First Trust Mortgage Income Fund (FMY)
Portfolio of Investments
July 31, 2020 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 57.1% | ||||||||
Collateralized Mortgage Obligations – 38.2% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
$12,989 | 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 | $14,041 | ||||
14,969 | 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 | 1,917 | ||||
59,691 | Series 2334, Class QS, 1 Mo. LIBOR x -3.5 + 28.18% (a) | 27.56% | 07/15/31 | 98,341 | ||||
249,652 | 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 | 44,791 | ||||
547,047 | Series 2807, Class SB, IO, 1 Mo. LIBOR x -1 + 7.45% (a) | 7.28% | 11/15/33 | 107,614 | ||||
1,327,348 | Series 2975, Class SJ, IO, 1 Mo. LIBOR x -1 + 6.65% (a) | 6.48% | 05/15/35 | 256,567 | ||||
272,340 | Series 3012, Class GK, 1 Mo. LIBOR x -4.5 + 24.75% (a) | 23.96% | 06/15/35 | 528,910 | ||||
236,989 | Series 3108, Class QZ | 6.00% | 02/01/36 | 371,180 | ||||
13,874 | Series 3195, Class SX, 1 Mo. LIBOR x -6.5 + 46.15% (a) | 45.01% | 07/15/36 | 58,937 | ||||
322,690 | Series 3210, Class ZA | 6.00% | 09/01/36 | 435,869 | ||||
121,514 | Series 3410, Class HC | 5.50% | 02/01/38 | 140,994 | ||||
75,938 | Series 3451, Class SB, IO, 1 Mo. LIBOR x -1 + 6.03% (a) | 5.86% | 05/15/38 | 13,730 | ||||
439,681 | Series 3471, Class SD, IO, 1 Mo. LIBOR x -1 + 6.08% (a) | 5.91% | 12/15/36 | 81,005 | ||||
81,441 | Series 3784, Class BI, IO | 3.50% | 01/01/21 | 565 | ||||
250,000 | Series 3797, Class KB | 4.50% | 01/01/41 | 306,294 | ||||
425,620 | Series 3985, Class GI, IO | 3.00% | 10/01/26 | 13,940 | ||||
41,396 | Series 4021, Class IP, IO | 3.00% | 03/01/27 | 2,208 | ||||
617,133 | Series 4057, Class YI, IO | 3.00% | 06/01/27 | 39,239 | ||||
1,192,873 | Series 4082, Class PI, IO | 3.00% | 06/01/27 | 72,332 | ||||
763,991 | Series 4206, Class IA, IO | 3.00% | 03/01/33 | 76,779 | ||||
887,910 | Series 4258, Class CO | (b) | 06/01/43 | 839,648 | ||||
4,685,092 | Series 4459, Class EI, IO | 6.00% | 06/01/36 | 701,166 | ||||
439,626 | Series 4615, Class GT, 1 Mo. LIBOR x -4 + 16.00%, Capped at 4.00% (a) | 4.00% | 10/15/42 | 459,304 | ||||
4,457,788 | Series 4619, Class IB, IO | 4.00% | 12/01/47 | 145,844 | ||||
9,985,780 | Series 4938, Class IB, IO | 4.00% | 07/01/49 | 1,223,987 | ||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates | ||||||||
49,659 | Series T-56, Class APO | (b) | 05/01/43 | 48,274 | ||||
Federal Home Loan Mortgage Corp., STRIPS | ||||||||
69,450 | Series 177, IO | 7.00% | 06/17/26 | 9,254 | ||||
590,316 | Series 243, Class 2, IO | 5.00% | 11/01/35 | 100,130 | ||||
4,020,954 | Series 303, Class C17, IO | 3.50% | 01/01/43 | 523,816 | ||||
Federal National Mortgage Association | ||||||||
63,346 | Series 1996-46, Class ZA | 7.50% | 11/01/26 | 71,210 | ||||
