First Trust Mortgage Income Fund (FMY)
Portfolio of Investments
July 31, 2023 (Unaudited)
Principal | Stated | Stated | ||||||||
Value | Description | Coupon | Maturity | Value | ||||||
MORTGAGE-BACKED SECURITIES - 50.2% | ||||||||||
Collateralized Mortgage Obligations - 23.1% | ||||||||||
Banc of America Mortgage Trust | ||||||||||
$ | 44,653 | Series 2002-L, Class 1A1 (a) | 3.55% | 12/01/32 | $ | 34,245 | ||||
Citigroup Mortgage Loan Trust | ||||||||||
72,634 | Series 2005-6, Class A1, US Treasury Yield Curve Rate T | |||||||||
Note Constant Maturity 1 Year + 2.10% (b) | 6.08% | 09/01/35 | 73,367 | |||||||
10,965 | Series 2009-10, Class 1A1 (a) (c) | 4.15% | 09/01/33 | 10,800 | ||||||
Connecticut Avenue Securities Trust | ||||||||||
1,000,000 | Series 2019-R01, Class 2B1, 30 Day Average SOFR + CSA + | |||||||||
4.35% (b) (c) | 9.53% | 07/25/31 | 1,058,966 | |||||||
1,000,000 | Series 2020-R02, Class 2B1, 30 Day Average SOFR + CSA + | |||||||||
3.00% (b) (c) | 8.18% | 01/25/40 | 997,771 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||
240,345 | Series 2006-HYB5, Class 3A1A, IO (a) | 4.24% | 09/01/36 | 213,865 | ||||||
Credit Suisse Mortgage Trust | ||||||||||
316,677 | Series 2017-FHA1, Class A1 (c) | 3.25% | 04/01/47 | 282,995 | ||||||
DSLA Mortgage Loan Trust | ||||||||||
255,121 | Series 2004-AR3, Class 2A2A, 1 Mo. CME Term SOFR + CSA + | |||||||||
0.74% (b) | 6.10% | 07/19/44 | 235,897 | |||||||
Flagstar Mortgage Trust | ||||||||||
1,044,721 | Series 2021-9INV, Class A1 (c) | 2.50% | 09/01/41 | 899,843 | ||||||
GSR Mortgage Loan Trust | ||||||||||
2,390 | Series 2003-10, Class 1A12 (a) | 5.44% | 10/01/33 | 2,285 | ||||||
79,702 | Series 2005-AR1, Class 4A1 (a) | 3.19% | 01/01/35 | 69,841 | ||||||
JP Morgan Mortgage Trust | ||||||||||
225,014 | Series 2006-A2, Class 4A1 (a) | 5.60% | 08/01/34 | 226,735 | ||||||
33,356 | Series 2006-A2, Class 5A3 (a) | 4.27% | 11/01/33 | 32,417 | ||||||
LHOME Mortgage Trust | ||||||||||
1,000,000 | Series 2023-RTL2, Class M (c) (d) | 9.00% | 06/25/28 | 915,075 | ||||||
MASTR Alternative Loan Trust | ||||||||||
3,544,999 | Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA + | |||||||||
0.35% (b) | 5.76% | 03/25/36 | 351,398 | |||||||
MASTR Asset Securitization Trust | ||||||||||
15,664 | Series 2003-11, Class 6A16 | 5.25% | 12/01/33 | 14,809 | ||||||
MortgageIT Trust | ||||||||||
161,452 | Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (b) | 6.88% | 05/01/35 | 152,046 | ||||||
New Residential Mortgage Loan Trust | ||||||||||
204,672 | Series 2014-2A, Class A2 (c) | 3.75% | 05/01/54 | 189,570 | ||||||
Pretium Mortgage Credit Partners I LLC | ||||||||||
1,000,000 | Series 2021-NPL2, Class A2 (c) (d) | 3.84% | 06/27/60 | 826,537 | ||||||
PRKCM Trust | ||||||||||
1,000,000 | Series 2021-AFC1, Class B2 (c) | 3.95% | 08/01/56 | 577,329 | ||||||
Residential Accredit Loans, Inc. | ||||||||||
72,598 | Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA + | |||||||||
0.54% (b) | 5.95% | 02/25/46 | 46,373 | |||||||
