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, 2019
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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. § 3507.
Item 1. Schedule of Investments.
The Schedule of Investments is attached herewith.
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MORTGAGE-BACKED SECURITIES – 61.2% | ||||||||
Collateralized Mortgage Obligations – 56.0% | ||||||||
Accredited Mortgage Loan Trust | ||||||||
$303,840 | Series 2003-2, Class A1 | 4.98% | 10/01/33 | $310,022 | ||||
ACE Securities Corp. Home Equity Loan Trust | ||||||||
868,518 | Series 2006-ASAP6, Class A2D, 1 Mo. LIBOR + 0.22% (a) | 2.73% | 12/25/36 | 442,756 | ||||
Banc of America Funding Corp. | ||||||||
72,046 | Series 2008-R2, Class 1A4 (b) | 6.00% | 09/01/37 | 73,319 | ||||
Banc of America Mortgage Trust | ||||||||
51,076 | Series 2002-L, Class 1A1 (c) | 3.13% | 12/01/32 | 44,559 | ||||
191,000 | Series 2005-A, Class 2A1 (c) | 4.08% | 02/01/35 | 189,865 | ||||
Chase Mortgage Finance Trust | ||||||||
153,279 | Series 2007-A1, Class 1A3 (c) | 4.51% | 02/01/37 | 155,628 | ||||
CHL Mortgage Pass-Through Trust | ||||||||
123,978 | Series 2005-HYB3, Class 2A6B (c) | 3.79% | 06/01/35 | 125,059 | ||||
Citigroup Mortgage Loan Trust | ||||||||
257,814 | Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (a) | 4.68% | 09/01/35 | 261,669 | ||||
56,770 | Series 2009-10, Class 1A1 (b) (c) | 4.33% | 09/01/33 | 57,819 | ||||
636,255 | Series 2012-7, Class 10A2 (b) (c) | 4.71% | 09/01/36 | 643,042 | ||||
COLT Mortgage Loan Trust | ||||||||
256,459 | Series 2017-1, Class A1 (b) | 2.61% | 05/03/47 | 255,618 | ||||
264,434 | Series 2018-1, Class A1 (b) | 2.93% | 02/01/48 | 262,427 | ||||
Countrywide Asset-Backed Certificates | ||||||||
29,460 | Series 2006-S8, Class A6 | 5.51% | 04/01/36 | 29,625 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
428,052 | Series 2003-46, Class 2A1 (c) | 4.44% | 01/01/34 | 426,675 | ||||
278,946 | Series 2006-21, Class A8 | 5.75% | 02/01/37 | 234,148 | ||||
449,630 | Series 2006-HYB5, Class 3A1A (c) | 4.24% | 09/01/36 | 386,492 | ||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
352,153 | Series 2004-AR2, Class 1A1 (c) | 4.08% | 03/01/34 | 350,811 | ||||
317,082 | Series 2004-AR8, Class 6A1 (c) | 4.32% | 09/01/34 | 320,379 | ||||
137,566 | Series 2005-5, Class 3A2, 1 Mo. LIBOR + 0.30% (a) | 2.81% | 07/25/35 | 133,562 | ||||
Credit Suisse Mortgage Trust | ||||||||
22,947 | Series 2011-12R, Class 3A1 (b) (c) | 4.08% | 07/27/36 | 23,035 | ||||
83,579 | Series 2014-11R, Class 9A1, 1 Mo. LIBOR + 0.14% (a) (b) | 2.65% | 10/27/36 | 83,430 | ||||
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust | ||||||||
9,887 | Series 2003-3, Class 3A1 | 5.00% | 10/25/33 | 9,880 | ||||
DSLA Mortgage Loan Trust | ||||||||
608,356 | Series 2004-AR3, Class 2A2A, 1 Mo. LIBOR + 0.74% (a) | 3.25% | 07/19/44 | 609,678 | ||||
713,060 | Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.14% (a) | 2.65% | 04/19/47 | 697,560 | ||||
Galton Funding Mortgage Trust | ||||||||
472,045 | Series 2018-2, Class A41 (b) | 4.50% | 10/01/58 | 480,728 | ||||
GMAC Mortgage Corporation Loan Trust | ||||||||
106,134 | Series 2004-AR1, Class 22A (c) | 4.32% | 06/01/34 | 105,109 | ||||
