NPORT-EX 2 FT22FT073125.htm EDGAR HTML
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments
July 31, 2025 (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES – 56.1%
Collateralized Mortgage Obligations – 32.3%
Banc of America Mortgage Trust 
$27,308
Series 2002-L, Class 1A1 (a)
3.20
%
12/25/32
$22,954
Citigroup Mortgage Loan Trust 
41,669
Series 2005-6, Class A1, US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 2.10% (b)
6.08
%
09/25/35
41,920
5,630
Series 2009-10, Class 1A1 (a) (c)
6.52
%
09/25/33
5,625
COLT Mortgage Loan Trust 
500,000
Series 2021-HX1, Class B3A (a) (c)
4.14
%
10/25/66
372,494
Connecticut Avenue Securities Trust 
1,000,000
Series 2024-R02, Class 1B2, 30 Day Average SOFR +
3.70% (b) (c)
8.05
%
02/25/44
1,032,880
Countrywide Home Loan Mortgage Pass-Through Trust 
150,135
Series 2006-HYB5, Class 3A1A (a)
5.40
%
09/20/36
133,716
Credit Suisse Mortgage Trust 
723,065
Series 2017-FHA1, Class A1 (c)
3.25
%
04/25/47
660,697
Fidelis Mortgage Trust 
1,000,000
Series 2025-RTL1, Class B (c)
8.95
%
02/27/40
1,027,235
Galton Funding Mortgage Trust 
286,632
Series 2018-2, Class B2 (c)
4.58
%
10/01/58
275,258
GSR Mortgage Loan Trust 
1,294
Series 2003-10, Class 1A12 (a)
5.88
%
10/25/33
1,240
74,872
Series 2005-AR1, Class 4A1 (a)
3.80
%
01/25/35
66,288
JP Morgan Mortgage Trust 
18,060
Series 2006-A2, Class 5A3 (a)
7.05
%
11/25/33
17,877
81,617
Series 2015-IVR2, Class A5 (a) (c)
5.89
%
01/25/45
81,491
LHOME Mortgage Trust 
1,000,000
Series 2023-RTL2, Class M, steps up to 11.00% on
1/25/2026 (c) (d)
9.00
%
06/25/28
992,206
1,000,000
Series 2024-RTL1, Class M, steps up to 13.45% on
8/25/2026 (c) (d)
11.95
%
01/25/29
1,012,641
800,000
Series 2024-RTL2, Class M, steps up to 13.08% on
10/25/2026 (c) (d)
11.58
%
03/25/29
809,263
MASTR Alternative Loan Trust 
3,538,393
Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA +
0.35% (b)
4.82
%
03/25/36
323,091
Onslow Bay Mortgage Loan Trust 
529,148
Series 2021-NQM4, Class A1 (c)
1.96
%
10/25/61
446,535
PRET Trust 
500,000
Series 2024-RPL1, Class M2 (a) (c)
4.01
%
10/25/63
378,229
PRKCM Trust 
1,000,000
Series 2021-AFC1, Class B2 (c)
3.95
%
08/25/56
701,431
PRPM 
1,000,000
Series 2025-3, Class A2, steps up to 12.07% on 5/01/2028 (c) (d)
9.07
%
05/01/30
1,001,528
PRPM LLC 
1,000,000
Series 2025-6, Class M1 (c) (e)
10.56
%
08/01/30
987,477
1,250,000
Series 2025-RPL4, Class M1A, steps up to 4.00% on
5/01/2029 (c) (d)
3.00
%
05/01/55
1,074,947
PRPM Trust 
725,000
Series 2024-NQM1, Class M1 (a) (c)
6.71
%
12/25/68
731,067
Redwood Funding Trust 
701,196
Series 2025-2, Class A (c)
7.11
%
10/25/55
709,650
Residential Accredit Loans, Inc. 
64,115
Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA +
0.54% (b)
5.01
%
02/25/46
32,807
573,713
Series 2006-QS6, Class 1AV, IO (a)
0.76
%
06/25/36
14,935
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2025 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES (Continued)
Collateralized Mortgage Obligations (Continued)
Residential Asset Securitization Trust 
$15,863
Series 2004-A3, Class A7
5.25
%
06/25/34
$15,614
Roc Mortgage Trust 
1,000,000
Series 2021-RTL1, Class M (c)
6.68
%
08/25/26
991,459
Starwood Mortgage Residential Trust 
755,602
Series 2022-3, Class A1 (c)
4.16
%
03/25/67
739,003
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates 
577
Series 2001-SB1, Class A2
3.38
%
08/25/31
575
Verus Securitization Trust 
533,000
Series 2021-5, Class B2 (c)
3.94
%
09/25/66
390,070
425,000
Series 2021-R2, Class B2 (c)
4.26
%
02/25/64
322,643
717,240
Series 2022-1, Class A1, steps up to 3.72% on 1/1/2026 (c) (d)
2.72
%
01/25/67
667,655
1,000,000
Series 2025-INV1, Class B2 (c)
6.95
%
02/25/70
1,001,563
Washington Mutual Alternative Mortgage Pass-Through Certificates 
8,895
Series 2007-5, Class A11, (1 Mo. CME Term SOFR + CSA) x -6
+ 39.48% (f)
12.68
%
06/25/37
9,693
WinWater Mortgage Loan Trust 
170,626
Series 2015-3, Class B1 (a) (c)
3.83
%
03/20/45
159,042
 
