LEHMAN BROTHERS FIRST TRUST INCOME OPPORTUNITY FUND
399 PARK AVENUE
NEW YORK, NEW YORK 10022
_______________

NOTICE OF ANNUAL MEETING OF SHAREHOLDERS
TO BE HELD ON JUNE 3, 2004

_____________

To the Shareholders of
LEHMAN BROTHERS FIRST TRUST INCOME OPPORTUNITY FUND

Notice is hereby given that the annual meeting (the "Annual Meeting") of
shareholders of Lehman Brothers First Trust Income Opportunity Fund, a Delaware
Statutory Trust (the "Trust"), will be held at the offices of Lehman Brothers,
Inc., 745 Seventh Avenue, Allan S. Kaplan Auditorium, New York, New York 10019,
at 11:00 a.m. Eastern time, on June 3, 2004, for the following purposes:

1. To elect two trustees of the Trust as outlined below:

a. one trustee, Margaret M. Eisen, to be elected by the holders of common
shares (the "Common Shares") and Money Market Cumulative Preferred
Shares ("MMP Shares"), voting together as a single class; and

b. one trustee, Eugene A. Matthews, to be elected by the holders of MMP
Shares only, voting separately as a single class.

2. To transact such other business as may properly come before the meeting or
any adjournment thereof.

The Board of Trustees of the Trust has fixed the close of business on April 22,
2004, as the record date for the determination of shareholders entitled to
notice of and to vote at the meeting.

By Order of the Board of Trustees,

Jonathan Morris
Secretary

May 10, 2004

IT IS IMPORTANT THAT PROXIES BE RETURNED PROMPTLY. SHAREHOLDERS ARE THEREFORE
URGED TO COMPLETE, SIGN, DATE AND RETURN THE PROXY CARD AS SOON AS POSSIBLE IN
THE MANNER DESCRIBED IN THE ENCLOSED PROXY CARD. INSTRUCTIONS FOR THE PROPER
EXECUTION OF PROXIES ARE SET FORTH ON THE INSIDE COVER.

INSTRUCTIONS FOR SIGNING PROXY CARDS

The following general rules for signing proxy cards may be of assistance to you
and avoid the time and expense to the Trust involved in validating your vote if
you fail to sign your proxy card properly.

1. Individual Accounts: Sign your name exactly as it appears in the registration
on the proxy card.

2. Joint Accounts: Either party may sign, but the name of the party signing
should conform exactly to the name shown in the registration on the proxy card.

3. Other Accounts: The capacity of the individual signing the proxy card should
be indicated unless it is reflected in the form of registration. For example:

<table>
REGISTRATION VALID SIGNATURE
<c>
CORPORATE ACCOUNTS

(1) ABC Corp. .............................................ABC Corp
(2) ABC Corp. .............................................John Doe, Treasurer
(3) ABC Corp.c/o John Doe, Treasurer.......................John Doe
(4) ABC Corp. Profit Sharing Plan..........................John Doe, Trustee

TRUST ACCOUNTS
(1) ABC Trust .............................................Jane B. Doe, Trustee
(2) Jane B. Doe, Trustee u/t/d 12/28/78....................Jane B. Doe

CUSTODIAN OR ESTATE ACCOUNTS
(1) John B. Smith, Cust. f/b/o John B. Smith,
Jr. UGMA ..................................................John B. Smith
(2) John B. Smith .........................................John B. Smith, Jr., Executor
</table>

LEHMAN BROTHERS FIRST TRUST INCOME OPPORTUNITY FUND
399 PARK AVENUE
NEW YORK, NEW YORK 10022
_______________

ANNUAL MEETING OF SHAREHOLDERS
JUNE 3, 2004
_______________

PROXY STATEMENT

This proxy statement (the "Proxy Statement") is furnished in connection with the
solicitation of proxies by the Board of Trustees (the "Board") of Lehman
Brothers First Trust Income Opportunity Fund (the "Trust") for use at its annual
meeting of shareholders to be held on June 3, 2004 at 11:00 a.m. Eastern time,
at 745 Seventh Avenue, Allan S. Kaplan Auditorium, New York, New York 10019, and
at any adjournments and postponements thereof (collectively, the "Annual
Meeting"). A Notice of Annual Meeting of shareholders and proxy card(s)
accompany this Proxy Statement.

At the Annual Meeting, shareholders will be asked to consider and vote upon the
following:

1. To elect two trustees of the Trust as outlined below:

a. one trustee, Margaret M. Eisen, to be elected by the holders of
common shares (the "Common Shares") and Money Market Cumulative
Preferred Shares ("MMP Shares"), voting together as a single class;
and

b. one trustee, Eugene A. Matthews, to be elected by the holders of
MMP Shares only, voting separately as a single class.