218,244 | Series 1997-85, Class M, IO | 6.50% | 12/01/27 | 17,495 | ||||
42,929 | Series 2002-80, Class IO, IO | 6.00% | 09/01/32 | 5,708 | ||||
81,936 | Series 2003-15, Class MS, IO, 1 Mo. LIBOR x -1 + 8.00% (a) | 7.83% | 03/25/33 | 16,354 | ||||
107,209 | Series 2003-44, Class IU, IO | 7.00% | 06/01/33 | 25,250 | ||||
613,283 | Series 2003-62, Class PO | (b) | 07/01/33 | 582,549 | ||||
512,380 | Series 2004-49, Class SN, IO, 1 Mo. LIBOR x -1 + 7.10% (a) | 6.93% | 07/25/34 | 102,525 | ||||
16,061 | Series 2004-74, Class SW, 1 Mo. LIBOR x -2 + 15.50% (a) | 15.13% | 11/25/31 | 22,852 | ||||
359,109 | Series 2004-W10, Class A6 | 5.75% | 08/01/34 | 413,771 | ||||
273,214 | Series 2005-122, Class SN, 1 Mo. LIBOR x -4 + 28.60% (a) | 27.91% | 01/25/36 | 538,201 | ||||
25,633 | Series 2005-59 SU, 1 Mo. LIBOR x -5 + 25.50% (a) | 24.64% | 06/25/35 | 44,680 | ||||
99,767 | Series 2005-6, Class SE, IO, 1 Mo. LIBOR x -1 + 6.70% (a) | 6.53% | 02/25/35 | 20,884 | ||||
427,330 | Series 2005-74, Class NZ | 6.00% | 09/01/35 | 613,310 | ||||
232,274 | Series 2006-105, Class ZA | 6.00% | 11/01/36 | 331,309 | ||||
667,323 | Series 2006-5, Class 3A2 (c) | 3.67% | 05/01/35 | 700,482 | ||||
57,049 | Series 2007-100, Class SM, IO, 1 Mo. LIBOR x -1 + 6.45% (a) | 6.28% | 10/25/37 | 11,655 | ||||
241,205 | Series 2007-30, Class ZM | 4.25% | 04/01/37 | 306,302 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2020 (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) | ||||||||
$282,273 | Series 2007-37, Class SB, IO, 1 Mo. LIBOR x -1 + 6.75% (a) | 6.58% | 05/25/37 | $64,625 | ||||
294,177 | Series 2008-17, Class BE | 5.50% | 10/01/37 | 369,568 | ||||
182,000 | Series 2008-2, Class PH | 5.50% | 02/01/38 | 232,701 | ||||
494,000 | Series 2009-28, Class HX | 5.00% | 05/01/39 | 633,366 | ||||
191,381 | Series 2009-37, Class NZ | 5.71% | 02/01/37 | 260,476 | ||||
1,246,515 | Series 2010-103, Class ID, IO | 5.00% | 09/01/40 | 264,894 | ||||
368 | Series 2010-145, Class TI, IO | 3.50% | 12/01/20 | 0 | ||||
81,260 | Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00% (a) | 24.15% | 09/01/40 | 148,679 | ||||
4,276 | Series 2011-5, Class IK, IO | 8.00% | 02/01/21 | 33 | ||||
825,000 | Series 2011-52, Class LB | 5.50% | 06/01/41 | 955,300 | ||||
273,177 | Series 2011-66, Class QI, IO | 3.50% | 07/01/21 | 3,152 | ||||
1,653,235 | Series 2011-81, Class PI, IO | 3.50% | 08/01/26 | 89,394 | ||||
102,706 | Series 2012-111, Class B | 7.00% | 10/01/42 | 124,147 | ||||
1,346,789 | Series 2012-112, Class BI, IO | 3.00% | 09/01/31 | 79,808 | ||||
1,623,140 | Series 2012-125, Class MI, IO | 3.50% | 11/01/42 | 219,657 | ||||
19,931 | Series 2012-74, Class OA | (b) | 03/01/42 | 19,081 | ||||
19,931 | Series 2012-75, Class AO | (b) | 03/01/42 | 19,065 | ||||
126,726 | Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67% (a) | 10.21% | 01/01/44 | 159,767 | ||||
