# EDGAR Filing Document

**Accession Number:** 0001314414
**File Stem:** 0001752724-25-211809
**Filing Date:** 2025-8
**Character Count:** 197653
**Document Hash:** d5b23cde61f547ab84274646de4561c7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-211809.hdr.sgml**: 20250828

**ACCESSION NUMBER**: 0001752724-25-211809

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250828

**DATE AS OF CHANGE**: 20250828

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Northern Lights Fund Trust
- **CENTRAL INDEX KEY:** 0001314414

**ORGANIZATION NAME:**
- **EIN:** 043023766
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21720
- **FILM NUMBER:** 251273712

**BUSINESS ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246
- **BUSINESS PHONE:** 631-470-2600

**MAIL ADDRESS:**
- **STREET 1:** 17605 WRIGHT STREET
- **STREET 2:** SUITE 200
- **CITY:** OMAHA
- **STATE:** NE
- **ZIP:** 68130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Strategy Shares
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Mutual Fund & Variable Insurance Trust
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Northern Lights Fund Trust
- **DATE OF NAME CHANGE:** 20050121

## Series and Classes Contracts Data

### Deer Park Total Return Credit Fund (Series ID: S000050429)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000159220 | Deer Park Total Return Credit Fund Class A | DPFAX           |
| C000159221 | Deer Park Total Return Credit Fund Class C | DPFCX           |
| C000159222 | Deer Park Total Return Credit Fund Class I | DPFNX           |