17,252,799
Commercial Mortgage-Backed Securities – 23.8%
BANK 
20,346,842
Series 2017-BNK7, Class XA, IO (a)
0.67
%
09/15/60
227,095
11,561,256
Series 2019-BN19, Class XA, IO (a)
0.93
%
08/15/61
359,131
8,868,534
Series 2019-BN23, Class XA, IO (a)
0.68
%
12/15/52
219,173
5,183,992
Series 2020-BN26, Class XA, IO (a)
1.19
%
03/15/63
212,072
BBCMS Mortgage Trust 
864,000
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (b) (c)
5.26
%
03/15/37
822,392
Benchmark Mortgage Trust 
20,425,374
Series 2018-B5, Class XA, IO (a)
0.45
%
07/15/51
226,003
BWAY Trust 
600,000
Series 2025-1535, Class B (a) (c)
7.46
%
05/05/42
622,164
BX Commercial Mortgage Trust 
675,000
Series 2019-IMC, Class F, 1 Mo. CME Term SOFR + CSA +
2.90% (b) (c)
7.29
%
04/15/34
655,603
BX Trust 
650,000
Series 2021-ARIA, Class E, 1 Mo. CME Term SOFR + CSA +
2.25% (b) (c)
6.70
%
10/15/36
649,640
Cali 2024 
850,000
Series 2024-Sun, Class D, 1 Mo. CME Term SOFR +
3.63% (b) (c)
7.96
%
07/15/41
855,135
CCRE Commercial Mortgage Securities L.P. 
7,582,957
CFCRE Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2017-C8, Class XA, IO (a)
1.47
%
06/15/50
139,672
CD Commercial Mortgage Trust 
8,350,806
Series 2018-CD7, Class XA, IO (a)
0.63
%
08/15/51
139,549
Citigroup Commercial Mortgage Trust 
7,758,888
Series 2016-GC37, Class XA, IO (a)
1.64
%
04/10/49
18,580
5,676,217
Series 2016-P4, Class XA, IO (a)
1.89
%
07/10/49
50,560
COMM Mortgage Trust 
3,829,000
Series 2015-CCRE26, Class XD, IO (a) (c)
1.28
%
10/10/48
38
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2025 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MORTGAGE-BACKED SECURITIES (Continued)
Commercial Mortgage-Backed Securities (Continued)
Credit Suisse Mortgage Trust 
$1,000,000
Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR +
3.94% (b) (g)
8.29
%
01/09/25
$665,282
CSAIL Commercial Mortgage Trust 
250,000
Series 2015-C3, Class B (a)
3.99
%
08/15/48
234,486
5,803,068
Series 2020-C19, Class XA, IO (a)
1.09
%
03/15/53
216,716
FIVE Mortgage Trust 
25,771,296
Series 2023-V1, Class XA, IO (h)
0.67
%
02/10/56
382,137
Great Wolf Trust 
1,000,000
Series 2024-WOLF, Class E, 1 Mo. CME Term SOFR +
3.64% (b) (c)
7.98
%
03/15/39
1,007,667
JP Morgan Chase Commercial Mortgage Securities Trust 
19,571,078
Series 2016-JP4, Class XA, IO (a)
0.57
%
12/15/49
93,043
242,272
Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA +
1.21% (b) (c)
5.60
%
06/15/35
207,181
Life Mortgage Trust 
280,000
Series 2021-BMR, Class D, 1 Mo. CME Term SOFR + CSA +
1.40% (b) (c)
5.86
%
03/15/38
278,354
LSTAR Commercial Mortgage Trust 
22,666,743
Series 2017-5, Class X, IO (a) (c)
0.85
%
03/10/50
200,433
MCR Mortgage Trust 
885,000
Series 2024-TWA, Class F (c)
10.38
%
06/12/39
902,646
Morgan Stanley Bank of America Merrill Lynch Trust 
403,184
Series 2016-C31, Class XA, IO (a)
1.26
%
11/15/49
3,604
Morgan Stanley Capital I Trust 
2,180,000
Series 2016-UBS9, Class XD, IO (a) (c)
1.57
%
03/15/49
47,034
265,000
Series 2018-MP, Class A (a) (c)
4.28
%
07/11/40
249,560
1,320,000
Series 2019-L2, Class C (a)
4.97
%
03/15/52
1,140,062
MSWF Commercial Mortgage Trust 
7,572,750
Series 2023-1, Class XA, IO (a)
0.86
%
05/01/56
390,674
NYO Commercial Mortgage Trust 
380,000
Series 2021-1290, Class D, 1 Mo. CME Term SOFR + CSA +
2.55% (b) (c)
7.00
%
11/15/38
371,505
SFO Commercial Mortgage Trust 
1,102,700
Series 2021-555, Class A, 1 Mo. CME Term SOFR + CSA +
1.15% (b) (c)
5.61
%
05/15/38
1,098,500
 