GSR Mortgage Loan Trust | ||||||||
11,323 | Series 2003-10, Class 1A12 (c) | 4.42% | 10/01/33 | 11,392 | ||||
182,105 | Series 2005-AR1, Class 4A1 (c) | 3.48% | 01/01/35 | 174,888 | ||||
Harborview Mortgage Loan Trust | ||||||||
399,141 | Series 2004-6, Class 3A1 (c) | 4.53% | 08/01/34 | 394,037 | ||||
Home Equity Asset Trust | ||||||||
50,554 | Series 2005-3, Class M4, 1 Mo. LIBOR + 0.64% (a) | 3.15% | 08/25/35 | 51,020 | ||||
520,000 | Series 2005-9, Class M1, 1 Mo. LIBOR + 0.41% (a) | 2.92% | 04/25/36 | 516,294 | ||||
Impac CMB Trust | ||||||||
234,119 | Series 2004-6, Class 1A2, 1 Mo. LIBOR + 0.78% (a) | 3.29% | 10/25/34 | 229,476 | ||||
IXIS Real Estate Capital Trust | ||||||||
1,110,151 | Series 2007-HE1, Class A3, 1 Mo. LIBOR + 0.16% (a) | 2.67% | 05/25/37 | 394,144 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
JP Morgan Mortgage Trust | ||||||||
$919,654 | Series 2005-ALT1, Class 4A1 (c) | 4.25% | 10/01/35 | $855,011 | ||||
788,035 | Series 2006-A2, Class 4A1 (c) | 4.48% | 08/01/34 | 795,701 | ||||
184,807 | Series 2006-A2, Class 5A3 (c) | 4.62% | 11/01/33 | 190,019 | ||||
104,193 | Series 2014-2, Class 1A1 (b) | 3.00% | 06/01/29 | 103,568 | ||||
JP Morgan Re-REMIC | ||||||||
7,315 | Series 2009-7, Class 12A1 (b) | 6.25% | 01/03/37 | 7,315 | ||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
45,987 | Series 2004-13, Class 3A7B, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00% (a) | 4.57% | 11/01/34 | 46,885 | ||||
MASTR Alternative Loan Trust | ||||||||
3,641,352 | Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (a) | 2.86% | 03/25/36 | 658,788 | ||||
MASTR Asset Backed Securities Trust | ||||||||
831,282 | Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (a) | 2.67% | 11/25/36 | 570,351 | ||||
1,278,554 | Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.11% (a) | 2.62% | 08/25/36 | 665,369 | ||||
583,599 | Series 2006-NC2, Class A5, 1 Mo. LIBOR + 0.24% (a) | 2.75% | 08/25/36 | 309,278 | ||||
MASTR Asset Securitization Trust | ||||||||
18,573 | Series 2003-11, Class 5A2 | 5.25% | 12/01/23 | 18,359 | ||||
60,761 | Series 2003-11, Class 6A16 | 5.25% | 12/01/33 | 61,095 | ||||
Mellon Residential Funding Corp. Mortgage Pass-Through Trust | ||||||||
306,222 | Series 2001-TBC1, Class A1, 1 Mo. LIBOR + 0.70% (a) | 3.21% | 11/15/31 | 306,014 | ||||
311,396 | Series 2002-TBC2, Class A, 1 Mo. LIBOR + 0.86% (a) | 3.37% | 08/15/32 | 300,754 | ||||
Meritage Mortgage Loan Trust | ||||||||
107,723 | Series 2004-2, Class M3, 1 Mo. LIBOR + 0.98% (a) | 3.49% | 01/25/35 | 105,562 | ||||
Morgan Stanley Mortgage Loan Trust | ||||||||
471,375 | Series 2004-7AR, Class 2A6 (c) | 4.42% | 09/01/34 | 477,845 | ||||
MortgageIT Trust | ||||||||
268,942 | Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (a) | 4.17% | 05/01/35 | 267,100 | ||||
New Residential Mortgage Loan Trust | ||||||||
568,012 | Series 2014-2A, Class A2 (b) | 3.75% | 05/01/54 | 570,336 | ||||
699,042 | Series 2016-1A, Class A1 (b) | 3.75% | 03/01/56 | 699,281 | ||||
Nomura Asset Acceptance Corporation | ||||||||
1,051,995 | Series 2004-AR4, Class M1, 1 Mo. LIBOR + 1.10% (a) | 3.61% | 12/25/34 | 1,053,979 | ||||
Nomura Resecuritization Trust | ||||||||
1,229,309 | Series 2015-6R, Class 2A4 (b) (c) | 6.24% | 01/02/37 | 997,953 | ||||