## Nport-Ex

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **AGENCY ASSET BACKED SECURITIES — 2.7%** | **AGENCY ASSET BACKED SECURITIES — 2.7%** |  |  |  |
|  | **AGENCY CMBS** — **0.1%** | **AGENCY CMBS** — **0.1%** |  |  |  |
| 2608726 | Government National Mortgage Association Series 2007-15 IO<sup>(a),(b)</sup> |  | 1.5980 | &nbsp;&nbsp;&nbsp;03/16/47 | $13234 |
| 3996232 | Government National Mortgage Association Series 2015-6 IO<sup>(a),(b)</sup> |  | 0.4550 | &nbsp;&nbsp;&nbsp;02/16/51 | 55777 |
| 400007 | Government National Mortgage Association Series 2012-72 IO<sup>(a),(b)</sup> |  | 0.4830 | &nbsp;&nbsp;&nbsp;11/16/52 | 1579 |
| 246278 | Government National Mortgage Association Series 2015-122 IO<sup>(a),(b) (i)</sup> |  | 0.5840 | &nbsp;&nbsp;&nbsp;05/16/57 | 27 |
|  |  |  |  |  | 70617 |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **2.6%** | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **2.6%** |  |  |  |
| 893807 | Fannie Mae REMICS Series 2012-90 SA<sup>(a),(c)</sup> | SOFR30A + 5.936% | 1.6300 | &nbsp;&nbsp;&nbsp;08/25/42 | 94412 |
| 3534931 | Fannie Mae REMICS Series 2012-144 SH<sup>(a),(c)</sup> | SOFR30A + 5.986% | 1.6800 | &nbsp;&nbsp;&nbsp;01/25/43 | 478803 |
| 3233286 | Fannie Mae REMICS Series 2017-16 CS<sup>(a),(c)</sup> | SOFR30A + 5.936% | 1.6300 | &nbsp;&nbsp;&nbsp;03/25/47 | 431021 |
| 2079825 | Fannie Mae REMICS Series 2017-14 DS<sup>(a),(c)</sup> | SOFR30A + 5.936% | 1.6300 | &nbsp;&nbsp;&nbsp;03/25/47 | 259779 |
| 2165521 | Fannie Mae REMICS Series 2017-68 SN<sup>(a),(c)</sup> | SOFR30A + 6.036% | 1.7300 | &nbsp;&nbsp;&nbsp;09/25/47 | 282110 |
| 1585669 | Fannie Mae REMICS Series 2018-64 SE<sup>(a),(c)</sup> | SOFR30A + 6.086% | 1.7800 | &nbsp;&nbsp;&nbsp;09/25/48 | 206393 |
| 507673 | Freddie Mac REMICS Series 4238 NS<sup>(a),(c)</sup> | SOFR30A + 6.586% | 2.2820 | &nbsp;&nbsp;&nbsp;02/15/42 | 57093 |
| 2901848 | Freddie Mac REMICS Series 4416 DS<sup>(a),(c)</sup> | SOFR30A + 5.986% | 1.6820 | &nbsp;&nbsp;&nbsp;12/15/44 | 351247 |
| 170252 | Freddie Mac REMICS Series 4583 ST<sup>(a),(c)</sup> | SOFR30A + 5.886% | 1.5820 | &nbsp;&nbsp;&nbsp;05/15/46 | 18668 |
| 1440173 | Freddie Mac REMICS Series 4685 SA<sup>(a),(c)</sup> | SOFR30A + 5.986% | 1.6820 | &nbsp;&nbsp;&nbsp;05/15/47 | 200598 |
| 3193185 | Freddie Mac REMICS Series 4718 SC<sup>(a),(c)</sup> | SOFR30A + 6.036% | 1.7320 | &nbsp;&nbsp;&nbsp;09/15/47 | 442787 |
| 1050901 | Freddie Mac REMICS Series 4796 AS<sup>(a),(c)</sup> | SOFR30A + 6.086% | 1.7820 | &nbsp;&nbsp;&nbsp;05/15/48 | 150418 |
| 8455172 | Government National Mortgage Association Series 2019-111 SK<sup>(a),(c)</sup> | TSFR1M + 3.316% | 0.0001 | &nbsp;&nbsp;&nbsp;09/20/49 | 128881 |
|  |  |  |  |  | 3102210 |
|  | **TOTAL AGENCY ASSET BACKED SECURITIES (Cost $14,621,479)** | **TOTAL AGENCY ASSET BACKED SECURITIES (Cost $14,621,479)** |  |  | 3172827 |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6%** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6%** |  |  |  |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6%** | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6%** |  |  |  |
| 32255 | Adjustable Rate Mortgage Trust 2005-4 Series 2005-4 3A1<sup>(b)</sup> |  | 7.0150 | &nbsp;&nbsp;&nbsp;08/25/35 | 32053 |
| 1413289 | Adjustable Rate Mortgage Trust 2007-1 Series 2007-1 5A1<sup>(c)</sup> | TSFR1M + 0.414% | 4.7340 | &nbsp;&nbsp;&nbsp;03/25/37 | 1709967 |
| 136780 | Alternative Loan Trust 2003-4CB Series 2003-4CB B1<sup>(b)</sup> |  | 6.0480 | &nbsp;&nbsp;&nbsp;04/25/33 | 83122 |
| 75955 | Alternative Loan Trust 2003-J2 Series 2003-J2 B1 |  | 6.0000 | &nbsp;&nbsp;&nbsp;10/25/33 | 70464 |
| 333514 | Alternative Loan Trust 2005-22T1 Series 2005-22T1 A2<sup>(a),(c)</sup> | TSFR1M + 4.956% | 0.6360 | &nbsp;&nbsp;&nbsp;06/25/35 | 23057 |
| 1541020 | Alternative Loan Trust 2006-32CB Series 2006-32CB A8<sup>(a),(c)</sup> | TSFR1M + 5.156% | 0.8360 | &nbsp;&nbsp;&nbsp;11/25/36 | 145864 |
| 112793 | Alternative Loan Trust 2006-HY10 Series 2006-HY10 2A1<sup>(b)</sup> |  | 5.3720 | &nbsp;&nbsp;&nbsp;05/25/36 | 107540 |
| 294588 | Alternative Loan Trust 2006-J3 Series 2006-J3 2A1 |  | 4.7500 | &nbsp;&nbsp;&nbsp;12/29/25 | 267487 |
| 131217 | Alternative Loan Trust 2006-J5 Series 2006-J5 1A4 |  | 6.5000 | &nbsp;&nbsp;&nbsp;09/25/36 | 65467 |
| 19287685 | Alternative Loan Trust 2006-OA10 Series 2006-OA10 XBI<sup>(a),(d) (i)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;08/25/46 | 57111 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** |  |  |  |
| 4501739 | Alternative Loan Trust 2006-OA10 Series 2006-OA10 XAD<sup>(a),(d) (i)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;08/25/46 | $9925 |
| 11076588 | Alternative Loan Trust 2006-OA14 Series 2006-OA14 X2<sup>(a),(b)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;11/25/46 | 111 |
| 4899982 | Alternative Loan Trust 2006-OA17 Series 2006-OA17 2X<sup>(a),(b)</sup> |  | 1.1990 | &nbsp;&nbsp;&nbsp;12/20/46 | 434325 |
| 32579244 | Alternative Loan Trust 2006-OA2 Series 2006-OA2 X1P<sup>(a),(b)</sup> |  | 0.2060 | &nbsp;&nbsp;&nbsp;05/20/46 | 247873 |
| 27900000 | Alternative Loan Trust 2006-OC6 Series 2006-OC6 2A2A<sup>(c) (i)</sup> | TSFR1M + 0.434% | 0.0001 | &nbsp;&nbsp;&nbsp;07/25/36 | 113448 |
| 137321 | Alternative Loan Trust Resecuritization 2006-22R Series 2006-22R 2A2 |  | 6.2500 | &nbsp;&nbsp;&nbsp;05/25/36 | 69810 |
| 162825 | American Home Mortgage Assets Trust 2006-2 Series 2006-2 1A1<sup>(c)</sup> | 12MTA + 0.960% | 5.3590 | &nbsp;&nbsp;&nbsp;09/25/46 | 148647 |
| 121945 | American Home Mortgage Assets Trust 2007-5 Series 2007-5 A1<sup>(c)</sup> | TSFR1M + 0.494% | 4.8140 | &nbsp;&nbsp;&nbsp;06/25/47 | 114632 |
| 141267 | Banc of America Alternative Loan Trust 2006-8 Series 2006-8 1A5<sup>(a),(c)</sup> | TSFR1M + 772.262% | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/36 | 30563 |
| 307167 | Banc of America Alternative Loan Trust 2006-8 Series 2006-8 XIO<sup>(a)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/46 | 61641 |
| 2060379 | Banc of America Funding 2005-C Trust Series 2005-C M2<sup>(c)</sup> | TSFR1M + 0.764% | 5.0820 | &nbsp;&nbsp;&nbsp;05/20/35 | 1437139 |
| 44894 | Banc of America Funding 2005-F Trust Series 2005-F 1A1<sup>(c)</sup> | TSFR1M + 0.734% | 5.0520 | &nbsp;&nbsp;&nbsp;09/20/35 | 34058 |
| 436543 | Banc of America Mortgage 2007-1 Trust Series 2007-1 2IO<sup>(a)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;01/25/37 | 80258 |
| 564443 | BCAP, LLC 2008-RR3 Trust Series 2008-RR3 A1B<sup>(b),(e)</sup> |  | 6.6970 | &nbsp;&nbsp;&nbsp;10/25/36 | 167049 |
| 197636 | Bear Stearns ALT-A Trust 2003-6 Series 2003-6 B1<sup>(b)</sup> |  | 5.4060 | &nbsp;&nbsp;&nbsp;01/25/34 | 121080 |
| 205791 | Bear Stearns ALT-A Trust 2005-7 Series 2005-7 25A1<sup>(b)</sup> |  | 5.5130 | &nbsp;&nbsp;&nbsp;09/25/35 | 64582 |
| 110111 | Bear Stearns ARM Trust 2004-6 Series 2004-6 2A2<sup>(b)</sup> |  | 4.2030 | &nbsp;&nbsp;&nbsp;09/25/34 | 99396 |
| 33996 | Bear Stearns ARM Trust 2004-7 Series 2004-7 1A1<sup>(b) (i)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;10/25/34 | 26435 |
| 64803 | Bear Stearns ARM Trust 2007-4 Series 2007-4 22A1<sup>(b)</sup> |  | 4.3170 | &nbsp;&nbsp;&nbsp;06/25/47 | 57099 |
| 26267 | Bear Stearns Asset Backed Securities I Trust Series 2004-AC5 A2<sup>(c)</sup> | TSFR1M + 0.514% | 4.8340 | &nbsp;&nbsp;&nbsp;10/25/34 | 23344 |
| 174869 | Bear Stearns Asset Backed Securities Trust Series 2003-AC4 M1<sup>(d)</sup> |  | 5.6580 | &nbsp;&nbsp;&nbsp;09/25/33 | 153506 |
| 22528 | Bear Stearns Asset Backed Securities Trust Series 2003-AC5 B<sup>(c)</sup> | TSFR1M + 4.989% | 9.3090 | &nbsp;&nbsp;&nbsp;10/25/33 | 38551 |
| 30372 | Bear Stearns Asset Backed Securities Trust Series 2003-AC6 M2<sup>(c)</sup> | TSFR1M + 2.764% | 7.0840 | &nbsp;&nbsp;&nbsp;11/25/33 | 21193 |
| 1421812 | Bear Stearns Mortgage Funding Trust 2006-AR1 Series 2006-AR1 2A2<sup>(c)</sup> | TSFR1M + 0.634% | 4.9540 | &nbsp;&nbsp;&nbsp;08/25/36 | 1458722 |
| 2331011 | Bear Stearns Mortgage Funding Trust 2006-AR5 Series 2006-AR5 1A2<sup>(c)</sup> | TSFR1M + 0.324% | 4.6440 | &nbsp;&nbsp;&nbsp;12/25/46 | 2505809 |
| 2232763 | Bear Stearns Mortgage Funding Trust 2007-AR1 Series 2007-AR1 1A2<sup>(c)</sup> | TSFR1M + 0.324% | 4.6440 | &nbsp;&nbsp;&nbsp;01/25/37 | 2234904 |
| 1685919 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 1A2<sup>(c)</sup> | TSFR1M + 0.294% | 4.7940 | &nbsp;&nbsp;&nbsp;03/25/37 | 1702982 |
| 1450163 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 21A2<sup>(c)</sup> | TSFR1M + 0.494% | 4.8140 | &nbsp;&nbsp;&nbsp;04/25/37 | 1480279 |
| 16683 | Bear Stearns Mortgage Funding Trust 2007-SL1 Series 2007-SL1 1A<sup>(c)</sup> | TSFR1M + 0.434% | 4.7540 | &nbsp;&nbsp;&nbsp;03/25/37 | 21632 |
| 19620 | Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 5A2<sup>(b)</sup> |  | 6.4090 | &nbsp;&nbsp;&nbsp;02/25/37 | 18407 |
| 5652 | Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 7A1<sup>(b)</sup> |  | 7.2910 | &nbsp;&nbsp;&nbsp;02/25/37 | 5691 |
| 29373 | Chevy Chase Funding, LLC Mortgage-Backed Series 2004-2A A2<sup>(c),(e)</sup> | TSFR1M + 0.434% | 4.7540 | &nbsp;&nbsp;&nbsp;05/25/35 | 28736 |
| 375798 | Chevy Chase Funding, LLC Mortgage-Backed Series 2007-2A A2<sup>(c),(e)</sup> | TSFR1M + 0.294% | 4.6140 | &nbsp;&nbsp;&nbsp;05/25/48 | 258476 |
| 190127 | CHL Mortgage Pass-Through Trust 2003-58 Series 2003-58 M<sup>(b)</sup> |  | 6.8970 | &nbsp;&nbsp;&nbsp;02/19/34 | 175300 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** |  |  |  |
| 23651 | CHL Mortgage Pass-Through Trust 2004-25 Series 2004-25 1A2<sup>(c)</sup> | TSFR1M + 0.894% | 5.2140 | &nbsp;&nbsp;&nbsp;02/25/35 | $19660 |
| 3830295 | CHL Mortgage Pass-Through Trust 2004-29 Series 2004-29 2X<sup>(a),(b)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;02/25/35 | 38 |
| 15776 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A1<sup>(c)</sup> | TSFR1M + 0.384% | 4.7040 | &nbsp;&nbsp;&nbsp;04/25/35 | 14993 |
| 198548 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A2<sup>(c)</sup> | TSFR1M + 0.434% | 4.7540 | &nbsp;&nbsp;&nbsp;04/25/35 | 145353 |
| 211880 | CHL Mortgage Pass-Through Trust 2005-14 Series 2005-14 A3 |  | 5.5000 | &nbsp;&nbsp;&nbsp;07/25/35 | 77558 |
| 82941 | CHL Mortgage Pass-Through Trust 2007-HYB2 Series 2007-HYB2 3A1<sup>(b)</sup> |  | 4.3760 | &nbsp;&nbsp;&nbsp;02/25/47 | 72381 |
| 54996 | Citicorp Mortgage Securities Trust Series 2006-4 Series 2006-4 1A12 |  | 6.0000 | &nbsp;&nbsp;&nbsp;08/25/36 | 21934 |
| 31959 | Citicorp Mortgage Securities Trust Series 2007-7 Series 2007-7 APO<sup>(f)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;08/25/37 | 21589 |
| 18940 | Citigroup Mortgage Loan Trust 2004-HYB2 Series 2004-HYB2 1A<sup>(b)</sup> |  | 6.9970 | &nbsp;&nbsp;&nbsp;03/25/34 | 18492 |
| 90494 | Citigroup Mortgage Loan Trust 2005-3 Series 2005-3 2A2B<sup>(b)</sup> |  | 5.9880 | &nbsp;&nbsp;&nbsp;08/25/35 | 81220 |
| 40331 | Citigroup Mortgage Loan Trust 2006-AR1 Series 2006-AR1 2A1<sup>(c)</sup> | H15T1Y + 2.400% | 6.3000 | &nbsp;&nbsp;&nbsp;03/25/36 | 40591 |
| 33180 | Citigroup Mortgage Loan Trust 2007-AR8 Series 2007-AR8 2A1A<sup>(b)</sup> |  | 5.1350 | &nbsp;&nbsp;&nbsp;07/25/37 | 29673 |
| 14175 | Citigroup Mortgage Loan Trust, Inc. Series 2004-HYB1 A31<sup>(b)</sup> |  | 6.7430 | &nbsp;&nbsp;&nbsp;02/25/34 | 14230 |
| 52833 | CitiMortgage Alternative Loan Trust Series 2007-A1 Series 2007-A1 1A1 |  | 6.0000 | &nbsp;&nbsp;&nbsp;01/25/37 | 47627 |
| 2503377 | CitiMortgage Alternative Loan Trust Series 2007-A6 Series 2007-A6 1A2<sup>(a),(c)</sup> | TSFR1M + 5.286% | 0.9660 | &nbsp;&nbsp;&nbsp;06/25/37 | 180614 |
| 21849 | Countrywide Asset-Backed Certificates Series 2005-IM3 A3<sup>(c)</sup> | TSFR1M + 0.614% | 4.9340 | &nbsp;&nbsp;&nbsp;03/25/36 | 22831 |
| 75410 | Credit Suisse First Boston Mortgage Securities Series 2003-AR9 CB1<sup>(b)</sup> |  | 6.2860 | &nbsp;&nbsp;&nbsp;03/25/33 | 73030 |
| 642815 | Credit Suisse First Boston Mortgage Securities Series 2004-AR7 CB1<sup>(c)</sup> | TSFR1M + 1.264% | 5.5840 | &nbsp;&nbsp;&nbsp;11/25/34 | 596340 |
| 421485 | CSFB Mortgage-Backed Trust Series 2004-7 Series 2004-7 DB1<sup>(b)</sup> |  | 5.9890 | &nbsp;&nbsp;&nbsp;11/25/34 | 268491 |
| 43206 | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5 1A3<sup>(b)</sup> |  | 5.5000 | &nbsp;&nbsp;&nbsp;11/25/35 | 78096 |
| 990081 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5 A3<sup>(c)</sup> | TSFR1M + 0.914% | 5.2340 | &nbsp;&nbsp;&nbsp;08/25/47 | 757233 |
| 9289 | DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B2<sup>(c)</sup> | TSFR1M + 1.764% | 6.0820 | &nbsp;&nbsp;&nbsp;08/25/35 | 8275 |
| 173076 | DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B3<sup>(c)</sup> | TSFR1M + 1.989% | 6.3070 | &nbsp;&nbsp;&nbsp;07/19/44 | 98857 |
| 24 | DSLA Mortgage Loan Trust 2005-AR1 Series 2005-AR1 2A2<sup>(c) (i) (k)</sup> | TSFR1M + 0.774% | 5.0920 | &nbsp;&nbsp;&nbsp;02/19/45 |  |
| 100302 | Fannie Mae REMIC Trust 2003-W1 Series 2003-W1 M<sup>(b)</sup> |  | 2.3710 | &nbsp;&nbsp;&nbsp;12/25/42 | 86929 |
| 579815 | Global Mortgage Securitization Ltd. Series 2005-A B1<sup>(e)</sup> |  | 5.2500 | &nbsp;&nbsp;&nbsp;04/25/32 | 532585 |
| 9555 | GreenPoint Mortgage Funding Trust 2006-AR3 Series 2006-AR3 3A1<sup>(c) (i) (k)</sup> | TSFR1M + 0.574% | 4.8940 | &nbsp;&nbsp;&nbsp;04/25/36 | 9555 |
| 26332087 | GreenPoint Mortgage Funding Trust Series 2006-AR8<sup>(c) (i)</sup> | TSFR1M + 0.534% | 0.0001 | &nbsp;&nbsp;&nbsp;01/25/47 | 176867 |
| 792324 | GSMPS Mortgage Loan Trust 2003-3 Series 2003-3 B1<sup>(b),(e)</sup> |  | 6.9770 | &nbsp;&nbsp;&nbsp;06/25/43 | 8 |
| 155788 | GSR Mortgage Loan Trust 2003-2F Series 2003-2F 2A5 |  | 4.7500 | &nbsp;&nbsp;&nbsp;03/25/32 | 159640 |
| 10013 | GSR Mortgage Loan Trust 2004-7 Series 2004-7 1A2<sup>(b)</sup> |  | 4.8570 | &nbsp;&nbsp;&nbsp;06/25/34 | 9808 |
| 1763440 | GSR Mortgage Loan Trust 2006-4F Series 2006-4F 4A1<sup>(c)</sup> | TSFR1M + 0.464% | 4.7840 | &nbsp;&nbsp;&nbsp;05/25/36 | 257548 |
| 1039850 | GSR Mortgage Loan Trust 2006-9F Series 2006-9F 6A1<sup>(c)</sup> | TSFR1M + 0.464% | 4.7840 | &nbsp;&nbsp;&nbsp;10/25/36 | 72084 |
| 14210 | GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 1B2<sup>(c)</sup> | TSFR1M + 0.894% | 5.2140 | &nbsp;&nbsp;&nbsp;12/25/35 | 3380 |
| 83002 | GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 2A1<sup>(b)</sup> |  | 4.5370 | &nbsp;&nbsp;&nbsp;04/25/36 | 50577 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** |  |  |  |
| 12389869 | HarborView Mortgage Loan Trust 2005-8 Series 2005-8 1X<sup>(a),(b)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;09/19/35 | $124 |
| 9803175 | HarborView Mortgage Loan Trust 2006-1 Series 2006-1 X1<sup>(a),(b)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;03/19/36 | 98 |
| 255819 | HomeBanc Mortgage Trust 2005-1 Series 2005-1 B1<sup>(c)</sup> | TSFR1M + 1.989% | 2.1580 | &nbsp;&nbsp;&nbsp;03/25/35 | 170166 |
| 9430 | Impac CMB Trust Series 2004-4 Series 2004-4 1M6<sup>(c)</sup> | TSFR1M + 2.364% | 6.6840 | &nbsp;&nbsp;&nbsp;09/25/34 | 9388 |
| 20897 | Impac CMB Trust Series 2005-2 Series 2005-2 2B<sup>(c)</sup> | TSFR1M + 2.589% | 6.9090 | &nbsp;&nbsp;&nbsp;04/25/35 | 20992 |
| 255246 | Impac Secured Assets CMN Owner Trust Series 2002-2 M1 |  | 6.5000 | &nbsp;&nbsp;&nbsp;04/25/33 | 124840 |
| 730621 | Impac Secured Assets CMN Owner Trust Series 2004-1 M2<sup>(d)</sup> |  | 5.4360 | &nbsp;&nbsp;&nbsp;03/25/34 | 403533 |
| 65106 | IndyMac INDA Mortgage Loan Trust 2006-AR3 Series 2006-AR3 1A1<sup>(b)</sup> |  | 4.1700 | &nbsp;&nbsp;&nbsp;12/25/36 | 50493 |
| 895011 | IndyMac INDX Mortgage Loan Trust 2004-AR9 Series 2004-AR9 5M2<sup>(c)</sup> | TSFR1M + 1.914% | 6.2340 | &nbsp;&nbsp;&nbsp;11/25/34 | 672207 |
| 193708 | IndyMac INDX Mortgage Loan Trust 2005-AR2 Series 2005-AR2 2A1B<sup>(c)</sup> | TSFR1M + 0.894% | 5.2140 | &nbsp;&nbsp;&nbsp;02/25/35 | 143165 |
| 145569 | IndyMac INDX Mortgage Loan Trust 2005-AR4 Series 2005-AR4 2A1A<sup>(c)</sup> | TSFR1M + 0.674% | 4.9940 | &nbsp;&nbsp;&nbsp;03/25/35 | 144321 |
