# EDGAR Filing Document

**Accession Number:** 0001314414
**File Stem:** 0001752724-23-046690
**Filing Date:** 2023-2
**Character Count:** 387766
**Document Hash:** 839bad04255b1945b2209d2ec4085d62
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046690.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046690

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Northern Lights Fund Trust
- **CENTRAL INDEX KEY:** 0001314414
- **IRS NUMBER:** 043023766
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21720
- **FILM NUMBER:** 23682930

**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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **AGENCY MORTGAGE BACKED SECURITIES** — **1.2%** | **AGENCY MORTGAGE BACKED SECURITIES** — **1.2%** |  |  |  |
| 1205543 | Fannie Mae REMICS Series 2012-90 SA<sup>(a),(b)</sup> | US0001M + 6.050% | 1.6610 | &nbsp;&nbsp;&nbsp;08/25/42 | $123308 |
| 4907030 | Fannie Mae REMICS Series 2012-144 SH<sup>(a),(b)</sup> | US0001M + 6.100% | 1.7110 | &nbsp;&nbsp;&nbsp;01/25/43 | 548965 |
| 4289533 | Fannie Mae REMICS Series 2017-16 CS<sup>(a),(b)</sup> | US0001M + 6.050% | 1.6610 | &nbsp;&nbsp;&nbsp;03/25/47 | 425088 |
| 2648578 | Fannie Mae REMICS Series 2017-14 DS<sup>(a),(b)</sup> | US0001M + 6.050% | 1.6610 | &nbsp;&nbsp;&nbsp;03/25/47 | 275769 |
| 2613900 | Fannie Mae REMICS Series 2017-68 SN<sup>(a),(b)</sup> | US0001M + 6.150% | 1.7610 | &nbsp;&nbsp;&nbsp;09/25/47 | 298453 |
| 2035806 | Fannie Mae REMICS Series 2018-64 SE<sup>(a),(b)</sup> | US0001M + 6.200% | 1.8110 | &nbsp;&nbsp;&nbsp;09/25/48 | 204630 |
| 2603043 | Freddie Mac Military Housing Bonds Series 2015-R1 C3<sup>(c),(d),(i)</sup> |  | 5.9280 | &nbsp;&nbsp;&nbsp;11/25/52 | 2211820 |
| 709993 | Freddie Mac REMICS Series 4238 NS<sup>(a),(b)</sup> | US0001M + 6.700% | 2.3820 | &nbsp;&nbsp;&nbsp;02/15/42 | 69551 |
| 3782594 | Freddie Mac REMICS Series 4416 DS<sup>(a),(b)</sup> | US0001M + 6.100% | 1.7820 | &nbsp;&nbsp;&nbsp;12/15/44 | 358488 |
| 217347 | Freddie Mac REMICS Series 4583 ST<sup>(a),(b)</sup> | US0001M + 6.000% | 1.6820 | &nbsp;&nbsp;&nbsp;05/15/46 | 24098 |
| 1955096 | Freddie Mac REMICS Series 4685 SA<sup>(a),(b)</sup> | US0001M + 6.100% | 1.7820 | &nbsp;&nbsp;&nbsp;05/15/47 | 219267 |
| 4073287 | Freddie Mac REMICS Series 4718 SC<sup>(a),(b)</sup> | US0001M + 6.150% | 1.8320 | &nbsp;&nbsp;&nbsp;09/15/47 | 473790 |
| 1362909 | Freddie Mac REMICS Series 4796 AS<sup>(a),(b)</sup> | US0001M + 6.200% | 1.8820 | &nbsp;&nbsp;&nbsp;05/15/48 | 142111 |
| 3043348 | Government National Mortgage Association Series 2007-15 IO<sup>(b),(d)</sup> |  | 1.5960 | &nbsp;&nbsp;&nbsp;03/16/47 | 38061 |
| 11608011 | Government National Mortgage Association Series 2019-111 SK<sup>(a),(b)</sup> | US0001M + 3.430% | 0.0000 | &nbsp;&nbsp;&nbsp;09/20/49 | 170924 |
| 4459813 | Government National Mortgage Association Series 2015-6 IO<sup>(b),(d)</sup> |  | 0.4850 | &nbsp;&nbsp;&nbsp;02/16/51 | 51138 |
| 2899613 | Government National Mortgage Association Series 2013-15 IO<sup>(b),(d)</sup> |  | 0.5570 | &nbsp;&nbsp;&nbsp;08/16/51 | 51555 |
| 877213 | Government National Mortgage Association Series 2012-72 IO<sup>(b),(d)</sup> |  | 0.5600 | &nbsp;&nbsp;&nbsp;11/16/52 | 7034 |
| 256068 | Government National Mortgage Association Series 2015-122 IO<sup>(b),(d)</sup> |  | 0.5840 | &nbsp;&nbsp;&nbsp;05/16/57 | 605 |
|  | **TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost $17,942,375)** | **TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost $17,942,375)** |  |  | 5694655 |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES** — **100.5%** | **NON-AGENCY MORTGAGE BACKED SECURITIES** — **100.5%** |  |  |  |
| 176034 | ABFC 2004-OPT1 Trust Series 2004-OPT1 M6<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;12/25/32 | 210868 |
| 571539 | ABFC 2004-OPT3 Trust Series 2004-OPT3 M1<sup>(a)</sup> | US0001M + 0.750% | 5.1390 | &nbsp;&nbsp;&nbsp;09/25/33 | 570150 |
| 481733 | ABFC 2004-OPT4 Trust Series 2004-OPT4 M3<sup>(a)</sup> | US0001M + 2.175% | 6.5640 | &nbsp;&nbsp;&nbsp;08/25/33 | 443196 |
| 562272 | Accredited Mortgage Loan Trust 2005-3 Series 2005-3 M6<sup>(a)</sup> | US0001M + 0.700% | 5.4390 | &nbsp;&nbsp;&nbsp;09/25/35 | 395009 |
| 114000 | Accredited Mortgage Loan Trust 2005-4 Series 2005-4 M3<sup>(a)</sup> | US0001M + 0.460% | 4.8490 | &nbsp;&nbsp;&nbsp;12/25/35 | 80244 |
| 338700 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-FM1 M6<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;11/25/32 | 283581 |
| 142790 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-NC1 M4<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;07/25/33 | 125724 |
| 471009 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-HE1 M5<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;11/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;439394 |
| 38202 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M2<sup>(a)</sup> | US0001M + 1.575% | 5.9640 | &nbsp;&nbsp;&nbsp;04/25/34 | 36719 |
| 80583 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M4<sup>(a)</sup> | US0001M + 3.000% | 7.3890 | &nbsp;&nbsp;&nbsp;04/25/34 | 73441 |
| 245351 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M5<sup>(a)</sup> | US0001M + 3.375% | 7.7640 | &nbsp;&nbsp;&nbsp;04/25/34 | 194440 |
| 1361096 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-RM2 M5<sup>(a)</sup> | US0001M + 1.395% | 5.7840 | &nbsp;&nbsp;&nbsp;01/25/35 | 1176251 |
| 1291069 | ACE Securities Corp Home Equity Loan Trust Series Series 2005-WF1 M11<sup>(a)</sup> | US0001M + 3.500% | 7.8890 | &nbsp;&nbsp;&nbsp;05/25/35 | 1273050 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 38811 | Adjustable Rate Mortgage Trust 2005-4 Series 2005-4 3A1<sup>(d)</sup> |  | 3.4150 | &nbsp;&nbsp;&nbsp;08/25/35 | $37423 |
| 1867321 | Adjustable Rate Mortgage Trust 2007-1 Series 2007-1 5A1<sup>(a)</sup> | US0001M + 0.300% | 4.6890 | &nbsp;&nbsp;&nbsp;03/25/37 | 1942777 |
| 372476 | Aegis Asset Backed Securities Trust Mortgage Series 2004-1 M3<sup>(a)</sup> | US0001M + 2.330% | 6.7190 | &nbsp;&nbsp;&nbsp;04/25/34 | 326746 |
| 209021 | Aegis Asset Backed Securities Trust Mortgage Series 2004-1 B1<sup>(a)</sup> | US0001M + 2.780% | 7.1690 | &nbsp;&nbsp;&nbsp;04/25/34 | 145244 |
| 1193603 | Aegis Asset Backed Securities Trust Mortgage Series 2004-3 B1<sup>(a)</sup> | US0001M + 2.850% | 7.2390 | &nbsp;&nbsp;&nbsp;09/25/34 | 1064080 |
| 654632 | AFC Home Equity Loan Trust Series 1999-2 1A<sup>(a)</sup> | US0001M + 0.810% | 5.1990 | &nbsp;&nbsp;&nbsp;06/25/29 | 406546 |
| 143730 | Alternative Loan Trust 2003-4CB Series 2003-4CB B1<sup>(d)</sup> |  | 6.1320 | &nbsp;&nbsp;&nbsp;04/25/33 | 71714 |
| 99783 | Alternative Loan Trust 2003-J2 Series 2003-J2 B1 |  | 6.0000 | &nbsp;&nbsp;&nbsp;10/25/33 | 72072 |
| 719570 | Alternative Loan Trust 2004-8CB Series 2004-8CB M3<sup>(a)</sup> | US0001M + 2.850% | 7.2390 | &nbsp;&nbsp;&nbsp;06/25/34 | 778323 |
| 384728 | Alternative Loan Trust 2005-22T1 Series 2005-22T1 A2<sup>(a),(b)</sup> | US0001M + 5.070% | 0.6810 | &nbsp;&nbsp;&nbsp;06/25/35 | 26982 |
| 25759 | Alternative Loan Trust 2005-24 Series 2005-24 2A1C<sup>(a)</sup> | 12MTA + 1.310% | 3.3580 | &nbsp;&nbsp;&nbsp;07/20/35 | 3926 |
| 28794 | Alternative Loan Trust 2005-36 Series 2005-36 4A2<sup>(d)</sup> |  | 3.3770 | &nbsp;&nbsp;&nbsp;05/25/33 | 6029 |
| 606317 | Alternative Loan Trust 2005-45 Series 2005-45 2A1<sup>(a)</sup> | 12MTA + 2.050% | 4.0980 | &nbsp;&nbsp;&nbsp;10/20/35 | 417956 |
| 1148386 | Alternative Loan Trust 2005-50CB Series 2005-50CB 3A1 |  | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/35 | 476441 |
| 380947 | Alternative Loan Trust 2005-56 Series 2005-56 5A1<sup>(a)</sup> | US0001M + 0.640% | 5.0290 | &nbsp;&nbsp;&nbsp;11/25/35 | 302140 |
| 1501078 | Alternative Loan Trust 2005-61 Series 2005-61 2A3<sup>(a)</sup> | US0001M + 0.840% | 5.2290 | &nbsp;&nbsp;&nbsp;12/25/35 | 1219813 |
| 629586 | Alternative Loan Trust 2005-65CB Series 2005-65CB 2A4 |  | 5.5000 | &nbsp;&nbsp;&nbsp;12/25/35 | 447730 |
| 439930 | Alternative Loan Trust 2005-65CB Series 2005-65CB 1A5<sup>(a)</sup> | US0001M + 0.750% | 5.1390 | &nbsp;&nbsp;&nbsp;01/25/36 | 287650 |
| 1685041 | Alternative Loan Trust 2006-32CB Series 2006-32CB A8<sup>(a),(b)</sup> | US0001M + 5.270% | 0.8810 | &nbsp;&nbsp;&nbsp;11/25/36 | 133169 |
| 467330 | Alternative Loan Trust 2006-36T2 Series 2006-36T2 1A9<sup>(a)</sup> | US0001M + 0.900% | 5.2890 | &nbsp;&nbsp;&nbsp;12/25/36 | 157089 |
| 188608 | Alternative Loan Trust 2006-HY10 Series 2006-HY10 2A1<sup>(d)</sup> |  | 3.1310 | &nbsp;&nbsp;&nbsp;05/25/36 | 165423 |
| 294588 | Alternative Loan Trust 2006-J3 Series 2006-J3 2A1 |  | 4.7500 | &nbsp;&nbsp;&nbsp;12/25/22 | 203888 |
| 166256 | Alternative Loan Trust 2006-J5 Series 2006-J5 1A4 |  | 6.5000 | &nbsp;&nbsp;&nbsp;09/25/36 | 83275 |
| 23489152 | Alternative Loan Trust 2006-OA10 Series 2006-OA10 XBI<sup>(b),(e),(i)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;08/25/46 | 200308 |
| 5598001 | Alternative Loan Trust 2006-OA10 Series 2006-OA10 XAD<sup>(b),(e),(i)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;08/25/46 | 22723 |
| 1167648 | Alternative Loan Trust 2006-OA11 Series 2006-OA11 A1B<sup>(a)</sup> | US0001M + 0.380% | 4.7690 | &nbsp;&nbsp;&nbsp;09/25/46 | 1079153 |
| 1251002 | Alternative Loan Trust 2006-OA12 Series 2006-OA12 A2<sup>(a)</sup> | US0001M + 0.210% | 4.5630 | &nbsp;&nbsp;&nbsp;09/20/46 | 954153 |
| 13778034 | Alternative Loan Trust 2006-OA14 Series 2006-OA14 X2<sup>(b),(d),(i)</sup> |  | 1.0910 | &nbsp;&nbsp;&nbsp;11/25/46 | 20609 |
| 5404014 | Alternative Loan Trust 2006-OA17 Series 2006-OA17 2X<sup>(b),(d)</sup> |  | 0.9210 | &nbsp;&nbsp;&nbsp;12/20/46 | 336973 |
| 242697 | Alternative Loan Trust 2006-OA19 Series 2006-OA19 A1<sup>(a)</sup> | US0001M + 0.180% | 4.5330 | &nbsp;&nbsp;&nbsp;02/20/47 | 184095 |
| 38869577 | Alternative Loan Trust 2006-OA2 Series 2006-OA2 X1P<sup>(b),(d),(i)</sup> |  | 0.1410 | &nbsp;&nbsp;&nbsp;05/20/46 | 351319 |
| 2127392 | Alternative Loan Trust 2006-OA7 Series 2006-OA7 2A1<sup>(a)</sup> | 12MTA + 0.940% | 2.9880 | &nbsp;&nbsp;&nbsp;06/25/46 | 1695668 |
| 1092 | Alternative Loan Trust 2006-OC6 Series 2006-OC6 2A2A<sup>(a),(i)</sup> | US0001M + 0.320% | 4.7090 | &nbsp;&nbsp;&nbsp;07/25/36 | 1164 |
| 157901 | Alternative Loan Trust Resecuritization 2006-22R Series 2006-22R 2A2 |  | 6.2500 | &nbsp;&nbsp;&nbsp;05/25/36 | 94962 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 1227254 | American Home Mortgage Assets Trust 2005-1 Series 2005-1 3A22<sup>(a)</sup> | US0001M + 0.660% | 5.0490 | &nbsp;&nbsp;&nbsp;11/25/35 | $955947 |
| 496508 | American Home Mortgage Assets Trust 2006-1 Series 2006-1 1A2<sup>(a)</sup> | US0001M + 0.190% | 4.5790 | &nbsp;&nbsp;&nbsp;05/25/46 | 421135 |
| 195105 | American Home Mortgage Assets Trust 2006-2 Series 2006-2 1A1<sup>(a)</sup> | 12MTA + 0.960% | 3.0080 | &nbsp;&nbsp;&nbsp;09/25/46 | 169484 |
| 156061 | American Home Mortgage Assets Trust 2007-5 Series 2007-5 A1<sup>(a)</sup> | US0001M + 0.190% | 4.7690 | &nbsp;&nbsp;&nbsp;06/25/47 | 133483 |
| 3081513 | American Home Mortgage Investment Trust 2005-4 Series 2005-4 1A2<sup>(a)</sup> | US0001M + 0.760% | 5.1490 | &nbsp;&nbsp;&nbsp;11/25/45 | 2955410 |