Oakwood Mortgage Investors, Inc. | ||||||||
292,428 | Series 2001-B, Class A2, 1 Mo. LIBOR + 0.38% (a) (b) | 2.89% | 08/15/30 | 290,358 | ||||
Pretium Mortgage Credit Partners I LLC | ||||||||
410,548 | Series 2017-NPL4, Class A1, steps up 8/27/20 to 6.25% (b) (d) | 3.25% | 08/27/32 | 407,623 | ||||
Provident Funding Mortgage Loan Trust | ||||||||
75,315 | Series 2004-1, Class 1A1 (c) | 4.12% | 04/01/34 | 76,176 | ||||
181,914 | Series 2005-1, Class 1A1 (c) | 3.88% | 05/01/35 | 182,542 | ||||
RBSSP Resecuritization Trust | ||||||||
3,444 | Series 2010-10, Class 2A1, 1 Mo. LIBOR + 0.13% (a) (b) | 2.64% | 09/26/36 | 3,450 | ||||
RCO Mortgage LLC | ||||||||
345,983 | Series 2017-1, Class A1, steps up 8/25/20 to 6.38% (b) (d) | 3.38% | 08/25/22 | 344,970 | ||||
Residential Accredit Loans, Inc. | ||||||||
136,493 | Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.27% (a) | 2.78% | 02/25/46 | 103,068 | ||||
1,528,092 | Series 2006-QS6, Class 1AV, IO (c) | 0.75% | 06/01/36 | 39,269 | ||||
Residential Asset Securitization Trust | ||||||||
32,645 | Series 2004-A3, Class A7 | 5.25% | 06/01/34 | 33,402 | ||||
Saxon Asset Securities Trust | ||||||||
883,132 | Series 2007-2, Class A2D, 1 Mo. LIBOR + 0.30% (a) | 2.81% | 05/25/47 | 732,223 | ||||
Sequoia Mortgage Trust | ||||||||
471,368 | Series 2017-CH2, Class A10 (b) | 4.00% | 12/01/47 | 475,180 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
Sequoia Mortgage Trust (Continued) | ||||||||
$282,972 | Series 2018-CH2, Class A12 (b) | 4.00% | 06/01/48 | $286,111 | ||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
310,250 | Series 2004-2, Class 4A2 (c) | 4.19% | 03/01/34 | 309,493 | ||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | ||||||||
60,820 | Series 2001-SB1, Class A2 | 3.38% | 08/01/31 | 60,064 | ||||
Thornburg Mortgage Securities Trust | ||||||||
274,663 | Series 2003-4, Class A1, 1 Mo. LIBOR + 0.64% (a) | 3.15% | 09/25/43 | 272,890 | ||||
Towd Point Mortgage Trust | ||||||||
1,530,200 | Series 2015-1, Class AES (b) | 3.00% | 10/01/53 | 1,523,923 | ||||
1,594,585 | Series 2015-2, Class 2A1 (b) | 3.75% | 11/01/57 | 1,597,219 | ||||
1,255,281 | Series 2015-3, Class A1B (b) | 3.00% | 03/01/54 | 1,244,978 | ||||
849,140 | Series 2016-1, Class A3B (b) | 3.00% | 02/01/55 | 841,482 | ||||
231,083 | Series 2016-4, Class A1 (b) | 2.25% | 07/01/56 | 225,999 | ||||
Vericrest Opportunity Loan Transferee | ||||||||
500,000 | Series 2018-NPL6, Class A1B, steps up 9/25/21 to 7.56% (b) (d) | 4.56% | 09/25/48 | 505,037 | ||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
228,458 | Series 2006-A, Class 3A1 (c) | 4.49% | 05/01/36 | 225,141 | ||||
WaMu Mortgage Pass-Through Certificates | ||||||||
239,237 | Series 2003-AR5, Class A7 (c) | 4.08% | 06/01/33 | 242,119 | ||||
371,911 | Series 2004-AR1, Class A (c) | 3.81% | 03/01/34 | 380,463 | ||||
449,399 | Series 2004-AR10, Class A1B, 1 Mo. LIBOR + 0.42% (a) | 2.93% | 07/25/44 | 445,708 | ||||
347,739 | Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (a) | 3.23% | 11/25/34 | 348,233 | ||||
64,330 | Series 2004-AR3, Class A2 (c) | 3.95% | 06/01/34 | 65,633 | ||||
476,134 | Series 2005-AR1, Class A1A, 1 Mo. LIBOR + 0.64% (a) | 3.15% | 01/25/45 | 489,171 | ||||