7,093 | Series 2013-28, Class AQ | 2.00% | 07/01/38 | 7,087 | ||||
1,480,638 | Series 2013-32, Class IG, IO | 3.50% | 04/01/33 | 153,897 | ||||
378,578 | Series 2013-51, Class PI, IO | 3.00% | 11/01/32 | 32,848 | ||||
2,688,048 | Series 2015-20, Class ES, IO, 1 Mo. LIBOR x -1 + 6.15% (a) | 5.98% | 04/25/45 | 500,760 | ||||
864,532 | Series 2015-76, Class BI, IO | 4.00% | 10/01/39 | 58,384 | ||||
2,650,315 | Series 2015-97, Class AI, IO | 4.00% | 09/01/41 | 146,956 | ||||
168,142 | Series 2016-74, Class LI, IO | 3.50% | 09/01/46 | 55,977 | ||||
6,602,003 | Series 2017-109, Class SJ, IO, 1 Mo. LIBOR x -1+ 6.20% (a) | 6.03% | 01/25/48 | 1,083,954 | ||||
Federal National Mortgage Association, ACES | ||||||||
13,100,000 | Series 2019-M9, Class X4, IO (d) | 0.70% | 03/01/29 | 603,647 | ||||
Federal National Mortgage Association, STRIPS | ||||||||
47,260 | Series 305, Class 12, IO (e) | 6.50% | 12/01/29 | 7,491 | ||||
57,070 | Series 355, Class 18, IO | 7.50% | 11/01/33 | 13,068 | ||||
2,017,388 | Series 387, Class 10, IO | 6.00% | 04/01/38 | 345,754 | ||||
1,116,031 | Series 406, Class 6, IO (e) | 4.00% | 01/01/41 | 155,072 | ||||
813,264 | Series 413, Class 173, IO (e) | 4.50% | 07/01/42 | 133,914 | ||||
Government National Mortgage Association | ||||||||
363,812 | Series 2004-95, Class QZ | 4.50% | 11/01/34 | 403,967 | ||||
231,523 | Series 2005-33, Class AY | 5.50% | 04/01/35 | 263,742 | ||||
84,658 | Series 2005-68, Class DP, 1 Mo. LIBOR x -2.41 + 16.43% (a) | 16.01% | 06/17/35 | 111,571 | ||||
307,196 | Series 2005-68, Class KI, IO, 1 Mo. LIBOR x -1 + 6.30% (a) | 6.11% | 09/20/35 | 68,322 | ||||
43,744 | Series 2006-28, Class VS, 1 Mo. LIBOR x -13 + 87.10% (a) | 84.67% | 06/20/36 | 143,925 | ||||
474,644 | Series 2007-14, Class PB | 5.40% | 03/01/37 | 534,478 | ||||
77,726 | Series 2007-50, Class AI, IO, 1 Mo. LIBOR x -1 + 6.78% (a) | 6.59% | 08/20/37 | 10,900 | ||||
251,241 | Series 2007-68, Class PI, IO, 1 Mo. LIBOR x -1 + 6.65% (a) | 6.46% | 11/20/37 | 38,250 | ||||
100,000 | Series 2008-2, Class HB | 5.50% | 01/01/38 | 122,393 | ||||
304,000 | Series 2008-32, Class JD | 5.50% | 04/01/38 | 387,739 | ||||
215,662 | Series 2008-73, Class SK, IO, 1 Mo. LIBOR x -1 + 6.74% (a) | 6.55% | 08/20/38 | 40,251 | ||||
390,451 | Series 2009-100, Class SL, IO, 1 Mo. LIBOR x -1 + 6.50% (a) | 6.32% | 05/16/39 | 16,629 | ||||
178,442 | Series 2009-12, Class IE, IO | 5.50% | 03/01/39 | 29,069 | ||||
15,672 | Series 2009-65, Class NJ, IO | 5.50% | 07/01/39 | 274 | ||||
135,590 | Series 2009-79, Class PZ | 6.00% | 09/01/39 | 179,400 | ||||
715,000 | Series 2010-61, Class KE | 5.00% | 05/01/40 | 933,169 | ||||
400,906 | Series 2013-104, Class YS, IO, 1 Mo. LIBOR x -1 + 6.15% (a) | 5.97% | 07/16/43 | 78,521 | ||||
