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First Trust Mortgage Income Fund (FMY)
Investment Objective/Strategy - First Trust Mortgage Income Fund is a diversified, closed-end management investment company. The Fund's primary investment objective is to seek a high level of current income. As a secondary objective, the Fund will seek to preserve capital. The Fund will pursue its objectives by investing primarily in mortgage-backed securities representing part ownership in a pool of either residential or commercial mortgage loans that, in the opinion of the Fund's investment sub-advisor, offer an attractive combination of credit quality, yield and maturity.
There can be no assurance that the Fund's investment objectives will be achieved.
Fund Overview
TickerFMY
Fund TypeFixed Income
Investment AdvisorFirst Trust Advisors L.P.
Portfolio Manager/Sub-AdvisorBrookfield Investment Management Inc.
Investor Servicing AgentBNY Mellon Investment Servicing (US) Inc.
CUSIP33734E103
Fiscal Year-End10/31
ExchangeNYSE
Inception5/25/2005
Inception Price$20.00
Inception NAV$19.10
Current Fund Data (as of 7/21/2014)
Closing NAV1$17.39
Closing Share Price2$15.76
Discount to NAV9.37%
Total Managed Assets$81,958,801
Common Shares Outstanding4,213,115
Dividend FrequencyMonthly
Dividend Per Share Amt3$0.0850
Distribution Rate46.47%
Daily Volume2,182
Average 30-Day Daily Volume8,784
Closing Share Price 52-Week High/Low$16.10 / $15.15
Closing NAV 52-Week High/Low$17.72 / $17.25
Expense Ratios (as of 4/30/2014)
Annual ExpensesPercent of
Net Assets
Percent of
Managed
Assets
Management Fees1.13%1.00%
Other Expenses
0.75%
0.66%
Total Operating Expenses1.88%1.66%
 
Leverage Costs0.07%0.07%
 
Total Annual Expenses1.95%1.73%
 
Leverage costs include interest, fees and any upfront/offering costs associated with borrowings by the Fund.
Cumulative Total Returns (as of 6/30/2014)5
Period Share Price NAV
3 Months 2.38% 1.38%
1 Year 6.61% 6.93%
3 Years -1.92% 15.89%
5 Years 47.53% 53.54%
Year to Date 4.68% 3.00%
Inception to Date 61.98% 87.56%
Calendar Year Returns (as of 12/31/2013)5
Period Share Price NAV
2006 12.33% 5.19%
2007 9.62% 7.69%
2008 4.63% -5.68%
2009 19.84% 32.32%
2010 16.75% 8.82%
2011 9.48% 0.01%
2012 2.35% 11.21%
2013 -5.77% 6.04%
Average Annual Returns (as of 6/30/2014)5
Period Share Price NAV
3 Years -0.64% 5.04%
5 Years 8.09% 8.95%
Inception to Date 5.44% 7.16%
Asset Type Breakdown (as of 5/31/2014)7
  Asset Percent
Mortgage-Backed Securities 73.69%
U.S. Government Agency MBS 25.98%
Asset-Backed Securities 0.33%
Share Price and NAV History (Since Inception)
Past performance is not indicative of future results.
% Premium/Discount (Since Inception)
Leverage Information (as of 7/21/2014)6
Total Net Assets with Leverage$81,958,801
Amount Attributable to Common Shares$73,274,801
Amount Attributable to Preferred Shares$0
Amount Attributable to Other Borrowings$8,684,000
Leverage (% of Total Net Assets)10.60%
Credit Quality Breakdown (as of 5/31/2014)7
Credit Quality Percent
AAA 30.48%
AA+ 17.28%
AA 1.07%
A+ 20.92%
A 5.30%
BBB+ 2.22%
BBB 2.30%
BB+ 1.00%
BB 3.03%
B- 1.80%
CCC+ 0.18%
CCC 10.08%
CCC- 0.91%
CC 0.96%
D 2.37%
NR 0.10%
The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor's Rating Group, a division of the McGraw Hill Companies, Inc., Moody's Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest ratings are used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the credit worthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
Security Type Breakdown (as of 5/31/2014)7
  Security Percent
Adjustable Rate Securities 57.27%
Fixed Rate Securities 29.42%
Interest Only Securities 13.31%
Footnotes
1 The NAV represents the fund's net assets (assets less liabilities) divided by the fund's common shares outstanding.
2 Fund shares are purchased and sold on an exchange at their share price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
3 Most recent distribution paid or declared through today's date. Subject to change in the future.
4 Distribution rates are calculated by annualizing the most recent distribution paid or declared through today's date and then dividing by the most recent market price. The distribution consists of the sum of net investment income, net realized short-term capital gains, net realized long-term capital gains, and return of capital. Distribution rates may vary. Any distribution adjustment will not be reflected until after the declaration date for the next distribution. See the fund's 19a-1 Notices, if any, located under the "News & Literature" section of the website for estimates of distribution sources. Final determination of the source and tax status of all distributions paid in the current year will be made after year-end.
5 Total return is the combination of reinvested dividend income and reinvested capital gains distributions, at prices obtained by the Dividend Reinvestment Plan, if any, and changes in the NAV and Share Price. The NAV total return takes into account the fund's total annual expenses and does not reflect sales load. Past performance is not indicative of future results.
6 Leverage is a technique where a closed-end fund's manager borrows assets at one rate and invests the proceeds from the borrowed assets at another rate, seeking to increase yield and total return. Use of leverage can result in additional risk and cost, and can magnify the effect of any losses.
7 Market value information used in calculating the percentages is based upon trade date plus one recording of transactions, which can differ from regulatory financial reports (Forms N-CSR and N-Q) that are based on trade date recording of security transactions. Holdings are subject to change.