12,685,691
Total Mortgage-Backed Securities
29,938,490
(Cost $31,400,335)
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 32.4%
Collateralized Mortgage Obligations – 19.3%
Federal Home Loan Mortgage Corp. 
71,307
Series 2439, Class XI, IO, if 30 Day Average SOFR is less than
7.39%, then 6.50%, otherwise 0.00% (f)
6.50
%
03/15/32
8,137
416,240
Series 2975, Class SJ, IO, (30 Day Average SOFR + CSA) x -1 +
6.65% (f)
2.20
%
05/15/35
34,103
10,998
Series 3451, Class SB, IO, (30 Day Average SOFR + CSA) x -1 +
6.03% (f)
1.58
%
05/15/38
878
159,382
Series 3471, Class SD, IO, (30 Day Average SOFR + CSA) x -1 +
6.08% (f)
1.63
%
12/15/36
14,030
3,433
Series 4021, Class IP, IO
3.00
%
03/15/27
53
59,550
Series 4057, Class YI, IO
3.00
%
06/15/27
1,066
114,273
Series 4082, Class PI, IO
3.00
%
06/15/27
1,974
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2025 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
Collateralized Mortgage Obligations (Continued)
Federal Home Loan Mortgage Corp. (Continued)
$137,842
Series 4206, Class IA, IO
3.00
%
03/15/33
$7,716
933,835
Series 4959, Class JF, 30 Day Average SOFR + CSA + 0.45% (b)
4.91
%
03/25/50
900,905
972,797
Series 4990, Class AF, 30 Day Average SOFR + CSA +
0.40% (b)
4.86
%
07/25/50
936,351
892,455
Series 5004, Class FG, 30 Day Average SOFR + CSA +
0.40% (b)
4.86
%
08/25/50
853,618
2,008,956
Series 5179, Class GZ
2.00
%
01/25/52
1,098,025
926,887
Series 5350, Class PO, PO
(i)
11/25/53
757,276
Federal Home Loan Mortgage Corp. STACR REMIC Trust 
1,000,000
Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA +
7.60% (b) (c)
12.06
%
03/25/50
1,200,470
Federal Home Loan Mortgage Corp. Structured Pass-Through
Certificates 
43,138
Series T-56, Class APO, PO
(i)
05/25/43
41,809
Federal Home Loan Mortgage Corp., STRIPS 
2,510
Series 177, Class IO, IO
7.00
%
07/01/26
47
Federal National Mortgage Association 
501
Series 1996-46, Class ZA
7.50
%
11/25/26
501
8,826
Series 2002-80, Class IO, IO
6.00
%
09/25/32
328
29,892
Series 2003-15, Class MS, IO, (30 Day Average SOFR + CSA) x
-1 + 8.00% (f)
3.54
%
03/25/33
3,492
35,568
Series 2003-44, Class IU, IO
7.00
%
06/25/33
4,325
35,449
Series 2005-6, Class SE, IO, (30 Day Average SOFR + CSA) x -1
+ 6.70% (f)
2.24
%
02/25/35
2,766
21,558
Series 2007-100, Class SM, IO, (30 Day Average SOFR + CSA) x
-1 + 6.45% (f)
1.99
%
10/25/37
1,931
115,423
Series 2007-37, Class SB, IO, (30 Day Average SOFR + CSA) x
-1 + 6.75% (f)
2.29
%
05/25/37
13,558
294,177
Series 2008-17, Class BE
5.50
%
10/25/37
290,911
510,874
Series 2010-103, Class ID, IO
5.00
%
09/25/40
74,433
27,686
Series 2010-99, Class SG, (30 Day Average SOFR + CSA) x -5 +
25.00% (f)
2.86
%
09/25/40
29,882
27,657
Series 2011-81, Class PI, IO
3.50
%
08/25/26
122
1,080,831
Series 2012-125, Class MI, IO
3.50
%
11/25/42
144,369
16,897
Series 2013-132, Class SW, (30 Day Average SOFR + CSA) x
-2.67 + 10.67%, 0.00% Floor (f)
0.00
%
01/25/44
12,421
1,062,164
Series 2013-32, Class IG, IO
3.50
%
04/25/33
75,780
1,066,669
Series 2015-20, Class ES, IO, (30 Day Average SOFR + CSA) x
-1 + 6.15% (f)
1.69
%
04/25/45
127,155
168,142
Series 2016-74, Class LI, IO
3.50
%
09/25/46
39,393
1,932,409
Series 2017-109, Class SJ, IO, (30 Day Average SOFR + CSA) x
-1 + 6.20% (f)
1.74
%
01/25/48
219,016
258,071
Series 2020-47, Class FA, 30 Day Average SOFR + CSA +
0.40% (b)
4.86
%
07/25/50
250,109
989,717
Series 2022-69, Class FA, 30 Day Average SOFR + 0.82% (b)
5.17
%
10/25/52
955,436
1,038,683
Series 2024-84, Class FD, 30 Day Average SOFR + 1.15% (b)
5.50
%
11/25/54
1,032,755
Federal National Mortgage Association, STRIPS 
7,726
Series 305, Class 12, IO (h)
6.50
%
12/25/29
447
20,665
Series 355, Class 18, IO
7.50
%
11/25/33
2,233
358,282
Series 406, Class 6, IO (h)
4.00
%
01/25/41
55,702
Government National Mortgage Association 
78,436
Series 2005-33, Class AY
5.50
%
04/16/35
78,453
105,889
Series 2007-68, Class PI, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.65% (f)
2.18
%
11/20/37
1,965
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2025 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
Collateralized Mortgage Obligations (Continued)
Government National Mortgage Association (Continued)
$100,000
Series 2008-2, Class HB
5.50
%
01/16/38
$100,985
88,237
Series 2008-73, Class SK, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.74% (f)
2.27
%
08/20/38
3,914
149,967
Series 2013-104, Class YS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.15% (f)
1.70
%
07/16/43
12,295
3,043,670
Series 2015-158, Class KS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.25% (f)
1.78
%
11/20/45
415,677
78,312
Series 2016-139, Class MZ
1.50
%
07/20/45
48,110
170,287
Series 2017-4, Class CZ
3.00
%
01/20/47
136,480
143,385
Series 2017-H18, Class DZ (h)
4.62
%
09/20/67
133,329
8,291,706
Series 2020-13, Class BT, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.20%, Capped at 0.50% (f)
0.50
%
11/20/45
182,874
 