376,762 | Series 2014-41, Class St, 1 Mo. LIBOR x -2.67 + 11.47% (a) | 10.97% | 11/20/42 | 414,862 | ||||
6,814,122 | Series 2015-158, Class KS, IO, 1 Mo. LIBOR x -1 + 6.25% (a) | 6.06% | 11/20/45 | 1,415,442 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2020 (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) | ||||||||
$72,657 | Series 2016-139, Class MZ | 1.50% | 07/01/45 | $73,318 | ||||
146,595 | Series 2017-4, Class CZ | 3.00% | 01/01/47 | 168,228 | ||||
113,865 | Series 2017-H18, Class DZ (e) | 4.59% | 09/01/67 | 155,263 | ||||
21,410,187 | Series 2020-13, Class BT, IO, 1 Mo. LIBOR x -1 + 6.20%, Capped at 0.50% (a) | 0.50% | 11/20/45 | 415,968 | ||||
23,489,416 | ||||||||
Commercial Mortgage-Backed Securities – 12.0% | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||||||
19,940,309 | Series K087, Class X1 (c) | 0.36% | 12/01/28 | 576,723 | ||||
4,000,000 | Series K110, Class X3 (c) | 3.40% | 06/01/48 | 1,032,559 | ||||
3,330,000 | Series K112, Class X3 (c) (d) | 3.10% | 07/01/48 | 783,900 | ||||
23,293,861 | Series K736, Class X1 (c) | 1.31% | 07/01/26 | 1,521,178 | ||||
Government National Mortgage Association | ||||||||
218,000 | Series 2013-57, Class D (e) | 2.35% | 06/01/46 | 226,949 | ||||
3,939,090 | Series 2016-11, Class IO (e) | 0.86% | 01/01/56 | 214,683 | ||||
7,050,517 | Series 2016-143, Class IO | 0.94% | 10/01/56 | 479,167 | ||||
9,824,020 | Series 2016-166, Class IO (e) | 1.01% | 04/01/58 | 668,660 | ||||
16,341,403 | Series 2017-126, Class IO (c) | 0.79% | 08/01/59 | 1,059,536 | ||||
12,147,116 | Series 2017-7, Class IO (e) | 0.89% | 12/01/58 | 778,176 | ||||
7,341,531 | ||||||||
Pass-through Security – 6.9% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
171,145 | Pool A94738 | 4.50% | 11/01/40 | 184,036 | ||||
524,048 | Pool K36017 | 5.00% | 09/01/47 | 565,029 | ||||
857,224 | Pool U99176 | 4.00% | 12/01/47 | 937,774 | ||||
Federal National Mortgage Association | ||||||||
2,144 | Pool 535919 | 6.50% | 05/01/21 | 2,387 | ||||
649,424 | Pool 831145 | 6.00% | 12/01/35 | 766,344 | ||||
588,796 | Pool 843971 | 6.00% | 11/01/35 | 675,838 | ||||
995,585 | Pool AB5688 | 3.50% | 07/01/37 | 1,078,605 | ||||
4,210,013 | ||||||||
Total U.S. Government Agency Mortgage-Backed Securities | 35,040,960 | |||||||
(Cost $34,359,734) | ||||||||
MORTGAGE-BACKED SECURITIES – 38.8% | ||||||||
Collateralized Mortgage Obligations – 35.6% | ||||||||
Accredited Mortgage Loan Trust | ||||||||
253,758 | Series 2003-2, Class A1 | 4.98% | 10/01/33 | 270,603 | ||||
ACE Securities Corp. Home Equity Loan Trust | ||||||||
791,214 | Series 2006-ASAP6, Class A2D, 1 Mo. LIBOR + 0.22% (f) | 0.39% | 12/25/36 | 397,531 | ||||
Asset Backed Securities Corp Home Equity Loan Trust | ||||||||
79,329 | Series 2005-HE4, Class M4, 1 Mo. LIBOR + 0.95% (f) | 1.12% | 05/25/35 | 79,504 | ||||