| 529215 | American Home Mortgage Investment Trust 2006-3 Series 2006-3 11A2<sup>(a)</sup> | US0001M + 0.460% | 4.8490 | &nbsp;&nbsp;&nbsp;12/25/46 | 503597 |
| 4285262 | American Home Mortgage Investment Trust 2007-2 Series 2007-2 12A1<sup>(a)</sup> | US0001M + 0.540% | 4.9290 | &nbsp;&nbsp;&nbsp;03/25/37 | 1703707 |
| 3157162 | Ameriquest Mortgage Securities Asset-Backed Series 2002-3 M4<sup>(a)</sup> | US0001M + 3.225% | 7.6140 | &nbsp;&nbsp;&nbsp;08/25/32 | 2797355 |
| 675141 | Ameriquest Mortgage Securities Asset-Backed Series 2003-11 M5<sup>(a)</sup> | US0001M + 4.875% | 4.1720 | &nbsp;&nbsp;&nbsp;12/25/33 | 646978 |
| 1322847 | Ameriquest Mortgage Securities Asset-Backed Series 2004-R3 M4<sup>(a)</sup> | US0001M + 2.760% | 7.1490 | &nbsp;&nbsp;&nbsp;05/25/34 | 1165775 |
| 1622090 | Ameriquest Mortgage Securities Asset-Backed Series 2004-R11 M6<sup>(a)</sup> | US0001M + 2.100% | 3.2450 | &nbsp;&nbsp;&nbsp;11/25/34 | 1350341 |
| 2199781 | Ameriquest Mortgage Securities Asset-Backed Series 2004-R12 M5<sup>(a)</sup> | US0001M + 1.680% | 6.0690 | &nbsp;&nbsp;&nbsp;01/25/35 | 1632309 |
| 3599999 | Ameriquest Mortgage Securities Inc Asset Backed Series 2005-R11 M6<sup>(a)</sup> | US0001M + 1.155% | 5.5440 | &nbsp;&nbsp;&nbsp;01/25/36 | 4035147 |
| 163691 | Amortizing Residential Collateral Trust Series 2001-BC5 M1<sup>(a)</sup> | US0001M + 0.550% | 5.2140 | &nbsp;&nbsp;&nbsp;08/25/31 | 179375 |
| 1171717 | Amortizing Residential Collateral Trust 2001-BC6 Series 2001-BC6 M1<sup>(a)</sup> | US0001M + 1.200% | 5.5890 | &nbsp;&nbsp;&nbsp;10/25/31 | 1059921 |
| 255110 | Amortizing Residential Collateral Trust 2001-BC6 Series 2001-BC6 M2<sup>(a)</sup> | US0001M + 2.025% | 6.4140 | &nbsp;&nbsp;&nbsp;10/25/31 | 216790 |
| 127724 | Amortizing Residential Collateral Trust 2002-BC5 Series 2002-BC5 M2<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;07/25/32 | 123909 |
| 335922 | Argent Securities Inc Asset-Backed Pass-Through Series 2003-W10 M3<sup>(a)</sup> | US0001M + 2.775% | 3.3640 | &nbsp;&nbsp;&nbsp;01/25/34 | 261966 |
| 290682 | Argent Securities Inc Asset-Backed Pass-Through Series 2006-M2 A2C<sup>(a)</sup> | US0001M + 0.150% | 4.5390 | &nbsp;&nbsp;&nbsp;09/25/36 | 97097 |
| 7987 | Asset Backed Securities Corp Home Equity Loan Series 2004-HE3 M3<sup>(a)</sup> | US0001M + 2.100% | 6.4890 | &nbsp;&nbsp;&nbsp;06/25/34 | 7992 |
| 174115 | Asset Backed Securities Corp Home Equity Loan Series 2004-HE3 M6<sup>(a)</sup> | US0001M + 4.125% | 8.5140 | &nbsp;&nbsp;&nbsp;06/25/34 | 181661 |
| 342146 | Asset Backed Securities Corp Home Equity Loan Series 2004-HE9 M2<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;12/25/34 | 257398 |
| 199370 | Asset Backed Securities Corp Home Equity Loan Series 2005-HE2 M4<sup>(a)</sup> | US0001M + 1.230% | 5.6190 | &nbsp;&nbsp;&nbsp;02/25/35 | 189300 |
| 789648 | Asset Backed Securities Corp Home Equity Loan Series 2005-HE2 M5<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;02/25/35 | 893280 |
| 933136 | Banc of America Alternative Loan Trust 2006-5 Series 2006-5 CBIO<sup>(b)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;06/25/46 | 169105 |
| 1530890 | Banc of America Alternative Loan Trust 2006-6 Series 2006-6 CBIO<sup>(b)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;07/25/46 | 194750 |
| 186955 | Banc of America Alternative Loan Trust 2006-8 Series 2006-8 1A5<sup>(a),(b)</sup> | US0001M + 786.000% | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/36 | 34862 |
| 370811 | Banc of America Alternative Loan Trust 2006-8 Series 2006-8 XIO<sup>(b)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/46 | 76516 |
| 2917698 | Banc of America Funding 2005-C Trust Series 2005-C M2<sup>(a)</sup> | US0001M + 0.650% | 5.0030 | &nbsp;&nbsp;&nbsp;05/20/35 | 2386269 |
| 66175 | Banc of America Funding 2005-F Trust Series 2005-F 1A1<sup>(a)</sup> | US0001M + 0.620% | 4.9730 | &nbsp;&nbsp;&nbsp;09/20/35 | 46951 |
| 1425263 | Banc of America Funding 2006-D Trust Series 2006-D 1A2<sup>(a)</sup> | US0001M + 0.560% | 4.9130 | &nbsp;&nbsp;&nbsp;05/20/36 | 455237 |
| 485293 | Banc of America Mortgage 2007-1 Trust Series 2007-1 2IO<sup>(b)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;01/25/37 | 72495 |
| 18729314 | BANK 2017-BNK6 Series 2017-BNK6 XG<sup>(b),(c),(d)</sup> |  | 1.5000 | &nbsp;&nbsp;&nbsp;07/15/60 | 902725 |
| 99384 | Bayview Commercial Asset Trust 2003-2 Series 2003-2 M2<sup>(a),(c)</sup> | US0001M + 3.225% | 7.6140 | &nbsp;&nbsp;&nbsp;12/25/33 | 98145 |
| 76691 | Bayview Commercial Asset Trust 2004-3 Series 2004-3 B1<sup>(a),(c)</sup> | US0001M + 2.400% | 6.7890 | &nbsp;&nbsp;&nbsp;01/25/35 | 76711 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 340529 | Bayview Commercial Asset Trust 2005-2 Series 2005-2A M2<sup>(a),(c)</sup> | US0001M + 0.720% | 5.1090 | &nbsp;&nbsp;&nbsp;08/25/35 | $314710 |
| 442628 | Bayview Commercial Asset Trust 2005-2 Series 2005-2A M4<sup>(a),(c)</sup> | US0001M + 0.915% | 5.3040 | &nbsp;&nbsp;&nbsp;08/25/35 | 408932 |
| 90406 | Bayview Commercial Asset Trust 2005-2 Series 2005-2A M5<sup>(a),(c)</sup> | US0001M + 0.930% | 5.3190 | &nbsp;&nbsp;&nbsp;08/25/35 | 83325 |
| 90406 | Bayview Commercial Asset Trust 2005-2 Series 2005-2A M6<sup>(a),(c)</sup> | US0001M + 0.990% | 5.3790 | &nbsp;&nbsp;&nbsp;08/25/35 | 83236 |
| 565730 | Bayview Commercial Asset Trust 2005-3 Series 2005-3A M1<sup>(a),(c)</sup> | US0001M + 0.660% | 5.0490 | &nbsp;&nbsp;&nbsp;11/25/35 | 509933 |
| 38964 | Bayview Commercial Asset Trust 2005-3 Series 2005-3A M2<sup>(a),(c)</sup> | US0001M + 0.735% | 5.1240 | &nbsp;&nbsp;&nbsp;11/25/35 | 35041 |
| 360005 | Bayview Commercial Asset Trust 2005-3 Series 2005-3A M3<sup>(a),(c)</sup> | US0001M + 0.765% | 5.1540 | &nbsp;&nbsp;&nbsp;11/25/35 | 322997 |
| 43481 | Bayview Commercial Asset Trust 2005-3 Series 2005-3A M4<sup>(a),(c)</sup> | US0001M + 0.900% | 5.2890 | &nbsp;&nbsp;&nbsp;11/25/35 | 39071 |
| 801023 | Bayview Commercial Asset Trust 2005-3 Series 2005-3A B1<sup>(a),(c)</sup> | US0001M + 1.650% | 6.0390 | &nbsp;&nbsp;&nbsp;11/25/35 | 731668 |
| 297681 | Bayview Commercial Asset Trust 2005-4 Series 2005-4A M3<sup>(a),(c)</sup> | US0001M + 0.750% | 5.1390 | &nbsp;&nbsp;&nbsp;01/25/36 | 269750 |
| 152469 | Bayview Commercial Asset Trust 2005-4 Series 2005-4A M4<sup>(a),(c)</sup> | US0001M + 0.915% | 5.3040 | &nbsp;&nbsp;&nbsp;01/25/36 | 138472 |
| 20428 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M1<sup>(a),(c)</sup> | US0001M + 0.570% | 4.9590 | &nbsp;&nbsp;&nbsp;04/25/36 | 18310 |
| 21584 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M2<sup>(a),(c)</sup> | US0001M + 0.600% | 4.9890 | &nbsp;&nbsp;&nbsp;04/25/36 | 19195 |
| 10524 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M4<sup>(a),(c)</sup> | US0001M + 0.780% | 5.1690 | &nbsp;&nbsp;&nbsp;04/25/36 | 9360 |
| 10214 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M5<sup>(a),(c)</sup> | US0001M + 0.840% | 5.2290 | &nbsp;&nbsp;&nbsp;04/25/36 | 9072 |
| 141661 | Bayview Commercial Asset Trust 2006-2 Series 2006-2A M1<sup>(a),(c)</sup> | US0001M + 0.465% | 4.8540 | &nbsp;&nbsp;&nbsp;07/25/36 | 130079 |
| 41281 | Bayview Commercial Asset Trust 2006-2 Series 2006-2A M3<sup>(a),(c)</sup> | US0001M + 0.525% | 4.9140 | &nbsp;&nbsp;&nbsp;07/25/36 | 37733 |
| 865464 | Bayview Commercial Asset Trust 2006-4 Series 2006-4A M1<sup>(a),(c)</sup> | US0001M + 0.435% | 4.8240 | &nbsp;&nbsp;&nbsp;12/25/36 | 787627 |
| 4000000 | Bayview Commercial Asset Trust 2006-SP1 Series 2006-SP1 B2<sup>(a),(c)</sup> | US0001M + 3.375% | 7.7640 | &nbsp;&nbsp;&nbsp;04/25/36 | 3357929 |
| 878538 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M1<sup>(a),(c)</sup> | US0001M + 0.330% | 4.8840 | &nbsp;&nbsp;&nbsp;01/25/37 | 801585 |
| 1348906 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M4<sup>(a),(c)</sup> | US0001M + 0.470% | 5.0940 | &nbsp;&nbsp;&nbsp;01/25/37 | 1227950 |
| 418646 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M5<sup>(a),(c)</sup> | US0001M + 0.490% | 5.1240 | &nbsp;&nbsp;&nbsp;01/25/37 | 380304 |
| 449741 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M6<sup>(a),(c)</sup> | US0001M + 0.560% | 5.2290 | &nbsp;&nbsp;&nbsp;01/25/37 | 408708 |
| 970209 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 B1<sup>(a),(c)</sup> | US0001M + 1.200% | 6.1890 | &nbsp;&nbsp;&nbsp;01/25/37 | 1606972 |
| 315176 | Bayview Commercial Asset Trust 2007-1 Series 2007-1 M2<sup>(a),(c)</sup> | US0001M + 0.290% | 4.8240 | &nbsp;&nbsp;&nbsp;03/25/37 | 284235 |
| 241635 | Bayview Commercial Asset Trust 2007-1 Series 2007-1 M3<sup>(a),(c)</sup> | US0001M + 0.320% | 4.8690 | &nbsp;&nbsp;&nbsp;03/25/37 | 215861 |
| 1197143 | Bayview Commercial Asset Trust 2007-2 Series 2007-2A A2<sup>(a),(c)</sup> | US0001M + 0.320% | 4.7090 | &nbsp;&nbsp;&nbsp;07/25/37 | 1053925 |
| 1514778 | Bayview Commercial Asset Trust 2007-4 Series 2007-4A A2<sup>(a),(c)</sup> | US0001M + 0.550% | 4.9390 | &nbsp;&nbsp;&nbsp;09/25/37 | 2033981 |
| 11776214 | Bayview Commercial Asset Trust 2007-5 Series 2007-5A A4<sup>(a),(c)</sup> | US0001M + 1.500% | 5.8890 | &nbsp;&nbsp;&nbsp;10/25/37 | 7822700 |
| 293920 | Bayview Financial Acquisition Trust Series 2006-D 1A4<sup>(e)</sup> |  | 6.5960 | &nbsp;&nbsp;&nbsp;12/28/36 | 296559 |
| 2430000 | Bayview Financial Mortgage Pass-Through Trust Series 2005-C B2<sup>(a)</sup> | US0001M + 2.025% | 5.7390 | &nbsp;&nbsp;&nbsp;06/28/44 | 2132543 |
| 4756909 | Bayview Financial Mortgage Pass-Through Trust Series 2004-D B2<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;08/28/44 | 4887680 |
| 568952 | BCAP, LLC 2008-RR3 Trust Series 2008-RR3 A1B<sup>(c),(d)</sup> |  | 6.6680 | &nbsp;&nbsp;&nbsp;10/25/36 | 178064 |
| 1716606 | BCAP, LLC 2009-RR4 Trust Series 2009-RR4 1A2<sup>(c),(d)</sup> |  | 6.5000 | &nbsp;&nbsp;&nbsp;06/26/37 | 485230 |
| 422163 | BCAP, LLC Trust 2006-AA2 Series 2006-AA2 A1<sup>(a)</sup> | US0001M + 0.170% | 4.7290 | &nbsp;&nbsp;&nbsp;01/25/37 | 356625 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 272042 | BCMSC Trust 2001-A Series 2001-A M2<sup>(d)</sup> |  | 8.2650 | &nbsp;&nbsp;&nbsp;12/15/30 | $83171 |
| 864194 | Bear Stearns ALT-A Trust 2003-5 Series 2003-5 M<sup>(d)</sup> |  | 3.8760 | &nbsp;&nbsp;&nbsp;12/25/33 | 779096 |
| 283528 | Bear Stearns ALT-A Trust 2003-6 Series 2003-6 B1<sup>(d)</sup> |  | 3.7860 | &nbsp;&nbsp;&nbsp;01/25/34 | 152554 |
| 1799326 | Bear Stearns ALT-A Trust 2005-10 Series 2005-10 11A1<sup>(a)</sup> | US0001M + 0.500% | 4.8890 | &nbsp;&nbsp;&nbsp;01/25/36 | 2321934 |
| 1319513 | Bear Stearns ALT-A Trust 2005-3 Series 2005-3 1A1<sup>(d)</sup> |  | 3.2150 | &nbsp;&nbsp;&nbsp;04/25/35 | 1133464 |
| 237978 | Bear Stearns ALT-A Trust 2005-7 Series 2005-7 25A1<sup>(d)</sup> |  | 3.7350 | &nbsp;&nbsp;&nbsp;09/25/35 | 104555 |
| 1364442 | Bear Stearns ALT-A Trust 2006-4 Series 2006-4 23A4<sup>(d)</sup> |  | 3.6020 | &nbsp;&nbsp;&nbsp;08/25/36 | 935188 |
| 401989 | Bear Stearns ALT-A Trust 2007-2 Series 2007-2 1A1<sup>(a)</sup> | US0001M + 0.340% | 4.7290 | &nbsp;&nbsp;&nbsp;04/25/37 | 345375 |
| 116211 | Bear Stearns ARM Trust 2004-6 Series 2004-6 2A2<sup>(d)</sup> |  | 3.5770 | &nbsp;&nbsp;&nbsp;09/25/34 | 106464 |