10,307,605
Commercial Mortgage-Backed Securities – 11.3%
Federal Home Loan Mortgage Corp. Multifamily Structured
Pass-Through Certificates 
14,500,000
Series K071, Class X3, IO (a)
2.01
%
11/25/45
613,760
12,589,940
Series K100, Class X3, IO (a)
1.87
%
11/25/47
814,072
4,000,000
Series K110, Class X3, IO (a)
3.37
%
06/25/48
540,869
4,326,216
Series K118, Class X3, IO (a)
2.69
%
10/25/48
492,048
1,900,000
Series K122, Class X3, IO (a)
2.63
%
01/25/49
217,391
3,343,856
Series K128, Class X3, IO (a)
2.78
%
04/25/31
427,132
1,831,144
Series K739, Class X3, IO (a)
2.80
%
11/25/48
89,809
2,454,000
Series K755, Class X3, IO (a)
5.64
%
02/25/31
630,887
1,663,400
Series K757, Class X3, IO (a)
5.55
%
10/25/61
450,341
4,571,896
Series KG06, Class X3, IO (a)
2.74
%
10/25/31
604,509
Federal National Mortgage Association, ACES 
15,150,000
Series 2019-M29, Class X4, IO
0.70
%
03/25/29
297,596
Freddie Mac Multiclass Certificates 
5,599,824
Series 2021-P011, Class X1, IO (a)
1.76
%
09/25/45
604,105
Government National Mortgage Association 
4,892,658
Series 2024-32, Class IO, IO (a)
0.70
%
06/16/63
239,815
 