2. To transact such other business as may properly come before the
meeting or any adjournment thereof.

SOLICITATION OF PROXIES AND VOTING INFORMATION

The Board is soliciting votes from shareholders of the Trust with respect to the
election of trustees as described in this Proxy Statement. The approximate date
on which this Proxy Statement is being mailed to shareholders is May 10, 2004.
Additional information regarding the solicitation of proxies is included at the
end of this Proxy Statement under "General Information. "

The Board has set the close of business on April 22, 2004, as the record date
(the "Record Date"), and only shareholders of record who owned shares of the
Trust's Common Shares and MMP Shares on the Record Date will be entitled to vote
at the Annual Meeting. If you do not expect to attend the Annual Meeting, please
sign and promptly return the proxy card in the enclosed self-addressed envelope
or if your shares are held in "street name" you may also vote by telephone or
the internet as indicated in the proxy card. If the accompanying proxy card is
properly executed and returned in time to be voted at the Annual Meeting, the
shares represented by that proxy card will be voted in accordance with the
instructions provided on the proxy card. If no choices are specified, the shares
will be voted FOR the election of both nominees for trustee listed in this Proxy
Statement. Additional information regarding outstanding shares, voting and
attending the Annual Meeting is included at the end of this Proxy Statement
under "Voting Information. "

PROPOSAL 1: ELECTION OF TRUSTEES

STRUCTURE OF THE BOARD

The Trust's Board is divided into three classes, designated as Class 1, Class 2
and Class 3, for purposes of election. One class is elected at each annual
meeting of shareholders. Trustees in each class serve for a three-year term.
Because the Board is divided into classes for purposes of election, only those
trustees in any one class may be changed in any one year, and it would require
two years or more to change a majority of the Board.

The Board currently consists of eight persons. At the Annual Meeting, the terms
of the two Class 1 trustees, Margaret M. Eisen and Eugene A. Matthews, are
expiring. The Board's Nominating Committee has recommended that Ms. Eisen and
Mr. Matthews be nominated for re-election. If re-elected at the Annual Meeting,
each will hold office for a three-year term expiring in 2007. Other trustees are
not up for election this year and will continue in office for the remainder of
their terms.

Each nominee consented to being named in this Proxy Statement and indicated his
or her willingness to serve if elected. In the unanticipated event that either
nominee should be unable to serve, the persons named in the accompanying proxy
card(s) have discretionary authority to vote in favor of a substitute nominee or
nominees as may be proposed by the Board.

At the Annual Meeting, Ms. Eisen is to be elected by the holders of Common
Shares and MMP Shares, voting together as a single class and Mr. Matthews is to
be elected by the holders of MMP Shares only, voting separately as a single
class. In accordance with the provisions of the Investment Company Act of 1940,
as amended (the "1940 Act") and the Trust's by-laws (the "By-Laws"), under
normal circumstances, the holders of outstanding MMP Shares are entitled, as a
class, and to the exclusion of the holders of Common Shares, to elect two
trustees of the Trust. The holders of outstanding Common Shares and MMP Shares,
voting together as a single class, elect the balance of the trustees. The term
of the other trustee who is to be elected by the holders of MMP Shares, Mr.
Michael M. Knetter, will expire in 2005.

The following table indicates which shareholders are solicited with respect to
each matter:
<table>
Matter Common Shares MMP Shares
<s> <c> <c>

Election of Ms. Eisen
by all shareholders X X

Election of Mr. Matthews
by MMP Shares only X
</table>

INFORMATION ABOUT THE NOMINEES AND THE CONTINUING TRUSTEES

The following table sets forth certain information regarding the nominees and
the trustees who will continue in office. Trustees who are interested persons of
the Trust, within the meaning of Section 2(a)(19) of the 1940 Act are referred
to as "Interested Trustees." Trustees who are not interested persons of the
Trust are referred to as "Independent Trustees."

<table>
Name, Address* Position(s) Length of Principal Occupations(s) Number of Other Directorships
and Date of Birth Held with Time Served During Past 5 Years Portfolios in Held by this Nominee
Trust and Term of Trust Complex or Trustee
Office** Overseen by
Nominee or Trustee
<s> <c> <c> <c> <c> <c>
INDEPENDENT NOMINEES
Margaret M. Eisen Trustee Since June Managing Director and 1 Director, Chair of
6/19/1953 2003 Chief Investment Officer Compensation Committee,
of EAM International, LLC, and Member of the Audit
an investment banking and Committee of Antigenics
asset management firm (since Corporation, a
2003); formerly, Managing bio-pharmaceutical
Director of DeGuardiola company (since 2003);
Advisors, an investment bank Director of Instinet
2001-2002); formerly, Managing Group, Inc., a global
Director of North American electronics securities
Equities of General Motors broker (since 2004);
Investment Management Trustee of Columbia
Corporation (1995-2001). Acorn family of mutual
funds of Wanger Asset
Management (six
portfolios under
management)(since 2002).

Eugene A. Matthews Trustee Since June President of Nintai, 1 None
11/19/1958 2003 Incorporated, an investment
advisory firm (since 1997-
present); formerly, Senior
Fellow of Asia Studies of
the Council of Foreign
Relations (2001-2003);
formerly, Asia Studies
Project Director for
the Japan Economic Task
Force and Leader of Asia
Roundtables (2001-2003);
Founding and General
Partner of Apax-Globis
Japan, Inc., a private
equity investment firm
(1998-present); formerly,

Founder/President of Ashta
International, a Vietnamese
investment firm (1989-1997).