Banc of America Funding Corp. | ||||||||
16,642 | Series 2008-R2, Class 1A4 (g) | 6.00% | 09/01/37 | 16,684 | ||||
Banc of America Mortgage Trust | ||||||||
48,452 | Series 2002-L, Class 1A1 (c) | 3.24% | 12/01/32 | 39,053 | ||||
128,399 | Series 2005-A, Class 2A1 (c) | 3.70% | 02/01/35 | 126,510 | ||||
Chase Mortgage Finance Trust | ||||||||
93,363 | Series 2007-A1, Class 1A3 (c) | 3.91% | 02/01/37 | 91,973 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
Citigroup Mortgage Loan Trust | ||||||||
$164,914 | Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (f) | 3.84% | 09/01/35 | $168,904 | ||||
37,640 | Series 2009-10, Class 1A1 (c) (g) | 4.30% | 09/01/33 | 37,095 | ||||
420,283 | Series 2012-7, Class 10A2 (c) (d) (g) | 3.62% | 09/01/36 | 385,812 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
230,271 | Series 2003-46, Class 2A1 (c) | 3.84% | 01/01/34 | 221,097 | ||||
76,566 | Series 2005-HYB3, Class 2A6B (c) | 3.48% | 06/01/35 | 76,814 | ||||
214,116 | Series 2006-21, Class A8 | 5.75% | 02/01/37 | 166,087 | ||||
384,469 | Series 2006-HYB5, Class 3A1A (c) | 3.74% | 09/01/36 | 347,709 | ||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
334,438 | Series 2004-AR2, Class 1A1 (c) | 3.75% | 03/01/34 | 328,384 | ||||
91,199 | Series 2004-AR8, Class 6A1 (c) | 3.11% | 09/01/34 | 91,818 | ||||
86,464 | Series 2005-5, Class 3A2, 1 Mo. LIBOR + 0.30% (f) | 0.47% | 07/25/35 | 82,666 | ||||
Credit Suisse Mortgage Trust | ||||||||
7,603 | Series 2011-12R, Class 3A1 (c) (g) | 2.86% | 07/27/36 | 7,587 | ||||
155 | Series 2014-11R, Class 9A1, 1 Mo. LIBOR + 0.14% (f) (g) | 0.32% | 10/27/36 | 155 | ||||
362,765 | Series 2017-FHA1, Class A1 (g) | 3.25% | 04/01/47 | 376,998 | ||||
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust | ||||||||
2,734 | Series 2003-3, Class 3A1 | 5.00% | 10/25/33 | 2,734 | ||||
DSLA Mortgage Loan Trust | ||||||||
445,741 | Series 2004-AR3, Class 2A2A, 1 Mo. LIBOR + 0.74% (f) | 0.93% | 07/19/44 | 410,757 | ||||
559,120 | Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.14% (f) | 0.33% | 04/19/47 | 505,973 | ||||
Galton Funding Mortgage Trust | ||||||||
188,986 | Series 2018-2, Class A41 (g) | 4.50% | 10/01/58 | 194,178 | ||||
GSR Mortgage Loan Trust | ||||||||
6,450 | Series 2003-10, Class 1A12 (c) | 3.16% | 10/01/33 | 6,227 | ||||
173,231 | Series 2005-AR1, Class 4A1 (c) | 3.31% | 01/01/35 | 161,414 | ||||
Harborview Mortgage Loan Trust | ||||||||
292,328 | Series 2004-6, Class 3A1 (c) | 3.60% | 08/01/34 | 281,485 | ||||
Home Equity Asset Trust | ||||||||
26,830 | Series 2005-3, Class M4, 1 Mo. LIBOR + 0.64% (f) | 0.81% | 08/25/35 | 26,865 | ||||
422,499 | Series 2005-9, Class M1, 1 Mo. LIBOR + 0.41% (f) | 0.58% | 04/25/36 | 417,242 | ||||
Impac CMB Trust | ||||||||
139,304 | Series 2004-6, Class 1A2, 1 Mo. LIBOR + 0.78% (f) | 0.95% | 10/25/34 | 137,344 | ||||