694,755 | Series 2006-QS6, Class 1AV, IO (a) | 0.77% | 06/01/36 | 14,684 | ||||||
Residential Asset Securitization Trust | ||||||||||
19,412 | Series 2004-A3, Class A7 | 5.25% | 06/01/34 | 17,481 | ||||||
Roc Mortgage Trust | ||||||||||
1,000,000 | Series 2021-RTL1, Class M (c) | 5.68% | 08/25/26 | 878,201 | ||||||
RUN Trust | ||||||||||
893,477 | Series 2022-NQM1, Class A1 (c) | 4.00% | 03/01/67 | 845,321 | ||||||
Starwood Mortgage Residential Trust | ||||||||||
907,081 | Series 2022-3, Class A1 (c) | 4.16% | 03/01/67 | 853,285 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2023 (Unaudited)
Principal | Stated | Stated | ||||||||
Value | Description | Coupon | Maturity | Value | ||||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through | ||||||||||
Certificates | ||||||||||
$ | 8,167 | Series 2001-SB1, Class A2 | 3.38% | 08/01/31 | $ | 8,119 | ||||
VCAT LLC | ||||||||||
1,000,000 | Series 2021-NPL5, Class A2 (c) (d) | 3.84% | 08/25/51 | 830,848 | ||||||
1,000,000 | Series 2021-NPL6, Class A2 (c) (d) | 3.97% | 09/25/51 | 858,144 | ||||||
Vendee Mortgage Trust | ||||||||||
32,935,242 | Series 2010-1, Class DI, IO (a) | 0.25% | 04/01/40 | 235,642 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||||
10,273 | Series 2007-5, Class A11, 1 Mo. CME Term SOFR + CSA x -6 + | |||||||||
39.48% (e) | 7.01% | 06/25/37 | 10,554 | |||||||
WinWater Mortgage Loan Trust | ||||||||||
222,792 | Series 2015-3, Class B1 (a) (c) | 3.85% | 03/01/45 | 207,071 | ||||||
11,971,514 | ||||||||||
Commercial Mortgage-Backed Securities - 27.1% | ||||||||||
BAMLL Commercial Mortgage Securities Trust | ||||||||||
1,000,000 | Series 2013-WBRK, Class A (a) (c) | 3.53% | 03/01/37 | 896,835 | ||||||
BANK | ||||||||||
22,422,204 | Series 2017-BNK7, Class XA, IO (a) | 0.72% | 09/01/60 | 506,558 | ||||||
BBCMS Mortgage Trust | ||||||||||
1,000,000 | Series 2018-TALL, Class B, 1 Mo. CME Term SOFR + CSA + | |||||||||
1.12% (b) (c) | 6.39% | 03/15/37 | 833,199 | |||||||
Benchmark Mortgage Trust | ||||||||||
1,000,000 | Series 2020-IG2, Class UBRD (a) (c) | 3.51% | 09/01/48 | 828,822 | ||||||
CCRE Commercial Mortgage Securities L.P. | ||||||||||
7,964,330 | CFCRE Mortgage Trust Commercial Mortgage Pass-Through | |||||||||
Certificates, Series 2017-C8, Class XA, IO (a) | 1.48% | 06/01/50 | 333,482 | |||||||
CD Mortgage Trust | ||||||||||
8,645,611 | Series 2018-CD7, Class XA, IO (a) | 0.64% | 08/01/51 | 235,790 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||||
4,198,941 | Series 2015-GC29, Class XA, IO (a) | 1.01% | 04/01/48 | 55,562 | ||||||
8,655,731 | Series 2016-GC37, Class XA (a) | 1.65% | 04/01/49 | 282,892 | ||||||
5,541,329 | Series 2016-P4, Class XA, IO (a) | 1.89% | 07/01/49 | 228,044 | ||||||
COMM Mortgage Trust | ||||||||||
142,472 | Series 2013-LC13, Class XA, IO (a) | 0.79% | 08/01/46 | 1 | ||||||
122,774,000 | Series 2014-UBS6, Class XB, IO (a) (c) | 0.04% | 12/01/47 | 85,414 | ||||||
3,829,000 | Series 2015-CCRE26, Class XD, IO (a) (c) | 1.22% | 10/01/48 | 88,717 | ||||||