INDEPENDENT TRUSTEES
General James E. Dalton Trustee Since June Director, Chair of the Audit 1 None
10/17/1930 2003 Committee at William Lyon
Homes, a home building
business (since 1991);
Director of Defense Group,
Inc., a defense business
(since 1999); Director of
Finance America, a mortgage
business (since 2002); formerly,
Vice President of Logicon Inc.,
a wholly-owned subsidiary of
Northrop Grumman (1985-1998);
formerly, General Manager of
Logicon's Defense Technology
Group (1995-1998).

Michael M. Knetter Trustee Since Dean of the University of 1 None
4/8/1960 June 2003 Wisconsin-Madison School
of Business (since 2002);
formerly, Professor of
International Economics and
Associate Dean at the Amos
Tuck School of Business,
Dartmouth College (1997-2002).

George W. Morriss Trustee Since Formerly, Executive Vice President 1 None
9/24/1947 June 2003 and Chief Financial Officer
of People's Bank, a financial
services company (1991-2001).

INTERESTED TRUSTEES***
Stephanie E. Dolan Trustee Since Senior Vice President of
4/4/1963 June 2003 Lehman Brothers Inc. (since 2000); 1 None
Vice President of Lehman Brothers
Inc. (since 1995); Controller of
Lehman Brothers Asset Management
(since 2003).

Scott Hall Trustee Since Managing Director of First 1 None
1/12/1957 June 2003 Trust Advisors L.P. and
First Trust Portfolios L.P.
(since 1992)

Kurt A. Locher Trustee Since Managing Director of Lehman 1 None
5/9/1966 June 2003 Brothers Inc. (since 1998);
Managing Director of
Lehman Brothers Asset Management
(since 2003); Managing Director
of Lincoln Capital (since 2003);
Director of BNC Mortgage Inc.

(since 2000), Finance America LLC
(since 1999), and TrueLink Inc.
(since 1999); President of Lehman
Brothers Bank, F.S.B. (1999-2000);
formerly, Senior Vice President of
Lehman Brothers Inc. (1995-1998).
</table>
* The address for each nominee and trustee is Lehman Brothers Asset
Management, Inc., 399 Park Avenue, New York, New York 10022.

** Stephanie E. Dolan, Scott Hall and Michael M. Knetter are Class 2 trustees,
and their terms as trustees will expire in 2005. General James E. Dalton,
Kurt A. Locher and George W. Morriss are Class 3 trustees, and their terms
as trustees will expire in 2006.

*** Stephanie E. Dolan and Kurt A. Locher are "interested persons" of the
Trust, as such term is defined by the 1940 Act, by virtue of their
officerships with Lehman Brothers Asset Management, Inc., the investment
adviser to the Trust ("Lehman Brothers" or the "Adviser"). Scott Hall is an
"interested person" of the Trust, as such term is defined by the 1940 Act,
by virtue of his employment with First Trust Portfolios LP, the Trust's
servicing agent and distribution and marketing agent.

The Board held four meetings during the fiscal year ended December 31, 2003.
Each of the trustees attended at least 75% of the Board and committee meetings
of which he/she is a member.

COMMITTEES OF THE BOARD

AUDIT COMMITTEE. All Independent Trustees serve on the Audit Committee of the
Trust and Mr. Morriss is chair of the Audit Committee. All members of the Audit
Committee are independent under the New York Stock Exchange's Revised Listing
Rules and are not "interested persons," as defined by the 1940 Act, of the
Trust. The Audit Committee is a separately designated committee of the Board of
Trustees. The Audit Committee has a charter, a copy of which may be obtained
from the Trust's website at WWW.LBFTINCOMEOPPORTUNITY.COM. The functions of the
Audit Committee are to (i) oversee the Trust's accounting and financial
reporting policies and practice, its internal controls and, as appropriate, the
internal controls of certain service providers, (ii) oversee the quality and
objectivity of the Trust's financial statements and the independent audit
thereof, and (iii) act as a liaison between the Trust's independent auditors and
the full Board of Trustees. The Audit Committee met once during the fiscal year
ended December 31, 2003.

NOMINATING COMMITTEE. All Independent Trustees serve on the Nominating Committee
and General Dalton is chair of the Nominating Committee. All members of the
Nominating Committee are independent under the New York Stock Exchange's Revised
Listing Rules and are not interested persons, as defined in the 1940 Act, of the
Trust. The Nominating Committee is a separately designated committee of the
Board. The Nominating Committee has a charter, a copy of which may be obtained
from the Trust's website at WWW.LBFTINCOMEOPPORTUNITY.COM. The Nominating
Committee recommends Board candidates to serve as Independent Trustees. All of
the Independent Trustees then evaluate any recommended candidate and determine
whether to nominate them for election. The Trustees who are not Independent
Trustees and the officers of the Trust are nominated and selected by the Board.
The Nominating Committee held no meetings during the Trust's 2003 fiscal year.i.