| 33066 | IndyMac INDX Mortgage Loan Trust 2006-AR5 Series 2006-AR5 2A1<sup>(b)</sup> |  | 3.6790 | &nbsp;&nbsp;&nbsp;05/25/36 | 32184 |
| 1162840 | IndyMac INDX Mortgage Loan Trust 2007-FLX3 Series 2007-FLX3 A2<sup>(c)</sup> | TSFR1M + 0.654% | 4.9740 | &nbsp;&nbsp;&nbsp;06/25/37 | 1404504 |
| 337296 | JP Morgan Alternative Loan Trust Series 2006-A2 5A1<sup>(b)</sup> |  | 4.4490 | &nbsp;&nbsp;&nbsp;05/25/36 | 191651 |
| 957411 | JP Morgan Mortgage Trust 2005-A1 Series 2005-A1 IB2<sup>(b)</sup> |  | 6.2690 | &nbsp;&nbsp;&nbsp;02/25/35 | 910213 |
| 44991 | JP Morgan Mortgage Trust 2006-A6 Series 2006-A6 3A2<sup>(b)</sup> |  | 4.4280 | &nbsp;&nbsp;&nbsp;10/25/36 | 25044 |
| 111514 | JP Morgan Mortgage Trust 2006-A7 Series 2006-A7 2A2<sup>(b)</sup> |  | 4.4810 | &nbsp;&nbsp;&nbsp;01/25/37 | 85225 |
| 129289 | JP Morgan Mortgage Trust 2006-S3 Series 2006-S3 1A12 |  | 6.5000 | &nbsp;&nbsp;&nbsp;08/25/36 | 39950 |
| 32740 | Lehman Mortgage Trust 2005-3 Series 2005-3 2A7 |  | 6.0000 | &nbsp;&nbsp;&nbsp;01/25/36 | 27467 |
| 3085906 | Lehman XS Trust Series 2006-18N Series 18N A5A<sup>(c) (i)</sup> | TSFR1M + 0.454% | 0.0001 | &nbsp;&nbsp;&nbsp;12/25/36 | 29289 |
| 103690 | Lehman XS Trust Series 2007-16N Series 2007-16N 2A2<sup>(c)</sup> | TSFR1M + 1.814% | 6.1340 | &nbsp;&nbsp;&nbsp;09/25/47 | 92978 |
| 435495 | MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A3<sup>(c)</sup> | TSFR1M + 0.464% | 4.7840 | &nbsp;&nbsp;&nbsp;03/25/36 | 40314 |
| 283071 | MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A1<sup>(c)</sup> | TSFR1M + 0.514% | 4.8340 | &nbsp;&nbsp;&nbsp;03/25/36 | 26539 |
| 26526 | MASTR Asset Securitization Trust 2004-3 Series 2004-3 4A11 |  | 5.5000 | &nbsp;&nbsp;&nbsp;03/25/34 | 301 |
| 27260 | Merrill Lynch Mortgage Investors Trust MLMI Series Series 2003-A1 M2<sup>(b)</sup> |  | 6.0770 | &nbsp;&nbsp;&nbsp;12/25/32 | 27709 |
| 1932419 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2003-G XA2<sup>(a),(b)</sup> |  | 0.2210 | &nbsp;&nbsp;&nbsp;01/25/29 | 10221 |
| 259271 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2007-3 M1<sup>(b)</sup> |  | 4.3270 | &nbsp;&nbsp;&nbsp;09/25/37 | 96807 |
| 16275 | Merrill Lynch Mortgage Investors Trust Series MLMI Series 2004-A1 M1<sup>(b)</sup> |  | 6.1990 | &nbsp;&nbsp;&nbsp;02/25/34 | 10937 |
| 18514 | MortgageIT Trust 2005-2 Series 2005-2 2M2<sup>(c)</sup> | TSFR1M + 1.764% | 6.0890 | &nbsp;&nbsp;&nbsp;05/25/35 | 17342 |
| 120720 | Nomura Asset Acceptance Corp Alternative Loan Series 2004-AR1 5M1<sup>(c)</sup> | TSFR1M + 1.214% | 5.5340 | &nbsp;&nbsp;&nbsp;08/25/34 | 137696 |
| 385 | RALI Series 2003-QS9 Trust Series 2003-QS9 A2<sup>(c) (i) (k)</sup> | TSFR1M + 0.564% | 4.8840 | &nbsp;&nbsp;&nbsp;05/25/30 | —<sup>(h)</sup> |
| 3108368 | RALI Series 2005-QO1 Trust Series 2005-QO1 A3<sup>(c)</sup> | TSFR1M + 0.494% | 4.8140 | &nbsp;&nbsp;&nbsp;08/25/35 | 1246213 |
| 144873 | RALI Series 2005-QS7 Trust Series 2005-QS7 CB |  | 5.5000 | &nbsp;&nbsp;&nbsp;06/25/35 | 131400 |
| 231335 | RALI Series 2006-QS16 Trust Series 2006-QS16 A10 |  | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/36 | 183919 |
| 114882 | RALI Series 2006-QS7 Trust Series 2006-QS7 A4<sup>(c)</sup> | TSFR1M + 0.514% | 4.8340 | &nbsp;&nbsp;&nbsp;06/25/36 | 81955 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS** — **26.6% (Continued)** |  |  |  |
| 49048800 | RALI Series 2007-QH5 Trust Series 2007-QH5 AI2<sup>(c) (i)</sup> | TSFR1M + 0.614% | 4.9340 | &nbsp;&nbsp;&nbsp;06/25/37 | $163308 |
| 512610 | RALI Series 2007-QH7 Trust Series 2007-QH7 1A2<sup>(c)</sup> | TSFR1M + 0.654% | 4.9740 | &nbsp;&nbsp;&nbsp;08/25/37 | 492347 |
| 6258 | RAMP Series 2004-SL1 Trust Series 2004-SL1 MI6<sup>(c)</sup> | TSFR1M + 2.014% | 7.2840 | &nbsp;&nbsp;&nbsp;10/25/31 | 6120 |
| 5636083 | Reperforming Loan REMIC Trust 2005-R1 Series 2005-R1 1AS<sup>(a),(b),(e)</sup> |  | 1.7390 | &nbsp;&nbsp;&nbsp;03/25/35 | 259356 |
| 7013114 | Reperforming Loan REMIC Trust 2005-R2 Series 2005-R2 1AS<sup>(a),(b),(e)</sup> |  | 1.3020 | &nbsp;&nbsp;&nbsp;06/25/35 | 318050 |
| 6248928 | Reperforming Loan REMIC Trust 2006-R1 Series 2006-R1 AS<sup>(a),(b)</sup> |  | 1.1270 | &nbsp;&nbsp;&nbsp;01/25/36 | 259299 |
| 12064303 | Residential Asset Securitization Trust 2005-A11CB Series 2005-A11 1AX<sup>(a),(b)</sup> |  | 0.3560 | &nbsp;&nbsp;&nbsp;10/25/35 | 136100 |
| 267260 | Residential Asset Securitization Trust 2005-A16 Series 2005-A16 A3 |  | 6.0000 | &nbsp;&nbsp;&nbsp;02/25/36 | 106539 |
| 135432 | SACO I, Inc. Series 1999-3 1B1<sup>(b),(e) (i)</sup> |  | 4.8410 | &nbsp;&nbsp;&nbsp;04/25/39 | 133066 |
| 874525 | Structured Asset Mortgage Investments II Trust Series 2005-AR5 X2<sup>(a),(b)</sup> |  | 0.5280 | &nbsp;&nbsp;&nbsp;07/19/35 | 21026 |
| 300000 | Structured Asset Mortgage Investments II Trust Series AR7 A10<sup>(c) (i)</sup> | TSFR1M + 0.514% | 0.0001 | &nbsp;&nbsp;&nbsp;08/25/36 | 759 |
| 981896 | Structured Asset Mortgage Investments II Trust Series AR6 A2<sup>(c)</sup> | 12MTA + 1.730% | 6.1290 | &nbsp;&nbsp;&nbsp;08/25/47 | 1498498 |
| 239499 | Structured Asset Securities Corp Assistance Loan Series 2003-AL1 B1<sup>(e)</sup> |  | 3.3560 | &nbsp;&nbsp;&nbsp;04/25/31 | 156122 |
| 144143 | Structured Asset Securities Corp Mortgage Series 2003-9A B1II<sup>(b)</sup> |  | 5.9880 | &nbsp;&nbsp;&nbsp;03/25/33 | 134715 |
| 414671 | Structured Asset Securities Corporation Series 2005-RF4 B1<sup>(b),(e)</sup> |  | 4.3160 | &nbsp;&nbsp;&nbsp;07/25/35 | 299481 |
| 446066 | SunTrust Alternative Loan Trust 2006-1F Series 2006-1F 1A4 |  | 6.0000 | &nbsp;&nbsp;&nbsp;04/25/36 | 151007 |
| 20135803 | WaMu Mortgage Pass-Through Certificates Series Series 2005-AR15 X<sup>(a),(b) (i)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;11/25/45 | 13410 |
| 994301 | Washington Mutual Mortgage Pass-Through Series 2007-1 1A3<sup>(c)</sup> | TSFR1M + 0.484% | 4.8040 | &nbsp;&nbsp;&nbsp;02/25/37 | 651687 |
|  |  |  |  |  | 31445897 |
|  | **HOME EQUITY** — **19.2%** | **HOME EQUITY** — **19.2%** |  |  |  |
| 176034 | ABFC 2004-OPT1 Trust Series 2004-OPT1 M6<sup>(c)</sup> | TSFR1M + 5.364% | 9.6840 | &nbsp;&nbsp;&nbsp;12/25/32 | 163714 |
| 170420 | ABFC 2004-OPT3 Trust Series 2004-OPT3 M1<sup>(c)</sup> | TSFR1M + 0.864% | 5.1840 | &nbsp;&nbsp;&nbsp;09/25/33 | 170326 |
| 114000 | Accredited Mortgage Loan Trust 2005-4 Series 2005-4 M3<sup>(c)</sup> | TSFR1M + 0.574% | 4.8940 | &nbsp;&nbsp;&nbsp;12/25/35 | 91946 |
| 338700 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-FM1 M6<sup>(c)</sup> | TSFR1M + 5.364% | 9.6840 | &nbsp;&nbsp;&nbsp;11/25/32 | 293955 |
| 135542 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-NC1 M4<sup>(c)</sup> | TSFR1M + 5.364% | 9.6840 | &nbsp;&nbsp;&nbsp;07/25/33 | 116620 |
| 16136 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M2<sup>(c)</sup> | TSFR1M + 1.689% | 6.0090 | &nbsp;&nbsp;&nbsp;04/25/34 | 14659 |
| 80583 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M4<sup>(c)</sup> | TSFR1M + 3.114% | 7.4340 | &nbsp;&nbsp;&nbsp;04/25/34 | 69550 |
| 245351 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M5<sup>(c)</sup> | TSFR1M + 3.489% | 7.8090 | &nbsp;&nbsp;&nbsp;04/25/34 | 207339 |
| 372476 | Aegis Asset Backed Securities Trust Mortgage Series 2004-1 M3<sup>(c)</sup> | TSFR1M + 2.444% | 6.7640 | &nbsp;&nbsp;&nbsp;04/25/34 | 200832 |
| 164744 | Aegis Asset Backed Securities Trust Mortgage Series 2004-1 B1<sup>(c)</sup> | TSFR1M + 2.894% | 7.2140 | &nbsp;&nbsp;&nbsp;04/25/34 | 3562 |
| 553075 | AFC Home Equity Loan Trust Series 1999-2 1A<sup>(c)</sup> | TSFR1M + 0.924% | 5.2440 | &nbsp;&nbsp;&nbsp;06/25/29 | 444332 |
| 6850000 | Ameriquest Mortgage Securities Asset-Backed<sup>(c) (i)</sup> | US0001M + 3.045% | 3.1290 | &nbsp;&nbsp;&nbsp;05/25/33 | 381 |
| 271946 | Argent Securities Inc Asset-Backed Pass-Through Series 2006-M2 A2C<sup>(c)</sup> | TSFR1M + 0.264% | 4.5840 | &nbsp;&nbsp;&nbsp;09/25/36 | 87414 |
| 41668 | Asset Backed Securities Corp Home Equity Loan Series 2004-HE3 M6<sup>(c)</sup> | TSFR1M + 4.239% | 8.5590 | &nbsp;&nbsp;&nbsp;06/25/34 | 52707 |
| 302146 | Asset Backed Securities Corp Home Equity Loan Series 2004-HE9 M2<sup>(c)</sup> | TSFR1M + 1.914% | 6.2340 | &nbsp;&nbsp;&nbsp;12/25/34 | 257918 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **HOME EQUITY** — **19.2% (Continued)** | **HOME EQUITY** — **19.2% (Continued)** |  |  |  |
| 791262 | Asset Backed Securities Corp Home Equity Loan Series 2005-HE2 M5<sup>(c)</sup> | TSFR1M + 1.989% | 6.3090 | &nbsp;&nbsp;&nbsp;02/25/35 | $846342 |
| 2430000 | Bayview Financial Mortgage Pass-Through Trust Series 2005-C B2<sup>(c)</sup> | TSFR1M + 2.139% | 6.4680 | &nbsp;&nbsp;&nbsp;06/28/44 | 2160995 |
| 328865 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR2 M6<sup>(c)</sup> | TSFR1M + 2.964% | 5.1760 | &nbsp;&nbsp;&nbsp;06/25/34 | 310043 |
| 112763 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE6 M5<sup>(c)</sup> | TSFR1M + 4.239% | 5.4560 | &nbsp;&nbsp;&nbsp;08/25/34 | 116073 |
| 182516 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE7 M6<sup>(c)</sup> | TSFR1M + 5.739% | 10.0590 | &nbsp;&nbsp;&nbsp;08/25/34 | 171136 |
| 912695 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR3 M5<sup>(c)</sup> | TSFR1M + 2.964% | 5.7450 | &nbsp;&nbsp;&nbsp;09/25/34 | 990062 |
| 618958 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE8 M4<sup>(c)</sup> | TSFR1M + 2.739% | 7.0590 | &nbsp;&nbsp;&nbsp;09/25/34 | 716658 |
| 376533 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE9 M4<sup>(c)</sup> | TSFR1M + 2.739% | 5.7140 | &nbsp;&nbsp;&nbsp;11/25/34 | 428342 |
| 188378 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE10 M5<sup>(c)</sup> | TSFR1M + 2.814% | 6.0180 | &nbsp;&nbsp;&nbsp;12/25/34 | 218632 |
| 119746 | Bear Stearns Asset Backed Securities Trust Series 1999-2 MF1<sup>(d)</sup> |  | 8.2200 | &nbsp;&nbsp;&nbsp;10/25/29 | 167969 |
| 11306 | Bear Stearns Asset Backed Securities Trust Series 1999-2 AF2<sup>(d)</sup> |  | 8.4100 | &nbsp;&nbsp;&nbsp;10/25/29 | 11331 |
| 86246 | Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M4<sup>(c)</sup> | TSFR1M + 2.964% | 5.9220 | &nbsp;&nbsp;&nbsp;01/25/34 | 84379 |
| 73148 | Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M5<sup>(c)</sup> | TSFR1M + 3.489% | 5.9220 | &nbsp;&nbsp;&nbsp;01/25/34 | 87258 |
| 112358 | Bear Stearns Asset Backed Securities Trust Series 2004-HE1 M6<sup>(c)</sup> | TSFR1M + 6.114% | 6.0840 | &nbsp;&nbsp;&nbsp;02/25/34 | 138305 |
| 9927 | Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M4<sup>(c)</sup> | TSFR1M + 2.739% | 5.5650 | &nbsp;&nbsp;&nbsp;03/25/34 | 10933 |
| 514705 | Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M6<sup>(c)</sup> | TSFR1M + 4.989% | 5.5650 | &nbsp;&nbsp;&nbsp;03/25/34 | 487234 |
| 60479 | Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M2<sup>(c)</sup> | TSFR1M + 1.989% | 6.3090 | &nbsp;&nbsp;&nbsp;07/25/34 | 55145 |
| 51739 | Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M6<sup>(c)</sup> | TSFR1M + 5.739% | 10.0590 | &nbsp;&nbsp;&nbsp;07/25/34 | 45883 |
| 247423 | Centex Home Equity Loan Trust 2001-b Series 2001-B A5<sup>(d)</sup> |  | 7.3300 | &nbsp;&nbsp;&nbsp;07/25/32 | 173257 |
| 48684 | Centex Home Equity Loan Trust 2003-A Series 2003-A M2<sup>(c)</sup> | TSFR1M + 1.844% | 6.1640 | &nbsp;&nbsp;&nbsp;03/25/33 | 48105 |
| 23230 | Centex Home Equity Loan Trust 2004-D Series 2004-D MV2<sup>(c)</sup> | TSFR1M + 1.149% | 5.4690 | &nbsp;&nbsp;&nbsp;09/25/34 | 22527 |
| 87167 | Citigroup Global Markets Mortgage Securities VII, Series 2002-WMC1 M1<sup>(c)</sup> | TSFR1M + 1.464% | 5.7840 | &nbsp;&nbsp;&nbsp;01/25/32 | 86875 |
| 69607 | Citigroup Mortgage Loan Trust 2007-AMC2 Series 2007-AMC2 A3A<sup>(c)</sup> | TSFR1M + 0.274% | 4.5940 | &nbsp;&nbsp;&nbsp;01/25/37 | 50923 |
| 300739 | Citigroup Mortgage Loan Trust 2007-OPX1 Series 2007-OPX1 A4B<sup>(d)</sup> |  | 6.3330 | &nbsp;&nbsp;&nbsp;01/25/37 | 95763 |
| 4656956 | Citigroup Mortgage Loan Trust, Inc. Series 2005-HE4 M5<sup>(c)</sup> | TSFR1M + 1.089% | 5.4090 | &nbsp;&nbsp;&nbsp;10/25/35 | 2580514 |
| 76504 | Credit Suisse First Boston Mortgage Securities Series 2002-HE16 M2<sup>(c)</sup> | TSFR1M + 2.114% | 6.4340 | &nbsp;&nbsp;&nbsp;10/25/32 | 80896 |
| 93368 | Delta Funding Home Equity Loan Trust 1999-3 Series 1999-3 M1<sup>(d)</sup> |  | 8.1000 | &nbsp;&nbsp;&nbsp;01/15/30 | 61567 |
| 580669 | EMC Mortgage Loan Trust 2002-A Series 2002-AA M2<sup>(c),(e)</sup> | TSFR1M + 2.664% | 6.9840 | &nbsp;&nbsp;&nbsp;05/25/39 | 564436 |
| 442082 | EquiFirst Mortgage Loan Trust 2004-3 Series 2004-3 M9<sup>(c)</sup> | TSFR1M + 4.014% | 8.3340 | &nbsp;&nbsp;&nbsp;12/25/34 | 410110 |
| 24751 | GE Capital Mortgage Services Inc 1999-HE2 Trust Series 1999-HE2 B1<sup>(b)</sup> |  | 7.9050 | &nbsp;&nbsp;&nbsp;07/25/29 | 14748 |
| 140883114 | GMACM Home Equity Loan Trust 2006-HE1 Series 2006-HE1 A<sup>(c) (i) (k)</sup> | US0001M + 0.315% | 0.0010 | &nbsp;&nbsp;&nbsp;11/25/36 | 112706 |
| 48807 | GSAA Home Equity Trust 2006-3 Series 2006-3 A1<sup>(c)</sup> | TSFR1M + 0.274% | 4.5940 | &nbsp;&nbsp;&nbsp;03/25/36 | 16307 |
| 135035 | Home Equity Asset Trust Series 2003-8 M3<sup>(c)</sup> | TSFR1M + 2.464% | 6.7840 | &nbsp;&nbsp;&nbsp;04/25/34 | 133625 |
| 166698 | Home Equity Asset Trust 2002-2 Series 2002-2 M2<sup>(c)</sup> | TSFR1M + 1.964% | 6.2840 | &nbsp;&nbsp;&nbsp;06/25/32 | 156592 |
| 215407 | Home Equity Asset Trust 2004-6 Series 2004-6 M5<sup>(c)</sup> | TSFR1M + 1.764% | 6.0840 | &nbsp;&nbsp;&nbsp;12/25/34 | 215874 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **HOME EQUITY** — **19.2% (Continued)** | **HOME EQUITY** — **19.2% (Continued)** |  |  |  |
| 105693 | Home Equity Mortgage Loan Asset-Backed Trust Series 2003-A MF1<sup>(d)</sup> |  | 4.6630 | &nbsp;&nbsp;&nbsp;04/25/33 | $201598 |
| 453975 | IMC Home Equity Loan Trust 1998-1 Series 1998-1 M1<sup>(d)</sup> |  | 7.5300 | &nbsp;&nbsp;&nbsp;06/20/29 | 452058 |
| 65 | IMC Home Equity Loan Trust 1998-5 Series 1998-5 A6<sup>(d)</sup> |  | 6.5600 | &nbsp;&nbsp;&nbsp;03/15/37 | 65 |
| 133609 | Mastr Asset Backed Securities Trust 2004-FRE1 Series 2004-FRE1 M6<sup>(c)</sup> | TSFR1M + 2.214% | 6.5340 | &nbsp;&nbsp;&nbsp;07/25/34 | 117310 |
| 24381 | Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M4<sup>(c)</sup> | TSFR1M + 1.614% | 5.9340 | &nbsp;&nbsp;&nbsp;09/25/34 | 19118 |
| 662362 | Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M8<sup>(c)</sup> | TSFR1M + 2.964% | 7.2840 | &nbsp;&nbsp;&nbsp;09/25/34 | 457916 |
| 732187 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC10 Series 2003-NC10 B2<sup>(c)</sup> | TSFR1M + 5.739% | 10.0590 | &nbsp;&nbsp;&nbsp;10/25/33 | 806701 |
| 358310 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8 Series 2003-NC8 B1<sup>(c)</sup> | TSFR1M + 5.514% | 9.8340 | &nbsp;&nbsp;&nbsp;09/25/33 | 362755 |
| 2 | New Century Home Equity Loan Trust 2004-1 Series 2004-1 M2<sup>(c) (i) (k)</sup> | TSFR1M + 2.139% | 6.4590 | &nbsp;&nbsp;&nbsp;05/25/34 |  |
| 653565 | New Century Home Equity Loan Trust Series 2003-2 Series 2003-2 M2<sup>(c)</sup> | TSFR1M + 3.114% | 7.4340 | &nbsp;&nbsp;&nbsp;01/25/33 | 497595 |
| 174454 | New Century Home Equity Loan Trust Series 2003-3 Series 2003-3 M6<sup>(c)</sup> | TSFR1M + 5.739% | 10.0590 | &nbsp;&nbsp;&nbsp;07/25/33 | 175947 |
| 1579466 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 B<sup>(d),(e)</sup> |  | 4.8480 | &nbsp;&nbsp;&nbsp;11/25/33 | 1390976 |
| 28821 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 M5<sup>(d)</sup> |  | 4.8480 | &nbsp;&nbsp;&nbsp;11/25/33 | 25969 |
| 329739 | NovaStar Mortgage Funding Trust Series 2004-3 Series 2004-3 B1<sup>(c)</sup> | TSFR1M + 2.889% | 7.2090 | &nbsp;&nbsp;&nbsp;12/25/34 | 281145 |
| 202353 | Option One Mortgage Loan Trust 2004-1 Series 2004-1 M3<sup>(c)</sup> | TSFR1M + 2.139% | 6.4590 | &nbsp;&nbsp;&nbsp;01/25/34 | 179546 |
| 298286 | Option One Mortgage Loan Trust 2004-1 Series 2004-1 M4<sup>(c)</sup> | TSFR1M + 2.589% | 6.9090 | &nbsp;&nbsp;&nbsp;01/25/34 | 262769 |
