As filed with the Securities and Exchange Commission on August 28, 2008

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    FORM N-PX

                    ANNUAL REPORT OF PROXY VOTING RECORD OF
                    REGISTERED MANAGEMENT INVESTMENT COMPANY

                  Investment Company Act file number: 811-21342

               LEHMAN BROTHERS FIRST TRUST INCOME OPPORTUNITY FUND
               ---------------------------------------------------
             (Exact Name of the Registrant as Specified in Charter)
                           605 Third Avenue, 2nd Floor
                          New York, New York 10158-0180
               (Address of Principal Executive Offices - Zip Code)

       Registrant's telephone number, including area code: (212) 476-8800

                    Peter E. Sundman, Chief Executive Officer
               Lehman Brothers First Trust Income Opportunity Fund
                           605 Third Avenue, 2nd Floor
                          New York, New York 10158-0180

                              Arthur Delibert, Esq.
                                  K&L Gates LLP
                               1601 K Street, N.W.
                           Washington, D.C. 20006-1600
                   (Names and Addresses of agents for service)

Date of fiscal year end:   December 31, 2008
Date of reporting period:  July 1, 2007 to June 30, 2008

     Form N-PX is to be used by a registered management investment company,
other than a small business investment company registered on Form N-5 (s.s.
239.24 and 274.5 of this chapter), to file reports with the Commission, not
later than August 31, of each year, containing the registrant's proxy voting
record for the most recent twelve-month period ended, June 30, pursuant to
section 30 of the Investment Company Act of 1940 and rule 30b1-4 thereunder (17
CFR 270.30b1-4). The Commission may use the information provided on Form N-PX in
its regulatory, disclosure review, inspection and policymaking roles.

     A registrant is required to disclose the information specified by Form
N-PX, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained on Form N-PX
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden of the Secretary, Securities of Exchange Commission, 100 F Street, NE,
Washington DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. s. 3507.



ITEM 1. PROXY VOTING RECORD.

LEHMAN BROTHERS FIRST TRUST INCOME OPPORTUNITY FUND

No proxies were received from July 1, 2007 to June 30, 2008.



                                   SIGNATURES

     Pursuant to the requirements of the Investment Company Act of 1940, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.


Lehman Brothers First Trust Income Opportunity Fund


By: /s/ Peter E. Sundman
    ------------------------------------
     Peter E. Sundman
     Chief Executive Officer

Date: August 22, 2008