In reviewing a potential nominee and in evaluating the re-nomination of current
Independent Trustees, the Nominating Committee considers relevant factors which
can include the nominee's character, judgment, business experience, diversity

and business acumen, and the nominee's independence from the Trust's Adviser and
other principal service providers. The Nominating Committee has no specific
qualifying or disqualifying standards for nomination.

While the Nominating Committee would consider candidates recommended by
shareholders to serve as a trustee, the Nominating Committee may only act upon
such recommendations if there is a vacancy on the Board or the Nominating
Committee determines that the selection of a new or additional Independent
Trustee is in the best interests of the Trust. In the event that a vacancy
arises or a change in Board membership is determined to be advisable, the
Nominating Committee would, in addition to any shareholder recommendations,
consider candidates identified by other means, including candidates proposed by
members of the Nominating Committee or the Trust's management. The Nominating
Committee may also retain a consultant to assist the Committee in a search for a
qualified candidate.

Any shareholder recommendation of trustee candidates must be submitted in
compliance with all of the pertinent provisions of Rule 14a-8 under the
Securities Exchange Act of 1934, as amended (the "1934 Act") to be considered by
the Nominating Committee. In evaluating a candidate recommended by a
shareholder, the Nominating Committee, in addition to the factors discussed
above, may consider the objectives of the shareholder in submitting that
nomination and whether such objectives are consistent with the interests of all
shareholders.

SECURITY OWNERSHIP OF TRUSTEES

The following table shows the dollar range of equity securities beneficially
owned by each trustee in the Trust as of December 31, 2003.

<table>
Name of Trustee Dollar Range of Equity Aggregate Dollar Range of Equity
Securities in the Trust Securities in All Registered
Investment Companies Overseen or
to be Overseen by Trustee in Family
of Investment Companies
<s> <c> <c>
INTERESTED TRUSTEE

Stephanie E. Dolan None None
Scott Hall None None
Kurt A. Locher $10,001-$50,000 $10,001-$50,000

INDEPENDENT TRUSTEE

Margaret M. Eisen None None
Eugene A. Matthews None None
General James E. Dalton None None
Michael M. Knetter None None
George W. Morriss $10,001-$50,000 $10,001-$50,000
</table>

As of December 31, 2003, the trustees and officers of the Trust, as a group,
beneficially owned less than 1% of the outstanding shares.

COMPENSATION OF TRUSTEES AND OFFICERS. The Trust pays no salaries or
compensation to any of its officers. The Trust compensates each Independent
Trustee as follows:

* An annual retainer equal to $15,000;

* Annual compensation equal to $2,000 for service on Audit Committee (the
Chairman of the Audit committee receives additional compensation of
$1,000);

* For Nominating Committee meetings (whether attendance is in-person or by
telephone), a per- meeting fee of $1,000; PROVIDED, HOWEVER, that no such
per-meeting fee shall be paid if the meeting is held on the same day as a
meeting of the Trust's full Board;

* No additional compensation shall be paid for attendance, in person or by
telephone, at 6 meetings of the Board per year and 3 meetings of the Audit
Committee per year, provided, however, that for any additional meetings,
the following per-meeting fees are applicable:

* in-person meetings of the Board or Audit Committee (even if attendance
is telephonic): $1,000 per meeting

* telephonic meetings of the Board or Audit Committee (even if
attendance is in person): $500 per meeting; and

* Such annual retainer and fees shall be earned and paid quarterly in arrears
to each Independent Trustee, provided, however, that compensation for the
last quarter shall not be paid if such Independent Trustee fails to attend,
in person or by telephone, 75% of the Board and committee meetings held
during the year.

The fees earned by each Independent Trustee for the period beginning June 26,
2003 (organizational meeting) and ending December 31, 2003 are shown below:

<table>
Name of Trustee Aggregate Compensation Estimated Annual Benefits Total Compensation from
from Trust Upon Retirement Trust and Trust Complex*
Paid to Trustees
<s> <c> <c> <c>
Margaret M. Eisen $8,500 N/A $13,500
Eugene A. Matthews 8,500 N/A 13,500
General James E. Dalton 8,500 N/A 13,500
Michael M. Knetter 8,500 N/A 13,500
George W. Morriss 9,000 N/A 14,500
------- -------
TOTAL PAID TO INDEPENDENT TRUSTEES $43,000 $68,500
</table>
*The Trust complex consists of the Trust and Lehman Brothers Liquid Assets Trust
(the "Liquid Assets Trust"). As of the fiscal year ended December 31, 2003 the
Liquid Assets Trust had not commenced investment operations, therefore
compensation for the June 2003 organizational meeting was paid to the
Independent Trustees by the Adviser.

THE BOARD RECOMMENDS THAT THE SHAREHOLDERS VOTE "FOR" THE ELECTION OF EACH
NOMINEE.