Risk Considerations

The Fund is subject to various risks, including: Investment and Market Risk, Management Risk, Credit Risk, Prepayment Risk, Reinvestment Risk, Interest Rate Risk, Floating Rate CMOs/Inverse Floating Rate CMOs Risk, Tax Risk Relating to Investments in Certain REMICs, Bond Market Risk, Economic Sector Risk, Inflation Risk, U.S. Government Securities Risk, Government Agency Risk, Asset-Backed Securities Risk, Market Discount From Net Asset Value, Leverage Risk, Interest Rate Transactions Risk, Derivatives Risk, Illiquid/Restricted Securities Risk, Portfolio Turnover Risk, Market Disruption Risk, Certain Affiliations, Anti-Takeover Provisions, Secondary Market for the Fund's Shares.

Subordinated Debt Risk: The Fund may invest a portion of its Managed Assets in subordinated classes of MBS, including debt obligations issued by private originators or issuers backed by residential mortgage loans and multi-class debt or pass-through or paythrough securities backed by a mortgage loan or pool of mortgage loans on commercial real estate. Such subordinated classes are subject to a greater degree of non-payment risk than are senior classes of the same issuer or agency.

Prepayment Risk: If borrowers prepay their mortgage loans at rates that are faster than expected, this results in prepayments that are faster than expected on MBS. These faster than expected prepayments may adversely affect the Fund's profitability, particularly if the Fund is forced to invest prepayments it receives in lower yielding securities. Moreover, the Fund may also acquire MBS that are less affected by prepayments. While the Fund will seek to minimize prepayment risk to the extent practical, the Fund must balance prepayment risk against other risks and the potential returns of each investment in selecting investments. No strategy can completely insulate the Fund from prepayment risk.

Interest Rate Risk: The Fund may also invest in MBS which are interest-only ("IO") securities and principal-only ("PO") securities. Generally speaking, when interest rates are falling and prepayment rates are increasing, the value of a PO security will rise and the value of an IO security will fall. Conversely, when interest rates are rising and prepayment rates are decreasing, generally the value of a PO security will fall and the value of an IO security will rise.

The risks of investing in the Fund are spelled out in the prospectus, shareholder report and other regulatory filings.

Not FDIC Insured • Not Bank Guaranteed • May Lose Value
 
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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