| 85154 | Bear Stearns ARM Trust 2004-7 Series 2004-7 1A1<sup>(d),(i)</sup> |  | 2.6250 | &nbsp;&nbsp;&nbsp;10/25/34 | 72101 |
| 328940 | Bear Stearns ARM Trust 2005-12 Series 2005-12 23A1<sup>(d)</sup> |  | 3.8450 | &nbsp;&nbsp;&nbsp;02/25/36 | 291640 |
| 75444 | Bear Stearns ARM Trust 2007-4 Series 2007-4 22A1<sup>(d)</sup> |  | 3.6950 | &nbsp;&nbsp;&nbsp;06/25/47 | 67697 |
| 293321 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR2 M6<sup>(a)</sup> | US0001M + 2.850% | 4.8030 | &nbsp;&nbsp;&nbsp;06/25/34 | 262434 |
| 112763 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE6 M5<sup>(a)</sup> | US0001M + 4.125% | 5.0320 | &nbsp;&nbsp;&nbsp;08/25/34 | 88708 |
| 182516 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE7 M6<sup>(a)</sup> | US0001M + 5.625% | 10.0140 | &nbsp;&nbsp;&nbsp;08/25/34 | 165763 |
| 912695 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR3 M5<sup>(a)</sup> | US0001M + 2.850% | 4.8890 | &nbsp;&nbsp;&nbsp;09/25/34 | 799453 |
| 542598 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR3 M4<sup>(a)</sup> | US0001M + 2.700% | 4.8890 | &nbsp;&nbsp;&nbsp;09/25/34 | 503857 |
| 461043 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE8 M3<sup>(a)</sup> | US0001M + 2.100% | 6.4890 | &nbsp;&nbsp;&nbsp;09/25/34 | 435306 |
| 618958 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE8 M4<sup>(a)</sup> | US0001M + 2.625% | 7.0140 | &nbsp;&nbsp;&nbsp;09/25/34 | 617967 |
| 35016 | Bear Stearns Asset Backed Securities I Trust Series 2004-AC5 A2<sup>(a)</sup> | US0001M + 0.400% | 4.7890 | &nbsp;&nbsp;&nbsp;10/25/34 | 33689 |
| 708000 | Bear Stearns Asset Backed Securities I Trust Series 2004-BO1 M9B<sup>(a)</sup> | US0001M + 6.000% | 10.3890 | &nbsp;&nbsp;&nbsp;10/25/34 | 689120 |
| 376471 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE9 M4<sup>(a)</sup> | US0001M + 2.625% | 4.9740 | &nbsp;&nbsp;&nbsp;11/25/34 | 340373 |
| 189755 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE10 M5<sup>(a)</sup> | US0001M + 2.700% | 5.1870 | &nbsp;&nbsp;&nbsp;12/25/34 | 195141 |
| 870983 | Bear Stearns Asset Backed Securities I Trust Series 2006-HE10 23A<sup>(a)</sup> | US0001M + 0.140% | 4.5290 | &nbsp;&nbsp;&nbsp;12/25/36 | 1551804 |
| 63971 | Bear Stearns Asset Backed Securities Trust Series 1999-2 AF2<sup>(e)</sup> |  | 7.9100 | &nbsp;&nbsp;&nbsp;10/25/29 | 63683 |
| 183888 | Bear Stearns Asset Backed Securities Trust Series 1999-2 MF1<sup>(e)</sup> |  | 8.2200 | &nbsp;&nbsp;&nbsp;10/25/29 | 237779 |
| 236926 | Bear Stearns Asset Backed Securities Trust Series 2003-AC4 M1<sup>(e)</sup> |  | 5.6580 | &nbsp;&nbsp;&nbsp;09/25/33 | 189824 |
| 55685 | Bear Stearns Asset Backed Securities Trust Series 2003-AC5 B<sup>(a)</sup> | US0001M + 4.875% | 9.2640 | &nbsp;&nbsp;&nbsp;10/25/33 | 64008 |
| 48168 | Bear Stearns Asset Backed Securities Trust Series 2003-AC6 M2<sup>(a)</sup> | US0001M + 2.650% | 6.6660 | &nbsp;&nbsp;&nbsp;11/25/33 | 35301 |
| 73148 | Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M5<sup>(a)</sup> | US0001M + 3.375% | 5.2950 | &nbsp;&nbsp;&nbsp;01/25/34 | 77321 |
| 86246 | Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M4<sup>(a)</sup> | US0001M + 2.850% | 5.2950 | &nbsp;&nbsp;&nbsp;01/25/34 | 78400 |
| 112358 | Bear Stearns Asset Backed Securities Trust Series 2004-HE1 M6<sup>(a)</sup> | US0001M + 6.000% | 5.3970 | &nbsp;&nbsp;&nbsp;02/25/34 | 113090 |
| 514705 | Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M6<sup>(a)</sup> | US0001M + 4.875% | 5.0460 | &nbsp;&nbsp;&nbsp;03/25/34 | 525349 |
| 9927 | Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M4<sup>(a)</sup> | US0001M + 2.625% | 5.0460 | &nbsp;&nbsp;&nbsp;03/25/34 | 10318 |
| 80288 | Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M2<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;07/25/34 | 76709 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 51739 | Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M6<sup>(a)</sup> | US0001M + 5.625% | 10.0140 | &nbsp;&nbsp;&nbsp;07/25/34 | $46425 |
| 37632 | Bear Stearns Asset Backed Securities Trust Series 2004-SD1 M3<sup>(e)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;12/25/42 | 10160 |
| 1016463 | Bear Stearns Asset Backed Securities Trust Series 2005-SD2 2B<sup>(a)</sup> | US0001M + 3.750% | 8.1390 | &nbsp;&nbsp;&nbsp;12/25/44 | 1022689 |
| 82440 | Bear Stearns Asset Backed Securities Trust Series 2007-SD2 1A2A |  | 6.0000 | &nbsp;&nbsp;&nbsp;09/25/46 | 71616 |
| 2987000 | Bear Stearns Asset Backed Securities Trust 2006-2 Series 2006-2 M7<sup>(a)</sup> | US0001M + 3.750% | 8.1390 | &nbsp;&nbsp;&nbsp;07/25/36 | 2936283 |
| 1615541 | Bear Stearns Mortgage Funding Trust 2006-AR1 Series 2006-AR1 2A2<sup>(a)</sup> | US0001M + 0.520% | 4.9090 | &nbsp;&nbsp;&nbsp;08/25/36 | 1941226 |
| 331942 | Bear Stearns Mortgage Funding Trust 2006-AR5 Series 2006-AR5 1A1<sup>(a)</sup> | US0001M + 0.160% | 4.5490 | &nbsp;&nbsp;&nbsp;12/25/46 | 281074 |
| 2779764 | Bear Stearns Mortgage Funding Trust 2006-AR5 Series 2006-AR5 1A2<sup>(a)</sup> | US0001M + 0.210% | 4.5990 | &nbsp;&nbsp;&nbsp;12/25/46 | 3144464 |
| 2640690 | Bear Stearns Mortgage Funding Trust 2007-AR1 Series 2007-AR1 1A2<sup>(a)</sup> | US0001M + 0.210% | 4.5990 | &nbsp;&nbsp;&nbsp;01/25/37 | 2521133 |
| 157583 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 1A1<sup>(a)</sup> | US0001M + 0.140% | 4.5290 | &nbsp;&nbsp;&nbsp;03/25/37 | 132117 |
| 2067555 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 1A2<sup>(a)</sup> | US0001M + 0.180% | 4.5690 | &nbsp;&nbsp;&nbsp;03/25/37 | 2085654 |
| 1823294 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 21A2<sup>(a)</sup> | US0001M + 0.190% | 4.7690 | &nbsp;&nbsp;&nbsp;04/25/37 | 1780023 |
| 23827 | Bear Stearns Mortgage Funding Trust 2007-SL1 Series 2007-SL1 1A<sup>(a)</sup> | US0001M + 0.320% | 4.7090 | &nbsp;&nbsp;&nbsp;03/25/37 | 23984 |
| 5193003 | Carrington Mortgage Loan Trust Series 2005-FRE1 Series 2005-FRE1 M4<sup>(a)</sup> | US0001M + 0.930% | 5.3190 | &nbsp;&nbsp;&nbsp;12/25/35 | 3235570 |
| 1262364 | Carrington Mortgage Loan Trust Series 2005-NC1 Series 2005-NC1 M4<sup>(a)</sup> | US0001M + 1.170% | 5.5590 | &nbsp;&nbsp;&nbsp;02/25/35 | 1151548 |
| 787453 | CBA Commercial Small Balance Commercial Mortgage Series 2006-2A A<sup>(c),(e)</sup> |  | 6.0400 | &nbsp;&nbsp;&nbsp;01/25/39 | 725415 |
| 557762 | C-BASS 2007-CB1 TRUST Series 2007-CB1 AF1A<sup>(a)</sup> | US0001M + 0.070% | 2.9090 | &nbsp;&nbsp;&nbsp;01/25/37 | 179299 |
| 826973 | C-BASS 2007-CB1 TRUST Series 2007-CB1 AF2<sup>(e)</sup> |  | 5.7210 | &nbsp;&nbsp;&nbsp;01/25/37 | 264747 |
| 2264740 | C-BASS 2007-CB1 TRUST Series 2007-CB1 AF6<sup>(e)</sup> |  | 5.8350 | &nbsp;&nbsp;&nbsp;01/25/37 | 724824 |
| 792273 | CDC Mortgage Capital Trust 2003-HE2 Series 2003-HE2 M2<sup>(a)</sup> | US0001M + 2.850% | 7.2390 | &nbsp;&nbsp;&nbsp;10/25/33 | 765680 |
| 758430 | CDC Mortgage Capital Trust 2004-HE1 Series 2004-HE1 M1<sup>(a)</sup> | US0001M + 0.855% | 5.2440 | &nbsp;&nbsp;&nbsp;06/25/34 | 1057693 |
| 581470 | CDC Mortgage Capital Trust 2004-HE1 Series 2004-HE1 M2<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;06/25/34 | 580910 |
| 529705 | CDC Mortgage Capital Trust 2004-HE3 Series 2004-HE3 M2<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;11/25/34 | 495041 |
| 292658 | Centex Home Equity Loan Trust 2001-b Series 2001-B A5<sup>(e)</sup> |  | 7.3300 | &nbsp;&nbsp;&nbsp;07/25/32 | 237068 |
| 48684 | Centex Home Equity Loan Trust 2003-A Series 2003-A M2<sup>(a)</sup> | US0001M + 1.730% | 6.1190 | &nbsp;&nbsp;&nbsp;03/25/33 | 44763 |
| 658373 | Centex Home Equity Loan Trust 2004-B Series 2004-B M5<sup>(a)</sup> | US0001M + 1.575% | 5.9640 | &nbsp;&nbsp;&nbsp;03/25/34 | 604917 |
| 146217 | Centex Home Equity Loan Trust 2004-D Series 2004-D MV2<sup>(a)</sup> | US0001M + 1.035% | 5.0790 | &nbsp;&nbsp;&nbsp;09/25/34 | 149729 |
| 2500000 | CFCRE Commercial Mortgage Trust 2016-C6 Series 2016-C6 D<sup>(c),(d)</sup> |  | 4.1910 | &nbsp;&nbsp;&nbsp;11/10/49 | 1892975 |
| 3050000 | CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7 D<sup>(c),(d)</sup> |  | 4.3860 | &nbsp;&nbsp;&nbsp;12/10/54 | 2277974 |
| 215486 | Chase Funding Trust Series 2003-1 Series 2003-1 2A2<sup>(a)</sup> | US0001M + 0.660% | 5.0490 | &nbsp;&nbsp;&nbsp;11/25/32 | 211424 |
| 111627 | Chase Funding Trust Series 2003-3 Series 2003-3 1M2 |  | 4.8850 | &nbsp;&nbsp;&nbsp;05/25/32 | 73602 |
| 409906 | Chase Mortgage Finance Trust Series 2005-S3 Series 2005-S3 A10 |  | 5.5000 | &nbsp;&nbsp;&nbsp;11/25/35 | 305827 |
| 45431 | Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 7A1<sup>(d)</sup> |  | 3.7250 | &nbsp;&nbsp;&nbsp;02/25/37 | 44502 |
| 25933 | Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 5A2<sup>(d)</sup> |  | 3.7570 | &nbsp;&nbsp;&nbsp;02/25/37 | 23186 |
| 592997 | ChaseFlex Trust Multi-Class Mortgage Pass-Through Series 2007-M1 2AV2<sup>(a)</sup> | US0001M + 0.230% | 4.1120 | &nbsp;&nbsp;&nbsp;08/25/37 | 502670 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 737572 | Chevy Chase Funding, LLC Mortgage-Backed Series 2003-4A B1<sup>(c),(d)</sup> |  | 3.5610 | &nbsp;&nbsp;&nbsp;10/25/34 | $660793 |
| 41984 | Chevy Chase Funding, LLC Mortgage-Backed Series 2004-2A A2<sup>(a),(c)</sup> | US0001M + 0.320% | 4.7090 | &nbsp;&nbsp;&nbsp;05/25/35 | 39330 |
| 613428 | Chevy Chase Funding, LLC Mortgage-Backed Series 2004-4A B1<sup>(c),(d)</sup> |  | 3.0200 | &nbsp;&nbsp;&nbsp;10/25/35 | 424561 |
| 459080 | Chevy Chase Funding, LLC Mortgage-Backed Series 2007-2A A2<sup>(a),(c)</sup> | US0001M + 0.180% | 4.5690 | &nbsp;&nbsp;&nbsp;05/25/48 | 283856 |
| 484506 | CHL Mortgage Pass-Through Trust 2003-48 Series 2003-48 B1<sup>(d),(i)</sup> |  | 4.2180 | &nbsp;&nbsp;&nbsp;10/25/33 | 31351 |
| 286272 | CHL Mortgage Pass-Through Trust 2003-58 Series 2003-58 M<sup>(d)</sup> |  | 4.2670 | &nbsp;&nbsp;&nbsp;02/19/34 | 258311 |
| 30844 | CHL Mortgage Pass-Through Trust 2004-25 Series 2004-25 1A2<sup>(a)</sup> | US0001M + 0.780% | 5.1690 | &nbsp;&nbsp;&nbsp;02/25/35 | 23956 |
| 5456256 | CHL Mortgage Pass-Through Trust 2004-29 Series 2004-29 2X<sup>(b),(d),(i)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;02/25/35 | 22188 |
| 45889 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 3A3<sup>(d)</sup> |  | 2.9090 | &nbsp;&nbsp;&nbsp;04/25/35 | 33515 |
| 22129 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A1<sup>(a)</sup> | US0001M + 0.270% | 4.6590 | &nbsp;&nbsp;&nbsp;04/25/35 | 19720 |
| 269654 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A2<sup>(a)</sup> | US0001M + 0.320% | 4.7090 | &nbsp;&nbsp;&nbsp;04/25/35 | 143910 |
| 247679 | CHL Mortgage Pass-Through Trust 2005-14 Series 2005-14 A3 |  | 5.5000 | &nbsp;&nbsp;&nbsp;07/25/35 | 104054 |
| 311034 | CHL Mortgage Pass-Through Trust 2005-2 Series 2005-2 2A3<sup>(a)</sup> | US0001M + 0.680% | 5.0690 | &nbsp;&nbsp;&nbsp;03/25/35 | 271603 |
| 80318 | CHL Mortgage Pass-Through Trust 2006-HYB3 Series 2006-HYB3 2A1A<sup>(d)</sup> |  | 3.3660 | &nbsp;&nbsp;&nbsp;05/20/36 | 71388 |
| 107013 | CHL Mortgage Pass-Through Trust 2007-HYB2 Series 2007-HYB2 3A1<sup>(d)</sup> |  | 3.1100 | &nbsp;&nbsp;&nbsp;02/25/47 | 91435 |
| 260997 | CHL Mortgage Pass-Through Trust 2007-J3 Series 2007-J3 A9 |  | 6.0000 | &nbsp;&nbsp;&nbsp;07/25/37 | 125863 |