GENERAL INFORMATION

ADDITIONAL INFORMATION REGARDING PROXY SOLICITATION

Proxy solicitations will be made, beginning on or about May 10, 2004, primarily
by mail, but may include telephonic or oral communications conducted by officers
of the Trust and officers and employees of the Adviser, or its affiliates. In
addition, the Trust has engaged Automatic Data Processing, Inc., to solicit
proxies on behalf of the Board for a fee not to exceed $3,500 plus out-of-pocket
expenses. The costs of proxy solicitation and expenses incurred in connection
with the preparation, printing and mailing of this Proxy Statement and its
enclosures will be paid by the Trust. The Trust also will reimburse brokerage
firms and others for their expenses in forwarding solicitation material to the
beneficial owners of Trust shares.

REPORTS TO SHAREHOLDERS

The Trust's Annual Report to shareholders for the fiscal year ended December 31,
2003, which contains audited financial statements, was previously sent to
shareholders. An additional copy may be obtained without charge from the Trust's
website at www.lbftincomeopportunity.com or by calling the Trust at (800)
988-5196.

INFORMATION ABOUT SERVICE PROVIDERS

Adviser. Lehman Brothers, located at 399 Park Avenue, New York, New York 10022,
serves as the investment adviser to the Trust. Lehman Brothers Holdings Inc. is
the parent company of the Adviser.

Sub-Adviser. Lincoln Capital Fixed Income Management Company, LLC, located at
200 South Wacker Drive, Suite 2100 Chicago, IL 60606, serves as the Trust's
investment sub-adviser. Lincoln Capital Fixed Income Management Company, LLC is
a subsidiary of Lehman Brothers Holdings Inc.

Servicing Agent and Distribution and Marketing Agent. First Trust Portfolios,
LP, located at 1001 Warrenville Road, Suite 300, Lisle, Illinois 60532, serves
as the Trust's distribution and marketing agent, syndicate adviser and investor
servicing agent. The Charger Corporation (formerly Nike Securities Corporation)
is the parent company of First Trust Portfolios, LP.

Administrator. Investors Bank & Trust Company serves as the administrator,
transfer agent, dividend-paying agent and custodian for the Trust. The address
of Investors Bank & Trust Company is 200 Clarendon Street, Boston, Massachusetts
02116.

INFORMATION ABOUT OFFICERS

The executive officers of the Trust are listed below. Each officer is elected to
serve until his or her successor is duly elected and qualified.

<table>
NAME, ADDRESS* POSITION HELD LENGTH OF PRINCIPAL OCCUPATIONS(S) DURING PAST 5 YEARS
AND DATE OF BIRTH WITH TRUST TIME SERVED
<s> <c> <c> <c>
Bradley Tank President Since June 2003 Chief Executive Officer of Lehman Brother Asset
9/29/1957 Management; Managing Director and Global
Head of Fixed income Asset Management for Lehman Brothers
(since 2002); formerly, Director of Fixed Income for Strong
Capital Management in Menomonee Falls, Wisconsin (1990-2002).

Edward Grieb Treasurer Since June 2003 Chief Financial Officer of Lehman Brothers Asset
9/22/1961 Management; Managing Director (since 2003)
and Assistant Controller for Lehman Brothers (since 1997).

Stephanie E. Dolan Assistant Since June 2003 See biographical information referenced in chart under "Interested Trustees."
4/4/1963 Treasurer

Jonathan Morris Secretary Since June 2003 Senior Vice President of Lehman Brothers Asset
3/1/1956 Management; Senior Vice President and General Counsel
for Lehman Brother's Wealth and Asset Management business,
including Lehman Brothers Private Client Services Division
and asset management and investment advisory business (since 1997).
</table>
* The address of each officer, with the exception of Mr. Grieb, is Lehman
Brothers Asset Management, Inc., 399 Park Avenue, New York, New York 10022. The
address of Mr. Grieb is Lehman Brothers, Inc., 745 Seventh Avenue, New York, New
York 10019.

OWNERSHIP OF SHARES

The Trust does not know of any person who beneficially owned more than 5% of the
Trust's outstanding shares as of the Record Date.

SUBMISSION OF SHAREHOLDER PROPOSALS FOR THE 2005 ANNUAL MEETING

Shareholders intending to present a proposal at the 2005 annual meeting or to
nominate a person for election as a trustee, must comply with the requirements
set forth in the Article II, Section 13 of the By-Laws. The By-Laws require,
among other things, that the Secretary of the Trust receive written notice from
the record shareholder of intent to present such proposal or nomination no more
than 120 days and less than 90 days prior to the first anniversary of the date
of mailing of the notice of the preceding year's annual meeting. Therefore, the
Secretary of the Trust must receive notice of such a proposal or nomination for
the 2005 annual meeting no earlier than January 4, 2005 and no later than
February 3, 2005. The notice must contain the information required by the
By-Laws, a copy of which is available upon request made to the Secretary of the
Trust. Requests for the Trust's By-Laws should be made in writing to Jonathan
Morris, Secretary, c/o Lehman Brothers, 399 Park Avenue, New York, New York
10022.

There are additional requirements regarding proposals of shareholders, and any
shareholder contemplating submission of a proposal is referred to Rule 14a-8
under the 1934 Act.

