UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
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FORM
N-PX
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ANNUAL
REPORT OF PROXY VOTING RECORD OF REGISTERED
MANAGEMENT
INVESTMENT
COMPANY
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Investment
Company Act file number
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811-21342
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Lehman
Brothers First Trust Income Opportunity Fund
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(Exact
name of registrant as specified in charter)
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399
Park Avenue, New York, NY
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10022
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(Address
of principal executive offices)
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(Zip
code)
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Jack
L. Rivkin
Lehman
Brothers First Trust Income Opportunity Fund
399
Park Avenue
New
York, NY 10022
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(Name
and address of agent for service)
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Registrant's
telephone number, including area code:
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(212)
526-7000
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Date
of fiscal year end:
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12/31/06
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Date
of reporting period:
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7/1/05
- 6/30/06
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(Registrant)
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Lehman
Brothers First Trust Income Opportunity Fund
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By
(Signature and Title)
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/s/ Jack L. Rivkin | |||
Jack
L. Rivkin, President
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Date
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August
10, 2006
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