UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SCHEDULE 13G
Under the Securities Exchange Act of 1934
First Trust/FIDAC Mortgage Income Fund (FMY)
------------------------------------------------------------------------
(Name of Issuer)
Common Stock
------------------------------------------------------------------------
(Title of Class of Securities)
33734E103
------------------------------------------------------------------------
(CUSIP Number)
December 31, 2006
------------------------------------------------------------------------
(Date of Event Which Requires Filing of this Statement)
Check the appropriate box to designate the rule pursuant to which this
Schedule is filed:
[X] Rule 13d-1(b)
[ ] Rule 13d-1(c)
[ ] Rule 13d-1(d)
* The remainder of this cover page shall be filled out for a reporting
person's initial filing on this form with respect to the subject class of
securities, and for any subsequent amendment containing information which
would alter the disclosures provided in a prior cover page.
The information required in the remainder of this cover page shall not
be deemed to be "filed" for the purpose of Section 18 of the Securities
Exchange Act of 1934 ("Act") or otherwise subject to the liabilities of
that section of the Act but shall be subject to all other provisions of
the Act (however, see the Notes).
----------------------------- ------------------------------
CUSIP No. 33734E103 13G Page 2 of 6 Pages
----------------------------- ------------------------------
-------------------------------------------------------------------------
1 NAME OF REPORTING PERSON
I.R.S. IDENTIFICATION NO. OF ABOVE PERSON
Sit Investment Associates, Inc.
41-1404829
---------------------------------------------------------------------------
2 CHECK THE APPROPRIATE BOX IF A MEMBER OF A GROUP
(SEE INSTRUCTIONS)
(a) |___|
(b) |_X_|
---------------------------------------------------------------------------
3 SEC USE ONLY
---------------------------------------------------------------------------
4 CITIZENSHIP OR PLACE OF ORGANIZATION
State of Minnesota
---------------------------------------------------------------------------
5 SOLE VOTING POWER
664,853
NUMBER OF -------------------------------------------------------
SHARES 6 SHARED VOTING POWER
BENEFICIALLY -0-
OWNED BY -------------------------------------------------------
EACH 7 SOLE DISPOSITIVE POWER
REPORTING 664,853
PERSON -------------------------------------------------------
WITH 8 SHARED DISPOSITIVE POWER
-0-
---------------------------------------------------------------------------
9 AGGREGATE AMOUNT BENEFICIALLY OWNED BY EACH REPORTING PERSON
664,853
--------------------------------------------------------------------------
10 CHECK BOX IF THE AGGREGATE AMOUNT IN ROW (9) EXCLUDES
CERTAIN SHARES (SEE INSTRUCTIONS)
Not Applicable
---------------------------------------------------------------------------
11 PERCENT OF CLASS REPRESENTED BY AMOUNT IN ROW (9)
16.44%
---------------------------------------------------------------------------
12 TYPE OF REPORTING PERSON (SEE INSTRUCTIONS)
Sit Investment Associates, Inc. (client accounts) IA
--------------------------------------------------------------------------
------------------------------ --------------------------
CUSIP No. 33734E103 13G Page 3 of 6 Pages
------------------------------ --------------------------
ITEM 1 (a) Name of Issuer:
First Trust/FIDAC Mortgage Income Fund
ITEM 1 (b) Address of Issuer's Principal Executive Offices:
1001 Warrenville Road
Suite 300
Lisle, IL 60532
ITEM 2 (a) Name of Person Filing: Sit Investment Associates, Inc.
Sit Investment Associates, Inc. ("SIA") is an Investment Adviser registered
under section 203 of the Investment Advisers Act of 1940.
SIA has four subsidiaries, each of which are registered Investment
Advisers:
1. Sit Investment Fixed Income Advisors ("SIFIA") 41-1845054
2. Sit/Kim International Investment Associates, Inc. ("SKI") 36-3627319
3. Sit Fixed Income Advisors II, LLC 41-1894024
4. Sit/Kim International Investment Associates II, LLC ("SKI II") 41-1918565
SIA is the Investment Advisor for fourteen mutual funds (the "Funds") which
are comprised of six registered investment companies, two of which consist
of series funds as listed below, and one Delaware statutory trust which
consists of one series fund as listed below. SIA has the voting power and
dispositive power for all securities owned by SIA and the following fourteen
mutual funds.
1) Sit Mid Cap Growth Fund, Inc.
2) Sit Large Cap Growth Fund, Inc.
3) Sit U.S. Government Securities Fund, Inc.