IXIS Real Estate Capital Trust | ||||||||
1,066,500 | Series 2007-HE1, Class A3, 1 Mo. LIBOR + 0.16% (f) | 0.33% | 05/25/37 | 382,653 | ||||
JP Morgan Mortgage Trust | ||||||||
702,632 | Series 2005-ALT1, Class 4A1 (c) | 3.55% | 10/01/35 | 626,076 | ||||
419,922 | Series 2006-A2, Class 4A1 (c) | 3.13% | 08/01/34 | 426,428 | ||||
111,553 | Series 2006-A2, Class 5A3 (c) | 4.01% | 11/01/33 | 111,641 | ||||
74,053 | Series 2014-2, Class 1A1 (g) | 3.00% | 06/01/29 | 75,173 | ||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
28,450 | Series 2004-13, Class 3A7B, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00% (f) | 2.16% | 11/01/34 | 28,699 | ||||
MASTR Alternative Loan Trust | ||||||||
3,572,920 | Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (f) | 0.52% | 03/25/36 | 198,270 | ||||
MASTR Asset Backed Securities Trust | ||||||||
741,173 | Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (f) | 0.33% | 11/25/36 | 530,902 | ||||
1,209,500 | Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.11% (f) | 0.28% | 08/25/36 | 623,217 | ||||
552,079 | Series 2006-NC2, Class A5, 1 Mo. LIBOR + 0.24% (f) | 0.41% | 08/25/36 | 295,034 | ||||
MASTR Asset Securitization Trust | ||||||||
12,614 | Series 2003-11, Class 5A2 | 5.25% | 12/01/23 | 12,665 | ||||
50,135 | Series 2003-11, Class 6A16 | 5.25% | 12/01/33 | 52,059 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
Mellon Residential Funding Corp. Mortgage Pass-Through Trust | ||||||||
$208,659 | Series 2001-TBC1, Class A1, 1 Mo. LIBOR + 0.70% (f) | 0.87% | 11/15/31 | $205,715 | ||||
210,362 | Series 2002-TBC2, Class A, 1 Mo. LIBOR + 0.86% (f) | 1.03% | 08/15/32 | 200,528 | ||||
Meritage Mortgage Loan Trust | ||||||||
2,468 | Series 2004-2, Class M3, 1 Mo. LIBOR + 0.98% (f) | 1.15% | 01/25/35 | 2,424 | ||||
Morgan Stanley Mortgage Loan Trust | ||||||||
325,083 | Series 2004-7AR, Class 2A6 (c) | 3.27% | 09/01/34 | 317,708 | ||||
MortgageIT Trust | ||||||||
203,947 | Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (f) | 1.82% | 05/01/35 | 207,591 | ||||
New Residential Mortgage Loan Trust | ||||||||
408,893 | Series 2014-2A, Class A2 (g) | 3.75% | 05/01/54 | 441,876 | ||||
495,343 | Series 2016-1A, Class A1 (g) | 3.75% | 03/01/56 | 533,222 | ||||
384,684 | Series 2016-3A, Class A1 (g) | 3.75% | 09/01/56 | 413,059 | ||||
Nomura Asset Acceptance Corporation | ||||||||
765,282 | Series 2004-AR4, Class M1, 1 Mo. LIBOR + 1.10% (f) | 1.27% | 12/25/34 | 768,075 | ||||
Nomura Resecuritization Trust | ||||||||
1,169,417 | Series 2015-6R, Class 2A4 (c) (g) | 5.92% | 01/02/37 | 936,225 | ||||
Oakwood Mortgage Investors, Inc. | ||||||||
66,177 | Series 2001-B, Class A2, 1 Mo. LIBOR + 0.38% (f) (g) | 0.55% | 08/15/30 | 66,036 | ||||
Residential Accredit Loans, Inc. | ||||||||