| 471888 | Option One Mortgage Loan Trust 2004-2 Series 2004-2 M4<sup>(c)</sup> | TSFR1M + 2.814% | 7.1340 | &nbsp;&nbsp;&nbsp;05/25/34 | 520778 |
| 151624 | Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 A2<sup>(c)</sup> | TSFR1M + 0.954% | 4.8540 | &nbsp;&nbsp;&nbsp;01/25/31 | 137288 |
| 985 | RASC Series 2003-KS4 Trust Series 2003-KS4 AIII<sup>(c)</sup> | TSFR1M + 0.404% | 4.7240 | &nbsp;&nbsp;&nbsp;06/25/33 | 986 |
| 321960 | Renaissance Home Equity Loan Trust 2002-3 Series 2002-3 B<sup>(c)</sup> | TSFR1M + 5.364% | 9.6840 | &nbsp;&nbsp;&nbsp;12/25/32 | 173252 |
| 260668 | Renaissance Home Equity Loan Trust 2003-2 Series 2003-2 M2A<sup>(c)</sup> | TSFR1M + 3.114% | 3.7330 | &nbsp;&nbsp;&nbsp;08/25/33 | 218123 |
| 30746 | Securitized Asset Backed Receivables, LLC Trust Series 2004-NC1 B2<sup>(c)</sup> | TSFR1M + 3.114% | 7.4340 | &nbsp;&nbsp;&nbsp;02/25/34 | 34336 |
| 201152 | Soundview Home Loan Trust 2007-OPT2 Series 2007-OPT2 2A3<sup>(c)</sup> | TSFR1M + 0.294% | 4.6140 | &nbsp;&nbsp;&nbsp;07/25/37 | 180960 |
| 512042 | Specialty Underwriting & Residential Finance Trust Series 2004-BC1 B1<sup>(c)</sup> | TSFR1M + 2.664% | 6.9840 | &nbsp;&nbsp;&nbsp;02/25/35 | 543309 |
| 14757000 | Structured Asset Securities Corp 2005-S1<sup>(c) (i)</sup> | US0001M + 1.050% | 0.0001 | &nbsp;&nbsp;&nbsp;03/25/35 | 115696 |
| 8699 | Structured Asset Securities Corp Mortgage Pass Series 2001-SB1 A5 |  | 3.3750 | &nbsp;&nbsp;&nbsp;08/25/31 | 6358 |
| 15265 | Structured Asset Securities Corp Pass-Through Series 2002-AL1 A2 |  | 3.4500 | &nbsp;&nbsp;&nbsp;02/25/32 | 13104 |
| 14085 | Terwin Mortgage Trust 2003-7SL Series 2003-7SL B3<sup>(b),(e)</sup> |  | 8.0000 | &nbsp;&nbsp;&nbsp;12/25/33 | 13625 |
| 3000000 | Terwin Mortgage Trust 2006-HF-1 Series 2006-HF1 M1<sup>(b),(e) (i)</sup> |  | 0.0001 | &nbsp;&nbsp;&nbsp;02/25/37 | 172612 |
| 177562 | Terwin Mortgage Trust Series TMTS 2003-2HE Series 2003-2HE B<sup>(b)</sup> |  | 3.9320 | &nbsp;&nbsp;&nbsp;07/25/34 | 199777 |
| 14033 | Terwin Mortgage Trust Series TMTS 2003-5SL Series 2003-5SL B3<sup>(b),(e)</sup> |  | 8.0000 | &nbsp;&nbsp;&nbsp;10/25/34 | 12127 |
| 1087477 | UCFC Home Equity Loan Trust 1998-D Series 1998-D MF2<sup>(b)</sup> |  | 7.7500 | &nbsp;&nbsp;&nbsp;04/15/30 | 1044790 |
| 177002 | Yale Mortgage Loan Trust 2007-1 Series 2007-1 A<sup>(c),(e)</sup> | TSFR1M + 0.514% | 4.8340 | &nbsp;&nbsp;&nbsp;06/25/37 | 55367 |
|  |  |  |  |  | 22720756 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **NON AGENCY CMBS** — **21.5%** | **NON AGENCY CMBS** — **21.5%** |  |  |  |
| 6731953 | BANK 2017-BNK6 Series 2017-BNK6 XG<sup>(a),(b),(e)</sup> |  | 1.5000 | &nbsp;&nbsp;&nbsp;07/15/60 | $159125 |
| 7027 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M4<sup>(c),(e)</sup> | TSFR1M + 0.894% | 5.2140 | &nbsp;&nbsp;&nbsp;04/25/36 | 6517 |
| 848618 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 B1<sup>(c),(e)</sup> | TSFR1M + 1.914% | 6.2340 | &nbsp;&nbsp;&nbsp;01/25/37 | 1543385 |
| 411184 | CBA Commercial Small Balance Commercial Mortgage Series 2006-2A A<sup>(d),(e)</sup> |  | 6.0400 | &nbsp;&nbsp;&nbsp;01/25/39 | 399756 |
| 3150000 | Citigroup Commercial Mortgage Trust 2015-GC35 Series 2015-GC35 D |  | 3.2360 | &nbsp;&nbsp;&nbsp;11/10/48 | 1978420 |
| 3500000 | GS Mortgage Securities Trust 2014-GC22 Series 2014-GC22 D<sup>(b),(e)</sup> |  | 4.7260 | &nbsp;&nbsp;&nbsp;06/10/47 | 1300902 |
| 850000 | HMH Trust 2017-NSS Series 2017-NSS A<sup>(e)</sup> |  | 3.0620 | &nbsp;&nbsp;&nbsp;07/05/31 | 738063 |
| 8113000 | HMH Trust 2017-NSS Series 2017-NSS E<sup>(e) (i)</sup> |  | 6.2920 | &nbsp;&nbsp;&nbsp;07/05/31 | 964044 |
| 4000000 | HMH Trust 2017-NSS Series 2017-NSS F<sup>(e) (i)</sup> |  | 8.4800 | &nbsp;&nbsp;&nbsp;07/05/31 | 6435 |
| 64000 | JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC C<sup>(c),(e)</sup> | TSFR1M + 2.597% | 6.9090 | &nbsp;&nbsp;&nbsp;04/15/31 | 3361 |
| 27000 | JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC D<sup>(c),(e)</sup> | TSFR1M + 3.417% | 7.7290 | &nbsp;&nbsp;&nbsp;04/15/31 | 851 |
| 1821000 | JP Morgan Chase Commercial Mortgage Securities Series 2013-LC11 D<sup>(b)</sup> |  | 4.2960 | &nbsp;&nbsp;&nbsp;04/15/46 | 589918 |
| 1000000 | JPMBB Commercial Mortgage Securities Trust Series 2015-C28 E<sup>(b),(e)</sup> |  | 3.8790 | &nbsp;&nbsp;&nbsp;10/15/48 | 774035 |
| 3302000 | JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1 E<sup>(b),(e)</sup> |  | 4.8530 | &nbsp;&nbsp;&nbsp;03/15/49 | 2743223 |
| 1666666 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 E<sup>(e)</sup> |  | 2.8770 | &nbsp;&nbsp;&nbsp;05/15/49 | 1322357 |
| 3976000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 E<sup>(b),(e)</sup> |  | 3.0000 | &nbsp;&nbsp;&nbsp;09/15/49 | 2569736 |
| 4467483 | Starwood Retail Property Trust 2014-STAR Series 2014-STAR A<sup>(c),(e)</sup> | PRIME | 7.5000 | &nbsp;&nbsp;&nbsp;11/15/27 | 2701375 |
| 4892000 | Wells Fargo Commercial Mortgage Trust 2013-LC12 Series 2013-LC12 D<sup>(b),(e)</sup> |  | 3.9150 | &nbsp;&nbsp;&nbsp;07/15/46 | 2956012 |
| 1666666 | Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 E<sup>(e)</sup> |  | 2.8690 | &nbsp;&nbsp;&nbsp;02/15/48 | 790821 |
| 1631000 | Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 D<sup>(e)</sup> |  | 3.7680 | &nbsp;&nbsp;&nbsp;02/15/48 | 869791 |
| 2500000 | Wells Fargo Commercial Mortgage Trust 2016-C36 Series 2016-C36 D<sup>(e)</sup> |  | 2.9420 | &nbsp;&nbsp;&nbsp;11/15/59 | 1874625 |
| 3000000 | WFRBS Commercial Mortgage Trust 2013-C14 Series 2013-C14 E<sup>(e)</sup> |  | 3.2500 | &nbsp;&nbsp;&nbsp;06/15/46 | 1084389 |
|  |  |  |  |  | 25377141 |
|  | **OTHER ABS** — **2.6%** | **OTHER ABS** — **2.6%** |  |  |  |
| 1077041 | Bayview Commercial Asset Trust 2007-4 Series 2007-4A A2<sup>(c),(e)</sup> | TSFR1M + 0.939% | 5.2590 | &nbsp;&nbsp;&nbsp;09/25/37 | 1622300 |
| 272042 | BCMSC Trust 2001-A Series 2001-A M2<sup>(b)</sup> |  | 8.2650 | &nbsp;&nbsp;&nbsp;12/15/30 | 203517 |
| 1031659 | Conseco Finance Securitizations Corporation Series 2001-2 M1<sup>(b)</sup> |  | 7.6900 | &nbsp;&nbsp;&nbsp;03/01/31 | 1073744 |
| 115575 | Origen Manufactured Housing Contract Trust 2001-A Series 2001-A M1<sup>(b)</sup> |  | 7.8200 | &nbsp;&nbsp;&nbsp;03/15/32 | 115952 |
|  |  |  |  |  | 3015513 |
|  | **RESIDENTIAL MORTGAGE** — **26.7%** | **RESIDENTIAL MORTGAGE** — **26.7%** |  |  |  |
| 1814495 | Ameriquest Mortgage Securities Inc Asset Backed Series 2005-R11 M6<sup>(c)</sup> | TSFR1M + 1.269% | 5.5890 | &nbsp;&nbsp;&nbsp;01/25/36 | 1926946 |
| 164594 | Amortizing Residential Collateral Trust Series 2001-BC5 M1<sup>(c)</sup> | TSFR1M + 0.939% | 5.2590 | &nbsp;&nbsp;&nbsp;08/25/31 | 174173 |
| 21401 | Bear Stearns Asset Backed Securities Trust Series 2004-SD1 M3<sup>(d)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;12/25/42 | —<sup>(h)</sup> |
| 59201 | Bear Stearns Asset Backed Securities Trust Series 2007-SD2 1A2A |  | 6.0000 | &nbsp;&nbsp;&nbsp;09/25/46 | 57917 |
| 5417441 | Carrington Mortgage Loan Trust Series 2005-FRE1 Series 2005-FRE1 M4<sup>(c)</sup> | TSFR1M + 1.044% | 5.3640 | &nbsp;&nbsp;&nbsp;12/25/35 | 2759296 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **RESIDENTIAL MORTGAGE** — **26.7% (Continued)** | **RESIDENTIAL MORTGAGE** — **26.7% (Continued)** |  |  |  |
| 107139 | Chase Funding Trust Series 2003-3 Series 2003-3 1M2 |  | 4.8850 | &nbsp;&nbsp;&nbsp;05/25/32 | $92598 |
| 1354888 | Citicorp Residential Mortgage Trust Series 2006-2 Series 2006-2 M3<sup>(d)</sup> |  | 5.9960 | &nbsp;&nbsp;&nbsp;09/25/36 | 1433852 |
| 143937 | Citigroup Global Markets Mortgage Securities VII, Series 1997-LB6 B2 |  | 7.0000 | &nbsp;&nbsp;&nbsp;12/25/27 | 30916 |
| 199716 | Citigroup Mortgage Loan Trust 2007-AHL3 Series 2007-AHL3 A1<sup>(c),(e)</sup> | TSFR1M + 0.284% | 4.6040 | &nbsp;&nbsp;&nbsp;05/25/37 | 175960 |
| 1361034 | Citigroup Mortgage Loan Trust, Inc. Series 2005-WF2 MV6<sup>(c)</sup> | TSFR1M + 1.989% | 6.3090 | &nbsp;&nbsp;&nbsp;08/25/35 | 1483101 |
| 2871318 | Countrywide Asset-Backed Certificates Series 2006-BC1 M4<sup>(c)</sup> | TSFR1M + 1.089% | 5.4090 | &nbsp;&nbsp;&nbsp;04/25/36 | 2156787 |
| 1891525 | Countrywide Asset-Backed Certificates Series 2006-1 MV2<sup>(c)</sup> | TSFR1M + 0.729% | 4.4670 | &nbsp;&nbsp;&nbsp;07/25/36 | 1749597 |
| 84037 | Countrywide Asset-Backed Certificates Series 2006-23 1A<sup>(c)</sup> | TSFR1M + 0.394% | 4.7140 | &nbsp;&nbsp;&nbsp;05/25/37 | 80020 |
| 84412 | Credit-Based Asset Servicing and Securitization, Series 2002-CB5 M2<sup>(c)</sup> | TSFR1M + 3.114% | 4.2240 | &nbsp;&nbsp;&nbsp;05/25/32 | 93867 |
| 247675 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B4<sup>(c),(e)</sup> | TSFR1M + 3.864% | 3.2900 | &nbsp;&nbsp;&nbsp;03/25/34 | 301578 |
| 108178 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B2<sup>(c)</sup> | TSFR1M + 3.114% | 3.2900 | &nbsp;&nbsp;&nbsp;03/25/34 | 126322 |
| 145075 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B3<sup>(c)</sup> | TSFR1M + 4.989% | 3.2900 | &nbsp;&nbsp;&nbsp;03/25/34 | 257248 |
| 54765 | Credit-Based Asset Servicing and Securitization, Series 2004-CB6 B1<sup>(c)</sup> | TSFR1M + 2.814% | 4.7140 | &nbsp;&nbsp;&nbsp;07/25/35 | 45490 |
| 6445 | Credit-Based Asset Servicing and Securitization, Series 2004-CB8 M1<sup>(c)</sup> | TSFR1M + 0.909% | 3.6460 | &nbsp;&nbsp;&nbsp;12/25/35 | 6397 |
| 132574 | CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1 MF4<sup>(b)</sup> |  | 5.6540 | &nbsp;&nbsp;&nbsp;07/25/35 | 111351 |
| 909 | CWABS Inc Asset-Backed Certificates Trust 2004-5 Series 2004-5 M1<sup>(c)</sup> | TSFR1M + 0.969% | 5.2890 | &nbsp;&nbsp;&nbsp;08/25/34 | 909 |
| 1371264 | Equifirst Loan Securitization Trust 2007-1 Series 2007-1 M1<sup>(c)</sup> | TSFR1M + 0.394% | 4.7140 | &nbsp;&nbsp;&nbsp;04/25/37 | 1256090 |
| 457005 | Equity One Mortgage Pass-Through Trust 2004-3 Series 2004-3 M3<sup>(d)</sup> |  | 3.7840 | &nbsp;&nbsp;&nbsp;07/25/34 | 359213 |
| 640958 | First Franklin Mortgage Loan Trust 2002-FF4 Series 2002-FF4 M1<sup>(c)</sup> | TSFR1M + 1.689% | 6.0090 | &nbsp;&nbsp;&nbsp;02/25/33 | 541234 |
| 283821 | First Franklin Mortgage Loan Trust 2003-FF4 Series 2003-FF4 M2<sup>(c)</sup> | TSFR1M + 2.589% | 6.9090 | &nbsp;&nbsp;&nbsp;10/25/33 | 256439 |
| 887550 | First Franklin Mortgage Loan Trust 2003-FFH1 Series 2003-FFH1 M2<sup>(c)</sup> | TSFR1M + 2.739% | 7.0590 | &nbsp;&nbsp;&nbsp;09/25/33 | 780034 |
| 291205 | First Franklin Mortgage Loan Trust 2004-FF5 Series 2004-FF5 M6<sup>(c)</sup> | TSFR1M + 2.514% | 6.8340 | &nbsp;&nbsp;&nbsp;08/25/34 | 269790 |
| 2059341 | First Franklin Mortgage Loan Trust 2006-FF11 Series 2006-FF11 M1<sup>(c)</sup> | TSFR1M + 0.489% | 4.8090 | &nbsp;&nbsp;&nbsp;08/25/36 | 1733581 |
| 54487 | Fremont Home Loan Trust 2004-B Series 2004-B M6<sup>(c)</sup> | TSFR1M + 2.439% | 6.7590 | &nbsp;&nbsp;&nbsp;05/25/34 | 47595 |
| 325 | Fremont Home Loan Trust 2004-C Series 2004-C M3<sup>(c)</sup> | TSFR1M + 1.839% | 6.1590 | &nbsp;&nbsp;&nbsp;08/25/34 | 279 |
| 166297 | GSAMP Trust 2004-OPT Series 2004-OPT B2<sup>(c)</sup> | TSFR1M + 2.664% | 3.6100 | &nbsp;&nbsp;&nbsp;11/25/34 | 131221 |
| 89597 | GSAMP Trust 2004-WF Series 2004-WF B1<sup>(c)</sup> | TSFR1M + 2.589% | 6.9090 | &nbsp;&nbsp;&nbsp;10/25/34 | 92859 |
| 3298361 | Home Equity Loan Trust Series 2007-FRE1 M1<sup>(c)</sup> | TSFR1M + 0.614% | 4.9340 | &nbsp;&nbsp;&nbsp;04/25/37 | 3170082 |
| 134998 | Home Equity Mortgage Loan Asset-Backed Trust Series 2005-D M1<sup>(c)</sup> | TSFR1M + 0.774% | 5.0940 | &nbsp;&nbsp;&nbsp;03/25/36 | 127293 |
| 138429 | Lehman XS Trust 2007-1 Series 2007-1 1A4<sup>(c)</sup> | TSFR1M + 0.574% | 4.8940 | &nbsp;&nbsp;&nbsp;02/25/37 | 110823 |
| 332556 | Mastr Specialized Loan Trust Series 2005-2 B<sup>(d),(e)</sup> |  | 6.2500 | &nbsp;&nbsp;&nbsp;07/25/35 | 311620 |
| 2920 | Merrill Lynch Mortgage Investors Trust Series Series 2005-WMC1 M2<sup>(c)</sup> | TSFR1M + 0.909% | 5.2290 | &nbsp;&nbsp;&nbsp;09/25/35 | 2851 |
| 9381 | Morgan Stanley A.B.S Capital I Inc Trust 2004-NC7 Series 2004-NC7 M4<sup>(c)</sup> | TSFR1M + 1.839% | 6.1590 | &nbsp;&nbsp;&nbsp;07/25/34 | 10632 |
| 136201 | Morgan Stanley A.B.S Capital I Inc Trust 2005-WMC4 Series 2005-WMC4 M6<sup>(c)</sup> | TSFR1M + 1.164% | 5.4840 | &nbsp;&nbsp;&nbsp;04/25/35 | 127586 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** | **NON-AGENCY ASSET BACKED SECURITIES — 96.6% (Continued)** |  |  |  |
|  | **RESIDENTIAL MORTGAGE** — **26.7% (Continued)** | **RESIDENTIAL MORTGAGE** — **26.7% (Continued)** |  |  |  |
| 1188670 | Newcastle Mortgage Securities Trust 2007-1 Series 2007-1 M2<sup>(c)</sup> | TSFR1M + 0.764% | 5.0840 | &nbsp;&nbsp;&nbsp;04/25/37 | $1747928 |
| 932160 | Ownit Mortgage Loan Trust Series 2004-1 Series 2004-1 B2<sup>(c)</sup> | TSFR1M + 2.889% | 7.2090 | &nbsp;&nbsp;&nbsp;07/25/35 | 1081138 |
| 1309152 | People's Choice Home Loan Securities Trust Series Series 2004-2 M5<sup>(c)</sup> | TSFR1M + 2.814% | 7.1340 | &nbsp;&nbsp;&nbsp;10/25/34 | 837552 |
| 889900 | Quest Trust Series 2004-X2 M3<sup>(c),(e)</sup> | TSFR1M + 3.339% | 7.6590 | &nbsp;&nbsp;&nbsp;06/25/34 | 827814 |
| 190634 | RAAC Series 2006-SP1 Trust Series 2006-SP1 M2<sup>(c)</sup> | TSFR1M + 0.939% | 5.2590 | &nbsp;&nbsp;&nbsp;09/25/45 | 136771 |
| 358780 | RAMP Series 2003-RS7 Trust Series 2003-RS7 MII3<sup>(c)</sup> | TSFR1M + 3.714% | 5.0810 | &nbsp;&nbsp;&nbsp;08/25/33 | 285564 |
| 123466 | RAMP Series 2005-RS8 Trust Series 2005-RS8 M2<sup>(c)</sup> | TSFR1M + 0.614% | 5.1840 | &nbsp;&nbsp;&nbsp;09/25/35 | 122930 |
| 174640 | RAMP Series 2007-RS2 Trust Series 2007-RS2 A3<sup>(c)</sup> | TSFR1M + 0.854% | 5.1740 | &nbsp;&nbsp;&nbsp;05/25/37 | 159013 |
| 46962 | SACO I Trust 2006-3 Series 2006-3 A1<sup>(c)</sup> | TSFR1M + 0.474% | 4.7940 | &nbsp;&nbsp;&nbsp;04/25/36 | 156972 |
| 52691 | Saxon Asset Securities Trust 2004-2 Series 2004-2 MV3<sup>(c)</sup> | TSFR1M + 2.019% | 2.0700 | &nbsp;&nbsp;&nbsp;08/25/35 | 55077 |
| 948250 | Saxon Asset Securities Trust 2005-1 Series 2005-1 B3<sup>(c)</sup> | TSFR1M + 3.639% | 1.8140 | &nbsp;&nbsp;&nbsp;05/25/35 | 58721 |
| 4500000 | Saxon Asset Securities Trust 2007-4 Series 2007-4 M1<sup>(c),(e)</sup> | TSFR1M + 3.114% | 7.4340 | &nbsp;&nbsp;&nbsp;12/25/37 | 2870399 |
| 142039 | Securitized Asset Backed Receivables, LLC Trust Series 2004-NC3 M2<sup>(c)</sup> | TSFR1M + 1.794% | 6.1140 | &nbsp;&nbsp;&nbsp;09/25/34 | 143639 |
| 83063 | SG Mortgage Securities Trust 2006-OPT2 Series 2006-OPT2 A3C<sup>(c)</sup> | TSFR1M + 0.414% | 4.7340 | &nbsp;&nbsp;&nbsp;10/25/36 | 77961 |
| 28188 | Soundview Home Loan Trust 2004-WMC1 Series 2004-WMC1 M4<sup>(c)</sup> | TSFR1M + 1.314% | 5.6340 | &nbsp;&nbsp;&nbsp;01/25/35 | 22757 |
| 166394 | Specialty Underwriting & Residential Finance Trust Series 2003-BC2 B1<sup>(c)</sup> | TSFR1M + 4.614% | 8.9340 | &nbsp;&nbsp;&nbsp;06/25/34 | 179637 |
| 28871 | Structured Asset Investment Loan Trust 2003-BC2 Series 2003-BC2 A2<sup>(c)</sup> | TSFR1M + 0.834% | 5.1540 | &nbsp;&nbsp;&nbsp;04/25/33 | 30715 |
| 145759 | Structured Asset Investment Loan Trust 2003-BC4 Series 2003-BC4 M4<sup>(c)</sup> | TSFR1M + 4.989% | 9.3090 | &nbsp;&nbsp;&nbsp;06/25/33 | 129615 |
| 68262 | Structured Asset Investment Loan Trust 2003-BC8 Series 2003-BC8 M2<sup>(c)</sup> | TSFR1M + 2.739% | 7.0590 | &nbsp;&nbsp;&nbsp;08/25/33 | 63438 |
| 71562 | Structured Asset Investment Loan Trust 2004-9 Series 2004-9 M6<sup>(c)</sup> | TSFR1M + 2.889% | 7.2090 | &nbsp;&nbsp;&nbsp;10/25/34 | 80590 |
| 230308 | Structured Asset Securities Corp Mortgage Series 2003-36XS M1<sup>(d)</sup> |  | 6.4300 | &nbsp;&nbsp;&nbsp;11/25/33 | 205048 |
| 33588 | Wilshire Mortgage Loan Trust Series 1997-2 A7<sup>(b)</sup> |  | 6.8350 | &nbsp;&nbsp;&nbsp;03/25/28 | 33445 |
| 8289 | Wilshire Mortgage Loan Trust Series 1997-2 M2<sup>(b)</sup> |  | 7.4250 | &nbsp;&nbsp;&nbsp;05/25/28 | 8257 |
|  |  |  |  |  | 31708528 |
|  | **TOTAL NON-AGENCY ASSET BACKED SECURITIES (Cost $131,245,384)** | **TOTAL NON-AGENCY ASSET BACKED SECURITIES (Cost $131,245,384)** |  |  | 114267835 |