4) Sit Money Market Fund, Inc.
Sit Mutual Funds, Inc.
5) Sit International Growth Fund (series A)
6) Sit Balanced Fund (series B)
7) Sit Developing Markets Growth Fund (series C)
8) Sit Small Cap Growth fund (series D)
9) Sit Science and Technology Growth Fund (series E)
10) Sit Dividend Growth Fund (series G)
Sit Mutual Funds II, Inc.
11) Sit Tax-Free Income Fund (series A)
12) Sit Minnesota Tax-Free Income Fund (series B)
13) Sit High Income Municipal Bond Fund (series D)
Sit Mutual Funds Trust
14) Sit Florida Tax-Free Income Fund (series A)
Of the affiliated entities indicated above, only SIA and its affiliates
(client accounts) beneficially owned shares of the Issuer common
stock as of December 31, 2006.
------------------------------ --------------------------
CUSIP No. 33734E103 13G Page 4 of 6 Pages
------------------------------ --------------------------
ITEM 2 (b) Address of Principal Business Office or, if none, Residence:
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
ITEM 2 (c) Citizenship: Minnesota Corporation
ITEM 2 (d) Title of Class of Securities: Common Stock
ITEM 2 (e) CUSIP Number: 33734E103
ITEM 3 (e)
(a) [ ] Broker or Dealer registered under Section 15 of the Act
(b) [ ] Bank as defined in section 3(a)(6) of the Act
(c) [ ] Insurance Company as defined in section 3(a)(19) of the Act
(d) [ ] Investment company registered under section 8 of the Investment
Company Act
(e) [ X ] Investment Adviser registered under section 203 of the
Investment Advisers Act of 1940.
(f) [ ] Employee Benefit Plan, Pension Fund which is subject to the
provisions of the Employee Retirement Income Security Act of
1974 or Endowment Fund: see section 240.13d-1(b)(1)(ii)(F)
(g) [ ] Parent Holding Company, in accordance with section 240.13d-
1(b)(ii)(G) (Note :see Item 7)
(h) [ ] Group, in accordance with section 240.13d-1(b)(1)(ii)(H)
ITEM 4 Ownership
(a) Amount Beneficially Owned:
Number of shares beneficially owned by each reporting person with sole
voting power; and aggregate amount beneficially owned by each reporting
person:
SIA and Affiliates Ownership as of 12/31/06:
Shares
SIA (client accounts) 664,853
Total Shares Owned By SIA and Affiliated Entities 664,853
------------------------------ --------------------------
CUSIP No. 33734E103 13G Page 5 of 6 Pages
------------------------------ ---------------------------
(b) Percent of Class:
Outstanding as of 12/31/06: 4,045,000
SIA and Affiliates Ownership @ 12/31/06:
% Owned
SIA (client accounts) 16.44%
Total Shares Owned By SIA and Affiliated Entities 16.44%
(c) Number of shares as to which such person has:
(i) Sole power to vote or direct the vote: 664,853
(ii) Shared power to vote or to direct the vote: 0
(iii) Sole power to dispose or to direct the disposition of: 664,853
(iv) Shared power to dispose or to direct the disposition of: 0
ITEM 5 Ownership of Five Percent or Less of a Class: If this
statement is being filed to report the fact that as of the date hereof the
reporting person has ceased to be the beneficial owner of more than five
percent of the class of securities, check the following [ ].
ITEM 6 Ownership of More than Five Percent on Behalf of Another
Person:
N/A
ITEM 7 Identification and Classification of the Subsidiary Which
Acquired the Security Being Reported on by the Parent Holding Company:
N/A
ITEM 8 Identification and Classification of Members of the Group:
N/A
ITEM 9 Notice of Dissolution of Group:
N/A
------------------------------ ---------------------------
CUSIP No. 33734E103 13G Page 6 of 6 Pages
------------------------------ ---------------------------
ITEM 10 Certification
By signing below I certify that, to the best of my knowledge and
belief, the securities referred to above were acquired in the ordinary
course of business and were not acquired for the purpose of and do not have
the effect of changing or influencing the control of the issuer of such
securities and were not acquired in connection with or as a participant in
any transaction having such purposes of effect.
SIGNATURE
After reasonable inquiry and to the best of my knowledge and belief,
I certify that the information set forth in this statement is true,
complete and correct.
SIT INVESTMENT ASSOCIATES, INC.
Date: January 25, 2007
By: /s/ Paul E. Rasmussen
Title: Vice President