119,879 | Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.27% (f) | 0.44% | 02/25/46 | 81,403 | ||||
1,217,835 | Series 2006-QS6, Class 1AV, IO (c) | 0.76% | 06/01/36 | 28,420 | ||||
Residential Asset Securitization Trust | ||||||||
26,260 | Series 2004-A3, Class A7 | 5.25% | 06/01/34 | 27,590 | ||||
Saxon Asset Securities Trust | ||||||||
789,612 | Series 2007-2, Class A2D, 1 Mo. LIBOR + 0.30% (f) | 0.47% | 05/25/47 | 666,126 | ||||
Sequoia Mortgage Trust | ||||||||
417,249 | Series 2017-CH2, Class A10 (g) | 4.00% | 12/01/47 | 421,401 | ||||
116,298 | Series 2018-CH2, Class A12 (g) | 4.00% | 06/01/48 | 117,064 | ||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
220,599 | Series 2004-2, Class 4A2 (c) | 3.49% | 03/01/34 | 211,657 | ||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | ||||||||
33,750 | Series 2001-SB1, Class A2 | 3.38% | 08/01/31 | 32,366 | ||||
Thornburg Mortgage Securities Trust | ||||||||
185,056 | Series 2003-4, Class A1, 1 Mo. LIBOR + 0.64% (f) | 0.81% | 09/25/43 | 181,559 | ||||
Towd Point Mortgage Trust | ||||||||
281,064 | Series 2015-1, Class AES (g) | 3.00% | 10/01/53 | 282,268 | ||||
521,713 | Series 2015-2, Class 2A1 (g) | 3.75% | 11/01/57 | 527,790 | ||||
658,112 | Series 2016-1, Class A3B (g) | 3.00% | 02/01/55 | 675,883 | ||||
1,045,000 | Series 2016-2, Class M2 (g) | 3.00% | 08/01/55 | 1,082,218 | ||||
Vendee Mortgage Trust | ||||||||
67,878,008 | Series 2010-1, Class DI, IO (c) | 0.29% | 04/01/40 | 858,182 | ||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
126,608 | Series 2006-A, Class 3A1 (c) | 3.94% | 05/01/36 | 119,605 | ||||
WaMu Mortgage Pass-Through Certificates | ||||||||
150,510 | Series 2003-AR5, Class A7 (c) | 3.74% | 06/01/33 | 147,555 | ||||
251,552 | Series 2004-AR1, Class A (c) | 3.84% | 03/01/34 | 248,181 | ||||
300,299 | Series 2004-AR10, Class A1B, 1 Mo. LIBOR + 0.42% (f) | 0.59% | 07/25/44 | 291,032 | ||||
252,799 | Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (f) | 0.89% | 11/25/34 | 245,654 | ||||
42,021 | Series 2004-AR3, Class A2 (c) | 3.66% | 06/01/34 | 41,004 | ||||
345,932 | Series 2005-AR1, Class A1A, 1 Mo. LIBOR + 0.64% (f) | 0.81% | 01/25/45 | 344,630 | ||||
456,417 | Series 2005-AR11, Class A1A, 1 Mo. LIBOR + 0.32% (f) | 0.49% | 08/25/45 | 462,573 | ||||
506,551 | Series 2005-AR6, Class 2A1A, 1 Mo. LIBOR + 0.46% (f) | 0.63% | 04/25/45 | 498,072 | ||||
180,918 | Series 2005-AR9, Class A1A, 1 Mo. LIBOR + 0.64% (f) | 0.81% | 07/25/45 | 173,913 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
WaMu Mortgage Pass-Through Certificates (Continued) | ||||||||
$317,497 | Series 2006-AR2, Class 1A1 (c) | 3.69% | 03/01/36 | $295,646 | ||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
18,096 | Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (a) | 38.45% | 06/25/37 | 41,207 | ||||