---

---

| | | |
|:---|:---|:---|
| **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** | **DEER PARK TOTAL RETURN CREDIT FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| **Shares** |  | **Fair Value** |
|  | **SHORT-TERM INVESTMENT — 0.5%** |  |
|  | **MONEY MARKET FUND - 0.5%** |  |
| 592305 | First American Government Obligations Fund, Class X, 4.25% **(Cost $592,305)** <sup>(g)</sup> | &nbsp;&nbsp;&nbsp; $592305 |
|  | **TOTAL INVESTMENTS - 99.8% (Cost $146,459,168)** | &nbsp;&nbsp;&nbsp; $118032967 |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2%** | &nbsp;&nbsp; 217620 |
|  | **NET ASSETS - 100.0%** | &nbsp;&nbsp; $118250587 |

---

---

| | |
|:---|:---|
| ABS | - Asset Backed Securities |
| CMBS | - Commercial Mortgage Backed Securities |
| LLC | - Limited Liability Company |
| LTD | - Limited Company |
| REMIC | - Real Estate Mortgage Investment Conduit |
| 12MTA | - 12-Month Treasury Average |
| H15T1Y | - US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
| PRIME | - Prime Rate by Country United States |
| SOFR30A | - United States Secured Overnight Financing Rate (SOFR) Over A Rolling 30-Day Period |
| TSFR1M | - Term Secured Overnight Financing Rate (SOFR) 1 month |
| US0001M | - Intercontinental Exchange London Interbank Offered Rate (ICE LIBOR) USD 1 Month |
| <sup>(a)</sup> | Interest only securities. |
| <sup>(b)</sup> | Variable rate security; the rate shown represents the rate on June 30, 2025. |
| <sup>(c)</sup> | Floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
| <sup>(d)</sup> | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at June 30, 2025. |
| <sup>(e)</sup> | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of June 30, 2025 the total market value of 144A securities is $33,280,546 or 28.1% of net assets. |
| <sup>(f)</sup> | Zero coupon bond. |
| <sup>(g)</sup> | Rate disclosed is the seven day effective yield as of June 30, 2025. |
| <sup>(h)</sup> | Amount represents less than $1. |
| <sup>(i)</sup> | Illiquid security. Total illiquid securities represent 1.8% of net assets as of June 30, 2025. |
| <sup>(k)</sup> | The fair value of this investment is determined using significant unobservable inputs. |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Northern Lights Fund Trust