6,022,334
Pass-Through Securities – 1.8%
Fannie Mae or Freddie Mac 
500,000
Pool TBA (j)
4.00
%
09/01/55
461,005
500,000
Pool TBA (j)
4.00
%
10/01/55
460,907
 
921,912
Total U.S. Government Agency Mortgage-Backed Securities
17,251,851
(Cost $19,275,401)
ASSET-BACKED SECURITIES – 9.0%
Adams Outdoor Advertising LP 
1,000,000
Series 2023-1, Class B (c)
8.81
%
07/15/53
1,034,667
CoreVest American Finance Trust 
202,955
Series 2021-1, Class A (c)
1.57
%
04/15/53
198,008
7,033,367
Series 2021-3, Class XA, IO (a) (c)
2.38
%
10/15/54
163,958
Exeter Automobile Receivables Trust 
750,000
Series 2024-1A, Class E (c)
7.89
%
08/15/31
786,370
Gracie Point International Funding LLC 
692,000
Series 2024-1A, Class D, 90 Day Average SOFR + 7.15% (b) (c)
11.57
%
03/01/28
692,838
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2025 (Unaudited)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
ASSET-BACKED SECURITIES (Continued)
Island Finance Trust 
$500,000
Series 2025-1A, Class B (c)
7.95
%
03/19/35
$511,564
500,000
Series 2025-1A, Class C (c)
10.00
%
03/19/35
504,117
Mid-State Capital Corp. Trust 
43,575
Series 2005-1, Class A
5.75
%
01/15/40
43,510
PAGAYA AI Debt Grantor Trust 
299,975
Series 2024-10, Class E (c)
10.41
%
06/15/32
308,940
PAGAYA AI Debt Trust 
535,728
Series 2024-3, Class D (c)
9.00
%
10/15/31
540,742
Total Asset-Backed Securities
4,784,714
(Cost $4,592,720)
 
Shares
Description
Value
MONEY MARKET FUNDS – 2.7%
1,452,244
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.16% (k)
1,452,244
(Cost $1,452,244)
 
Total Investments – 100.2%
53,427,299
(Cost $56,720,700)
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT – (1.8)%
Pass-Through Securities – (1.8)%
Fannie Mae or Freddie Mac 
$(1,000,000
)
Pool TBA (j)
4.50
%
08/01/55
(948,728
)
Total Investments Sold Short – (1.8)%
(948,728
)
(Proceeds $954,941)
 