670,623 | Series 2005-AR11, Class A1A, 1 Mo. LIBOR + 0.32% (a) | 2.83% | 08/25/45 | 668,154 | ||||
615,078 | Series 2005-AR6, Class 2A1A, 1 Mo. LIBOR + 0.46% (a) | 2.97% | 04/25/45 | 617,365 | ||||
255,460 | Series 2005-AR9, Class A1A, 1 Mo. LIBOR + 0.64% (a) | 3.15% | 07/25/45 | 256,326 | ||||
474,817 | Series 2006-AR2, Class 1A1 (c) | 3.98% | 03/01/36 | 463,339 | ||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
22,717 | Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (e) | 24.42% | 06/25/37 | 38,466 | ||||
Washington Mutual MSC Mortgage Pass-Through Certificates | ||||||||
342,168 | Series 2004-RA1, Class 2A | 7.00% | 03/01/34 | 371,275 | ||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
297,906 | Series 2003-H, Class A1 (c) | 4.72% | 09/01/33 | 302,281 | ||||
354,806 | Series 2004-A, Class A1 (c) | 5.02% | 02/01/34 | 368,263 | ||||
50,150 | Series 2004-EE, Class 3A1 (c) | 4.56% | 12/01/34 | 52,257 | ||||
608,728 | Series 2004-R, Class 1A1 (c) | 4.73% | 09/01/34 | 620,293 | ||||
144,764 | Series 2004-S, Class A1 (c) | 4.61% | 09/01/34 | 148,841 | ||||
282,983 | Series 2004-Y, Class 1A2 (c) | 4.91% | 11/01/34 | 291,355 | ||||
3,208 | Series 2004-Z, Class 2A1 (c) | 4.97% | 12/01/34 | 3,275 | ||||
13,511 | Series 2004-Z, Class 2A2 (c) | 4.97% | 12/01/34 | 13,796 | ||||
162,208 | Series 2005-AR10, Class 2A17 (c) | 4.68% | 06/01/35 | 167,564 | ||||
251,445 | Series 2005-AR16, Class 1A1 (c) | 4.57% | 08/01/33 | 256,003 | ||||
244,491 | Series 2005-AR3, Class 2A1 (c) | 4.57% | 03/01/35 | 249,088 | ||||
243,529 | Series 2005-AR8, Class 1A1 (c) | 4.45% | 06/01/35 | 250,283 | ||||
279,842 | Series 2006-13, Class A5 | 6.00% | 10/01/36 | 275,624 | ||||
76,019 | Series 2007-16, Class 1A1 | 6.00% | 12/04/37 | 75,436 | ||||
146,470 | Series 2007-2, Class 1A13 | 6.00% | 03/01/37 | 141,934 | ||||
35,345 | Series 2007-8, Class 2A2 | 6.00% | 07/01/37 | 34,829 | ||||
WinWater Mortgage Loan Trust | ||||||||
438,778 | Series 2015-5, Class A5 (b) | 3.50% | 08/01/45 | 437,852 | ||||
35,400,533 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Commercial Mortgage-Backed Securities – 5.2% | ||||||||
Bayview Commercial Asset Trust | ||||||||
$326,865 | Series 2004-2, Class A, 1 Mo. LIBOR + 0.43% (a) (b) | 2.94% | 08/25/34 | $324,974 | ||||
Hudsons Bay Simon JV Trust | ||||||||
510,000 | Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.65% (a) (b) | 6.41% | 08/05/34 | 511,328 | ||||
Mortgage Stanley Capital I Trust | ||||||||
1,000,000 | Series 2017-CLS, Class D, 1 Mo. LIBOR + 1.40% (a) (b) | 3.91% | 11/15/34 | 974,840 | ||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
13,803,927 | Series 2013-C5, Class XA, IO (b) (c) | 0.97% | 03/01/46 | 445,719 | ||||
Waldorf Astoria Boca Raton Trust | ||||||||
1,000,000 | Series 2016-BOCA, Class E, 1 Mo. LIBOR + 4.35% (a) (f) | 6.86% | 06/15/29 | 1,004,751 | ||||
3,261,612 | ||||||||
Total Mortgage-Backed Securities | 38,662,145 | |||||||
(Cost $39,023,518) | ||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 39.8% | ||||||||
Collateralized Mortgage Obligations – 26.8% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
8,769 | Series 1007, Class H, 1 Mo. LIBOR x -1.35 + 20.88% (e) | 17.50% | 10/15/20 | 9,251 | ||||