- **b. Investment Company Act file number:** 811-21720

- **c. CIK number of Registrant:** 0001314414

- **d. LEI of Registrant:** 549300BSYF57GRCG4861

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 225 PICTORIA DRIVE

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

  - **Telephone number:** 631-470-2600

**Item A.2. Information about the Series.**

- **a. Name of Series:** Deer Park Total Return Credit Fund

- **b. EDGAR series identifier (if any):** S000050429

- **c. LEI of Series:** 549300GEC4XMEL70QI78

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $118579640.69

**Total Liabilities:** $329053.65

**Net Assets:** $118250587.04

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 1.83124700 | **1-Year:** 57.08195800 | **5-Year:** 859.94836000 | **10-Year:** 616.37670400 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 292.30526100 | **1-Year:** 2884.05122400 | **5-Year:** 11546.11181900 | **10-Year:** 29935.32495100 | **30-Year:** 3709.55067800

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000159221 | 1.15%                | 0.04%                | 0.66%                |
| Class ID C000159222 | 1.23%                | 0.12%                | 0.86%                |
| Class ID C000159220 | 1.21%                | 0.10%                | 0.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $183228.69               | $1097705.17                                |
| Month 2  | $29819.95                | $-358123.37                                |
| Month 3  | $-193557.05              | $822200.87                                 |