15,050,280 | Series 2015-LC21, Class XA, IO (a) | 0.65% | 07/01/48 | 143,367 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||||
1,000,000 | Series 2021-980M, Class G (a) (c) | 3.54% | 07/15/31 | 674,439 | ||||||
Credit Suisse Mortgage Trust | ||||||||||
1,000,000 | Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR + CSA + | |||||||||
3.94%, 4.09% Floor (b) (c) | 9.17% | 01/15/24 | 843,866 | |||||||
CSAIL Commercial Mortgage Trust | ||||||||||
5,895,004 | Series 2020-C19, Class XA, IO (a) | 1.10% | 03/01/53 | 311,443 | ||||||
FIVE Mortgage Trust | ||||||||||
28,973,070 | Series 2023-V1, Class XA, IO (b) | 0.83% | 02/01/56 | 917,818 | ||||||
GS Mortgage Securities Corp Trust | ||||||||||
1,000,000 | Series 2018-3PCK, Class C, 1 Mo. CME Term SOFR + CSA + | |||||||||
3.50% (b) (c) | 8.84% | 09/15/31 | 939,281 | |||||||
GS Mortgage Securities Trust | ||||||||||
866,453 | Series 2012-GCJ9, Class D (a) (c) | 4.61% | 11/01/45 | 797,254 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2023 (Unaudited)
Principal | Stated | Stated | ||||||||
Value | Description | Coupon | Maturity | Value | ||||||
MORTGAGE-BACKED SECURITIES (Continued) | ||||||||||
Commercial Mortgage-Backed Securities (Continued) | ||||||||||
Hawaii Hotel Trust | ||||||||||
$ 1,000,000 | Series 2019-MAUI, Class A, 1 Mo. CME Term SOFR + CSA + | |||||||||
1.15% (b) (c) | 6.42% | 05/15/38 | $ | 994,405 | ||||||
Houston Galleria Mall Trust | ||||||||||
1,000,000 | Series 2015-HGLR, Class D (c) | 3.98% | 03/01/37 | 907,091 | ||||||
Hudsons Bay Simon JV Trust | ||||||||||
306,078 | Series 2015-HBFL, Class DFL, 1 Mo. CME Term SOFR + CSA + | |||||||||
3.90% (b) (c) | 9.16% | 08/05/34 | 251,812 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||||
20,331,933 | Series 2016-JP4, Class XA, IO (a) | 0.58% | 12/01/49 | 296,596 | ||||||
969,086 | Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA + | |||||||||
1.21%, 2.71% Floor (b) (c) | 6.48% | 06/15/35 | 902,247 | |||||||
LSTAR Commercial Mortgage Trust | ||||||||||
1,500,000 | Series 2017-5, Class D (a) (c) | 4.67% | 03/01/50 | 1,035,753 | ||||||
24,682,963 | Series 2017-5, Class X, IO (a) (c) | 0.80% | 03/01/50 | 417,964 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||
19,849,108 | Series 2014-C16, Class XA, IO (a) | 0.87% | 06/01/47 | 51,647 | ||||||
1,882,120 | Series 2014-C19, Class XA, IO (a) | 0.95% | 12/01/47 | 14,478 | ||||||
5,632,500 | Series 2014-C19, Class XE, IO (a) (c) | 1.18% | 12/01/47 | 85,093 | ||||||
435,653 | Series 2016-C31, Class XA (a) | 1.27% | 11/01/49 | 13,438 | ||||||
Morgan Stanley Capital I Trust | ||||||||||
2,180,000 | Series 2016-UBS9, Class XD, IO (a) (c) | 1.59% | 03/01/49 | 79,227 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||
1,265,946 | Series 2015-C26, Class XA, IO (a) | 1.18% | 02/01/48 | 16,732 | ||||||
14,069,267 | ||||||||||
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Total Mortgage-BackedSecurities | 26,040,781 | |||||||||
(Cost $29,588,757) | ||||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 42.8% | ||||||||||