| 3081801 | CIT Home Equity Loan Trust 2002-2 Series 2002-2 MF1<sup>(e)</sup> |  | 6.4900 | &nbsp;&nbsp;&nbsp;02/25/31 | 2937967 |
| 66566 | Citicorp Mortgage Securities Trust Series 2006-4 Series 2006-4 1A12 |  | 6.0000 | &nbsp;&nbsp;&nbsp;08/25/36 | 44594 |
| 34817 | Citicorp Mortgage Securities Trust Series 2007-7 Series 2007-7 APO<sup>(f)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;08/25/37 | 23288 |
| 4262508 | Citicorp Residential Mortgage Trust Series 2006-1 Series 2006-1 M3<sup>(e)</sup> |  | 4.6730 | &nbsp;&nbsp;&nbsp;07/25/36 | 2677603 |
| 1336089 | Citicorp Residential Mortgage Trust Series 2006-2 Series 2006-2 M3<sup>(e)</sup> |  | 5.9960 | &nbsp;&nbsp;&nbsp;09/25/36 | 557004 |
| 3500000 | Citigroup Commercial Mortgage Trust 2014-GC21 Series 2014-GC21 E<sup>(c),(d)</sup> |  | 3.5880 | &nbsp;&nbsp;&nbsp;05/10/47 | 2306353 |
| 25850765 | Citigroup Commercial Mortgage Trust 2015-GC27 Series 2015-GC27 XH<sup>(b),(c),(d)</sup> |  | 1.4180 | &nbsp;&nbsp;&nbsp;02/10/48 | 587143 |
| 3000000 | Citigroup Commercial Mortgage Trust 2015-GC35 Series 2015-GC35 D |  | 3.2360 | &nbsp;&nbsp;&nbsp;11/10/48 | 1995623 |
| 147303 | Citigroup Global Markets Mortgage Securities VII, Series 1997-LB6 B2 |  | 7.0000 | &nbsp;&nbsp;&nbsp;12/25/27 | 85667 |
| 200261 | Citigroup Global Markets Mortgage Securities VII, Series 2002-WMC1 M1<sup>(a)</sup> | US0001M + 1.350% | 5.7390 | &nbsp;&nbsp;&nbsp;01/25/32 | 202375 |
| 41325 | Citigroup Mortgage Loan Trust 2004-HYB2 Series 2004-HYB2 1A<sup>(d)</sup> |  | 3.2460 | &nbsp;&nbsp;&nbsp;03/25/34 | 38385 |
| 155765 | Citigroup Mortgage Loan Trust 2005-3 Series 2005-3 2A2B<sup>(d)</sup> |  | 3.8360 | &nbsp;&nbsp;&nbsp;08/25/35 | 125303 |
| 71768 | Citigroup Mortgage Loan Trust 2006-AR1 Series 2006-AR1 2A1<sup>(a)</sup> | H15T1Y + 2.400% | 6.3800 | &nbsp;&nbsp;&nbsp;03/25/36 | 65254 |
| 69541 | Citigroup Mortgage Loan Trust 2007-10 Series 2007-10 22AA<sup>(d)</sup> |  | 3.8680 | &nbsp;&nbsp;&nbsp;09/25/37 | 59829 |
| 232659 | Citigroup Mortgage Loan Trust 2007-AHL3 Series 2007-AHL3 A1<sup>(a),(c)</sup> | US0001M + 0.170% | 4.5590 | &nbsp;&nbsp;&nbsp;05/25/37 | 200394 |
| 80626 | Citigroup Mortgage Loan Trust 2007-AMC2 Series 2007-AMC2 A3A<sup>(a)</sup> | US0001M + 0.080% | 4.4690 | &nbsp;&nbsp;&nbsp;01/25/37 | 60069 |
| 42679 | Citigroup Mortgage Loan Trust 2007-AR8 Series 2007-AR8 2A1A<sup>(d)</sup> |  | 3.6430 | &nbsp;&nbsp;&nbsp;07/25/37 | 36871 |
| 333142 | Citigroup Mortgage Loan Trust 2007-OPX1 Series 2007-OPX1 A4B<sup>(e)</sup> |  | 6.3330 | &nbsp;&nbsp;&nbsp;01/25/37 | 133652 |
| 43271 | Citigroup Mortgage Loan Trust, Inc. Series 2004-HYB1 A31<sup>(d)</sup> |  | 2.1830 | &nbsp;&nbsp;&nbsp;02/25/34 | 42768 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 182295 | Citigroup Mortgage Loan Trust, Inc. Series 2005-OPT1 M5<sup>(a)</sup> | US0001M + 1.095% | 5.4840 | &nbsp;&nbsp;&nbsp;02/25/35 | $183339 |
| 1322377 | Citigroup Mortgage Loan Trust, Inc. Series 2005-WF2 MV6<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;08/25/35 | 1415094 |
| 4277240 | Citigroup Mortgage Loan Trust, Inc. Series 2005-HE4 M5<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;10/25/35 | 2549838 |
| 473572 | Citigroup Mortgage Loan Trust, Inc. Series 2005-9 1A1<sup>(a)</sup> | US0001M + 0.260% | 4.6490 | &nbsp;&nbsp;&nbsp;11/25/35 | 391111 |
| 66560 | CitiMortgage Alternative Loan Trust Series 2007-A1 Series 2007-A1 1A1 |  | 6.0000 | &nbsp;&nbsp;&nbsp;01/25/37 | 58857 |
| 1182097 | CitiMortgage Alternative Loan Trust Series 2007-A4 Series 2007-A4 1A7 |  | 5.7500 | &nbsp;&nbsp;&nbsp;04/25/37 | 1056250 |
| 3185536 | CitiMortgage Alternative Loan Trust Series 2007-A6 Series 2007-A6 1A2<sup>(a),(b)</sup> | US0001M + 5.400% | 1.0110 | &nbsp;&nbsp;&nbsp;06/25/37 | 142424 |
| 918000 | COMM 2013-CCRE7 Mortgage Trust Series 2013-CR7 E<sup>(c),(d)</sup> |  | 4.3660 | &nbsp;&nbsp;&nbsp;03/10/46 | 822664 |
| 1300000 | COMM 2014-LC17 Mortgage Trust Series 2014-LC17 E<sup>(c)</sup> |  | 3.1140 | &nbsp;&nbsp;&nbsp;10/10/47 | 1044995 |
| 1790723 | Conseco Finance Corporation Series 1996-8 B1<sup>(d)</sup> |  | 7.9500 | &nbsp;&nbsp;&nbsp;11/15/26 | 1693047 |
| 152476 | Conseco Finance Corporation Series 1997-2 M1<sup>(d)</sup> |  | 7.5400 | &nbsp;&nbsp;&nbsp;06/15/28 | 150035 |
| 2817387 | Conseco Finance Corporation Series 1999-1 M1<sup>(d)</sup> |  | 6.5600 | &nbsp;&nbsp;&nbsp;11/01/28 | 2553886 |
| 2761319 | Conseco Finance Corporation Series 1998-4 M1<sup>(d)</sup> |  | 6.8300 | &nbsp;&nbsp;&nbsp;04/01/30 | 2494049 |
| 318566 | Conseco Finance Corporation/Old Series 2002-A B1<sup>(a)</sup> | US0001M + 5.250% | 9.5680 | &nbsp;&nbsp;&nbsp;04/15/32 | 321064 |
| 300769 | Conseco Finance Home Equity Loan Trust 2002-B Series 2002-B B1<sup>(a)</sup> | US0001M + 5.250% | 9.5680 | &nbsp;&nbsp;&nbsp;05/15/33 | 302845 |
| 893262 | Conseco Finance Securitizations Corporation Series 2001-2 M1<sup>(d)</sup> |  | 7.6900 | &nbsp;&nbsp;&nbsp;03/01/31 | 765217 |
| 3000000 | Conseco Finance Securitizations Corporation Series 2002-1 M2<sup>(d)</sup> |  | 9.5460 | &nbsp;&nbsp;&nbsp;12/01/33 | 2736972 |
| 884167 | Conseco Finance Securitizations Corporation Series 2002-1 B1<sup>(d)</sup> |  | 9.7860 | &nbsp;&nbsp;&nbsp;12/01/33 | 36817 |
| 1084194 | Countrywide Asset-Backed Certificates Series 2002-BC3 M1<sup>(a)</sup> | US0001M + 0.900% | 5.2890 | &nbsp;&nbsp;&nbsp;05/25/32 | 1041747 |
| 525220 | Countrywide Asset-Backed Certificates Series 2002-4 M2<sup>(a)</sup> | US0001M + 2.250% | 6.6390 | &nbsp;&nbsp;&nbsp;11/25/32 | 507807 |
| 163696 | Countrywide Asset-Backed Certificates Series 2003-BC5 M4<sup>(a)</sup> | US0001M + 2.550% | 6.9390 | &nbsp;&nbsp;&nbsp;04/25/33 | 160700 |
| 544587 | Countrywide Asset-Backed Certificates Series 2003-4 M1<sup>(a)</sup> | US0001M + 1.020% | 5.4090 | &nbsp;&nbsp;&nbsp;09/25/33 | 484018 |
| 200272 | Countrywide Asset-Backed Certificates Series 2004-BC3 M5<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;04/25/34 | 182376 |
| 506367 | Countrywide Asset-Backed Certificates Series 2004-8 M4<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;10/25/34 | 464923 |
| 1133380 | Countrywide Asset-Backed Certificates Series 2004-SD4 M3<sup>(a)</sup> | US0001M + 4.200% | 8.5890 | &nbsp;&nbsp;&nbsp;12/25/34 | 1153089 |
| 119990 | Countrywide Asset-Backed Certificates Series 2005-IM3 A3<sup>(a)</sup> | US0001M + 0.500% | 4.8890 | &nbsp;&nbsp;&nbsp;03/25/36 | 119339 |
| 3131747 | Countrywide Asset-Backed Certificates Series 2006-BC1 M4<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;04/25/36 | 2443796 |
| 1750851 | Countrywide Asset-Backed Certificates Series 2006-1 MV2<sup>(a)</sup> | US0001M + 0.615% | 3.5730 | &nbsp;&nbsp;&nbsp;07/25/36 | 1643126 |
| 379594 | Countrywide Asset-Backed Certificates Series 2006-12 1A<sup>(a)</sup> | US0001M + 0.260% | 4.6490 | &nbsp;&nbsp;&nbsp;12/25/36 | 364308 |
| 117781 | Countrywide Asset-Backed Certificates Series 2006-23 1A<sup>(a)</sup> | US0001M + 0.140% | 4.5290 | &nbsp;&nbsp;&nbsp;05/25/37 | 107983 |
| 239845 | Countrywide Asset-Backed Certificates Series 2006-21 M1<sup>(a)</sup> | US0001M + 0.230% | 4.6190 | &nbsp;&nbsp;&nbsp;05/25/37 | 188700 |
| 856622 | Countrywide Asset-Backed Certificates Series 2007-SD1 A1<sup>(a),(c)</sup> | US0001M + 0.900% | 5.2890 | &nbsp;&nbsp;&nbsp;03/25/47 | 704765 |
| 264542 | Credit Suisse First Boston Mortgage Securities Series 2002-AR21 CB1<sup>(d)</sup> |  | 3.2140 | &nbsp;&nbsp;&nbsp;06/25/32 | 250429 |
| 78867 | Credit Suisse First Boston Mortgage Securities Series 2002-HE16 M2<sup>(a)</sup> | US0001M + 2.000% | 6.3890 | &nbsp;&nbsp;&nbsp;10/25/32 | 76290 |
| 1127534 | Credit Suisse First Boston Mortgage Securities Series 2003-1 DB2<sup>(d)</sup> |  | 6.6560 | &nbsp;&nbsp;&nbsp;02/25/33 | 845205 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 91089 | Credit Suisse First Boston Mortgage Securities Series 2003-AR9 CB1<sup>(d)</sup> |  | 3.2050 | &nbsp;&nbsp;&nbsp;03/25/33 | $85735 |
| 735397 | Credit Suisse First Boston Mortgage Securities Series 2004-AR1 6M2<sup>(a)</sup> | US0001M + 2.100% | 6.4890 | &nbsp;&nbsp;&nbsp;02/25/34 | 725161 |
| 114483 | Credit Suisse First Boston Mortgage Securities Series 2004-FRE1 B3<sup>(a)</sup> | US0001M + 3.250% | 3.5500 | &nbsp;&nbsp;&nbsp;04/25/34 | 103115 |
| 1042296 | Credit Suisse First Boston Mortgage Securities Series 2004-AR7 CB1<sup>(a)</sup> | US0001M + 1.150% | 5.5390 | &nbsp;&nbsp;&nbsp;11/25/34 | 845251 |
| 568329 | Credit Suisse First Boston Mortgage Securities Series 2005-1 1A4 |  | 5.5000 | &nbsp;&nbsp;&nbsp;02/25/35 | 506499 |
| 928113 | Credit-Based Asset Servicing and Securitization, Series 2002-CB2 M2<sup>(a)</sup> | US0001M + 1.950% | 4.2260 | &nbsp;&nbsp;&nbsp;04/25/32 | 902295 |
| 573151 | Credit-Based Asset Servicing and Securitization, Series 2002-CB5 M2<sup>(a)</sup> | US0001M + 3.000% | 4.7260 | &nbsp;&nbsp;&nbsp;05/25/32 | 579645 |
| 78740 | Credit-Based Asset Servicing and Securitization, Series 2003-CB1 M1<sup>(a)</sup> | US0001M + 1.425% | 4.7650 | &nbsp;&nbsp;&nbsp;01/25/33 | 77391 |
| 221578 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B4<sup>(a),(c)</sup> | US0001M + 3.750% | 3.2070 | &nbsp;&nbsp;&nbsp;03/25/34 | 226779 |
| 145075 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B3<sup>(a)</sup> | US0001M + 4.875% | 3.2070 | &nbsp;&nbsp;&nbsp;03/25/34 | 199705 |
| 108178 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B2<sup>(a)</sup> | US0001M + 3.000% | 3.2070 | &nbsp;&nbsp;&nbsp;03/25/34 | 108472 |
| 89763 | Credit-Based Asset Servicing and Securitization, Series 2004-CB6 B1<sup>(a)</sup> | US0001M + 2.700% | 4.0320 | &nbsp;&nbsp;&nbsp;07/25/35 | 81841 |
| 26512 | Credit-Based Asset Servicing and Securitization, Series 2004-CB8 M1<sup>(a)</sup> | US0001M + 0.795% | 3.3990 | &nbsp;&nbsp;&nbsp;12/25/35 | 25942 |
| 1072261 | Credit-Based Asset Servicing and Securitization, Series 2006-RP2 M1<sup>(a),(c)</sup> | US0001M + 1.050% | 5.4390 | &nbsp;&nbsp;&nbsp;07/25/36 | 1039807 |
| 445000 | Credit-Based Asset Servicing and Securitization, Series 2007-CB4 A2C<sup>(e)</sup> |  | 6.1140 | &nbsp;&nbsp;&nbsp;04/25/37 | 276981 |
| 867633 | Credit-Based Asset Servicing and Securitization, Series 2007-CB6 A4<sup>(a),(c)</sup> | US0001M + 0.340% | 4.3840 | &nbsp;&nbsp;&nbsp;07/25/37 | 579648 |
| 1000000 | Csail 2015-C2 Commercial Mortgage Trust Series 2015-C2 D<sup>(d)</sup> |  | 4.1770 | &nbsp;&nbsp;&nbsp;06/15/57 | 722328 |
| 563693 | CSFB Mortgage-Backed Trust Series 2004-7 Series 2004-7 DB1<sup>(d)</sup> |  | 5.9880 | &nbsp;&nbsp;&nbsp;11/25/34 | 289194 |
| 2651473 | CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1 MF3<sup>(d)</sup> |  | 5.5550 | &nbsp;&nbsp;&nbsp;07/25/35 | 2305407 |
| 132574 | CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1 MF4<sup>(d)</sup> |  | 5.6540 | &nbsp;&nbsp;&nbsp;07/25/35 | 92261 |
| 1883000 | CWABS Asset-Backed Certificates Trust 2005-4 Series 2005-4 MF3<sup>(d)</sup> |  | 5.2360 | &nbsp;&nbsp;&nbsp;07/25/35 | 1439555 |
| 1558955 | CWABS Inc Asset-Backed Certificates Trust 2004-4 Series 2004-4 B<sup>(a)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;08/25/33 | 1592299 |
| 21807 | CWABS Inc Asset-Backed Certificates Trust 2004-5 Series 2004-5 M1<sup>(a)</sup> | US0001M + 0.855% | 5.2440 | &nbsp;&nbsp;&nbsp;08/25/34 | 21447 |