SHAREHOLDER COMMUNICATIONS WITH TRUSTEES

Shareholders may communicate with the members of the Board as a group or
individually. Any such communication should be sent to the Board or an
individual trustee c/o Jonathan Morris, the Secretary of the Trust at Lehman
Brothers, 399 Park Avenue, New York, New York 10022. The Secretary may determine
not to forward any letter to the members of the Board that does not relate to
the business of the Trust. Trustees are invited to attend the Trust's annual
shareholder meetings. They are encouraged to attend such meetings when they are
held on the same day as a scheduled Board meeting. In any event, at least one
member of the Board will be expected to attend the annual shareholder meeting.
The Trust commenced operations in July 2003 and therefore has held no annual
meetings.

SECTION 16(A) BENEFICIAL OWNERSHIP REPORTING COMPLIANCE

Section 16(a) of the 1934 Act and Section 30(h) of the 1940 Act require the
Trust's executive officers and trustees, investment adviser and its affiliated
persons (as defined in the 1940 Act) and persons who beneficially own more than
ten percent of the Trust's shares ("Reporting Persons"), to file reports of
initial ownership and changes in ownership with the Securities and Exchange
Commission ("SEC") and the New York Stock Exchange and to furnish the Trust with
copies of all such filings. To the Trust's knowledge, based solely upon review
of the copies of such reports furnished to the Trust, all Section 16(a) filing
requirements applicable to its Reporting Persons were complied with during the
period from commencement of operations on July 28, 2003 through December 31,
2003.

OTHER MATTERS TO COME BEFORE THE ANNUAL MEETING

The trustees do not intend to present any other business at the Annual Meeting,
nor are they aware that any shareholder intends to do so. If, however, any other
matters are properly brought before the Annual Meeting, the persons named in the
accompanying proxy will vote thereon in accordance with their judgment.

INDEPENDENT AUDITORS

Ernst & Young LLP ("E&Y") has served as the Trust's independent auditors since
the Trust's inception. E&Y has extensive experience in investment company
accounting and auditing and performs various audit and tax services for the
Trust. Such services include an annual audit of the Trust's financial
statements, review of certain filings with the SEC, internal control reviews,
consultation on tax, financial accounting and reporting matters, and meetings
with the Audit Committee of the Trust's Board. The financial statements included
in the most recent Annual Report to shareholders have been examined by E&Y.
Representatives of E&Y will not be available at the Annual Meeting (either in
person or by telephone) but have been given the opportunity to make a statement
should they desire to do so.

For services rendered to the Trust or its Adviser for the period from
commencement of operations to December 31, 2003, E&Y received the following
fees, all of which were approved by the Audit Committee:

AUDIT FEES: The aggregate fees billed by E&Y for professional services rendered
for the audit of the Trust's annual financial statements and for the initial
seed audit for 2003 were $35,000 and $8,400, respectively.

AUDIT RELATED FEES: The aggregate fees billed by E&Y for professional services
rendered for the review of related filing of Form N-2 for 2003 were $16,800.

TAX FEES: The aggregate fees accrued for professional services rendered by E&Y
for tax compliance, tax advice, and tax planning for 2003 were $4,000. Such
services included the review of the year-end tax provision and excise tax work.

ALL OTHER FEES: The aggregate fees billed by E&Y for professional services
rendered for the initial and year end agreed upon procedures reporting for the
preferred shares for 2003 were $10,000.

The aggregate non-audit fees billed by E&Y to the Trust for the fiscal year
ended December 31, 2003 were $30,800. The aggregate non-audit fees billed by E&Y
to Lehman Brothers for the fiscal years ended December 31, 2003 and 2002 were
$3,048,000 and $2,376,000, respectively.

The Audit Committee pre-approved the provision of audit and non-audit services
by E&Y for the fiscal years ending December 31, 2004 and 2003. The Audit
Committee has not delegated the pre-approval of audit and non-audit services to
a particular member of the Audit Committee. Rather, any action of the Audit
Committee with respect to the pre-approval process requires the vote of a
majority of the Audit Committee members present, whether in person or otherwise,
at the meeting at which such action is considered.

AUDIT COMMITTEE REPORT

At meetings of the Audit Committee held on February 18 and February 25, 2004,
the Audit Committee reviewed and discussed the audited financial statements with
management and E&Y. The Audit Committee also discussed with E&Y the matters
required to be discussed by the Statement on Auditing Standards No. 61.
(Communications with Audit Committee), including E&Y's judgments about the
quality of the Trust's accounting principles as applied in its financial
reporting.

The Audit Committee received from E&Y the written statements required by
Independence Standards Board No. 1 (Independence Discussions with Audit
Committees), and discussed with E&Y its independence. Based on such reviews and
discussions, the Audit Committee recommended to the Board that the audited
financial statements be included in the Trust's Annual Report to shareholders
for the fiscal year ended December 31, 2003 for filing with the SEC.