Collateralized Mortgage Obligations - 22.4% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
959 | Series 2303, Class SW, IO, ECOFIN x -15.87 + 121.11%, Capped | |||||||||
at 10.00% (e) | 10.00% | 03/01/24 | 22 | |||||||
122,165 | 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 | 16,656 | |||||||
607,247 | Series 2975, Class SJ, IO, 30 Day Average SOFR + CSA x -1 + | |||||||||
6.65% (e) | 1.47% | 05/15/35 | 40,761 | |||||||
155,876 | Series 3012, Class GK, 30 Day Average SOFR + CSA x -4.5 + | |||||||||
24.75% (e) | 1.43% | 06/15/35 | 149,679 | |||||||
14,628 | Series 3451, Class SB, IO, 30 Day Average SOFR + CSA x -1 + | |||||||||
6.03% (e) | 0.85% | 05/15/38 | 930 | |||||||
215,354 | Series 3471, Class SD, IO, 30 Day Average SOFR + CSA x -1 + | |||||||||
6.08% (e) | 0.90% | 12/15/36 | 15,620 | |||||||
250,000 | Series 3797, Class KB | 4.50% | 01/01/41 | 243,311 | ||||||
10,745 | Series 4021, Class IP, IO | 3.00% | 03/01/27 | 369 | ||||||
184,828 | Series 4057, Class YI, IO | 3.00% | 06/01/27 | 6,794 | ||||||
377,075 | Series 4082, Class PI, IO | 3.00% | 06/01/27 | 13,756 | ||||||
246,415 | Series 4206, Class IA, IO | 3.00% | 03/01/33 | 19,983 | ||||||
3,158,331 | Series 4938, Class IB, IO | 4.00% | 07/01/49 | 408,711 | ||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust | ||||||||||
1,000,000 | Series 2020-DNA2, Class B2, 30 Day Average SOFR + CSA + | |||||||||
4.80% (b) (c) | 9.98% | 02/25/50 | 988,052 | |||||||
1,000,000 | Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA + | |||||||||
7.60% (b) (c) | 12.78% | 03/25/50 | 1,112,855 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2023 (Unaudited)
Principal | Stated | Stated | ||||||
Value | Description | Coupon | Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
Federal Home Loan Mortgage Corp. STACR Trust | ||||||||
$ 1,000,000 | Series 2019-DNA3, Class B2, 30 Day Average SOFR + CSA + | |||||||
8.15% (b) (c) | 13.33% | 07/25/49 | $ 1,106,247 | |||||
1,000,000 | Series 2019-DNA4, Class B2, 30 Day Average SOFR + CSA + | |||||||
6.25% (b) (c) | 11.43% | 10/25/49 | 1,046,666 | |||||
1,000,000 | Series 2019-HQA3, Class B1, 30 Day Average SOFR + CSA + | |||||||
3.00% (b) (c) | 8.18% | 09/25/49 | 1,014,040 | |||||
Federal Home Loan Mortgage Corp. Structured Pass-Through | ||||||||
Certificates | ||||||||
44,789 | Series T-56, Class APO | (f) | 05/01/43 | 44,367 | ||||
Federal Home Loan Mortgage Corp., STRIPS | ||||||||
19,649 | Series 177, IO | 7.00% | 07/01/26 | 1,286 | ||||
Federal National Mortgage Association | ||||||||
15,509 | Series 1996-46, Class ZA | 7.50% | 11/01/26 | 15,564 | ||||
13,065 | Series 1997-85, Class M, IO | 6.50% | 12/01/27 | 184 | ||||
17,575 | Series 2002-80, Class IO, IO | 6.00% | 09/01/32 | 1,131 | ||||
44,967 | Series 2003-15, Class MS, IO, 30 Day Average SOFR + CSA x -1 | |||||||
+ 8.00% (e) | 2.82% | 03/25/33 | 4,450 | |||||
53,628 | Series 2003-44, Class IU, IO | 7.00% | 06/01/33 | 8,242 | ||||
8,339 | Series 2004-74, Class SW, 30 Day Average SOFR + CSA x -2 + | |||||||
15.50% (e) | 5.13% | 11/25/31 | 8,620 | |||||