27,856 | Series 1394, Class ID, Cost of Funds 11th District of San Fransisco x -4.67 + 44.56%, Capped at 9.57% (e) | 9.57% | 10/15/22 | 30,664 | ||||
26,704 | Series 2303, Class SW, Cost of Funds 11th District of San Fransisco x -15.87 + 121.11%, Capped at 10.00% (e) | 10.00% | 03/01/24 | 4,740 | ||||
83,276 | Series 2334, Class QS, 1 Mo. LIBOR x -3.5 + 28.18% (e) | 19.39% | 07/15/31 | 117,129 | ||||
315,907 | Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (e) | 6.50% | 03/01/32 | 64,134 | ||||
719,669 | Series 2807, Class SB, IO, 1 Mo. LIBOR x -1 + 7.45% (e) | 4.94% | 11/15/33 | 128,612 | ||||
2,020,412 | Series 2973, Class SX, IO, 1 Mo. LIBOR x -1 + 6.60%, Capped at 1.60% (e) | 1.60% | 05/15/35 | 20,387 | ||||
1,692,675 | Series 2975, Class SJ, IO, 1 Mo. LIBOR x -1 + 6.65% (e) | 4.14% | 05/15/35 | 211,078 | ||||
325,165 | Series 3012, Class GK, 1 Mo. LIBOR x -4.5 + 24.75% (e) | 13.46% | 06/15/35 | 451,715 | ||||
216,640 | Series 3108, Class QZ | 6.00% | 02/01/36 | 285,349 | ||||
13,874 | Series 3195, Class SX, 1 Mo. LIBOR x -6.5 + 46.15% (e) | 29.84% | 07/15/36 | 43,865 | ||||
294,983 | Series 3210, Class ZA | 6.00% | 09/01/36 | 359,025 | ||||
93,531 | Series 3410, Class HC | 5.50% | 02/01/38 | 102,201 | ||||
119,386 | Series 3451, Class SB, IO, 1 Mo. LIBOR x -1 + 6.03% (e) | 3.52% | 05/15/38 | 10,032 | ||||
580,361 | Series 3471, Class SD, IO, 1 Mo. LIBOR x -1 + 6.08% (e) | 3.57% | 12/15/36 | 81,778 | ||||
803,756 | Series 3784, Class BI, IO | 3.50% | 01/01/21 | 18,878 | ||||
250,000 | Series 3797, Class KB | 4.50% | 01/01/41 | 271,204 | ||||
174,595 | Series 3898, Class NI, IO | 5.00% | 07/01/40 | 4,994 | ||||
800,670 | Series 3985, Class GI, IO | 3.00% | 10/01/26 | 43,371 | ||||
68,620 | Series 4021, Class IP, IO | 3.00% | 03/01/27 | 4,960 | ||||
928,994 | Series 4057, Class YI, IO | 3.00% | 06/01/27 | 77,161 | ||||
1,775,826 | Series 4082, Class PI, IO | 3.00% | 06/01/27 | 156,885 | ||||
969,373 | Series 4206, Class IA, IO | 3.00% | 03/01/33 | 126,877 | ||||
483,637 | Series 4615, Class GT, 1 Mo. LIBOR x -4 + 16.00%, Capped at 4.00% (e) | 4.00% | 10/15/42 | 420,984 | ||||
6,422,068 | Series 4619, Class IB, IO | 4.00% | 12/01/47 | 810,969 | ||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates | ||||||||
52,175 | Series T-56, Class APO | (g) | 05/01/43 | 45,388 | ||||
Federal Home Loan Mortgage Corp., STRIPS | ||||||||
97,773 | Series 177, IO | 7.00% | 06/17/26 | 15,846 | ||||
762,022 | Series 243, Class 2, IO | 5.00% | 11/01/35 | 151,203 | ||||
Federal National Mortgage Association | ||||||||
97,467 | Series 1996-46, Class ZA | 7.50% | 11/01/26 | 107,097 |
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) | ||||||||
$386,554 | Series 1997-85, Class M, IO | 6.50% | 12/01/27 | $45,025 | ||||
60,617 | Series 2002-80, Class IO, IO | 6.00% | 09/01/32 | 11,076 | ||||
105,458 | Series 2003-15, Class MS, IO, 1 Mo. LIBOR x -1 + 8.00% (e) | 5.49% | 03/25/33 | 18,554 | ||||
140,169 | Series 2003-44, Class IU, IO | 7.00% | 06/01/33 | 33,431 | ||||
710,823 | Series 2004-49, Class SN, IO, 1 Mo. LIBOR x -1 + 7.10% (e) | 4.59% | 07/25/34 | 88,782 | ||||
20,337 | Series 2004-74, Class SW, 1 Mo. LIBOR x -2 + 15.50% (e) | 10.47% | 11/25/31 | 25,334 | ||||
500,000 | Series 2004-W10, Class A6 | 5.75% | 08/01/34 | 543,108 | ||||