The Audit Committee also considered whether the provision of non-audit services
by E&Y to the Trust, the Adviser and any entity controlling, controlled by, or
under common control with the Adviser that provides services to the Trust, was
compatible with maintaining E&Y's independence in performing audit services. E&Y
represented to the Trust that E&Y and its members do not have any direct or
indirect material financial interest in or connection with the Trust in any
capacity other than as independent accountants.

The members of the Audit Committee are: General James E. Dalton, Margaret M.
Eisen, Michael M. Knetter, Eugene A. Matthews, and George W. Morriss,
constituting all of the Independent Trustees.

VOTING INFORMATION

RECORD DATE

Shareholders of Common Shares and MMP Shares of record on the Record Date are
entitled to be present and to vote at the Annual Meeting. Each shareholder will
have one vote for each dollar, and a proportionate fraction of a vote for each
fraction of a dollar, of the net asset value per share of each share held on the
Record Date. On the Record Date, 12,235,340.863 shares of Common Shares and
3,600 shares of MMP Shares, totaling 12,238,940.863 shares of the Trust were
outstanding.

VOTES REQUIRED FOR THE ELECTION OF TRUSTEES

As indicated earlier, holders of MMP Shares, voting as a separate class, are
entitled to elect two (2) trustees, and the remaining trustees are to be elected
by holders of Common Shares and MMP Shares, voting together as a single class.
At the Annual Meeting, Ms. Eisen is nominated to be elected by the holders of
Common Shares and MMP Shares, voting together as a single class and Mr. Matthews
is nominated to be elected by the holders of MMP Shares only, voting separately
as a single class.

Ms. Eisen, a nominee for trustee, will be elected if she receives a plurality of
all votes cast (Common Shares and MMP Shares) in person or by proxy at the
Annual Meeting if a quorum exists. Mr. Matthews, a nominee for trustee, will be
elected if he receives a plurality of all MMP votes cast in person or by proxy
at the Annual Meeting if a quorum exists. Broker non-votes, if any, will not
have any effect on the outcome of the election of either nominee for trustee.

VOTING INSTRUCTIONS FOR SHARES HELD IN YOUR NAME

Any shareholder holding shares in his or her name as record holder may vote
shares by proxy through the mail as described in the enclosed proxy card. A
properly completed and submitted proxy card will be voted in accordance with the
shareholder's instructions, unless those instructions are subsequently revoked.
If no choice is specified, shares will be voted FOR the election of the
nominees. Any shareholder that attends the Annual Meeting and wishes to vote in
person will be given a ballot prior to the vote.

VOTING INSTRUCTIONS FOR SHARES HELD IN "STREET NAME"

Any shareholder holding shares through a broker may vote his or her proxy
through the mail, internet or telephone as described in the enclosed proxy card.
Any shareholder that attends the Annual Meeting and wishes to vote in person
will be given a ballot prior to the vote. However, if shares are held in the
name of a broker, bank or other nominee, the shareholder must bring a letter
from the nominee indicating that the shareholder is the beneficial owner of the
shares on the Record Date and authorizing the shareholder to vote.

REVOKING A PROXY

Any shareholder giving a proxy has the power to revoke it prior to its exercise
in one of three ways: (1) by submission of a proxy card with a later date, (2)
by voting in person at the Annual Meeting, or (3) by submitting a letter stating
that the proxy is revoked to Jonathan Morris, Secretary, c/o Lehman Brothers,
399 Park Avenue, New York, New York 10022. Presence at the Annual Meeting alone
does not revoke a previously executed and returned proxy card.

QUORUM; ADJOURNMENT

A quorum of shareholders is necessary to take action at the Annual Meeting. A
quorum will exist for the election of Ms. Eisen if shareholders entitled to vote
25% of all shares (Common Shares and MMP

Shares) outstanding on the Record Date are present in person or by proxy. A
quorum will exist for the election of Mr. Matthews if shareholders entitled to
vote 25% of the MMP Shares of the Trust outstanding on the Record Date are
present in person or by proxy. The failure of a quorum to be present at the
Annual Meeting will necessitate adjournment and will subject the Trust to
additional expense.

Under New York Stock Exchange rules applicable to broker-dealers, if a broker
holds a shareholder's shares in its name, the Trust expects that the broker will
be entitled to vote those shares on election of nominees even if the broker has
not received instructions from the shareholder. A "broker non-vote" occurs when
a broker has not received voting instructions from a shareholder and is barred
from voting the shares without shareholder instructions because the proposal is
non-routine. Because the election of nominees is considered routine, the Trust
does not expect to receive any broker non-votes. Broker non-votes, if any, and
votes withheld will count as present for establishing a quorum.

In the event that a quorum is not present at the Annual Meeting, or for any
other reason, the persons named as proxies may propose one or more adjournments
of the Annual Meeting to permit further solicitation of proxies. Under the
Trust's By-Laws, any meeting of shareholders may be adjourned from time to time
by: (a) the vote of the majority of the shares represented at that meeting,
either in person or by proxy, or (b) in his or her sole discretion by the chair
of the meeting. The persons named as proxies will vote those proxies which they
are entitled to vote FOR the election of any nominee in favor of such an
adjournment and will vote those proxies required to WITHHOLD on any nominee
against any such adjournment. Broker non-votes will have no effect on the
outcome of a vote on adjournment. A shareholder vote may be taken on one or more
of the proposals prior to any adjournment if sufficient votes have been received
for approval.