26,268 | Series 2005-59 Class SU, 30 Day Average SOFR + CSA x -5 + | |||||||
25.50%, 0.00% Floor (e) | 0.00% | 06/25/35 | 23,247 | |||||
54,495 | Series 2005-6, Class SE, IO, 30 Day Average SOFR + CSA x -1 + | |||||||
6.70% (e) | 1.52% | 02/25/35 | 3,709 | |||||
27,674 | Series 2007-100, Class SM, IO, 30 Day Average SOFR + CSA x | |||||||
-1 + 6.45% (e) | 1.27% | 10/25/37 | 2,261 | |||||
156,894 | Series 2007-37, Class SB, IO, 30 Day Average SOFR + CSA x -1 | |||||||
+ 6.75% (e) | 1.57% | 05/25/37 | 14,683 | |||||
294,177 | Series 2008-17, Class BE | 5.50% | 10/01/37 | 290,160 | ||||
615,133 | Series 2010-103, Class ID, IO | 5.00% | 09/01/40 | 99,795 | ||||
37,817 | Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00%, 0.00% | |||||||
Floor (e) | 0.00% | 09/01/40 | 37,807 | |||||
364,694 | Series 2011-81, Class PI, IO | 3.50% | 08/01/26 | 10,290 | ||||
54,363 | Series 2012-111, Class B | 7.00% | 10/01/42 | 56,351 | ||||
245,873 | Series 2012-112, Class BI, IO | 3.00% | 09/01/31 | 4,918 | ||||
1,310,939 | Series 2012-125, Class MI, IO | 3.50% | 11/01/42 | 184,368 | ||||
16,897 | Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67%, | |||||||
0.00% Floor (e) | 0.00% | 01/01/44 | 12,374 | |||||
1,669,333 | Series 2013-32, Class IG, IO | 3.50% | 04/01/33 | 178,634 | ||||
196,232 | Series 2013-51, Class PI, IO | 3.00% | 11/01/32 | 16,495 | ||||
1,340,482 | Series 2015-20, Class ES, IO, 30 Day Average SOFR + CSA x -1 | |||||||
+ 6.15% (e) | 0.97% | 04/25/45 | 151,222 | |||||
97,545 | Series 2015-76, Class BI, IO | 4.00% | 10/01/39 | 2,478 | ||||
168,142 | Series 2016-74, Class LI, IO | 3.50% | 09/01/46 | 43,100 | ||||
2,565,954 | Series 2017-109, Class SJ, IO, 30 Day Average SOFR + CSA x -1 | |||||||
+ 6.20% (e) | 1.02% | 01/25/48 | 274,811 | |||||
1,930,248 | Series 5179, Class GZ | 2.00% | 01/01/52 | 1,056,952 | ||||
Federal National Mortgage Association, STRIPS | ||||||||
17,276 | Series 305, Class 12, IO (g) | 6.50% | 12/01/29 | 1,539 | ||||
31,989 | Series 355, Class 18, IO | 7.50% | 11/01/33 | 4,563 | ||||
451,315 | Series 406, Class 6, IO (g) | 4.00% | 01/01/41 | 74,102 | ||||
Government National Mortgage Association | ||||||||
215,907 | Series 2004-95, Class QZ | 4.50% | 11/01/34 | 209,020 | ||||
113,637 | Series 2005-33, Class AY | 5.50% | 04/01/35 | 113,191 |
First Trust Mortgage Income Fund (FMY)
Portfolio of Investments (Continued)
July 31, 2023 (Unaudited)
Principal | Stated | Stated | ||||||||
Value | Description | Coupon | Maturity | Value | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||||
Government National Mortgage Association (Continued) | ||||||||||
$ | 137,304 | Series 2007-68, Class PI, IO, 1 Mo. CME Term SOFR + CSA x | ||||||||
-1 + 6.65% (e) | 1.28% | 11/20/37 | $ | 3,312 | ||||||
100,000 | Series 2008-2, Class HB | 5.50% | 01/01/38 | 98,430 | ||||||
113,348 | Series 2008-73, Class SK, IO, 1 Mo. CME Term SOFR + CSA x | |||||||||
-1 + 6.74% (e) | 1.37% | 08/20/38 | 5,158 | |||||||
162,258 | Series 2009-79, Class PZ | 6.00% | 09/01/39 | 171,278 | ||||||