### Schedule of Portfolio Investments

| Name                                                                                            | Title               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2004-AR7 CB1   | CUSIP: 22541SSC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    642814 | PA      | $596339.72    | 0.50%             | 2034-11-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2018-64 SE      | CUSIP: 3136B23K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1585669 | PA      | $206392.76    | 0.17%             | 2048-09-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| First American Funds Inc.                                                                       | FRST AM-GV OB-X     | CUSIP: 31846V336<br>LEI: 549300J5J5SJCZ9IA369 | Long             | STIV             | RF                | US        |    592305 | PA      | $592305.16    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2003-J2 B1    | CUSIP: 12669E4F0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75955 | PA      | $70464.13     | 0.06%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2012-90 SA      | CUSIP: 3136A7RN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    893807 | PA      | $94411.79     | 0.08%             | 2042-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs17 Trust                                                                     | RALI 2007-QH7 1A2   | CUSIP: 75115LAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512610 | PA      | $492346.95    | 0.42%             | 2037-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC5 B    | CUSIP: 07384YMG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22528 | PA      | $38551.34     | 0.03%             | 2033-10-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| RALI Series 2006 QS16 Trust                                                                     | RALI 2006-QS16 A10  | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231335 | PA      | $183919.34    | 0.16%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                   | SBM7 1997-LB6 B2    | CUSIP: 79548KYB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143937 | PA      | $30915.55     | 0.03%             | 2027-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                              | MSBAM 2016-C30 E    | CUSIP: 61766NAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3976000 | PA      | $2569735.72   | 2.17%             | 2049-09-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                                   | NHEL 2004-3 B1      | CUSIP: 66987XFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329739 | PA      | $281145.45    | 0.24%             | 2034-12-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2005-AR2 2A1B  | CUSIP: 45660LCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193708 | PA      | $143165.09    | 0.12%             | 2035-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2004-D MV2     | CUSIP: 152314LR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23230 | PA      | $22527.19     | 0.02%             | 2034-09-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M2     | CUSIP: 004421EX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16136 | PA      | $14659.29     | 0.01%             | 2034-04-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2007-4A A2     | CUSIP: 07326BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1077041 | PA      | $1622300.69   | 1.37%             | 2037-09-25      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MOR                                                                  | SASC 2005-S1 M4     | CUSIP: 86359B4F5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14757000 | PA      | $115695.62    | 0.10%             | 2035-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                | MSAC 2003-NC10 B2   | CUSIP: 61746REB3<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    732186 | PA      | $806700.90    | 0.68%             | 2033-10-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2006-1 MV2      | CUSIP: 126670TX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1891525 | PA      | $1749597.19   | 1.48%             | 2036-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-36XS M1   | CUSIP: 86359BAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230308 | PA      | $205047.51    | 0.17%             | 2033-11-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust Series 2006 Af1                                   | DBALT 2005-5 1A3    | CUSIP: 251510HN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43206 | PA      | $78096.41     | 0.07%             | 2035-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2017-68 SN      | CUSIP: 3136AXM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2165521 | PA      | $282109.57    | 0.24%             | 2047-09-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2006-BC1 M4     | CUSIP: 126670XU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2871318 | PA      | $2156786.81   | 1.82%             | 2036-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2003-NC1 M4     | CUSIP: 004421CT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135542 | PA      | $116620.22    | 0.10%             | 2033-07-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-WF2 MV6  | CUSIP: 17307GWB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1361034 | PA      | $1483100.78   | 1.25%             | 2035-08-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2006-AR5 2A1   | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33066 | PA      | $32184.43     | 0.03%             | 2036-05-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                                     | GSMS 2014-GC22 D    | CUSIP: 36253BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $1300902.40   | 1.10%             | 2047-06-10      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-R2 1AS    | CUSIP: 12669GN72<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7013114 | PA      | $318050.35    | 0.27%             | 2035-06-25      | Floating      | 1.30%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                              | SASC 2005-RF4 B1    | CUSIP: 86359DQD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    414671 | PA      | $299481.02    | 0.25%             | 2035-07-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Gsmps Mtg Ln Trust                                                                              | GSMPS 2003-3 B1     | CUSIP: 36290PAW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792324 | PA      | $7.92         | 0.00%             | 2043-06-25      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                         | SABR 2004-NC1 B2    | CUSIP: 81375WAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30746 | PA      | $34335.65     | 0.03%             | 2034-02-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | RAST 2005-A16 A3    | CUSIP: 45660L2V0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267260 | PA      | $106539.20    | 0.09%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2005-RS8 M2    | CUSIP: 76112BZK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123466 | PA      | $122930.23    | 0.10%             | 2035-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | CBASS 2004-CB6 B1   | CUSIP: 59020UJF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54765 | PA      | $45490.04     | 0.04%             | 2035-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST                                                                                 | LXS 2006-18N A5A    | CUSIP: 52522GAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3085906 | PA      | $29289.38     | 0.02%             | 2036-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mtg Sec                                                                                | CMSI 2007-7 APO     | CUSIP: 173104AH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31959 | PA      | $21589.16     | 0.02%             | 2037-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2003-AR9 CB1   | CUSIP: 22541NR50<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75410 | PA      | $73030.02     | 0.06%             | 2033-03-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2003-A1 M2     | CUSIP: 589929E95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27260 | PA      | $27708.72     | 0.02%             | 2032-12-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2005-IM3 A3     | CUSIP: 126670JD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21849 | PA      | $22831.18     | 0.02%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                                  | FHLT 2004-C M3      | CUSIP: 35729PEV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       325 | PA      | $279.47       | 0.00%             | 2034-08-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                               | CFAB 2003-3 1M2     | CUSIP: 161546FJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107139 | PA      | $92597.98     | 0.08%             | 2032-05-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                                                        | WFRBS 2013-C14 E    | CUSIP: 92890PBJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $1084389.00   | 0.92%             | 2046-06-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-R1 1AS    | CUSIP: 12669GWP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5636083 | PA      | $259356.19    | 0.22%             | 2035-03-25      | Floating      | 1.74%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2003-58 M      | CUSIP: 12669E6K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190127 | PA      | $175300.00    | 0.15%             | 2034-02-19      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-5 M5     | CUSIP: 64352VEM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28821 | PA      | $25969.12     | 0.02%             | 2033-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Mastr Specialized Loan Trust 2006-03                                                            | MASD 2005-2 B       | CUSIP: 576436CK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332556 | PA      | $311619.80    | 0.26%             | 2035-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2017-14 DS      | CUSIP: 3136AVWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2079825 | PA      | $259779.28    | 0.22%             | 2047-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2005-1 B3      | CUSIP: 805564RV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948250 | PA      | $58720.98     | 0.05%             | 2035-05-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC4 M4    | CUSIP: 86358EBP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145759 | PA      | $129615.10    | 0.11%             | 2033-06-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                                  | FHLT 2004-B M6      | CUSIP: 35729PDV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54487 | PA      | $47595.24     | 0.04%             | 2034-05-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services Inc                                                                | GECMS 1999-HE2 B1   | CUSIP: 36157R3Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24751 | PA      | $14748.24     | 0.01%             | 2029-07-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2006-HF1 M1    | CUSIP: 881561R63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $172612.05    | 0.15%             | 2037-02-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-S3 1A12  | CUSIP: 46629AAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129289 | PA      | $39950.08     | 0.03%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2004-1 M2     | CUSIP: 64352VFR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         2 | PA      | $0.00         | 0.00%             | 2034-05-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 1999-2 AF2    | CUSIP: 07383GAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11306 | PA      | $11330.99     | 0.01%             | 2029-10-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST                                                                        | DSLA 2005-AR1 2A2   | CUSIP: 23332UCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        24 | PA      | $0.00         | 0.00%             | 2045-02-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                       | ABFC 2004-OPT1 M6   | CUSIP: 04542BFF4<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    176034 | PA      | $163714.41    | 0.14%             | 2032-12-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AR8 2A1A | CUSIP: 17313FAR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33180 | PA      | $29672.70     | 0.03%             | 2037-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                               | INABS 2005-D M1     | CUSIP: 456606JP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134998 | PA      | $127292.79    | 0.11%             | 2036-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                     | DELHE 1999-3 M1     | CUSIP: 24763LFY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93368 | PA      | $61567.26     | 0.05%             | 2030-01-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                                  | WFCM 2013-LC12 D    | CUSIP: 94988QAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4892000 | PA      | $2956011.55   | 2.50%             | 2046-07-15      | Floating      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                           | ARMT 2005-4 3A1     | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32255 | PA      | $32053.42     | 0.03%             | 2035-08-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11                                     | CSFB 2004-7 DB1     | CUSIP: 2254W0KJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421485 | PA      | $268491.07    | 0.23%             | 2034-11-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2007-SD2 1A2A | CUSIP: 07386UAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59201 | PA      | $57917.45     | 0.05%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                       | ABFC 2004-OPT3 M1   | CUSIP: 04542BGV8<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    170420 | PA      | $170326.05    | 0.14%             | 2033-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Wilshire Mtg Ln Tr                                                                              | WIMLT 1997-2 M2     | CUSIP: 971885AN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8289 | PA      | $8256.94      | 0.01%             | 2028-05-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                          | BOAA 2006-8 XIO     | CUSIP: 06050AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307167 | PA      | $61640.87     | 0.05%             | 2046-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equifirst Loan Sec                                                                              | EQLS 2007-1 M1      | CUSIP: 29445UAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371264 | PA      | $1256090.27   | 1.06%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-5 B      | CUSIP: 64352VEN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1579466 | PA      | $1390977.38   | 1.18%             | 2033-11-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2003-FFH1 M2   | CUSIP: 32027NEE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887550 | PA      | $780033.52    | 0.66%             | 2033-09-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AMC2 A3A | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69607 | PA      | $50922.63     | 0.04%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2005-QO1 A3    | CUSIP: 761118EQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3108368 | PA      | $1246212.66   | 1.05%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2003-FM1 M6     | CUSIP: 004421BW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338700 | PA      | $293955.11    | 0.25%             | 2032-11-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust 2006 Rm2                                                 | MLCC 2007-3 M1      | CUSIP: 59022XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259271 | PA      | $96807.22     | 0.08%             | 2037-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                                                | INDA 2006-AR3 1A1   | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65106 | PA      | $50492.68     | 0.04%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-3 M6     | CUSIP: 64352VDE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174454 | PA      | $175946.54    | 0.15%             | 2033-07-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-HE1 M4   | CUSIP: 07384YPE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86246 | PA      | $84379.22     | 0.07%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Amer Hm Mtg Ast Tr                                                                              | AHMA 2007-5 A1      | CUSIP: 026936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121945 | PA      | $114631.65    | 0.10%             | 2047-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES                                                                  | AMSI 2003-AR2 M2    | CUSIP: 03072SGY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6850000 | PA      | $380.86       | 0.00%             | 2033-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                             | CMALT 2007-A1 1A1   | CUSIP: 12566QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52833 | PA      | $47627.11     | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS F      | CUSIP: 40390AAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $6435.20      | 0.01%             | 2031-07-05      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                              | GSR 2006-9F 6A1     | CUSIP: 3622X7AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1039850 | PA      | $72084.38     | 0.06%             | 2036-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                    | MALT 2006-2 2A3     | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435495 | PA      | $40314.21     | 0.03%             | 2036-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2015-6 IO       | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3996232 | PA      | $55776.61     | 0.05%             | 2051-02-16      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE2 M6   | CUSIP: 07384YRD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514705 | PA      | $487234.27    | 0.41%             | 2034-03-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Mortgage Pass-Through Certificates Series 2005-2                                      | CWALT 2006-OC6 2A2A | CUSIP: 23243DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27900000 | PA      | $113448.10    | 0.10%             | 2036-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | HEAT 2002-2 M2      | CUSIP: 22541NCV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166698 | PA      | $156592.06    | 0.13%             | 2032-06-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                             | CWALT 2006-HY10 2A1 | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112793 | PA      | $107540.31    | 0.09%             | 2036-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2005-HE2 M5   | CUSIP: 04541GQF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    791262 | PA      | $846342.41    | 0.72%             | 2035-02-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Newcastle Mortgage Securities Trust                                                             | NCMT 2007-1 M2      | CUSIP: 65106FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1188670 | PA      | $1747927.83   | 1.48%             | 2037-04-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2003-RS7 MII3  | CUSIP: 760985YE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358780 | PA      | $285563.55    | 0.24%             | 2033-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                                 | LXS 2007-1 1A4      | CUSIP: 525241AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138429 | PA      | $110823.23    | 0.09%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2015-122 IO     | CUSIP: 38379KE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    246278 | PA      | $27.29        | 0.00%             | 2057-05-16      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-7SL B3    | CUSIP: 881561CV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14085 | PA      | $13624.86     | 0.01%             | 2033-12-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-5SL B3    | CUSIP: 881561BQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14033 | PA      | $12126.90     | 0.01%             | 2034-10-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust 2005-2                                                      | AHMA 2006-2 1A1     | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162825 | PA      | $148647.19    | 0.13%             | 2046-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                             | SVHE 2004-WMC1 M4   | CUSIP: 83611MBY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28188 | PA      | $22756.70     | 0.02%             | 2035-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-32CB A8  | CUSIP: 02147XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1541020 | PA      | $145863.54    | 0.12%             | 2036-11-25      | Floating      | 0.84%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS E      | CUSIP: 40390AAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8113000 | PA      | $964044.26    | 0.82%             | 2031-07-05      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                                                              | RASC 2003-KS4 AIII  | CUSIP: 76110WRU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       985 | PA      | $985.52       | 0.00%             | 2033-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                    | CHASE 2007-A1 7A1   | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5652 | PA      | $5690.73      | 0.00%             | 2037-02-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE6 M5   | CUSIP: 073879CY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112763 | PA      | $116073.20    | 0.10%             | 2034-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust Series 2006 Af1                                   | DBALT 2007-OA5 A3   | CUSIP: 25150XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990081 | PA      | $757233.12    | 0.64%             | 2047-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-2HE B     | CUSIP: 881561AU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177562 | PA      | $199776.86    | 0.17%             | 2034-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| UCFC Acceptance Corp Series 1998-D                                                              | UCFC 1998-D MF2     | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1087477 | PA      | $1044789.54   | 0.88%             | 2030-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2004-HYB1 A31 | CUSIP: 17307GDL9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     14175 | PA      | $14230.28     | 0.01%             | 2034-02-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-FR2 M6   | CUSIP: 073879FL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328865 | PA      | $310043.06    | 0.26%             | 2034-06-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLCC 2003-G XA2     | CUSIP: 5899295Z7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1932419 | PA      | $10221.34     | 0.01%             | 2029-01-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | HEAT 2003-8 M3      | CUSIP: 22541QY55<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135035 | PA      | $133625.28    | 0.11%             | 2034-04-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS A      | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $738062.65    | 0.62%             | 2031-07-05      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2004-2 MV3     | CUSIP: 805564QM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52691 | PA      | $55077.15     | 0.05%             | 2035-08-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2003-4CB B1   | CUSIP: 12669DN79<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    136780 | PA      | $83122.34     | 0.07%             | 2033-04-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                              | RAMC 2003-2 M2A     | CUSIP: 759950AZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260668 | PA      | $218122.57    | 0.18%             | 2033-08-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Indymac Indx 07-Fl                                                                              | INDX 2007-FLX3 A2   | CUSIP: 45670AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1162840 | PA      | $1404504.16   | 1.19%             | 2037-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust 2002-B                                                                  | EMCM 2002-AA M2     | CUSIP: 268668AS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580669 | PA      | $564436.27    | 0.48%             | 2039-05-25      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-23                                                   | CWL 2006-23 1A      | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84037 | PA      | $80019.69     | 0.07%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2007-Ar1                                         | SAMI 2005-AR5 X2    | CUSIP: 86359LPH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    874525 | PA      | $21025.77     | 0.02%             | 2035-07-19      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-3 2A2B   | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90494 | PA      | $81219.54     | 0.07%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2005-A1 IB2   | CUSIP: 466247MC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957411 | PA      | $910213.36    | 0.77%             | 2035-02-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSR 2003-2F 2A5     | CUSIP: 36228FMW3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    155788 | PA      | $159639.97    | 0.14%             | 2032-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                          | FHR 4796 AS         | CUSIP: 3137FG4D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1050901 | PA      | $150417.99    | 0.13%             | 2048-05-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                       | HVMLT 2006-1 X1     | CUSIP: 41161PB36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9803175 | PA      | $98.03        | 0.00%             | 2036-03-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust 2007-1                                                                 | YMLT 2007-1 A       | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177002 | PA      | $55366.70     | 0.05%             | 2037-06-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Alt 06                                                                                | JPALT 2006-A2 5A1   | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337296 | PA      | $191650.87    | 0.16%             | 2036-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CBASS 2004-CB3 B2   | CUSIP: 17307GET1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108178 | PA      | $126321.71    | 0.11%             | 2034-03-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2004-6 2A2    | CUSIP: 07384MW73<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110111 | PA      | $99396.49     | 0.08%             | 2034-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| CWMBS Reperforming Loan Remic Trust Certificates Series 2003-R2                                 | CWHL 2006-R1 AS     | CUSIP: 12669UCQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6248928 | PA      | $259299.27    | 0.22%             | 2036-01-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                             | NAA 2004-AR1 5M1    | CUSIP: 65535VEA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120720 | PA      | $137696.34    | 0.12%             | 2034-08-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-A7 2A2   | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111514 | PA      | $85225.19     | 0.07%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2004-A1 M1     | CUSIP: 59020UAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16275 | PA      | $10937.25     | 0.01%             | 2034-02-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Saco I Trust 2005-5                                                                             | SACO 2006-3 A1      | CUSIP: 785778QJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46962 | PA      | $156972.00    | 0.13%             | 2036-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-9A B1II   | CUSIP: 86359ARN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144143 | PA      | $134715.20    | 0.11%             | 2033-03-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                                 | LXS 2007-16N 2A2    | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103690 | PA      | $92977.90     | 0.08%             | 2047-09-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                                | MSAC 2004-NC7 M4    | CUSIP: 61744CFS0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |      9381 | PA      | $10631.90     | 0.01%             | 2034-07-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2003-A M2      | CUSIP: 152314GS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48684 | PA      | $48104.85     | 0.04%             | 2033-03-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LOAN                                                                  | GMACM 2006-HE1 A    | CUSIP: 361856ER4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 140883114 | PA      | $112706.49    | 0.10%             | 2036-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2002-HE16 M2   | CUSIP: 22540V2M3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76504 | PA      | $80896.07     | 0.07%             | 2032-10-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Peoples Choice Home Loan Securities Trust Series 2005-4                                         | PCHLT 2004-2 M5     | CUSIP: 71085PAZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1309152 | PA      | $837552.29    | 0.71%             | 2034-10-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Coml Tr 2016-C36                                                                    | WFCM 2016-C36 D     | CUSIP: 95000MAC5<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1874625.00   | 1.59%             | 2059-11-15      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2002-AL1 A2    | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15265 | PA      | $13104.39     | 0.01%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA10 XBI | CUSIP: 02146QAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19287685 | PA      | $57110.84     | 0.05%             | 2046-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2004-SL1 MI6   | CUSIP: 760985Z95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6258 | PA      | $6119.84      | 0.01%             | 2031-10-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                                      | JPMBB 2015-C28 E    | CUSIP: 46644FAZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $774035.20    | 0.65%             | 2048-10-15      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-AC5 A2   | CUSIP: 073879GN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26267 | PA      | $23343.57     | 0.02%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                           | LMT 2005-3 2A7      | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32740 | PA      | $27467.11     | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                          | BOAA 2006-8 1A5     | CUSIP: 06050AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141267 | PA      | $30562.80     | 0.03%             | 2036-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                   | BAFC 2005-C M2      | CUSIP: 05946XUF8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   2060379 | PA      | $1437139.26   | 1.22%             | 2035-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2017-16 CS      | CUSIP: 3136AVA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3233286 | PA      | $431021.29    | 0.36%             | 2047-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE9 M4   | CUSIP: 073879KF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376533 | PA      | $428341.85    | 0.36%             | 2034-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                                | MSAC 2005-WMC4 M6   | CUSIP: 61744CRF5<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    136201 | PA      | $127585.60    | 0.11%             | 2035-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CBASS 2004-CB3 B4   | CUSIP: 17307GEV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247675 | PA      | $301577.62    | 0.26%             | 2034-03-25      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7        | AMSI 2005-R11 M6    | CUSIP: 03072SV69<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1814495 | PA      | $1926945.86   | 1.63%             | 2036-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk6                                                                                  | BANK 2017-BNK6 XG   | CUSIP: 060352AT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6731953 | PA      | $159125.20    | 0.13%             | 2060-07-15      | Floating      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                              | MSBAM 2016-C29 E    | CUSIP: 61766EAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1666666 | PA      | $1322357.14   | 1.12%             | 2049-05-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-A6 3A2   | CUSIP: 46628BBF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44991 | PA      | $25043.52     | 0.02%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-AL1 B1    | CUSIP: 86359AMH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239499 | PA      | $156121.50    | 0.13%             | 2031-04-25      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2012-144 SH     | CUSIP: 3136ABJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3534931 | PA      | $478803.98    | 0.40%             | 2043-01-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                         | CCMFC 2007-2A A2    | CUSIP: 16679BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375798 | PA      | $258476.18    | 0.22%             | 2048-05-25      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4583 ST         | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    170252 | PA      | $18667.63     | 0.02%             | 2046-05-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                    | CHASE 2007-A1 5A2   | CUSIP: 161630AR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19620 | PA      | $18407.43     | 0.02%             | 2037-02-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2004-HE3 M6   | CUSIP: 04541GJY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41668 | PA      | $52706.64     | 0.04%             | 2034-06-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 7-Sl1                                                                              | BSMF 2007-SL1 1A    | CUSIP: 07401PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16683 | PA      | $21631.88     | 0.02%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-Ar5                                                    | BSMF 2006-AR5 1A2   | CUSIP: 07401NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2331011 | PA      | $2505807.77   | 2.12%             | 2046-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2006-AR1 2A1  | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40331 | PA      | $40591.21     | 0.03%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                                | BCM 2001-A M2       | CUSIP: 09774XBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272042 | PA      | $203516.69    | 0.17%             | 2030-12-15      | Fixed         | 8.