IT IS IMPORTANT THAT PROXIES BE RETURNED PROMPTLY. SHAREHOLDERS ARE THEREFORE
URGED TO COMPLETE, SIGN, DATE AND RETURN THE PROXY CARD AS SOON AS POSSIBLE IN
THE MANNER DESCRIBED IN THE ENCLOSED PROXY CARD. A SHAREHOLDER HOLDING SHARES IN
"STREET NAME" MAY ALSO VOTE HIS OR HER PROXY BY TELEPHONE OR THE INTERNET AS
DESCRIBED IN THE ENCLOSED PROXY CARD.

PLEASE FILL IN BOX AS SHOWN USING BLACK OR BLUE INK OR NUMBER 2 PENCIL. PLEASE
DO NOT USE FINE POINT PENS.

This Proxy, if properly executed, will be voted in the manner directed by the
undersigned shareholder. IF NO DIRECTION IS MADE, THIS PROXY WILL BE VOTED FOR
THE ELECTION OF A NOMINEE AS TRUSTEE. PLEASE REFER TO THE PROXY STATEMENT FOR A
DISCUSSION OF THE PROPOSAL.

<table>
1. ELECTION OF TRUSTEE FOR WITHHOLD
ELECTING AUTHORITY
NOMINEE TO VOTE FOR
THE NOMINEE
<s> <c> <c>
Margaret M. Eisen - Class I / / / /

____________________________________________

</table>

LEHMAN BROTHERS FIRST TRUST THIS PROXY SOLICITED BY THE BOARD OF TRUSTEES
INCOME OPPORTUNITY FUND
COMMON SHARES

The undersigned hereby appoints Bradley Tank, Jonathan Morris or Cynthia
Surprise and each of them, attorneys and proxies for the undersigned, with full
powers of substitution and revocation, to represent the undersigned and to vote
on behalf of the undersigned all shares of the Lehman Brothers First Trust
Income Opportunity Fund (the "Trust"), which the undersigned is entitled to vote
at the annual meeting of shareholders of the Trust (the "Meeting") to be held at
the offices of the Trust, 745 Seventh Avenue, New York, New York 10019 - Allan
S. Kaplan Auditorium, on June 3, 2004 at 11 a.m. EST, and any adjournments
thereof. The undersigned hereby acknowledges receipt of the Notice of Annual
Meeting and Proxy Statement and hereby instructs said attorneys and proxies to
vote said shares as indicated hereon. In their discretion, the proxies are
authorized to vote upon such other business as may properly come before the
Meeting. A majority of the proxies present and acting at the Meeting in person
or by substitute (or, if only one shall be so present, then that one) shall have
and may exercise all of the power and authority of said proxies hereunder. The
undersigned hereby revokes any proxy previously given.

PLEASE SIGN, DATE AND RETURN PROMPTLY
IN THE ENVELOPE PROVIDED

Date ___________________________________ , 2004

NOTE: Please sign exactly as your name appears on this
Proxy. If joint owners, EITHER may sign this Proxy.
When signing as attorney, executor, administrator, trustee,
guardian or corporate officer, please give your full title.

___________________________________________________
Signature(s)

___________________________________________________
(Title(s), if applicable)

PLEASE FILL IN BOX AS SHOWN USING BLACK OR BLUE INK OR NUMBER 2 PENCIL. PLEASE
DO NOT USE FINE POINT PENS.

This Proxy, if properly executed, will be voted in the manner directed by the
undersigned shareholder. IF NO DIRECTION IS MADE, THIS PROXY WILL BE VOTED FOR
THE ELECTION OF THE NOMINEES AS TRUSTEES. PLEASE REFER TO THE PROXY STATEMENT
FOR A DISCUSSION OF THE PROPOSAL.

<table>
1. ELECTION OF TRUSTEES FOR WITHHOLD FOR ELECTING A
ELECTING AUTHORITY NOMINEE EXCEPT AS
ALL TO VOTE FOR NOTED AT LEFT
NOMINEES ALL NOMINEES
<s> <c> <c> <c>
Margaret M. Eisen - Class I / Eugene A. Matthews - Class I / / / / / /
</table>
____________________________________________

INSTRUCTIONS: TO WITHHOLD AUTHORITY TO VOTE
FOR A NOMINEE, WRITE THE NOMINEE NAME ON THE
LINE ABOVE.

LEHMAN BROTHERS FIRST TRUST THIS PROXY IS SOLICITED BY THE BOARD OF TRUSTEES
INCOME OPPORTUNITY FUND
MONEY MARKET CUMULATIVE
PREFERRED SHARES

PLEASE SIGN, DATE AND RETURN PROMPTLY
IN THE ENVELOPE PROVIDED

Date ___________________________________ , 2004

___________________________________________________
Signature(s)

___________________________________________________
(Title(s), if applicable)