| 715982 | CWHEQ Revolving Home Equity Loan Trust Series Series 2005-B 2A<sup>(a),(c)</sup> | US0001M + 0.180% | 4.4980 | &nbsp;&nbsp;&nbsp;05/15/35 | 704068 |
| 147229 | Delta Funding Home Equity Loan Trust 1999-3 Series 1999-3 M1<sup>(e)</sup> |  | 8.1000 | &nbsp;&nbsp;&nbsp;01/15/30 | 92240 |
| 82612 | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5 1A3<sup>(d)</sup> |  | 5.5000 | &nbsp;&nbsp;&nbsp;11/25/35 | 117553 |
| 682113 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5 23A |  | 6.0000 | &nbsp;&nbsp;&nbsp;10/25/23 | 482168 |
| 1143531 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5 A3<sup>(a)</sup> | US0001M + 0.400% | 4.7890 | &nbsp;&nbsp;&nbsp;08/25/47 | 801349 |
| 2295502 | Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 Series 2004-1 3M1<sup>(e)</sup> |  | 5.6700 | &nbsp;&nbsp;&nbsp;12/25/33 | 1895729 |
| 954447 | Deutsche Mortgage Securities Inc REMIC Trust Series 2008-RS1 4A2<sup>(a),(c)</sup> | US0001M + 0.250% | 4.6340 | &nbsp;&nbsp;&nbsp;05/28/37 | 374344 |
| 13260 | DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B2<sup>(a)</sup> | US0001M + 1.650% | 5.9890 | &nbsp;&nbsp;&nbsp;08/25/35 | 11318 |
| 271742 | DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B3<sup>(a)</sup> | US0001M + 1.875% | 6.2140 | &nbsp;&nbsp;&nbsp;07/19/44 | 143388 |
| 11040 | DSLA Mortgage Loan Trust 2005-AR1 Series 2005-AR1 2A2<sup>(a)</sup> | US0001M + 0.660% | 4.9990 | &nbsp;&nbsp;&nbsp;02/19/45 | 888 |
| 3297692 | DSLA Mortgage Loan Trust 2007-AR1 Series 2007-AR1 2A1B<sup>(a)(h)</sup> | US0001M + 0.180% | 4.5190 | &nbsp;&nbsp;&nbsp;04/19/47 | 3397989 |
| 930117 | EMC Mortgage Loan Trust 2002-A Series 2002-AA M2<sup>(a),(c)</sup> | US0001M + 2.550% | 6.9390 | &nbsp;&nbsp;&nbsp;05/25/39 | 928326 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 2910553 | Equifirst Loan Securitization Trust 2007-1 Series 2007-1 M1<sup>(a)</sup> | US0001M + 0.280% | 4.6690 | &nbsp;&nbsp;&nbsp;04/25/37 | $— |
| 440684 | EquiFirst Mortgage Loan Trust 2004-3 Series 2004-3 M9<sup>(a)</sup> | US0001M + 3.900% | 8.2890 | &nbsp;&nbsp;&nbsp;12/25/34 | 428229 |
| 850860 | EquiFirst Mortgage Loan Trust 2005-1 Series 2005-1 M7<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;04/25/35 | 720765 |
| 457005 | Equity One Mortgage Pass-Through Trust 2004-3 Series 2004-3 M3<sup>(e)</sup> |  | 3.9660 | &nbsp;&nbsp;&nbsp;07/25/34 | 353048 |
| 132922 | Fannie Mae REMIC Trust 2003-W1 Series 2003-W1 M<sup>(d)</sup> |  | 2.6030 | &nbsp;&nbsp;&nbsp;12/25/42 | 103231 |
| 432100 | Finance America Mortgage Loan Trust 2004-1 Series 2004-1 M6<sup>(a)</sup> | US0001M + 2.175% | 6.5640 | &nbsp;&nbsp;&nbsp;06/25/34 | 375332 |
| 220033 | Finance America Mortgage Loan Trust 2004-2 Series 2004-2 M2<sup>(a)</sup> | US0001M + 0.900% | 5.2890 | &nbsp;&nbsp;&nbsp;08/25/34 | 201420 |
| 640958 | First Franklin Mortgage Loan Trust 2002-FF4 Series 2002-FF4 M1<sup>(a)</sup> | US0001M + 1.575% | 5.9640 | &nbsp;&nbsp;&nbsp;02/25/33 | 539382 |
| 274158 | First Franklin Mortgage Loan Trust 2003-FF4 Series 2003-FF4 M2<sup>(a)</sup> | US0001M + 2.475% | 6.8640 | &nbsp;&nbsp;&nbsp;10/25/33 | 233429 |
| 879861 | First Franklin Mortgage Loan Trust 2003-FFH1 Series 2003-FFH1 M2<sup>(a)</sup> | US0001M + 2.625% | 7.0140 | &nbsp;&nbsp;&nbsp;09/25/33 | 771406 |
| 2831742 | First Franklin Mortgage Loan Trust 2003-FFH2 Series 2003-FFH2 M2<sup>(a)</sup> | US0001M + 2.370% | 6.7590 | &nbsp;&nbsp;&nbsp;02/25/34 | 2748608 |
| 2596711 | First Franklin Mortgage Loan Trust 2004-FF10 Series 2004-FF10 M2<sup>(a)</sup> | US0001M + 2.325% | 5.9390 | &nbsp;&nbsp;&nbsp;05/25/34 | 2047623 |
| 429595 | First Franklin Mortgage Loan Trust 2004-FF5 Series 2004-FF5 M6<sup>(a)</sup> | US0001M + 2.400% | 6.7890 | &nbsp;&nbsp;&nbsp;08/25/34 | 377966 |
| 984907 | First Franklin Mortgage Loan Trust 2004-FF7 Series 2004-FF7 B<sup>(e)</sup> |  | 5.5000 | &nbsp;&nbsp;&nbsp;09/25/34 | 899752 |
| 1148388 | First Franklin Mortgage Loan Trust 2004-FF7 Series 2004-FF7 M5<sup>(a)</sup> | US0001M + 2.175% | 6.5640 | &nbsp;&nbsp;&nbsp;09/25/34 | 1156459 |
| 913553 | First Franklin Mortgage Loan Trust 2004-FFH4 Series 2004-FFH4 M8<sup>(a)</sup> | US0001M + 2.700% | 7.0890 | &nbsp;&nbsp;&nbsp;01/25/35 | 771496 |
| 5076098 | First Franklin Mortgage Loan Trust 2005-FF9 Series 2005-FF9 M1<sup>(a)(h)</sup> | US0001M + 0.810% | 5.1990 | &nbsp;&nbsp;&nbsp;10/25/35 | 5137877 |
| 4626480 | First Franklin Mortgage Loan Trust 2006-FF10 Series 2006-FF10 M1<sup>(a)</sup> | US0001M + 0.270% | 4.6590 | &nbsp;&nbsp;&nbsp;07/25/36 | 6065855 |
| 4321261 | First Franklin Mortgage Loan Trust 2006-FF11 Series 2006-FF11 M1<sup>(a)(h)</sup> | US0001M + 0.375% | 4.7640 | &nbsp;&nbsp;&nbsp;08/25/36 | 4008723 |
| 4133450 | First NLC Trust 2005-1 Series 2005-1 M2<sup>(a)</sup> | US0001M + 0.645% | 1.2860 | &nbsp;&nbsp;&nbsp;05/25/35 | 3234482 |
| 1187227 | First NLC Trust 2007-1 Series 2007-1 A4<sup>(a),(c)</sup> | US0001M + 0.280% | 4.6690 | &nbsp;&nbsp;&nbsp;08/25/37 | 562868 |
| 54487 | Fremont Home Loan Trust 2004-B Series 2004-B M6<sup>(a)</sup> | US0001M + 2.325% | 6.7140 | &nbsp;&nbsp;&nbsp;05/25/34 | 51032 |
| 15094 | Fremont Home Loan Trust 2004-C Series 2004-C M3<sup>(a)</sup> | US0001M + 1.725% | 6.1140 | &nbsp;&nbsp;&nbsp;08/25/34 | 14238 |
| 341810 | GE Capital Mortgage Funding Corp 1999-HE3 Trust Series 1999-HE3 M<sup>(d)</sup> |  | 7.7750 | &nbsp;&nbsp;&nbsp;10/25/29 | 332367 |
| 82178 | GE Capital Mortgage Services Inc 1999-HE2 Trust Series 1999-HE2 B1<sup>(d)</sup> |  | 7.9050 | &nbsp;&nbsp;&nbsp;07/25/29 | 43412 |
| 1336514 | Global Mortgage Securitization Ltd. Series 2005-A B1<sup>(c)</sup> |  | 5.2500 | &nbsp;&nbsp;&nbsp;04/25/32 | 1206912 |
| 37215 | GMACM Home Equity Loan Trust 2006-HE1 Series 2006-HE1 A<sup>(a)</sup> | US0001M + 0.315% | 4.7040 | &nbsp;&nbsp;&nbsp;11/25/36 | 78795 |
| 1549199 | GMACM Mortgage Loan Trust 2004-GH1 Series 2004-GH1 M2<sup>(e)</sup> |  | 5.5000 | &nbsp;&nbsp;&nbsp;07/25/35 | 1333320 |
| 10287 | GreenPoint Mortgage Funding Trust 2006-AR3 Series 2006-AR3 3A1<sup>(a)</sup> | US0001M + 0.460% | 4.8490 | &nbsp;&nbsp;&nbsp;04/25/36 | 11791 |
| 5028124 | GreenPoint Mortgage Funding Trust Series 2006-AR6 Series 2006-AR6 A3A<sup>(a)(h)</sup> | US0001M + 0.220% | 4.8290 | &nbsp;&nbsp;&nbsp;10/25/46 | 4654992 |
| 1560746 | GreenPoint Mortgage Funding Trust Series 2006-AR6 Series 2006-AR6 A4<sup>(a)</sup> | US0001M + 0.340% | 5.0690 | &nbsp;&nbsp;&nbsp;10/25/46 | 1063549 |
| 344171 | GreenPoint Mortgage Loan Trust 2004-1 Series 2004-1 A<sup>(a)</sup> | US0001M + 1.150% | 5.5390 | &nbsp;&nbsp;&nbsp;10/25/34 | 273200 |
| 1250000 | GS Mortgage Securities Corp Trust 2018-3PCK Series 2018-3PCK D<sup>(a),(c)</sup> | US0001M + 4.000% | 8.8180 | &nbsp;&nbsp;&nbsp;09/15/31 | 1148845 |
| 6418559 | GS Mortgage Securities Corporation II Series 2018-SRP5 A<sup>(a),(c)</sup> | US0001M + 1.550% | 6.1180 | &nbsp;&nbsp;&nbsp;09/15/31 | 5406695 |
| 1209585 | GS Mortgage Securities Trust 2007-GG10 Series 2007-GG10 AJ<sup>(d)</sup> |  | 5.6210 | &nbsp;&nbsp;&nbsp;08/10/45 | 316533 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 3500000 | GS Mortgage Securities Trust 2014-GC22 Series 2014-GC22 D<sup>(c),(d)</sup> |  | 4.6860 | &nbsp;&nbsp;&nbsp;06/10/47 | $3103832 |
| 3790000 | GS Mortgage Securities Trust 2014-GC26 Series 2014-GC26 D<sup>(c),(d)</sup> |  | 4.5210 | &nbsp;&nbsp;&nbsp;11/10/47 | 2563306 |
| 3000000 | GS Mortgage Securities Trust 2016-GS4 Series 2016-GS4 D<sup>(c),(d)</sup> |  | 3.2330 | &nbsp;&nbsp;&nbsp;11/10/49 | 2184810 |
| 19912 | GSAA Home Equity Trust 2005-2 Series 2005-2 B2<sup>(a)</sup> | US0001M + 2.175% | 6.5640 | &nbsp;&nbsp;&nbsp;12/25/34 | 34057 |
| 53180 | GSAA Home Equity Trust 2006-3 Series 2006-3 A1<sup>(a)</sup> | US0001M + 0.160% | 4.5490 | &nbsp;&nbsp;&nbsp;03/25/36 | 19530 |
| 166297 | GSAMP Trust 2004-OPT Series 2004-OPT B2<sup>(a)</sup> | US0001M + 2.550% | 3.3120 | &nbsp;&nbsp;&nbsp;11/25/34 | 129658 |
| 89597 | GSAMP Trust 2004-WF Series 2004-WF B1<sup>(a)</sup> | US0001M + 2.475% | 6.8640 | &nbsp;&nbsp;&nbsp;10/25/34 | 86982 |
| 1665020 | GSAMP Trust 2006-NC1 Series 2006-NC1 M2<sup>(a)</sup> | US0001M + 0.570% | 4.9590 | &nbsp;&nbsp;&nbsp;02/25/36 | 1591748 |
| 1017946 | GSAMP Trust 2007-FM1 Series 2007-FM1 A2B<sup>(a)</sup> | US0001M + 0.120% | 4.5090 | &nbsp;&nbsp;&nbsp;12/25/36 | 509298 |
| 2000000 | GSAMP Trust 2007-SEA1 Series 2007-SEA1 M1<sup>(c),(e)</sup> |  | 5.5000 | &nbsp;&nbsp;&nbsp;12/25/36 | 1707975 |
| 1471433 | GSMPS Mortgage Loan Trust 2003-3 Series 2003-3 B1<sup>(c),(d)</sup> |  | 7.0430 | &nbsp;&nbsp;&nbsp;06/25/43 | 160841 |
| 138609 | GSMPS Mortgage Loan Trust 2006-RP1 Series 2006-RP1 1AF2<sup>(a),(c)</sup> | US0001M + 0.350% | 4.7390 | &nbsp;&nbsp;&nbsp;01/25/36 | 114644 |
| 256372 | GSR Mortgage Loan Trust 2003-1 Series 2003-1 A11<sup>(a)</sup> | H15T1Y + 1.750% | 2.8800 | &nbsp;&nbsp;&nbsp;03/25/33 | 230393 |
| 155800 | GSR Mortgage Loan Trust 2003-2F Series 2003-2F 2A5 |  | 4.7500 | &nbsp;&nbsp;&nbsp;03/25/32 | 144703 |
| 13922 | GSR Mortgage Loan Trust 2004-7 Series 2004-7 1A2<sup>(d)</sup> |  | 3.0280 | &nbsp;&nbsp;&nbsp;06/25/34 | 13299 |
| 2093191 | GSR Mortgage Loan Trust 2006-4F Series 2006-4F 4A1<sup>(a)</sup> | US0001M + 0.350% | 4.7390 | &nbsp;&nbsp;&nbsp;05/25/36 | 336319 |
| 1059741 | GSR Mortgage Loan Trust 2006-9F Series 2006-9F 6A1<sup>(a)</sup> | US0001M + 0.350% | 4.7390 | &nbsp;&nbsp;&nbsp;10/25/36 | 111238 |
| 19138 | GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 1B2<sup>(a)</sup> | US0001M + 0.780% | 5.1690 | &nbsp;&nbsp;&nbsp;12/25/35 | 7207 |
| 106511 | GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 2A1<sup>(d)</sup> |  | 2.9860 | &nbsp;&nbsp;&nbsp;04/25/36 | 73943 |
| 1210322 | GSR Mortgage Loan Trust 2006-OA1 Series 2006-OA1 2A2<sup>(a)</sup> | US0001M + 0.520% | 4.9090 | &nbsp;&nbsp;&nbsp;08/25/46 | 336509 |
| 472133 | HarborView Mortgage Loan Trust 2005-12 Series 2005-12 1A1A<sup>(a)</sup> | 12MTA + 2.000% | 4.0480 | &nbsp;&nbsp;&nbsp;10/19/35 | 269720 |
| 3552598 | HarborView Mortgage Loan Trust 2005-13 Series 2005-13 2A11<sup>(a)</sup> | US0001M + 0.560% | 4.8990 | &nbsp;&nbsp;&nbsp;02/19/36 | 1884897 |
| 127039 | HarborView Mortgage Loan Trust 2005-6 Series 2005-6 A1B<sup>(a)</sup> | US0006M + 0.760% | 3.5080 | &nbsp;&nbsp;&nbsp;07/19/45 | 102332 |
| 1416064 | HarborView Mortgage Loan Trust 2005-6 Series 2005-6 B1<sup>(a)</sup> | US0006M + 0.825% | 3.5730 | &nbsp;&nbsp;&nbsp;07/19/45 | 1079896 |
| 16123824 | HarborView Mortgage Loan Trust 2005-8 Series 2005-8 1X<sup>(b),(d)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;09/19/35 | 161 |
| 11776385 | HarborView Mortgage Loan Trust 2006-1 Series 2006-1 X1<sup>(b),(d)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;03/19/36 | 118 |
| 4187498 | HarborView Mortgage Loan Trust 2006-10 Series 2006-10 2A1B<sup>(a)</sup> | US0001M + 0.240% | 4.5790 | &nbsp;&nbsp;&nbsp;11/19/36 | 3684744 |
| 1441896 | HarborView Mortgage Loan Trust 2006-12 Series 2006-12 2A13<sup>(a)</sup> | US0001M + 0.240% | 4.8190 | &nbsp;&nbsp;&nbsp;12/19/36 | 1305599 |
| 1044888 | HarborView Mortgage Loan Trust 2006-14 Series 2006-14 2A1B<sup>(a)</sup> | US0001M + 0.200% | 4.7390 | &nbsp;&nbsp;&nbsp;02/19/37 | 1754443 |