Number of
Contracts
Description
Notional
Amount
Exercise
Price
Expiration
Date
Value
PURCHASED OPTIONS – 0.0%
Put Options Purchased – 0.0%
4
US Treasury Bond Futures Put
$45,675
$95.00
08/22/25
4
5
US Treasury Bond Futures Put
56,906
95.00
11/21/25
625
Total Purchased Options
629
(Cost $1,836)
 
Net Other Assets and Liabilities – 1.6%
849,296
Net Assets – 100.0%
$53,328,496
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2025 (Unaudited)
 
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
10-Year U.S. Treasury Note Futures
Long
53
Sep 2025
$5,886,313
$31,859
CME Ultra Long Term U.S. Treasury Bond Futures
Long
13
Sep 2025
1,525,063
26,011
Ultra 10 Year US Treasury Note Futures
Long
72
Sep 2025
8,141,625
62,536
US Treasury 2 Year Note Futures
Long
17
Sep 2025
3,518,734
(2,726)
US Treasury 5 Year Note Futures
Long
24
Sep 2025
2,596,125
2,469
US Treasury Bond Futures
Long
20
Sep 2025
2,283,750
44,860
 
 
$23,951,610
$165,009
 
(a)
Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The
interest rate resets periodically.
(b)
Floating or variable rate security.
(c)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P., (the “Advisor”). Although market instability can result in
periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and
assumptions, which require subjective judgment. At July 31, 2025, securities noted as such amounted to $30,481,615 or 57.2% of
net assets.
(d)
Step-up security. A security where the coupon increases or steps up at a predetermined date. Interest rate shown reflects the rate in
effect at July 31, 2025.
(e)
This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Fund’s Board of
Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At
July 31, 2025, securities noted as such are valued at $987,477 or 1.9% of net assets.
(f)
Inverse floating rate security.
(g)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(see Restricted Securities table).
(h)
Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have
different coupons. The coupon may change in any period.
(i)
Zero coupon security.
(j)
All or portion of this security is part of a mortgage dollar roll agreement.
(k)
Rate shown reflects yield as of July 31, 2025.
 
Abbreviations throughout the Portfolio of Investments:
ACES
– Alternative Credit Enhancement Securities
CME
– Chicago Mercantile Exchange
CSA
– Credit Spread Adjustment
IO
– Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
PO
– Principal-Only Security
REMIC
– Real Estate Mortgage Investment Conduit
SOFR
– Secured Overnight Financing Rate
STACR
– Structured Agency Credit Risk
STRIPS
– Separate Trading of Registered Interest and Principal of Securities
TBA
– To-Be-Announced Security
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
•
Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
•
Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2025 (Unaudited)
•
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, 2025 is as follows: 
ASSETS TABLE
 
Total
Value at
7/31/2025
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Mortgage-Backed Securities
$29,938,490
$—
$29,938,490
$—
U.S. Government Agency Mortgage-Backed Securities
17,251,851
—
17,251,851
—
Asset-Backed Securities
4,784,714
—
4,784,714
—
Money Market Funds
1,452,244
1,452,244
—
—
Total Investments
53,427,299
1,452,244
51,975,055
—
Purchased Options
629
629
—
—
Futures Contracts
167,735
167,735
—
—
Total
$53,595,663
$1,620,608
$51,975,055
$—
 
LIABILITIES TABLE
 
Total
Value at
7/31/2025
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
U.S. Government Agency Mortgage-
Backed Securities Sold Short
$(948,728
)
$—
$(948,728
)
$—
Futures Contracts
(2,726
)
(2,726
)
—
—
Total
$(951,454
)
$(2,726
)
$(948,728
)
$—
Restricted Securities
As of July 31, 2025, the Fund held restricted securities as shown in the following table that the Advisor deemed illiquid pursuant to procedures adopted by the Fund’s Board of Trustees: 
Security
Acquisition
Date
Principal
Value
Current Price
Carrying
Cost
Value
% of
Net
Assets
Credit Suisse Mortgage Trust, 8.27%, 01/09/25
03/10/22
$1,000,000
$66.53
$1,000,000
$665,282
1.25
%