34		204,165
27,523		Series 2004-AR3, Class A2 (f)		2.58%		06/01/34		28,323
258,951		Series 2005-AR1, Class A1A, 1 Mo. LIBOR + 0.64% (d)		0.73%		01/25/45		257,821
362,371		Series 2005-AR6, Class 2A1A, 1 Mo. LIBOR + 0.46% (d)		0.55%		04/25/45		357,941
128,211		Series 2005-AR9, Class A1A, 1 Mo. LIBOR + 0.64% (d)		0.73%		07/25/45		128,464
235,274		Series 2006-AR2, Class 1A1 (f)		2.89%		03/01/36		235,562
		Washington Mutual Alternative Mortgage Pass-Through Certificates
14,173		Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (a)		38.94%		06/25/37		27,944
		WinWater Mortgage Loan Trust
293,365		Series 2015-3, Class B1 (c) (f)		3.88%		03/01/45		310,228
								13,480,051
		Commercial Mortgage-Backed Securities – 11.2%
		BBCMS Trust
600,841		Series 2013-TYSN, Class A2 (c)		3.76%		09/01/32		601,156
		Citigroup Commercial Mortgage Trust
4,454,214		Series 2015-GC29, Class XA (f)		1.03%		04/01/48		147,252
9,515,820		Series 2016-GC37, Class XA (f)		1.69%		04/01/49		618,868
1,352,233		Series 2016-P4, Class XA (f)		1.90%		07/01/49		99,522
		COMM Mortgage Trust
528,867		Series 2013-LC13, Class XA (f)		1.01%		08/01/46		9,184
23,937,056		Series 2013-LC6, Class XA (f)		1.31%		01/01/46		299,321
122,774,000		Series 2014-UBS6, Class XB (c) (f)		0.04%		12/01/47		252,963
3,829,000		Series 2015-CCRE26, Class XD (c) (f)		1.23%		10/01/48		180,408
		Credit Suisse Mortgage Capital Certificates
1,000,000		Series 2021-980M, Class G (c) (f)		3.65%		07/01/26		858,882
		Extended Stay America Trust
1,000,000		Series 2021-ESH, Class F (c) (d)		3.79%		07/15/38		1,014,293
		Hudsons Bay Simon JV Trust
510,000		Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.90% (c) (d)		4.00%		08/05/34		377,241
		JP Morgan Chase Commercial Mortgage Securities Trust
3,543,496		Series 2016-JP4, Class XA (f)		0.67%		12/01/49		81,276
		MBRT
1,000,000		Series 2019-MBR, Class H1, 1 Mo. LIBOR + 4.00% (c) (d)		4.09%		11/15/36		1,002,688

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2021 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES (Continued)
		Commercial Mortgage-Backed Securities (Continued)
		Morgan Stanley Bank of America Merrill Lynch Trust
$2,049,873		Series 2014-C19, Class XA (f)		0.98%		12/01/47		$56,171
5,632,500		Series 2014-C19, Class XE (c) (f)		1.19%		12/01/47		228,041
499,490		Series 2016-C31, Class XA (f)		1.32%		11/01/49		25,482
		Wells Fargo Commercial Mortgage Trust
1,421,331		Series 2015-C26, Class XA (f)		1.20%		02/01/48		50,878
		WFRBS Commercial Mortgage Trust
400,000		Series 2011-C5, Class B (c) (f)		5.68%		11/01/44		400,936
400,000		Series 2011-C5, Class C (c) (f)		5.68%		11/01/44		400,511
								6,705,073
		Total Mortgage-Backed Securities						20,185,124
		(Cost $21,504,560)
ASSET-BACKED SECURITIES – 6.4%
		Affirm Asset Securitization Trust
750,000		Series 2021-A, Class D (c)		3.49%		08/15/25		762,052
		Green Tree Financial Corp.
9,309		Series 1998-4, Class A7		6.87%		04/01/30		9,397
		Meritage Mortgage Loan Trust
2,469		Series 2004-2, Class M3, 1 Mo. LIBOR + 0.98% (d)		1.06%		01/25/35		2,688
		Mid-State Capital Corp. Trust
184,910		Series 2004-1, Class M1		6.50%		08/01/37		196,143
240,505		Series 2005-1, Class A		5.75%		01/01/40		258,029
		Pretium Mortgage Credit Partners I LLC
1,000,000		Series 2021-NPL2, Class A2 (c) (g)		3.84%		06/27/60		1,002,941
		Saxon Asset Securities Trust
691,371		Series 2007-2, Class A2D, 1 Mo. LIBOR + 0.30% (d)		0.39%		05/25/47		605,088
		VOLT CI LLC
1,000,000		Series 2021-NP10, Class A2 (c) (g)		4.83%		05/25/51		1,001,560
		Total Asset-Backed Securities						3,837,898
		(Cost $3,781,200)

	Total Investments – 92.5%	55,212,295
	(Cost $56,502,019) (h)
	Net Other Assets and Liabilities – 7.5%	4,483,768
	Net Assets – 100.0%	$59,696,063

Futures Contracts		Position		Number of Contracts		Expiration Date		Notional Value		Unrealized Appreciation (Depreciation)/ Value
Ultra 10-Year U.S. Treasury Notes		Short		7		Sep 2021		$ (1,051,750)		$(5,312)

(a)	Inverse floating rate security.
(b)	Zero coupon security.
(c)	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 July 31, 2021, securities noted as such amounted to $16,403,058 or 27.5% of net assets.

First Trust Mortgage Income Fund (FMY)

Portfolio of Investments (Continued)

July 31, 2021 (Unaudited)

(d)	Floating or variable rate security.
(e)	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.
(f)	Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically.
(g)	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, 2021.
(h)	Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,063,719 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,358,755. The net unrealized depreciation was $1,295,036. 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
SOFR	Secured Overnight Financing 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.

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

ASSETS TABLE
	Total Value at 7/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
U.S. Government Agency Mortgage-Backed Securities	$ 31,189,273	$ —	$ 31,189,273	$ —
Mortgage-Backed Securities	20,185,124	—	20,185,124	—
Asset-Backed Securities	3,837,898	—	3,837,898	—
Total Investments	$ 55,212,295	$ —	$ 55,212,295	$ —
LIABILITIES TABLE
	Total Value at 7/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Futures Contracts	$ (5,312)	$ (5,312)	$ —	$ —