218,975 | Series 2013-104, Class YS, IO, 1 Mo. CME Term SOFR + CSA x | |||||||||
-1 + 6.15% (e) | 0.81% | 07/16/43 | 12,638 | |||||||
3,603,923 | Series 2015-158, Class KS, IO, 1 Mo. CME Term SOFR + CSA x | |||||||||
-1 + 6.25% (e) | 0.88% | 11/20/45 | 382,827 | |||||||
75,999 | Series 2016-139, Class MZ | 1.50% | 07/01/45 | 56,215 | ||||||
160,382 | Series 2017-4, Class CZ | 3.00% | 01/01/47 | 129,316 | ||||||
130,738 | Series 2017-H18, Class DZ (g) | 4.63% | 09/01/67 | 122,763 | ||||||
10,259,019 | Series 2020-13, Class BT, IO, 1 Mo. CME Term SOFR + CSA x | |||||||||
-1 + 6.20%, Capped at 0.50% (e) | 0.50% | 11/20/45 | 213,235 | |||||||
1,478,000 | Series 2022-146, Class PL | 4.00% | 08/01/52 | 1,269,235 | ||||||
11,598,773 | ||||||||||
Commercial Mortgage-Backed Securities - 15.3% | ||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured | ||||||||||
Pass-Through Certificates | ||||||||||
30,000,000 | Series K043, Class X3, IO (a) | 1.63% | 02/01/43 | 664,656 | ||||||
14,500,000 | Series K071, Class X3, IO (a) | 2.01% | 11/01/45 | 1,087,909 | ||||||
4,000,000 | Series K110, Class X3, IO (a) | 3.40% | 06/01/48 | 693,659 | ||||||
4,605,411 | Series K115, Class X3, IO (a) | 2.96% | 09/01/48 | 711,040 | ||||||
4,326,216 | Series K118, Class X3, IO (a) | 2.69% | 10/25/48 | 620,561 | ||||||
1,900,000 | Series K122, Class X3, IO (a) | 2.63% | 01/01/49 | 270,610 | ||||||
5,000,000 | Series K124, Class X3, IO (a) | 2.62% | 02/01/49 | 713,068 | ||||||
3,343,856 | Series K128, Class X3, IO (a) | 2.78% | 04/01/31 | 515,728 | ||||||
1,831,144 | Series K739, Class X3, IO (a) | 2.81% | 11/25/48 | 171,605 | ||||||
342,148,454 | Series KBX1, Class X1, IO (a) | 0.09% | 01/01/26 | 580,044 | ||||||
4,571,896 | Series KG06, Class X3, IO (a) | 2.73% | 10/01/31 | 715,053 | ||||||
Federal National Mortgage Association, ACES | ||||||||||
13,100,000 | Series 2019-M29, Class X4, IO | 0.70% | 03/01/29 | 380,188 | ||||||
Freddie Mac Multiclass Certificates | ||||||||||
5,979,399 | Series 2021-P011, Class X1, IO (a) | 1.78% | 09/01/45 | 725,206 | ||||||
Government National Mortgage Association | ||||||||||
2,211,909 | Series 2016-11, Class IO, IO (g) | 0.78% | 01/01/56 | 75,582 | ||||||
7,924,909 | ||||||||||
Pass-through Security - 5.1% | ||||||||||
Fannie Mae or Freddie Mac | ||||||||||
2,000,000 | Pool TBA (h) | 3.00% | 05/01/52 | 1,752,110 | ||||||
1,000,000 | Pool TBA (h) | 3.50% | 06/02/52 | 907,402 | ||||||
2,659,512 | ||||||||||
Total U.S. Government Agency Mortgage-Backed Securities | 22,183,194 | |||||||||
(Cost $25,463,004) | ||||||||||
ASSET-BACKED SECURITIES - 6.1% | ||||||||||
Adams Outdoor Advertising LP. | 8.81% | 07/15/53 | 1,000,943 | |||||||
1,000,000 | Series 2023-1, Class B (c) | |||||||||
AMSR Trust | ||||||||||
1,000,000 | Series 2020-SFR4, Class A (c) | 1.36% | 11/01/37 | 905,707 |
Attachments
- Original Link
- Original Document
- Permalink
Disclaimer
First Trust Mortgage Income Fund published this content on 19 September 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 September 2023 17:29:47 UTC.