273,214 | Series 2005-122, Class SN, 1 Mo. LIBOR x -4 + 28.60% (e) | 18.56% | 01/25/36 | 449,664 | ||||
34,589 | Series 2005-59 SU, 1 Mo. LIBOR x -5 + 25.50% (e) | 12.95% | 06/25/35 | 48,525 | ||||
123,564 | Series 2005-6, Class SE, IO, 1 Mo. LIBOR x -1 + 6.70% (e) | 4.19% | 02/25/35 | 19,548 | ||||
212,330 | Series 2006-105, Class ZA | 6.00% | 11/01/36 | 266,494 | ||||
171,661 | Series 2006-5, Class 3A2, 1 Mo. LIBOR + 2.08% (a) | 4.12% | 05/01/35 | 180,117 | ||||
79,758 | Series 2007-100, Class SM, IO, 1 Mo. LIBOR x -1 + 6.45% (e) | 3.94% | 10/25/37 | 10,979 | ||||
226,333 | Series 2007-30, Class ZM | 4.25% | 04/01/37 | 241,084 | ||||
351,269 | Series 2007-37, Class SB, IO, 1 Mo. LIBOR x -1 + 6.75% (e) | 4.24% | 05/25/37 | 62,038 | ||||
294,177 | Series 2008-17, Class BE | 5.50% | 10/01/37 | 339,680 | ||||
182,000 | Series 2008-2, Class PH | 5.50% | 02/01/38 | 207,609 | ||||
1,062 | Series 2008-50, Class AI, IO | 5.50% | 06/01/23 | 16 | ||||
139,292 | Series 2008-87, Class AS, IO, 1 Mo. LIBOR x -1 + 7.65% (e) | 5.14% | 07/25/33 | 22,390 | ||||
399,000 | Series 2009-28, Class HX | 5.00% | 05/01/39 | 462,703 | ||||
175,704 | Series 2009-37, Class NZ | 5.71% | 02/01/37 | 215,241 | ||||
1,658,012 | Series 2010-103, Class ID, IO | 5.00% | 09/01/40 | 367,112 | ||||
318,454 | Series 2010-104, Class CI, IO | 4.00% | 09/01/20 | 5,724 | ||||
49,718 | Series 2010-142, Class PS, IO, 1 Mo. LIBOR x -1 + 6.05% (e) | 3.54% | 05/25/40 | 984 | ||||
121,617 | Series 2010-145, Class TI, IO | 3.50% | 12/01/20 | 2,425 | ||||
86,686 | Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00% (e) | 12.40% | 09/01/40 | 120,161 | ||||
80,577 | Series 2011-5, Class IK, IO | 8.00% | 02/01/21 | 3,872 | ||||
825,000 | Series 2011-52, Class LB | 5.50% | 06/01/41 | 922,277 | ||||
1,347,082 | Series 2011-66, Class QI, IO | 3.50% | 07/01/21 | 43,757 | ||||
2,239,715 | Series 2011-81, Class PI, IO | 3.50% | 08/01/26 | 176,690 | ||||
142,619 | Series 2012-111, Class B | 7.00% | 10/01/42 | 165,708 | ||||
1,908,087 | Series 2012-112, Class BI, IO | 3.00% | 09/01/31 | 183,424 | ||||
1,595,964 | Series 2012-125, Class MI, IO | 3.50% | 11/01/42 | 347,300 | ||||
26,884 | Series 2012-74, Class OA | (g) | 03/01/42 | 24,466 | ||||
26,884 | Series 2012-75, Class AO | (g) | 03/01/42 | 23,815 | ||||
149,284 | Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67% (e) | 3.95% | 01/01/44 | 155,548 | ||||
72,200 | Series 2013-14, Class ES, 1 Mo. LIBOR x -1.50 + 6.08% (e) | 2.31% | 03/25/43 | 63,431 | ||||
766,611 | Series 2013-28, Class AQ | 2.00% | 07/01/38 | 758,475 | ||||
2,015,780 | Series 2013-32, Class IG, IO | 3.50% | 04/01/33 | 279,868 | ||||
513,705 | Series 2013-51, Class PI, IO | 3.00% | 11/01/32 | 55,957 | ||||
3,585,685 | Series 2015-20, Class ES, IO, 1 Mo. LIBOR x -1 + 6.15% (e) | 3.64% | 04/25/45 | 564,765 | ||||
1,427,257 | Series 2015-76, Class BI, IO | 4.00% | 10/01/39 | 170,699 | ||||
3,905,918 | Series 2015-97, Class AI, IO | 4.00% | 09/01/41 | 590,054 | ||||
168,142 | Series 2016-74, Class LI, IO | 3.50% | 09/01/46 | 55,629 | ||||
Federal National Mortgage Association, STRIPS | ||||||||
67,296 | Series 305, Class 12, IO (h) | 6.50% | 12/01/29 | 11,660 | ||||
73,622 | Series 355, Class 18, IO | 7.50% | 11/01/33 | 17,057 | ||||