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-HE4 M5   | CUSIP: 17307GQ27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4656956 | PA      | $2580514.75   | 2.18%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4718 SC         | CUSIP: 3137FAT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3193185 | PA      | $442787.51    | 0.37%             | 2047-09-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-1 M3     | CUSIP: 68389FEU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202353 | PA      | $179545.85    | 0.15%             | 2034-01-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4685 SA         | CUSIP: 3137BXSJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1440173 | PA      | $200597.78    | 0.17%             | 2047-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mort                                                                               | SAMI 2007-AR6 A2    | CUSIP: 86364RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981896 | PA      | $1498497.34   | 1.27%             | 2047-08-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Coml Mtg Tr 2015-C27                                                                | WFCM 2015-C27 E     | CUSIP: 94989DAJ8<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-O            | CORP              | US        |   1666666 | PA      | $790821.35    | 0.67%             | 2048-02-15      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| C-Bass Trust                                                                                    | CBASS 2002-CB5 M2   | CUSIP: 12489WFT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84412 | PA      | $93867.06     | 0.08%             | 2032-05-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC4 M1   | CUSIP: 07384YKH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174869 | PA      | $153506.22    | 0.13%             | 2033-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE5 M2   | CUSIP: 073879CD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60479 | PA      | $55145.14     | 0.05%             | 2034-07-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3            | AABST 2004-1 M3     | CUSIP: 00764MBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372476 | PA      | $200831.56    | 0.17%             | 2034-04-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M5     | CUSIP: 004421FA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245351 | PA      | $207338.74    | 0.18%             | 2034-04-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                         | CCMFC 2004-2A A2    | CUSIP: 16678RBD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29373 | PA      | $28735.78     | 0.02%             | 2035-05-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018 C5                                                     | CGCMT 2015-GC35 D   | CUSIP: 17324KAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3150000 | PA      | $1978420.19   | 1.67%             | 2048-11-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Trust                                                                     | BOAMS 2007-1 2IO    | CUSIP: 05952HCP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436543 | PA      | $80257.73     | 0.07%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2005-1 MF4      | CUSIP: 126673WH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132574 | PA      | $111350.50    | 0.09%             | 2035-07-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                 | IMM 2004-4 1M6      | CUSIP: 45254NJA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9430 | PA      | $9387.86      | 0.01%             | 2034-09-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Gsr Mortgage Loan Trust 2006 Ar2                                                                | GSR 2006-AR2 1B2    | CUSIP: 36297TAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14210 | PA      | $3379.83      | 0.00%             | 2035-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust 2006 1                                                                  | HMBT 2005-1 B1      | CUSIP: 43739EAT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255819 | PA      | $170165.85    | 0.14%             | 2035-03-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                | MSAC 2003-NC8 B1    | CUSIP: 61746RDQ1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    358310 | PA      | $362755.07    | 0.31%             | 2033-09-25      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust Series 2006-A4                                              | CMALT 2007-A6 1A2   | CUSIP: 18976GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2503377 | PA      | $180614.14    | 0.15%             | 2037-06-25      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC2 A2    | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28871 | PA      | $30715.36     | 0.03%             | 2033-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2001-SB1 A5    | CUSIP: 86358RDX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8699 | PA      | $6357.52      | 0.01%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC8 M2    | CUSIP: 86358EEB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68262 | PA      | $63437.85     | 0.05%             | 2033-08-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Wmalt Series 2006-6 Trust                  | WMALT 2007-1 1A3    | CUSIP: 93935PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994301 | PA      | $651687.09    | 0.55%             | 2037-02-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                      | IMSA 2004-1 M2      | CUSIP: 45254TPB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730621 | PA      | $403533.29    | 0.34%             | 2034-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Home Equity Loan Trust 2000 A                                                   | CNF 2001-2 M1       | CUSIP: 20846QHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1031659 | PA      | $1073743.74   | 0.91%             | 2031-03-01      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting And Residential Finance Trust Series 2006-AB2                            | SURF 2003-BC2 B1    | CUSIP: 84751PAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166394 | PA      | $179637.16    | 0.15%             | 2034-06-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Saco I Inc                                                                                      | SACO 1999-3 1B1     | CUSIP: 78386NBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135432 | PA      | $133066.07    | 0.11%             | 2039-04-25      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3            | AABST 2004-1 B1     | CUSIP: 00764MBG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164744 | PA      | $3562.15      | 0.00%             | 2034-04-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-OPT2 M4   | CUSIP: 57643LEZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24381 | PA      | $19117.90     | 0.02%             | 2034-09-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass Through Trust 2005 B                                            | BAYV 2005-C B2      | CUSIP: 07325NBU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2430000 | PA      | $2160996.33   | 1.83%             | 2044-06-28      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust Series 2006-1F                                                  | STALT 2006-1F 1A4   | CUSIP: 86800RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446066 | PA      | $151007.37    | 0.13%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wilshire Mtg Ln Tr                                                                              | WIMLT 1997-2 A7     | CUSIP: 971885AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33588 | PA      | $33445.43     | 0.03%             | 2028-03-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                            | JPMCC 2018-PTC D    | CUSIP: 46649GAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27000 | PA      | $850.78       | 0.00%             | 2031-04-15      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                            | JPMCC 2018-PTC C    | CUSIP: 46649GAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64000 | PA      | $3360.67      | 0.00%             | 2031-04-15      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                                       | SAMI 2006-AR7 A10   | CUSIP: 86361HAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $759.27       | 0.00%             | 2036-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                              | IMCHE 1998-5 A6     | CUSIP: 449670EY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        65 | PA      | $65.21        | 0.00%             | 2037-03-15      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                                                | EQABS 2004-3 M3     | CUSIP: 294751FB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457005 | PA      | $359213.00    | 0.30%             | 2034-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2007-4 22A1   | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64803 | PA      | $57099.07     | 0.05%             | 2047-06-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2003-FF4 M2    | CUSIP: 32027NDV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283821 | PA      | $256439.25    | 0.22%             | 2033-10-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| CitiCorp Residential Mortgage Trust Series 2007 1                                               | CRMSI 2006-2 M3     | CUSIP: 17310EAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1354888 | PA      | $1433851.71   | 1.21%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                             | CWALT 2005-22T1 A2  | CUSIP: 12667GGP2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    333514 | PA      | $23057.25     | 0.02%             | 2035-06-25      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2004-9 M6      | CUSIP: 86358EMY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71562 | PA      | $80590.43     | 0.07%             | 2034-10-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-11 4A2    | CUSIP: 12669GUS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198548 | PA      | $145352.92    | 0.12%             | 2035-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSAMP 2004-OPT B2   | CUSIP: 36242DNY5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    166297 | PA      | $131221.49    | 0.11%             | 2034-11-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Bear Strn 2007-Ar3                                                                              | BSMF 2007-AR3 1A2   | CUSIP: 07401VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1685919 | PA      | $1702981.11   | 1.44%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 1999-2 MF1    | CUSIP: 07383GAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119746 | PA      | $167968.77    | 0.14%             | 2029-10-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| CBA Commercial Assets Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2 | CBAC 2006-2A A      | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411184 | PA      | $399755.90    | 0.34%             | 2039-01-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                              | IMCHE 1998-1 M1     | CUSIP: 449670ED6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453975 | PA      | $452057.63    | 0.38%             | 2029-06-20      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2005-AR4 2A1A  | CUSIP: 45660LEG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145569 | PA      | $144321.05    | 0.12%             | 2035-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                              | CMSI 2006-4 1A12    | CUSIP: 17310DAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54996 | PA      | $21934.39     | 0.02%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-14 A3     | CUSIP: 12669GK75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211880 | PA      | $77558.48     | 0.07%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2004-HE9 M2   | CUSIP: 04541GNB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302146 | PA      | $257917.98    | 0.22%             | 2034-12-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loan Trust 2000-2                                                    | PBHET 1999-3 A2     | CUSIP: 743844CV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151624 | PA      | $137287.71    | 0.12%             | 2031-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2006-1A M4     | CUSIP: 07324SDK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7027 | PA      | $6517.01      | 0.01%             | 2036-04-25      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M4     | CUSIP: 004421EZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80583 | PA      | $69550.12     | 0.06%             | 2034-04-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                    | MALT 2006-2 2A1     | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283071 | PA      | $26538.63     | 0.02%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2003-QS9 A2    | CUSIP: 76110HCB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       385 | PA      | $0.04         | 0.00%             | 2030-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Home Eqty Ln Tst                                                                                | HELT 2007-FRE1 M1   | CUSIP: 43710XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3298361 | PA      | $3170083.08   | 2.68%             | 2037-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| RAMP Series 2007 RS2 Trust                                                                      | RAMP 2007-RS2 A3    | CUSIP: 75157DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174640 | PA      | $159012.88    | 0.13%             | 2037-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2006-OA2 X1P  | CUSIP: 126694Z68<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |  32579244 | PA      | $247872.67    | 0.21%             | 2046-05-20      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2012-72 IO      | CUSIP: 38378BVN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    400007 | PA      | $1579.07      | 0.00%             | 2052-11-16      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE2 M4   | CUSIP: 07384YRB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9927 | PA      | $10932.70     | 0.01%             | 2034-03-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2005-WMC1 M2   | CUSIP: 59020UQW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2920 | PA      | $2851.19      | 0.00%             | 2035-09-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                            | WAMU 2005-AR15 X    | CUSIP: 92922F6D5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20135803 | PA      | $13410.44     | 0.01%             | 2045-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ownit Mortgage Loan Trust 2004-1                                                                | OWNIT 2004-1 B2     | CUSIP: 691215AH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    932160 | PA      | $1081137.52   | 0.91%             | 2035-07-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                               | INHEL 2003-A MF1    | CUSIP: 456606DX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105693 | PA      | $201598.11    | 0.17%             | 2033-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Cwalt Alternative Loan Trust                                                                    | CWALT 2006-J5 1A4   | CUSIP: 12668EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131217 | PA      | $65466.67     | 0.06%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                                         | HEAT 2004-6 M5      | CUSIP: 437084EX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215407 | PA      | $215873.81    | 0.18%             | 2034-12-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4416 DS         | CUSIP: 3137BFM32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2901848 | PA      | $351246.99    | 0.30%             | 2044-12-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs7 Trust                                                                      | RALI 2006-QS7 A4    | CUSIP: 748940AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114882 | PA      | $81954.70     | 0.07%             | 2036-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                                                  | CARR 2005-FRE1 M4   | CUSIP: 144531EJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5417441 | PA      | $2759295.63   | 2.33%             | 2035-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | ARC 2001-BC5 M1     | CUSIP: 86358RHG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164594 | PA      | $174172.97    | 0.15%             | 2031-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Bear Strn 2007-Ar3                                                                              | BSMF 2007-AR3 21A2  | CUSIP: 07401VAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1450163 | PA      | $1480279.01   | 1.25%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-OPX1 A4B | CUSIP: 17311FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300739 | PA      | $95762.65     | 0.08%             | 2037-01-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                           | ARMT 2007-1 5A1     | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1413289 | PA      | $1709966.37   | 1.45%             | 2037-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Renaissance Mortgage Acceptance Corp.                                                           | RAMC 2002-3 B       | CUSIP: 75970NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    321960 | PA      | $173252.09    | 0.15%             | 2032-12-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-2 M2     | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653565 | PA      | $497594.92    | 0.42%             | 2033-01-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAAC 2006-SP1 M2    | CUSIP: 76112B3G3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190634 | PA      | $136770.58    | 0.12%             | 2045-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Argent Securities Trust 2006-M2                                                                 | ARSI 2006-M2 A2C    | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271946 | PA      | $87414.01     | 0.07%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-HE1 M5   | CUSIP: 07384YPF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73148 | PA      | $87257.70     | 0.07%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                               | DSLA 2004-AR3 B3    | CUSIP: 23332UBN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173076 | PA      | $98857.46     | 0.08%             | 2044-07-19      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE1 M6   | CUSIP: 07384YQC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112358 | PA      | $138304.65    | 0.12%             | 2034-02-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Gsr Mortgage Loan Trust 2006 Ar2                                                                | GSR 2006-AR2 2A1    | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83002 | PA      | $50576.92     | 0.04%             | 2036-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                                      | JPMCC 2013-LC11 D   | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1821000 | PA      | $589918.05    | 0.50%             | 2046-04-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE5 M6   | CUSIP: 073879CH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51739 | PA      | $45882.66     | 0.04%             | 2034-07-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                               | DSLA 2004-AR3 B2    | CUSIP: 23332UBM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9289 | PA      | $8275.18      | 0.01%             | 2035-08-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4238 NS         | CUSIP: 3137B4EB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    507673 | PA      | $57092.94     | 0.05%             | 2042-02-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                                      | GPMF 2006-AR3 3A1   | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9555 | PA      | $9555.00      | 0.01%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                             | SVHE 2007-OPT2 2A3  | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201152 | PA      | $180960.40    | 0.15%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2007-4 M1      | CUSIP: 80557CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $2870399.25   | 2.43%             | 2037-12-25      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-Ar1                                                    | BSMF 2006-AR1 2A2   | CUSIP: 07401LAR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1421812 | PA      | $1458722.14   | 1.23%             | 2036-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                              | FFML 2006-FF11 M1   | CUSIP: 32028PAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2059341 | PA      | $1733580.95   | 1.47%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                         | SABR 2004-NC3 M2    | CUSIP: 81375WCK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142039 | PA      | $143639.48    | 0.12%             | 2034-09-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CBASS 2004-CB3 B3   | CUSIP: 17307GEU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145075 | PA      | $257247.65    | 0.22%             | 2034-03-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7        | QUEST 2004-X2 M3    | CUSIP: 03072SSY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    889900 | PA      | $827814.13    | 0.70%             | 2034-06-25      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                      | IMSA 2002-2 M1      | CUSIP: 45254TLL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255246 | PA      | $124840.42    | 0.11%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2016-C1                                              | JPMBB 2016-C1 E     | CUSIP: 46645LAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3302000 | PA      | $2743223.01   | 2.32%             | 2049-03-15      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC6 M2   | CUSIP: 07384YNK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30372 | PA      | $21192.78     | 0.02%             | 2033-11-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2004-7 1A1    | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33996 | PA      | $26435.26     | 0.02%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting And Residential Finance Trust Series 2006-AB2                            | SURF 2004-BC1 B1    | CUSIP: 84751PCC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512042 | PA      | $543309.08    | 0.46%             | 2035-02-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2007-Ar1                                                    | BSMF 2007-AR1 1A2   | CUSIP: 07401MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2232763 | PA      | $2234902.68   | 1.89%             | 2037-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNW 2003-W1 M       | CUSIP: 31392GWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    100302 | PA      | $86928.53     | 0.07%             | 2042-12-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Resecuritization Pass-Through Certificates Series 2008-2R                             | CWALT 2006-22R 2A2  | CUSIP: 02147LAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137321 | PA      | $69809.72     | 0.06%             | 2036-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs17 Trust                                                                     | RALI 2007-QH5 AI2   | CUSIP: 75116EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  49048800 | PA      | $163308.47    | 0.14%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                              | GSR 2006-4F 4A1     | CUSIP: 362650AN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1763440 | PA      | $257547.60    | 0.22%             | 2036-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-FRE1 M6   | CUSIP: 57643LDZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133609 | PA      | $117309.51    | 0.10%             | 2034-07-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-J3 2A1   | CUSIP: 021469AJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294588 | PA      | $267486.95    | 0.23%             | 2025-12-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AHL3 A1  | CUSIP: 17312GAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199716 | PA      | $175960.44    | 0.15%             | 2037-05-25      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-2 M4     | CUSIP: 68389FFK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471888 | PA      | $520778.38    | 0.44%             | 2034-05-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2007-15 IO      | CUSIP: 38373MYV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2608726 | PA      | $13233.54     | 0.01%             | 2047-03-16      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2004-FF5 M6    | CUSIP: 32027NKA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291205 | PA      | $269790.03    | 0.23%             | 2034-08-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing Contract Trust 2001-A                                               | ORGN 2001-A M1      | CUSIP: 68619AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115575 | PA      | $115951.59    | 0.10%             | 2032-03-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE8 M4   | CUSIP: 073879HH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618958 | PA      | $716657.76    | 0.61%             | 2034-09-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA14 X2  | CUSIP: 02146SAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11076588 | PA      | $110.77       | 0.00%             | 2046-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA10 XAD | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4501739 | PA      | $9924.98      | 0.01%             | 2046-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                               | AFC 1999-2 1A       | CUSIP: 00105HDZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553075 | PA      | $444331.91    | 0.38%             | 2029-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                   | SBM7 2002-WMC1 M1   | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87167 | PA      | $86874.86     | 0.07%             | 2032-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                                  | ACCR 2005-4 M3      | CUSIP: 004375EM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114000 | PA      | $91946.08     | 0.08%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-1 M4     | CUSIP: 68389FEV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298286 | PA      | $262768.70    | 0.22%             | 2034-01-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                           | MHL 2005-2 2M2      | CUSIP: 61915RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18514 | PA      | $17342.33     | 0.01%             | 2035-05-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2005-QS7 CB    | CUSIP: 761118AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144873 | PA      | $131400.47    | 0.11%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                 | IMM 2005-2 2B       | CUSIP: 45254NNN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20897 | PA      | $20992.23     | 0.02%             | 2035-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2006-SP2 B1    | CUSIP: 07325KAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848618 | PA      | $1543384.83   | 1.31%             | 2037-01-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-SD1 M3   | CUSIP: 07384YSH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21401 | PA      | $0.21         | 0.00%             | 2042-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                                 | CWHL 2007-HYB2 3A1  | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82941 | PA      | $72380.76     | 0.06%             | 2047-02-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2019-111 SK     | CUSIP: 38381YLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8455172 | PA      | $128881.34    | 0.11%             | 2049-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                | BALTA 2003-6 B1     | CUSIP: 07386HEM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197636 | PA      | $121080.02    | 0.10%             | 2034-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                | BALTA 2005-7 25A1   | CUSIP: 07386HVW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205791 | PA      | $64581.78     | 0.05%             | 2035-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                             | GMSL 2005-A B1      | CUSIP: 378961AU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    579815 | PA      | $532584.57    | 0.45%             | 2032-04-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSAMP 2004-WF B1    | CUSIP: 36242DKN2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     89597 | PA      | $92859.10     | 0.08%             | 2034-10-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust 2014-Star                                                        | SRPT 2014-STAR A    | CUSIP: 85571XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4467482 | PA      | $2701374.53   | 2.28%             | 2027-11-15      | Floating      | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Inc Mortgage Pass-Through Certificates Series 2005-2                                      | CWALT 2006-OA17 2X  | CUSIP: 12668PAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4899982 | PA      | $434325.05    | 0.37%             | 2046-12-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2004-HYB2 1A  | CUSIP: 17307GEB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18940 | PA      | $18491.69     | 0.02%             | 2034-03-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                   | BAFC 2005-F 1A1     | CUSIP: 05946XYP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44894 | PA      | $34058.44     | 0.03%             | 2035-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | RAST 2005-A11 1AX   | CUSIP: 45660LB24<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12064303 | PA      | $136099.81    | 0.12%             | 2035-10-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| Greenpoint 06-Ar8                                                                               | GPMF 2006-AR8 2A    | CUSIP: 39539HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26332087 | PA      | $176867.10    | 0.15%             | 2047-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-OPT2 M8   | CUSIP: 57643LFD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    662362 | PA      | $457916.43    | 0.39%             | 2034-09-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Equifirst Mtg Ln T                                                                              | EMLT 2004-3 M9      | CUSIP: 29445FCF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442082 | PA      | $410109.71    | 0.35%             | 2034-12-25      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2004-29 2X     | CUSIP: 12669GJD4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   3830295 | PA      | $38.30        | 0.00%             | 2035-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2004-5 M1       | CUSIP: 1266716K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       909 | PA      | $908.93       | 0.00%             | 2034-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2001-B A5      | CUSIP: 152314DP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247423 | PA      | $173257.06    | 0.15%             | 2032-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-FR3 M5   | CUSIP: 073879KU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912695 | PA      | $990061.84    | 0.84%             | 2034-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | CBASS 2004-CB8 M1   | CUSIP: 59020UPR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6445 | PA      | $6396.61      | 0.01%             | 2035-12-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE10 M5  | CUSIP: 073879MV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188378 | PA      | $218631.81    | 0.18%             | 2034-12-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2002-FF4 M1    | CUSIP: 32027NBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640958 | PA      | $541233.97    | 0.46%             | 2033-02-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2004-25 1A2    | CUSIP: 12669GJZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23651 | PA      | $19659.80     | 0.02%             | 2035-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust 2006 Opt2                                                          | SGMS 2006-OPT2 A3C  | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83063 | PA      | $77961.05     | 0.07%             | 2036-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                               | MASTR 2004-3 4A11   | CUSIP: 55265K8B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26526 | PA      | $300.59       | 0.00%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE7 M6   | CUSIP: 073879EZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182516 | PA      | $171136.06    | 0.14%             | 2034-08-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                  | BCAP 2008-RR3 A1B   | CUSIP: 05531VAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    564443 | PA      | $167048.84    | 0.14%             | 2036-10-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Coml Mtg Tr 2015-C27                                                                | WFCM 2015-C27 D     | CUSIP: 94989DAG4<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-O            | CORP              | US        |   1631000 | PA      | $869791.10    | 0.74%             | 2048-02-15      | Fixed         | 3.77%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-11 4A1    | CUSIP: 12669GUR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15776 | PA      | $14993.18     | 0.01%             | 2035-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSR 2004-7 1A2      | CUSIP: 36228F5Q5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     10013 | PA      | $9808.49      | 0.01%             | 2034-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                       | HVMLT 2005-8 1X     | CUSIP: 41161PQX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12389869 | PA      | $123.90       | 0.00%             | 2035-09-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                                   | GSAA 2006-3 A1      | CUSIP: 362334BQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48807 | PA      | $16306.88     | 0.01%             | 2036-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2004-AR9 5M2   | CUSIP: 45660N3Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895011 | PA      | $672206.50    | 0.57%             | 2034-11-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-28

**Name of Applicant:** Northern Lights Fund Trust

**Signature:** James Colantino

**Name of Signer:** James Colantino

**Title:** Treasurer