First Trust Mortgage Income Fund (the "Fund") is filing herewith a press release issued on July 9, 2012, as Exhibit 99.1. The press release was issued by First Trust Advisors L.P. to report that the Fund intends to host a conference call with Brookfield Investment Management, Inc., the Fund's investment sub-advisor, on Tuesday, July 10, 2012, at 4:15 P.M. Eastern Time. The purpose of the call is to hear Brookfield's portfolio management team provide an update for the Fund and the Market. Details regarding the conference call are contained in the press release included herein.

(d) Exhibits

        Exhibit
        Number        Description

           99.1       Press release of First Trust Advisors L.P. dated
                      July 9, 2012.