FIRST TRUST MORTGAGE INCOME FUND
                            120 East Liberty Drive,
                                   Suite 400
                            Wheaton, Illinois 60187



July 29, 2015


Dear Shareholders:

I am pleased to announce that the Board of Trustees of First Trust Mortgage
Income Fund (NYSE: FMY) (the "Fund") has recently approved certain changes to
the Fund's investment strategy as described in the table below. The Fund is a
diversified, closed-end management investment company that seeks to provide a
high level of current income. As a secondary objective, the Fund seeks to
preserve capital. The Fund pursues these investment 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. The Fund's investment objectives are not changing.
The Fund's investment strategy that is changing is non-fundamental and the
changes are not required to be approved by shareholders. The Fund anticipates
implementing the changes to the investment strategy beginning on or around
October 5, 2015.

CURRENT INVESTMENT STRATEGY                 NEW INVESTMENT STRATEGY

The Fund may invest up to 25% of            The Fund may invest up to 35% of
its managed assets in securities            its managed assets in securities
that at the time of investment are          that at the time of investment are
rated below "A" (at or below the            rated below "BBB-" or the
investment grade ratings of "Baa,"          equivalent (i.e. below investment
"BBB," and "BBB" by Moody's                 grade rating) by NRSROs such as
Investors Service, Inc.                     Moody's, S&P, Fitch, DBRS, Inc.,
("Moody's"), Standard & Poor's              Kroll Bond Rating Agency, Inc., or
Ratings Group, a division of the            Morningstar Credit Ratings, LLC, or
McGraw-Hill Companies, Inc. ("S&P")         were unrated but judged to be of
and Fitch Ratings, Inc. ("Fitch")),         comparable quality by Brookfield.
each a nationally recognized
statistical rating organization
("NRSRO"), or were unrated but
judged to be of comparable quality
by Brookfield Investment Management
Inc. ("Brookfield"), the Fund's
investment sub-advisor.

The Fund's credit risk will increase as a result of its new investment strategy.
Credit risk is generally the risk that a security in the Fund's portfolio will
decline in price or the issuer of the security will fail to make payments when
due because the issuer of the security experiences a decline in its financial
status.

First Trust Advisors L.P., the Fund's investment advisor, along with its
affiliate, First Trust Portfolios L.P., are privately-held companies which
provide a variety of investment services, including asset management and
financial advisory services, with collective assets under management or
supervision of approximately $118 billion as of June 30, 2015, through unit
investment trusts, exchange-traded funds, closed-end funds, mutual funds and
separate managed accounts.

Brookfield Investment Management Inc. ("Brookfield") has served as the Fund's
investment sub-advisor since April 2011. Brookfield is a wholly-owned subsidiary
of Brookfield Asset Management, a global alternative asset manager with over
$200 billion in assets under management as of June 30, 2015. Brookfield Asset
Management has over a 100-year history of owning and operating assets with a
focus on property, renewable power, infrastructure and private equity.
Brookfield Asset Management's public market activities are conducted by
Brookfield, a registered investment advisor, with $18 billion of assets under
management as of June 30, 2015.

The Fund's daily closing New York Stock Exchange price and net asset value per
share as well as other information can be found at www.ftportfolios.com or by
calling 1-800-988-5891.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees of First Trust Mortgage Income Fund