| 117105 | HarborView Mortgage Loan Trust 2006-7 Series 2006-7 2A1A<sup>(a)</sup> | US0001M + 0.400% | 4.7390 | &nbsp;&nbsp;&nbsp;09/19/46 | 105277 |
| 2170423 | HarborView Mortgage Loan Trust 2007-1 Series 2007-1 2A1B<sup>(a)</sup> | US0001M + 0.360% | 4.6990 | &nbsp;&nbsp;&nbsp;03/19/37 | 2837124 |
| 1778373 | HarborView Mortgage Loan Trust 2007-3 Series 2007-3 2A1B<sup>(a)</sup> | US0001M + 0.230% | 4.7990 | &nbsp;&nbsp;&nbsp;05/19/47 | 1459505 |
| 4621533 | HarborView Mortgage Loan Trust 2007-7 Series 2007-7 2A1B<sup>(a)</sup> | US0001M + 1.000% | 5.3890 | &nbsp;&nbsp;&nbsp;10/25/37 | 3604894 |
| 850000 | HMH Trust 2017-NSS Series 2017-NSS A<sup>(c)</sup> |  | 3.0620 | &nbsp;&nbsp;&nbsp;07/05/31 | 802400 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 8113000 | HMH Trust 2017-NSS Series 2017-NSS E<sup>(c)</sup> |  | 6.2920 | &nbsp;&nbsp;&nbsp;07/05/31 | $5395144 |
| 4000000 | HMH Trust 2017-NSS Series 2017-NSS F<sup>(c)</sup> |  | 8.4800 | &nbsp;&nbsp;&nbsp;07/05/31 | 1660000 |
| 233120 | Home Equity Asset Trust Series 2002-4 M2<sup>(a)</sup> | US0001M + 2.550% | 6.9390 | &nbsp;&nbsp;&nbsp;03/25/33 | 217823 |
| 135035 | Home Equity Asset Trust Series 2003-8 M3<sup>(a)</sup> | US0001M + 2.350% | 6.7390 | &nbsp;&nbsp;&nbsp;04/25/34 | 128623 |
| 296287 | Home Equity Asset Trust Series 2003-8 B1<sup>(a)</sup> | US0001M + 2.500% | 6.8890 | &nbsp;&nbsp;&nbsp;04/25/34 | 278091 |
| 230711 | Home Equity Asset Trust Series 2004-3 B1<sup>(a)</sup> | US0001M + 2.600% | 6.9890 | &nbsp;&nbsp;&nbsp;08/25/34 | 598685 |
| 770660 | Home Equity Asset Trust Series 2004-8 M4<sup>(a)</sup> | US0001M + 1.500% | 5.8890 | &nbsp;&nbsp;&nbsp;03/25/35 | 715541 |
| 187042 | Home Equity Asset Trust 2002-2 Series 2002-2 M2<sup>(a)</sup> | US0001M + 1.850% | 5.8660 | &nbsp;&nbsp;&nbsp;06/25/32 | 169085 |
| 215407 | Home Equity Asset Trust 2004-6 Series 2004-6 M5<sup>(a)</sup> | US0001M + 1.650% | 6.0390 | &nbsp;&nbsp;&nbsp;12/25/34 | 207785 |
| 1140469 | Home Equity Asset Trust 2005-4 Series 2005-4 M7<sup>(a)</sup> | US0001M + 1.680% | 4.2170 | &nbsp;&nbsp;&nbsp;10/25/35 | 1141841 |
| 9120902 | Home Equity Loan Trust Series 2007-FRE1 M1<sup>(a)(h)</sup> | US0001M + 0.500% | 4.8890 | &nbsp;&nbsp;&nbsp;04/25/37 | 9192795 |
| 465896 | Home Equity Mortgage Loan Asset-Backed Trust Series 2001-C M2<sup>(a)</sup> | US0001M + 2.175% | 6.5640 | &nbsp;&nbsp;&nbsp;12/25/32 | 470526 |
| 105693 | Home Equity Mortgage Loan Asset-Backed Trust Series 2003-A MF1<sup>(e)</sup> |  | 4.9510 | &nbsp;&nbsp;&nbsp;04/25/33 | 148370 |
| 293558 | Home Equity Mortgage Loan Asset-Backed Trust Series 2004-C M6<sup>(a)</sup> | US0001M + 1.875% | 4.0690 | &nbsp;&nbsp;&nbsp;03/25/35 | 243083 |
| 344441 | Home Equity Mortgage Loan Asset-Backed Trust Series 2004-C M5<sup>(a)</sup> | US0001M + 1.575% | 4.0690 | &nbsp;&nbsp;&nbsp;03/25/35 | 289497 |
| 156564 | Home Equity Mortgage Loan Asset-Backed Trust Series 2004-C M4<sup>(a)</sup> | US0001M + 1.425% | 4.0690 | &nbsp;&nbsp;&nbsp;03/25/35 | 134067 |
| 137000 | Home Equity Mortgage Loan Asset-Backed Trust Series 2005-D M1<sup>(a)</sup> | US0001M + 0.660% | 5.0490 | &nbsp;&nbsp;&nbsp;03/25/36 | 125691 |
| 165600 | Home Equity Mortgage Loan Asset-Backed Trust Series 2006-E 2A2<sup>(a)</sup> | US0001M + 0.120% | 4.5090 | &nbsp;&nbsp;&nbsp;04/25/37 | 115426 |
| 97394 | HomeBanc Mortgage Trust 2004-2 Series 2004-2 M1<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;12/25/34 | 89863 |
| 385958 | HomeBanc Mortgage Trust 2005-1 Series 2005-1 B1<sup>(a)</sup> | US0001M + 1.875% | 2.1580 | &nbsp;&nbsp;&nbsp;03/25/35 | 296569 |
| 50370 | HomeBanc Mortgage Trust 2005-1 Series 2005-1 B2<sup>(a)</sup> | US0001M + 1.950% | 2.1580 | &nbsp;&nbsp;&nbsp;03/25/35 | 38663 |
| 5015345 | HSI Asset Securitization Corp Trust 2007-WF1 Series 2007-WF1 M2<sup>(a)(h)</sup> | US0001M + 0.270% | 4.7940 | &nbsp;&nbsp;&nbsp;05/25/37 | 5073939 |
| 1846000 | Hudsons Bay Simon JV Trust 2015-HBS Series 2015-HB10 A10<sup>(c)</sup> |  | 4.1540 | &nbsp;&nbsp;&nbsp;08/05/34 | 1612650 |
| 849880 | Hudsons Bay Simon JV Trust 2015-HBS Series 2015-HBFL BFL<sup>(a),(c)</sup> | US0001M + 2.400% | 6.5720 | &nbsp;&nbsp;&nbsp;08/05/34 | 732911 |
| 453975 | IMC Home Equity Loan Trust 1998-1 Series 1998-1 M1<sup>(e)</sup> |  | 7.5300 | &nbsp;&nbsp;&nbsp;06/20/29 | 414444 |
| 962 | IMC Home Equity Loan Trust 1998-5 Series 1998-5 A6<sup>(e)</sup> |  | 6.5600 | &nbsp;&nbsp;&nbsp;03/15/37 | 942 |
| 369430 | Impac CMB Trust Series 2004-11 Series 2004-11 2A2<sup>(a)</sup> | US0001M + 0.740% | 5.1290 | &nbsp;&nbsp;&nbsp;03/25/35 | 344660 |
| 39188 | Impac CMB Trust Series 2004-4 Series 2004-4 1M6<sup>(a)</sup> | US0001M + 2.250% | 6.6390 | &nbsp;&nbsp;&nbsp;09/25/34 | 38345 |
| 247758 | Impac CMB Trust Series 2005-2 Series 2005-2 1M1<sup>(a)</sup> | US0001M + 0.645% | 5.0340 | &nbsp;&nbsp;&nbsp;04/25/35 | 225594 |
| 423607 | Impac CMB Trust Series 2005-2 Series 2005-2 1M3<sup>(a)</sup> | US0001M + 0.765% | 5.1540 | &nbsp;&nbsp;&nbsp;04/25/35 | 380527 |
| 73649 | Impac CMB Trust Series 2005-2 Series 2005-2 2M2<sup>(a)</sup> | US0001M + 1.125% | 5.5140 | &nbsp;&nbsp;&nbsp;04/25/35 | 64364 |
| 49099 | Impac CMB Trust Series 2005-2 Series 2005-2 2B<sup>(a)</sup> | US0001M + 2.475% | 6.8640 | &nbsp;&nbsp;&nbsp;04/25/35 | 43895 |
| 3578 | Impac CMB Trust Series 2005-6 Series 2005-6 2B2<sup>(a)</sup> | US0001M + 3.375% | 7.7640 | &nbsp;&nbsp;&nbsp;10/25/35 | 3493 |
| 226805 | Impac Secured Assets CMN Owner Trust Series 2002-2 M1 |  | 6.5000 | &nbsp;&nbsp;&nbsp;04/25/33 | 134368 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 900165 | Impac Secured Assets CMN Owner Trust Series 2004-1 M2<sup>(e)</sup> |  | 5.5240 | &nbsp;&nbsp;&nbsp;03/25/34 | $744571 |
| 1551270 | IndyMac IMJA Mortgage Loan Trust 2007-A1 Series 2007-A1 A4 |  | 6.0000 | &nbsp;&nbsp;&nbsp;08/25/37 | 668844 |
| 1471799 | IndyMac IMJA Mortgage Loan Trust 2007-A3 Series 2007-A3 A1 |  | 6.2500 | &nbsp;&nbsp;&nbsp;11/25/37 | 693499 |
| 4684075 | IndyMac IMSC Mortgage Loan Trust 2007-HOA1 Series 2007-HOA1 A22<sup>(a)</sup> | US0001M + 0.180% | 4.7490 | &nbsp;&nbsp;&nbsp;07/25/47 | 3407114 |
| 82929 | IndyMac INDA Mortgage Loan Trust 2006-AR3 Series 2006-AR3 1A1<sup>(d)</sup> |  | 3.5070 | &nbsp;&nbsp;&nbsp;12/25/36 | 70507 |
| 985755 | IndyMac INDX Mortgage Loan Trust 2004-AR13 Series 2004-AR13 B1<sup>(d)</sup> |  | 2.8930 | &nbsp;&nbsp;&nbsp;01/25/35 | 755995 |
| 1496115 | IndyMac INDX Mortgage Loan Trust 2004-AR14 Series 2004-AR14 2A1A<sup>(a)</sup> | US0001M + 0.720% | 5.1090 | &nbsp;&nbsp;&nbsp;01/25/35 | 1151419 |
| 97585 | IndyMac INDX Mortgage Loan Trust 2004-AR5 Series 2004-AR5 2A1B<sup>(a)</sup> | US0001M + 0.800% | 5.1890 | &nbsp;&nbsp;&nbsp;08/25/34 | 80568 |
| 861910 | IndyMac INDX Mortgage Loan Trust 2004-AR6 Series 2004-AR6 2A<sup>(d)</sup> |  | 3.9290 | &nbsp;&nbsp;&nbsp;10/25/34 | 810337 |
| 909102 | IndyMac INDX Mortgage Loan Trust 2004-AR9 Series 2004-AR9 5M2<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;11/25/34 | 620214 |
| 208497 | IndyMac INDX Mortgage Loan Trust 2005-AR2 Series 2005-AR2 2A1B<sup>(a)</sup> | US0001M + 0.780% | 5.1690 | &nbsp;&nbsp;&nbsp;02/25/35 | 147417 |
| 296778 | IndyMac INDX Mortgage Loan Trust 2005-AR23 Series 2005-AR23 2A1<sup>(d)</sup> |  | 3.4550 | &nbsp;&nbsp;&nbsp;11/25/35 | 244261 |
| 368280 | IndyMac INDX Mortgage Loan Trust 2005-AR4 Series 2005-AR4 2A1A<sup>(a)</sup> | US0001M + 0.560% | 4.9490 | &nbsp;&nbsp;&nbsp;03/25/35 | 357872 |
| 231016 | IndyMac INDX Mortgage Loan Trust 2006-AR21 Series 2006-AR21 A1<sup>(a)</sup> | US0001M + 0.240% | 4.6290 | &nbsp;&nbsp;&nbsp;08/25/36 | 201606 |
| 521471 | IndyMac INDX Mortgage Loan Trust 2006-AR29 Series 2006-AR29 A2<sup>(a)</sup> | US0001M + 0.160% | 4.5490 | &nbsp;&nbsp;&nbsp;11/25/36 | 489995 |
| 638948 | IndyMac INDX Mortgage Loan Trust 2006-AR29 Series 2006-AR29 A3<sup>(a)</sup> | US0001M + 0.340% | 4.7290 | &nbsp;&nbsp;&nbsp;11/25/36 | 603705 |
| 41591 | IndyMac INDX Mortgage Loan Trust 2006-AR5 Series 2006-AR5 2A1<sup>(d)</sup> |  | 3.1520 | &nbsp;&nbsp;&nbsp;05/25/36 | 35503 |
| 79555 | IndyMac INDX Mortgage Loan Trust 2006-AR6 Series 2006-AR6 2A1A<sup>(a)</sup> | US0001M + 0.400% | 4.7890 | &nbsp;&nbsp;&nbsp;06/25/46 | 61864 |
| 333101 | IndyMac INDX Mortgage Loan Trust 2006-AR8 Series 2006-AR8 A3A<sup>(a)</sup> | US0001M + 0.460% | 4.8490 | &nbsp;&nbsp;&nbsp;07/25/46 | 356817 |
| 1408645 | IndyMac INDX Mortgage Loan Trust 2007-FLX3 Series 2007-FLX3 A2<sup>(a)</sup> | US0001M + 0.270% | 4.9290 | &nbsp;&nbsp;&nbsp;06/25/37 | 1538278 |
| 4226 | Irwin Home Equity Loan Trust 2006-1 Series 2006-1 1A1<sup>(a),(c)</sup> | US0001M + 0.420% | 4.8090 | &nbsp;&nbsp;&nbsp;09/25/35 | 4213 |
| 373972 | JP Morgan Alternative Loan Trust Series 2006-A2 5A1<sup>(d)</sup> |  | 3.3500 | &nbsp;&nbsp;&nbsp;05/25/36 | 211050 |
| 3150016 | JP Morgan Chase Commercial Mortgage Securities Series 2012-WLDN A<sup>(c)</sup> |  | 3.9100 | &nbsp;&nbsp;&nbsp;05/05/30 | 2533553 |
| 64000 | JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC C<sup>(a),(c)</sup> | US0001M + 2.550% | 6.8680 | &nbsp;&nbsp;&nbsp;04/15/31 | 56560 |
| 27000 | JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC D<sup>(a),(c)</sup> | US0001M + 3.370% | 7.6880 | &nbsp;&nbsp;&nbsp;04/15/31 | 23743 |
| 1821000 | JP Morgan Chase Commercial Mortgage Securities Series 2013-LC11 D<sup>(d)</sup> |  | 4.2310 | &nbsp;&nbsp;&nbsp;04/15/46 | 1553470 |
| 983106 | JP Morgan Chase Commercial Mortgage Securities Series 2006-LDP9 AMS |  | 5.3370 | &nbsp;&nbsp;&nbsp;05/15/47 | 918652 |
| 957411 | JP Morgan Mortgage Trust 2005-A1 Series 2005-A1 IB2<sup>(d)</sup> |  | 3.6070 | &nbsp;&nbsp;&nbsp;02/25/35 | 797419 |
| 74458 | JP Morgan Mortgage Trust 2006-A6 Series 2006-A6 3A2<sup>(d)</sup> |  | 3.5890 | &nbsp;&nbsp;&nbsp;10/25/36 | 55387 |
| 157735 | JP Morgan Mortgage Trust 2006-A7 Series 2006-A7 2A2<sup>(d)</sup> |  | 3.7020 | &nbsp;&nbsp;&nbsp;01/25/37 | 122409 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 131430 | JP Morgan Mortgage Trust 2006-S3 Series 2006-S3 1A12 |  | 6.5000 | &nbsp;&nbsp;&nbsp;08/25/36 | $55045 |
| 1000000 | JPMBB Commercial Mortgage Securities Trust Series 2015-C28 E<sup>(c),(d)</sup> |  | 3.6450 | &nbsp;&nbsp;&nbsp;10/15/48 | 706497 |
| 3302000 | JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1 E<sup>(c),(d)</sup> |  | 4.7360 | &nbsp;&nbsp;&nbsp;03/15/49 | 2456175 |
| 2500000 | JPMDB Commercial Mortgage Securities Trust 2016-C2 Series 2016-C2 D<sup>(c),(d)</sup> |  | 3.3350 | &nbsp;&nbsp;&nbsp;06/15/49 | 1552885 |
| 5000000 | Lehman Brothers Small Balance Commercial Mortgage Series 2007-2A M2<sup>(a),(c)</sup> | US0001M + 0.600% | 4.9890 | &nbsp;&nbsp;&nbsp;06/25/37 | 3825571 |
| 1763611 | Lehman Mortgage Trust 2005-3 Series 2005-3 1A5 |  | 5.5000 | &nbsp;&nbsp;&nbsp;01/25/36 | 942596 |
| 39248 | Lehman Mortgage Trust 2005-3 Series 2005-3 2A7 |  | 6.0000 | &nbsp;&nbsp;&nbsp;01/25/36 | 30944 |
| 4790305 | Lehman Mortgage Trust 2007-5 Series 2007-5 10A2<sup>(a),(b)</sup> | US0001M + 6.340% | 1.9510 | &nbsp;&nbsp;&nbsp;06/25/37 | 754536 |
| 138324 | Lehman XS Trust 2007-1 Series 2007-1 1A4<sup>(a)</sup> | US0001M + 0.460% | 4.8490 | &nbsp;&nbsp;&nbsp;02/25/37 | 104438 |