2,559,533 | Series 387, Class 10, IO | 6.00% | 04/01/38 | 604,963 | ||||
1,537,131 | Series 406, Class 6, IO (h) | 4.00% | 01/01/41 | 304,360 | ||||
Government National Mortgage Association | ||||||||
188,949 | Series 2004-95, Class QZ | 4.50% | 11/01/34 | 202,320 | ||||
276,881 | Series 2005-33, Class AY | 5.50% | 04/01/35 | 299,013 | ||||
127,869 | Series 2005-68, Class DP, 1 Mo. LIBOR x -2.41 + 16.43% (e) | 10.39% | 06/17/35 | 145,229 | ||||
401,591 | Series 2005-68, Class KI, IO, 1 Mo. LIBOR x -1 + 6.30% (e) | 3.80% | 09/20/35 | 50,908 |
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) | ||||||||
$46,269 | Series 2006-28, Class VS, 1 Mo. LIBOR x -13 + 87.10% (e) | 54.56% | 06/20/36 | $129,105 | ||||
635,771 | Series 2007-14, Class PB | 5.40% | 03/01/37 | 675,013 | ||||
103,249 | Series 2007-50, Class AI, IO, 1 Mo. LIBOR x -1 + 6.78% (e) | 4.27% | 08/20/37 | 11,208 | ||||
328,527 | Series 2007-68, Class PI, IO, 1 Mo. LIBOR x -1 + 6.65% (e) | 4.15% | 11/20/37 | 47,511 | ||||
100,000 | Series 2008-2, Class HB | 5.50% | 01/01/38 | 113,801 | ||||
279,000 | Series 2008-32, Class JD | 5.50% | 04/01/38 | 329,332 | ||||
284,846 | Series 2008-73, Class SK, IO, 1 Mo. LIBOR x -1 + 6.74% (e) | 4.24% | 08/20/38 | 34,865 | ||||
839,310 | Series 2009-100, Class SL, IO, 1 Mo. LIBOR x -1 + 6.50% (e) | 3.99% | 05/16/39 | 35,752 | ||||
238,543 | Series 2009-12, Class IE, IO | 5.50% | 03/01/39 | 44,724 | ||||
73,596 | Series 2009-65, Class NJ, IO | 5.50% | 07/01/39 | 3,503 | ||||
123,948 | Series 2009-79, Class PZ | 6.00% | 09/01/39 | 155,101 | ||||
715,000 | Series 2010-61, Class KE | 5.00% | 05/01/40 | 821,031 | ||||
288,818 | Series 2011-131, Class EI, IO | 4.50% | 08/01/39 | 10,171 | ||||
506,604 | Series 2013-104, Class YS, IO, 1 Mo. LIBOR x -1 + 6.15% (e) | 3.64% | 07/16/43 | 72,282 | ||||
71,041 | Series 2016-139, Class MZ | 1.50% | 07/01/45 | 44,230 | ||||
140,152 | Series 2017-4, Class CZ | 3.00% | 01/01/47 | 126,181 | ||||
106,300 | Series 2017-H18, Class DZ (h) | 4.59% | 09/01/67 | 115,551 | ||||
16,954,187 | ||||||||
Commercial Mortgage-Backed Securities – 0.3% | ||||||||
Government National Mortgage Association | ||||||||
218,000 | Series 2013-57, Class D (h) | 2.35% | 06/01/46 | 191,252 | ||||
Pass-through Security – 12.7% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
178,015 | Pool A94738 | 4.50% | 11/01/40 | 185,235 | ||||
536,423 | Pool K36017 | 5.00% | 09/01/47 | 555,465 | ||||
Federal National Mortgage Association | ||||||||
11,584 | Pool 535919 | 6.50% | 05/01/21 | 12,556 | ||||
866,236 | Pool 831145 | 6.00% | 12/01/35 | 950,141 | ||||
826,507 | Pool 843971 | 6.00% | 11/01/35 | 914,516 | ||||
1,239,073 | Pool AB5688 | 3.50% | 07/01/37 | 1,249,890 | ||||
2,000,000 | Pool TBA (i) | 4.00% | 03/25/49 | 2,045,313 | ||||
2,000,000 | Pool TBA (i) | 4.50% | 03/25/49 | 2,076,484 | ||||
7,989,600 | ||||||||
Total U.S. Government Agency Mortgage-Backed Securities | 25,135,039 | |||||||
(Cost $26,346,219) | ||||||||
ASSET-BACKED SECURITIES – 1.4% | ||||||||
Green Tree Financial Corp. | ||||||||
64,494 | Series 1998-4, Class A7 | 6.87% | 04/01/30 | 67,897 | ||||
Mid-State Capital Corp. Trust | ||||||||
354,388 | Series 2004-1, Class M1 | 6.50% | 08/01/37 | 383,038 | ||||