Washington Mutual MSC Mortgage Pass-Through Certificates | ||||||||
231,073 | Series 2004-RA1, Class 2A | 7.00% | 03/01/34 | 246,231 | ||||
WinWater Mortgage Loan Trust | ||||||||
408,707 | Series 2015-3, Class B1 (c) (g) | 3.90% | 03/01/45 | 428,301 | ||||
162,135 | Series 2015-5, Class A5 (g) | 3.50% | 08/01/45 | 163,564 | ||||
21,853,574 | ||||||||
Commercial Mortgage-Backed Securities – 3.2% | ||||||||
Hudsons Bay Simon JV Trust | ||||||||
510,000 | Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.90% (f) (g) | 4.07% | 08/05/34 | 267,924 | ||||
Morgan Stanley Capital I Trust | ||||||||
1,787,000 | Series 2017-CLS, Class D, 1 Mo. LIBOR + 1.40% (f) (g) | 1.57% | 11/15/34 | 1,736,845 | ||||
2,004,769 | ||||||||
Total Mortgage-Backed Securities | 23,858,343 | |||||||
(Cost $25,251,446) | ||||||||
ASSET-BACKED SECURITIES – 1.0% | ||||||||
Green Tree Financial Corp. | ||||||||
33,509 | Series 1998-4, Class A7 | 6.87% | 04/01/30 | 34,462 | ||||
Mid-State Capital Corp. Trust | ||||||||
254,393 | Series 2004-1, Class M1 | 6.50% | 08/01/37 | 274,435 | ||||
294,193 | Series 2005-1, Class A | 5.75% | 01/01/40 | 319,391 | ||||
Total Asset-Backed Securities | 628,288 | |||||||
(Cost $584,606) |
Total Investments – 96.9% | 59,527,591 | ||
(Cost $60,195,786) (h) | |||
Net Other Assets and Liabilities – 3.1% | 1,908,235 | ||
Net Assets – 100.0% | $61,435,826 |
Futures Contracts:
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
Ultra Long Term U.S. Treasury Bond Futures | Short | 8 | Sep 2020 | $ (1,821,500) | $(33,063) |
(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) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At July 31, 2020, securities noted as such are valued at $1,773,359 or 2.9% of net assets. |
(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) | Floating or variable rate security. |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
(g) | 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, 2020, securities noted as such amounted to $9,187,358 or 15.0% of net assets. |
(h) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,630,961 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,332,219. The net unrealized depreciation was $701,258. The 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.
A summary of the inputs used to value the Fund’s investments as of July 31, 2020 is as follows:
ASSETS TABLE | ||||
Total Value at 7/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Government Agency Mortgage-Backed Securities | $ 35,040,960 | $ — | $ 35,040,960 | $ — |
Mortgage-Backed Securities | 23,858,343 | — | 23,858,343 | — |
Asset-Backed Securities | 628,288 | — | 628,288 | — |
Total Investments | $ 59,527,591 | $— | $ 59,527,591 | $— |
LIABILITIES TABLE | ||||
Total Value at 7/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (33,063) | $ (33,063) | $ — | $ — |