| 916470 | Lehman XS Trust 2007-6 Series 2007-6 2A1<sup>(a)</sup> | US0001M + 0.420% | 4.8090 | &nbsp;&nbsp;&nbsp;05/25/37 | 741123 |
| 1304347 | Lehman XS Trust Series 2005-5N Series 2005-5N 3A3C<sup>(a)</sup> | US0001M + 0.500% | 4.8890 | &nbsp;&nbsp;&nbsp;11/25/35 | 755782 |
| 1631290 | Lehman XS Trust Series 2006-18N Series 2006-18N A4<sup>(a)</sup> | US0001M + 0.190% | 4.7690 | &nbsp;&nbsp;&nbsp;12/25/36 | 1239411 |
| 673925 | Lehman XS Trust Series 2007-12N Series 2007-12N 1A3A<sup>(a)</sup> | US0001M + 0.200% | 4.7890 | &nbsp;&nbsp;&nbsp;07/25/47 | 633434 |
| 134144 | Lehman XS Trust Series 2007-16N Series 2007-16N 2A2<sup>(a)</sup> | US0001M + 0.850% | 6.0890 | &nbsp;&nbsp;&nbsp;09/25/47 | 111696 |
| 862738 | Lehman XS Trust Series 2007-7N Series 2007-7N 1A2<sup>(a)</sup> | US0001M + 0.240% | 4.8690 | &nbsp;&nbsp;&nbsp;06/25/47 | 768225 |
| 436972 | MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A3<sup>(a)</sup> | US0001M + 0.350% | 4.7390 | &nbsp;&nbsp;&nbsp;03/25/36 | 49357 |
| 284032 | MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A1<sup>(a)</sup> | US0001M + 0.400% | 4.7890 | &nbsp;&nbsp;&nbsp;03/25/36 | 32436 |
| 133609 | Mastr Asset Backed Securities Trust 2004-FRE1 Series 2004-FRE1 M6<sup>(a)</sup> | US0001M + 2.100% | 6.4890 | &nbsp;&nbsp;&nbsp;07/25/34 | 112431 |
| 106409 | Mastr Asset Backed Securities Trust 2004-HE1 Series 2004-HE1 M8<sup>(a)</sup> | US0001M + 3.750% | 8.1390 | &nbsp;&nbsp;&nbsp;09/25/34 | 86889 |
| 122696 | Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M4<sup>(a)</sup> | US0001M + 1.500% | 5.8890 | &nbsp;&nbsp;&nbsp;09/25/34 | 120338 |
| 662362 | Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M8<sup>(a)</sup> | US0001M + 2.850% | 7.2390 | &nbsp;&nbsp;&nbsp;09/25/34 | 521430 |
| 79544 | Mastr Asset Backed Securities Trust 2005-NC1 Series 2005-NC1 M5<sup>(a)</sup> | US0001M + 1.200% | 5.5890 | &nbsp;&nbsp;&nbsp;12/25/34 | 76333 |
| 392566 | MASTR Asset Securitization Trust 2004-1 Series 2004-1 B1<sup>(d)</sup> |  | 5.4920 | &nbsp;&nbsp;&nbsp;02/25/34 | 309468 |
| 49232 | MASTR Asset Securitization Trust 2004-3 Series 2004-3 4A11 |  | 5.5000 | &nbsp;&nbsp;&nbsp;03/25/34 | 13690 |
| 332556 | Mastr Specialized Loan Trust Series 2005-2 B<sup>(c),(e)</sup> |  | 6.2500 | &nbsp;&nbsp;&nbsp;07/25/35 | 327386 |
| 672610 | Mellon Residential Funding Cor Mor Pas Thr Tr Ser Series 1999-TBC3 A2<sup>(d)</sup> |  | 4.3920 | &nbsp;&nbsp;&nbsp;10/20/29 | 661564 |
| 797928 | MERIT Securities Corporation Series 12-1 1M2<sup>(e)</sup> |  | 8.3500 | &nbsp;&nbsp;&nbsp;07/28/33 | 678484 |
| 622367 | Merrill Lynch Alternative Note Asset Trust Series Series 2007-OAR4 A1<sup>(a)</sup> | US0001M + 0.250% | 4.8890 | &nbsp;&nbsp;&nbsp;08/25/37 | 524851 |
| 51793 | Merrill Lynch Mortgage Investors Trust MLMI Series Series 2003-A1 M2<sup>(d)</sup> |  | 3.6940 | &nbsp;&nbsp;&nbsp;12/25/32 | 45575 |
| 1088197 | Merrill Lynch Mortgage Investors Trust Series Series 2003-HE1 M2<sup>(a)</sup> | US0001M + 2.475% | 6.8640 | &nbsp;&nbsp;&nbsp;07/25/34 | 1057974 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 3520722 | Merrill Lynch Mortgage Investors Trust Series Series 2005-A6 M2<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;08/25/35 | $4204584 |
| 698665 | Merrill Lynch Mortgage Investors Trust Series Series 2004-HE2 B3<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;08/25/35 | 699531 |
| 138470 | Merrill Lynch Mortgage Investors Trust Series Series 2005-WMC1 M2<sup>(a)</sup> | US0001M + 0.795% | 5.1840 | &nbsp;&nbsp;&nbsp;09/25/35 | 135064 |
| 1092952 | Merrill Lynch Mortgage Investors Trust Series Series 2005-WMC1 B5<sup>(a),(c)</sup> | US0001M + 5.625% | 10.0140 | &nbsp;&nbsp;&nbsp;09/25/35 | 1007078 |
| 122683 | Merrill Lynch Mortgage Investors Trust Series Series 2005-NC1 B2<sup>(a)</sup> | US0001M + 1.950% | 6.3390 | &nbsp;&nbsp;&nbsp;10/25/35 | 114116 |
| 4983862 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2003-G XA2<sup>(b),(d)</sup> |  | 0.4150 | &nbsp;&nbsp;&nbsp;01/25/29 | 19953 |
| 294796 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2007-3 M1<sup>(d)</sup> |  | 2.6710 | &nbsp;&nbsp;&nbsp;09/25/37 | 71352 |
| 32572 | Merrill Lynch Mortgage Investors Trust Series MLMI Series 2004-A1 M1<sup>(d)</sup> |  | 3.5150 | &nbsp;&nbsp;&nbsp;02/25/34 | 25689 |
| 732187 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC10 Series 2003-NC10 B2<sup>(a)</sup> | US0001M + 5.625% | 10.0140 | &nbsp;&nbsp;&nbsp;10/25/33 | 750707 |
| 1617153 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC5 Series 2003-NC5 B1<sup>(a)</sup> | US0001M + 4.950% | 9.3390 | &nbsp;&nbsp;&nbsp;04/25/33 | 1626679 |
| 420215 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8 Series 2003-NC8 B1<sup>(a)</sup> | US0001M + 5.400% | 9.7890 | &nbsp;&nbsp;&nbsp;09/25/33 | 419297 |
| 568546 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8 Series 2003-NC8 B2<sup>(a)</sup> | US0001M + 5.625% | 10.0140 | &nbsp;&nbsp;&nbsp;09/25/33 | 555375 |
| 25762 | Morgan Stanley A.B.S Capital I Inc Trust 2004-NC7 Series 2004-NC7 M4<sup>(a)</sup> | US0001M + 1.725% | 6.1140 | &nbsp;&nbsp;&nbsp;07/25/34 | 24824 |
| 492840 | Morgan Stanley A.B.S Capital I Inc Trust 2005-HE2 Series 2005-HE2 M5<sup>(a)</sup> | US0001M + 1.020% | 5.4090 | &nbsp;&nbsp;&nbsp;01/25/35 | 412661 |
| 1100106 | Morgan Stanley A.B.S Capital I Inc Trust 2005-NC1 Series 2005-NC1 M5<sup>(a)</sup> | US0001M + 1.095% | 5.4840 | &nbsp;&nbsp;&nbsp;01/25/35 | 977057 |
| 1887683 | Morgan Stanley A.B.S Capital I Inc Trust 2005-NC2 Series 2005-NC2 M6<sup>(a)</sup> | US0001M + 1.035% | 5.4240 | &nbsp;&nbsp;&nbsp;03/25/35 | 1457122 |
| 200000 | Morgan Stanley A.B.S Capital I Inc Trust 2005-WMC4 Series 2005-WMC4 M6<sup>(a)</sup> | US0001M + 1.050% | 5.4390 | &nbsp;&nbsp;&nbsp;04/25/35 | 184875 |
| 274349 | Morgan Stanley A.B.S Capital I Inc Trust 2007-HE3 Series 2007-HE3 A2A<sup>(a)</sup> | US0001M + 0.060% | 4.4490 | &nbsp;&nbsp;&nbsp;12/25/36 | 143429 |
| 2667000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7 D<sup>(c),(d)</sup> |  | 4.0800 | &nbsp;&nbsp;&nbsp;02/15/46 | 2247479 |
| 100000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10 C<sup>(d)</sup> |  | 4.0700 | &nbsp;&nbsp;&nbsp;07/15/46 | 87166 |
| 1666666 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 E<sup>(c)</sup> |  | 2.8770 | &nbsp;&nbsp;&nbsp;05/15/49 | 1151645 |
| 3976000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 E<sup>(c),(d)</sup> |  | 3.0000 | &nbsp;&nbsp;&nbsp;09/15/49 | 2314252 |
| 4566000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 D<sup>(c),(d)</sup> |  | 3.0000 | &nbsp;&nbsp;&nbsp;11/15/49 | 3012597 |
| 750000 | Morgan Stanley Capital I Trust 2019-BPR Series 2019-BPR D<sup>(a),(c)</sup> | US0001M + 4.250% | 8.5680 | &nbsp;&nbsp;&nbsp;05/15/36 | 668671 |
| 109000 | Morgan Stanley Capital I Trust 2019-MEAD Series 2019-MEAD B<sup>(c),(d)</sup> |  | 3.1770 | &nbsp;&nbsp;&nbsp;11/10/36 | 98646 |
| 1094445 | Morgan Stanley Home Equity Loan Trust 2007-2 Series 2007-2 A1<sup>(a)</sup> | US0001M + 0.100% | 4.4890 | &nbsp;&nbsp;&nbsp;04/25/37 | 606961 |
| 2066196 | Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 A3<sup>(a)</sup> | US0001M + 0.150% | 4.5390 | &nbsp;&nbsp;&nbsp;11/25/36 | 722268 |
| 478275 | Morgan Stanley Mortgage Loan Trust 2004-11AR Series 2004-11AR 1B1<sup>(a)</sup> | US0001M + 0.600% | 4.9890 | &nbsp;&nbsp;&nbsp;01/25/35 | 372188 |
| 20949213 | Morgan Stanley Mortgage Loan Trust 2007-7AX Series 2007-7AX 2A4<sup>(a)</sup> | US0001M + 0.640% | 5.0290 | &nbsp;&nbsp;&nbsp;04/25/37 | 855578 |
| 5261451 | Morgan Stanley Mortgage Loan Trust 2007-7AX Series 2007-7AX 2A6<sup>(a)</sup> | US0001M + 0.640% | 5.0290 | &nbsp;&nbsp;&nbsp;04/25/37 | 214881 |
| 85836 | MortgageIT Trust 2005-2 Series 2005-2 1M2<sup>(a)</sup> | US0001M + 0.810% | 5.1990 | &nbsp;&nbsp;&nbsp;05/25/35 | 82060 |
| 24440 | MortgageIT Trust 2005-2 Series 2005-2 2M2<sup>(a)</sup> | US0001M + 1.650% | 5.7700 | &nbsp;&nbsp;&nbsp;05/25/35 | 22008 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 817812 | New Century Home Equity Loan Trust 2003-6 Series 2003-6 M4<sup>(a)</sup> | US0001M + 4.763% | 9.1510 | &nbsp;&nbsp;&nbsp;01/25/34 | $833366 |
| 14704 | New Century Home Equity Loan Trust 2004-1 Series 2004-1 M2<sup>(a)</sup> | US0001M + 2.025% | 6.4140 | &nbsp;&nbsp;&nbsp;05/25/34 | 15389 |
| 1023568 | New Century Home Equity Loan Trust Series 2003-2 Series 2003-2 M2<sup>(a)</sup> | US0001M + 3.000% | 7.3890 | &nbsp;&nbsp;&nbsp;01/25/33 | 867856 |
| 174454 | New Century Home Equity Loan Trust Series 2003-3 Series 2003-3 M6<sup>(a)</sup> | US0001M + 5.625% | 10.0140 | &nbsp;&nbsp;&nbsp;07/25/33 | 194631 |
| 29202 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 M5<sup>(e)</sup> |  | 4.8330 | &nbsp;&nbsp;&nbsp;11/25/33 | 23296 |
| 1579466 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 B<sup>(c),(e)</sup> |  | 4.8330 | &nbsp;&nbsp;&nbsp;11/25/33 | 1148137 |
| 1522 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 M2<sup>(e)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/33 | 1320 |
| 957887 | Newcastle Mortgage Securities Trust 2007-1 Series 2007-1 M2<sup>(a)</sup> | US0001M + 0.650% | 5.0390 | &nbsp;&nbsp;&nbsp;04/25/37 | 2845582 |
| 124545 | Nomura Asset Acceptance Corp Alternative Loan Series 2004-AR1 5M1<sup>(a)</sup> | US0001M + 1.100% | 5.4890 | &nbsp;&nbsp;&nbsp;08/25/34 | 127337 |
| 227324 | Nomura Asset Acceptance Corp Alternative Loan Series 2006-AF1 2A<sup>(d)</sup> |  | 4.2290 | &nbsp;&nbsp;&nbsp;06/25/36 | 169575 |
| 1281027 | NovaStar Mortgage Funding Trust Series 2004-1 Series 2004-1 B1<sup>(a)</sup> | US0001M + 2.550% | 6.9390 | &nbsp;&nbsp;&nbsp;06/25/34 | 1225609 |
| 98506 | NovaStar Mortgage Funding Trust Series 2004-3 Series 2004-3 B1<sup>(a)</sup> | US0001M + 2.775% | 7.1640 | &nbsp;&nbsp;&nbsp;12/25/34 | 91745 |
| 278389 | NovaStar Mortgage Funding Trust Series 2006-MTA1 Series 2006-MTA1 2A1A<sup>(a)</sup> | US0001M + 0.380% | 0.4120 | &nbsp;&nbsp;&nbsp;09/25/46 | 264002 |
| 1899374 | Oakwood Mortgage Investors, Inc. Series 2002-A M1<sup>(d)</sup> |  | 7.7600 | &nbsp;&nbsp;&nbsp;03/15/32 | 1689596 |
| 237975 | Option One Mortgage Loan Trust 2004-1 Series 2004-1 M3<sup>(a)</sup> | US0001M + 2.025% | 6.4140 | &nbsp;&nbsp;&nbsp;01/25/34 | 204449 |
| 298286 | Option One Mortgage Loan Trust 2004-1 Series 2004-1 M4<sup>(a)</sup> | US0001M + 2.475% | 6.8640 | &nbsp;&nbsp;&nbsp;01/25/34 | 250961 |
| 68063 | Option One Mortgage Loan Trust 2004-2 Series 2004-2 M2<sup>(a)</sup> | US0001M + 1.575% | 5.9640 | &nbsp;&nbsp;&nbsp;05/25/34 | 72654 |
| 17222 | Option One Mortgage Loan Trust 2004-2 Series 2004-2 M3<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;05/25/34 | 17251 |
| 593107 | Option One Mortgage Loan Trust 2004-2 Series 2004-2 M4<sup>(a)</sup> | US0001M + 2.700% | 7.0890 | &nbsp;&nbsp;&nbsp;05/25/34 | 585054 |
| 4354185 | OPTONE 68402SAC3 DEL TR 2016-1 Series 2016-1A SAC3<sup>(b),(c),(d)</sup> |  | 18.0470 | &nbsp;&nbsp;&nbsp;02/26/38 | 3035601 |
| 183632 | Origen Manufactured Housing Contract Trust 2001-A Series 2001-A M1<sup>(d)</sup> |  | 7.8200 | &nbsp;&nbsp;&nbsp;03/15/32 | 166747 |
| 931143 | Ownit Mortgage Loan Trust Series 2004-1 Series 2004-1 B2<sup>(a)</sup> | US0001M + 2.775% | 7.1640 | &nbsp;&nbsp;&nbsp;07/25/35 | 1110115 |