369,021 | Series 2005-1, Class A | 5.75% | 01/01/40 | 397,351 | ||||
Total Asset-Backed Securities | 848,286 | |||||||
(Cost $798,637) |
Total Investments – 102.4% |
64,645,470 | ||
(Cost $66,168,374) (j) | |||
Net Other Assets and Liabilities – (2.4)% |
(1,496,271) | ||
Net Assets – 100.0% |
$63,149,199 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury 5-Year Notes | Short | 4 | Mar 2019 | $ (459,437) | $(7,406) | |||||
U.S. Treasury Long Bond Futures | Long | 2 | Mar 2019 | 293,375 | 14,359 | |||||
CME Ultra Long Term U.S Treasury Bond Futures | Long | 2 | Mar 2019 | 322,250 | 5,688 | |||||
Total Futures Contracts | $ 156,188 | $12,641 |
(a) | Floating or variable rate security. |
(b) | 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, 2019, securities noted as such amounted to $14,698,914 or 23.3% of net assets. |
(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) | 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 January 31, 2019. |
(e) | Inverse floating rate security. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under 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). |
(g) | Zero coupon security. |
(h) | Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period. |
(i) | All or portion of this security is part of a mortgage dollar roll agreement (see Note 2H - Mortgage Dollar Rolls and TBA Transactions in the Notes to Portfolio of Investments). |
(j) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,525,992 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,036,255. The net unrealized depreciation was $1,510,263. The amounts presented are inclusive of derivative contracts. |
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 |
TBA | To-Be-Announced Security |
ASSETS TABLE | ||||
Total Value at 1/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Mortgage-Backed Securities | $ 38,662,145 | $ — | $ 38,662,145 | $ — |
U.S. Government Agency Mortgage-Backed Securities | 25,135,039 | — | 25,135,039 | — |
Asset-Backed Securities | 848,286 | — | 848,286 | — |
Total Investments | 64,645,470 | — | 64,645,470 | — |
Futures Contracts | 20,047 | 20,047 | — | — |
Total | $ 64,665,517 | $ 20,047 | $ 64,645,470 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (7,406) | $ (7,406) | $ — | $ — |
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. |
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. |
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 the 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. |
• | 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. |
• | 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. |
• | 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. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets |
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class E | 7/12/16 | $1,000,000 | $100.48 | $1,000,000 | $1,004,751 | 1.59% |
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.
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 28, 2019 |
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 28, 2019 |
By (Signature and Title)* | /s/ Donald P. Swade | |||
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | March 28, 2019 |
* Print the name and title of each signing officer under his or her signature.