| 3817073 | Ownit Mortgage Loan Trust Series 2006-3 Series 2006-3 M1<sup>(a)</sup> | US0001M + 0.495% | 4.8840 | &nbsp;&nbsp;&nbsp;03/25/37 | 3563274 |
| 4387000 | Palisades Center Trust 2016-PLSD Series 2016-PLSD A<sup>(c)</sup> |  | 2.7130 | &nbsp;&nbsp;&nbsp;04/13/33 | 2939290 |
| 1299364 | Park Place Securities Inc Asset-Backed Series 2004-WHQ1 M7<sup>(a)</sup> | US0001M + 2.775% | 7.1640 | &nbsp;&nbsp;&nbsp;09/25/34 | 1067252 |
| 3192325 | Park Place Securities Inc Asset-Backed Series 2005-WCW1 M5<sup>(a)</sup> | US0001M + 0.990% | 5.3790 | &nbsp;&nbsp;&nbsp;09/25/35 | 2835858 |
| 189648 | People's Choice Home Loan Securities Trust Series Series 2004-2 M3<sup>(a)</sup> | US0001M + 1.725% | 6.1140 | &nbsp;&nbsp;&nbsp;10/25/34 | 173147 |
| 1317784 | People's Choice Home Loan Securities Trust Series Series 2004-2 M5<sup>(a)</sup> | US0001M + 2.700% | 7.0890 | &nbsp;&nbsp;&nbsp;10/25/34 | 950779 |
| 23101 | Popular A.B.S Mortgage Pass-Through Trust 2005-5 Series 2005-5 AF4<sup>(e)</sup> |  | 3.4750 | &nbsp;&nbsp;&nbsp;11/25/35 | 22504 |
| 2343245 | Popular A.B.S Mortgage Pass-Through Trust 2006-C Series 2006-C M2<sup>(a)</sup> | US0001M + 0.430% | 5.0340 | &nbsp;&nbsp;&nbsp;07/25/36 | 2687080 |
| 695000 | Prime Mortgage Trust 2006-CL1 Series 2006-CL1 M3<sup>(a)</sup> | US0001M + 0.720% | 5.1090 | &nbsp;&nbsp;&nbsp;02/25/35 | 610034 |
| 234000 | Provident Bank Home Equity Loan Trust 1998-4 Series 1998-4 A9<sup>(a)</sup> | US0001M + 3.500% | 7.8890 | &nbsp;&nbsp;&nbsp;01/25/30 | 214952 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 553934 | Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 A3<sup>(a)</sup> | US0001M + 0.390% | 4.7960 | &nbsp;&nbsp;&nbsp;01/25/31 | $384416 |
| 169002 | Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 A2<sup>(a)</sup> | US0001M + 0.420% | 4.8560 | &nbsp;&nbsp;&nbsp;01/25/31 | 129308 |
| 1410562 | Quest Trust Series 2003-X4A M2<sup>(a),(c)</sup> | US0001M + 5.250% | 3.9420 | &nbsp;&nbsp;&nbsp;12/25/33 | 1195715 |
| 224619 | Quest Trust Series 2003-X3 M3<sup>(a),(c)</sup> | US0001M + 4.875% | 9.2640 | &nbsp;&nbsp;&nbsp;02/25/34 | 226245 |
| 1192772 | Quest Trust Series 2004-X2 M3<sup>(a),(c)</sup> | US0001M + 3.225% | 7.6140 | &nbsp;&nbsp;&nbsp;06/25/34 | 1025222 |
| 325067 | RAAC Series 2004-SP3 Trust Series 2004-SP3 MII4<sup>(a)</sup> | US0001M + 2.775% | 7.1640 | &nbsp;&nbsp;&nbsp;09/25/34 | 199693 |
| 494430 | RAAC Series 2005-SP2 Trust Series 2005-SP2 2A<sup>(a)</sup> | US0001M + 0.600% | 4.9890 | &nbsp;&nbsp;&nbsp;06/25/44 | 406607 |
| 200747 | RAAC Series 2006-SP1 Trust Series 2006-SP1 M2<sup>(a)</sup> | US0001M + 0.825% | 5.2140 | &nbsp;&nbsp;&nbsp;09/25/45 | 139591 |
| 456295 | RAAC Series 2007-RP4 Trust Series 2007-RP4 A<sup>(a),(c)</sup> | US0001M + 0.350% | 4.7390 | &nbsp;&nbsp;&nbsp;11/25/46 | 407819 |
| 5460 | RALI Series 2003-QS9 Trust Series 2003-QS9 A2<sup>(a)</sup> | US0001M + 0.450% | 4.8390 | &nbsp;&nbsp;&nbsp;05/25/30 | 5285 |
| 3622259 | RALI Series 2005-QO1 Trust Series 2005-QO1 A3<sup>(a)</sup> | US0001M + 0.380% | 4.7690 | &nbsp;&nbsp;&nbsp;08/25/35 | 1579299 |
| 204677 | RALI Series 2005-QS7 Trust Series 2005-QS7 CB |  | 5.5000 | &nbsp;&nbsp;&nbsp;06/25/35 | 179344 |
| 1771776 | RALI Series 2006-QA8 Trust Series 2006-QA8 A1<sup>(a)</sup> | US0001M + 0.380% | 4.7690 | &nbsp;&nbsp;&nbsp;09/25/36 | 1618248 |
| 1637317 | RALI Series 2006-QO7 Trust Series 2006-QO7 1A1<sup>(a)</sup> | 12MTA + 0.800% | 2.4890 | &nbsp;&nbsp;&nbsp;09/25/46 | 1387296 |
| 365741 | RALI Series 2006-QO8 Trust Series 2006-QO8 1A3A<sup>(a)</sup> | US0001M + 0.400% | 4.7890 | &nbsp;&nbsp;&nbsp;10/25/46 | 343688 |
| 35476125 | RALI Series 2006-QS12 Trust Series 2006-QS12 AV<sup>(b),(d)</sup> |  | 0.4630 | &nbsp;&nbsp;&nbsp;09/25/36 | 440475 |
| 283354 | RALI Series 2006-QS16 Trust Series 2006-QS16 A10 |  | 6.0000 | &nbsp;&nbsp;&nbsp;11/25/36 | 229141 |
| 154461 | RALI Series 2006-QS7 Trust Series 2006-QS7 A4<sup>(a)</sup> | US0001M + 0.400% | 4.7890 | &nbsp;&nbsp;&nbsp;06/25/36 | 112272 |
| 1486244 | RALI Series 2007-QH3 Trust Series 2007-QH3 A2<sup>(a)</sup> | US0001M + 0.210% | 4.8090 | &nbsp;&nbsp;&nbsp;04/25/37 | 3520294 |
| 659964 | RALI Series 2007-QH5 Trust Series 2007-QH5 AI2<sup>(a)</sup> | US0001M + 0.250% | 4.8890 | &nbsp;&nbsp;&nbsp;06/25/37 | 425145 |
| 625620 | RALI Series 2007-QH7 Trust Series 2007-QH7 1A2<sup>(a)</sup> | US0001M + 0.540% | 4.9290 | &nbsp;&nbsp;&nbsp;08/25/37 | 353278 |
| 358780 | RAMP Series 2003-RS7 Trust Series 2003-RS7 MII3<sup>(a)</sup> | US0001M + 3.600% | 4.3960 | &nbsp;&nbsp;&nbsp;08/25/33 | 298238 |
| 386390 | RAMP Series 2003-RS9 Trust Series 2003-RS9 MII2<sup>(a)</sup> | US0001M + 1.800% | 4.4620 | &nbsp;&nbsp;&nbsp;10/25/33 | 363198 |
| 6258 | RAMP Series 2004-SL1 Trust Series 2004-SL1 MI6<sup>(a)</sup> | US0001M + 1.900% | 7.2390 | &nbsp;&nbsp;&nbsp;10/25/31 | 5579 |
| 1000000 | RAMP Series 2005-EFC4 Trust Series 2005-EFC4 M5<sup>(a)</sup> | US0001M + 0.630% | 5.3340 | &nbsp;&nbsp;&nbsp;09/25/35 | 962477 |
| 279887 | RAMP Series 2005-RS8 Trust Series 2005-RS8 M2<sup>(a)</sup> | US0001M + 0.500% | 5.1390 | &nbsp;&nbsp;&nbsp;09/25/35 | 272899 |
| 889570 | RAMP Series 2006-RS1 Trust Series 2006-RS1 M1<sup>(a)</sup> | US0001M + 0.410% | 5.0040 | &nbsp;&nbsp;&nbsp;01/25/36 | 753231 |
| 2383999 | RAMP Series 2006-RZ2 Trust Series 2006-RZ2 M2<sup>(a)</sup> | US0001M + 0.340% | 4.8990 | &nbsp;&nbsp;&nbsp;05/25/36 | 2792890 |
| 231315 | RAMP Series 2007-RS2 Trust Series 2007-RS2 A3<sup>(a)</sup> | US0001M + 0.370% | 5.1290 | &nbsp;&nbsp;&nbsp;05/25/37 | 201751 |
| 448856 | RASC Series 2003-KS4 Trust Series 2003-KS4 AIII<sup>(a)</sup> | US0001M + 0.290% | 4.9690 | &nbsp;&nbsp;&nbsp;06/25/33 | 434840 |
| 1245389 | RASC Series 2005-KS12 Trust Series 2005-KS12 M5<sup>(a)</sup> | US0001M + 0.670% | 5.3940 | &nbsp;&nbsp;&nbsp;01/25/36 | 1255617 |
| 3000000 | RASC Series 2005-KS6 Trust Series 2005-KS6 M8<sup>(a)</sup> | US0001M + 1.250% | 6.2640 | &nbsp;&nbsp;&nbsp;07/25/35 | 2692655 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 354951 | Renaissance Home Equity Loan Trust 2002-3 Series 2002-3 B<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;12/25/32 | $294056 |
| 358632 | Renaissance Home Equity Loan Trust 2003-2 Series 2003-2 M2A<sup>(a)</sup> | US0001M + 3.000% | 3.8940 | &nbsp;&nbsp;&nbsp;08/25/33 | 309712 |
| 10392105 | Reperforming Loan REMIC Trust 2005-R1 Series 2005-R1 1AS<sup>(b),(c),(d)</sup> |  | 2.2070 | &nbsp;&nbsp;&nbsp;03/25/35 | 533098 |
| 9953563 | Reperforming Loan REMIC Trust 2005-R2 Series 2005-R2 1AS<sup>(b),(c),(d)</sup> |  | 1.7710 | &nbsp;&nbsp;&nbsp;06/25/35 | 445283 |
| 11219896 | Reperforming Loan REMIC Trust 2006-R1 Series 2006-R1 AS<sup>(b),(d)</sup> |  | 1.7570 | &nbsp;&nbsp;&nbsp;01/25/36 | 442267 |
| 1045417 | Residential Asset Securitization Trust 2003-A4 Series 2003-A4 B1 |  | 5.7500 | &nbsp;&nbsp;&nbsp;05/25/33 | 717821 |
| 15670604 | Residential Asset Securitization Trust 2005-A11CB Series 2005-A11 1AX<sup>(b),(d)</sup> |  | 0.3490 | &nbsp;&nbsp;&nbsp;10/25/35 | 125059 |
| 264644 | Residential Asset Securitization Trust 2005-A16 Series 2005-A16 A3 |  | 6.0000 | &nbsp;&nbsp;&nbsp;02/25/36 | 124761 |
| 1789626 | Residential Asset Securitization Trust 2007-A1 Series 2007-A1 A1 |  | 6.0000 | &nbsp;&nbsp;&nbsp;03/25/37 | 616958 |
| 1598313 | Residential Asset Securitization Trust 2007-A8 Series 2007-A8 1A1 |  | 6.0000 | &nbsp;&nbsp;&nbsp;08/25/37 | 978808 |
| 2270263 | Residential Asset Securitization Trust 2007-A9 Series 2007-A9 AX<sup>(b),(d)</sup> |  | 7.0000 | &nbsp;&nbsp;&nbsp;09/25/37 | 679315 |
| 1180297 | RFMSI Series 2007-S6 Trust Series 2007-S6 2A5<sup>(a)</sup> | US0001M + 0.500% | 4.8890 | &nbsp;&nbsp;&nbsp;06/25/37 | 783038 |
| 16970 | SACO I Trust 2005-5 Series 2005-5 2M6<sup>(a)</sup> | US0001M + 1.350% | 5.7390 | &nbsp;&nbsp;&nbsp;05/25/35 | 16965 |
| 159979 | SACO I Trust 2006-3 Series 2006-3 A1<sup>(a)</sup> | US0001M + 0.360% | 4.7490 | &nbsp;&nbsp;&nbsp;04/25/36 | 213444 |
| 51344 | SACO I Trust 2006-6 Series 2006-6 A<sup>(a)</sup> | US0001M + 0.260% | 4.6490 | &nbsp;&nbsp;&nbsp;06/25/36 | 50137 |
| 173433 | SACO I, Inc. Series 1999-3 1B1<sup>(c),(d),(i)</sup> |  | 5.1300 | &nbsp;&nbsp;&nbsp;04/25/39 | 159450 |
| 719805 | SASCO Mortgage Loan Trust 2004-GEL2 Series 2004-GEL2 M4<sup>(e)</sup> |  | 5.5000 | &nbsp;&nbsp;&nbsp;05/25/34 | 601915 |
| 618856 | SASCO Mortgage Loan Trust 2004-GEL2 Series 2004-GEL2 M3<sup>(e)</sup> |  | 5.5000 | &nbsp;&nbsp;&nbsp;07/19/44 | 568859 |
| 52691 | Saxon Asset Securities Trust 2004-2 Series 2004-2 MV3<sup>(a)</sup> | US0001M + 1.905% | 3.4520 | &nbsp;&nbsp;&nbsp;08/25/35 | 48774 |
| 948250 | Saxon Asset Securities Trust 2005-1 Series 2005-1 B3<sup>(a)</sup> | US0001M + 3.525% | 1.7990 | &nbsp;&nbsp;&nbsp;05/25/35 | 67376 |
| 4500000 | Saxon Asset Securities Trust 2007-4 Series 2007-4 M1<sup>(a),(c)</sup> | US0001M + 3.000% | 7.3890 | &nbsp;&nbsp;&nbsp;12/25/37 | 2980429 |
| 30746 | Securitized Asset Backed Receivables, LLC Trust Series 2004-NC1 B2<sup>(a)</sup> | US0001M + 3.000% | 7.3890 | &nbsp;&nbsp;&nbsp;02/25/34 | 29407 |
| 80948 | Securitized Asset Backed Receivables, LLC Trust Series 2004-OP2 M3<sup>(a)</sup> | US0001M + 2.025% | 6.4140 | &nbsp;&nbsp;&nbsp;08/25/34 | 82606 |
| 141886 | Securitized Asset Backed Receivables, LLC Trust Series 2004-NC3 M2<sup>(a)</sup> | US0001M + 1.680% | 6.0690 | &nbsp;&nbsp;&nbsp;09/25/34 | 150403 |
| 98453 | Sequoia Mortgage Trust 9 Series 9 B1<sup>(a)</sup> | US0001M + 1.125% | 5.4780 | &nbsp;&nbsp;&nbsp;09/20/32 | 78331 |
| 124738 | SG Mortgage Securities Trust 2006-OPT2 Series 2006-OPT2 A3C<sup>(a)</sup> | US0001M + 0.150% | 4.5390 | &nbsp;&nbsp;&nbsp;10/25/36 | 111659 |
| 67964 | Soundview Home Loan Trust 2004-WMC1 Series 2004-WMC1 M4<sup>(a)</sup> | US0001M + 1.200% | 5.5890 | &nbsp;&nbsp;&nbsp;01/25/35 | 67257 |
| 1737008 | Soundview Home Loan Trust 2006-2 Series 2006-2 M4<sup>(a)</sup> | US0001M + 0.705% | 5.0940 | &nbsp;&nbsp;&nbsp;03/25/36 | 2236227 |
| 259143 | Soundview Home Loan Trust 2007-OPT2 Series 2007-OPT2 2A3<sup>(a)</sup> | US0001M + 0.180% | 4.5690 | &nbsp;&nbsp;&nbsp;07/25/37 | 233901 |
| 166394 | Specialty Underwriting & Residential Finance Trust Series 2003-BC2 B1<sup>(a)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;06/25/34 | 173118 |
| 526371 | Specialty Underwriting & Residential Finance Trust Series 2004-BC1 B1<sup>(a)</sup> | US0001M + 2.550% | 6.9390 | &nbsp;&nbsp;&nbsp;02/25/35 | 519308 |
| 5176235 | Starwood Retail Property Trust 2014-STAR Series 2014-STAR A<sup>(a),(c)</sup> | US0001M + 1.470% | 5.7880 | &nbsp;&nbsp;&nbsp;11/15/27 | 3662186 |
| 3354037 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-10 M1<sup>(a)</sup> | US0001M + 0.675% | 5.0640 | &nbsp;&nbsp;&nbsp;06/25/35 | 3218579 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |
| 1184204 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 4A1<sup>(d)</sup> |  | 3.4940 | &nbsp;&nbsp;&nbsp;09/25/35 | $883101 |
| 473390 | Structured Asset Investment Loan Trust 2003-BC10 Series 2003-BC10 B<sup>(a)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;10/25/33 | 509952 |
| 66223 | Structured Asset Investment Loan Trust 2003-BC2 Series 2003-BC2 A2<sup>(a)</sup> | US0001M + 0.720% | 5.1090 | &nbsp;&nbsp;&nbsp;04/25/33 | 64284 |
| 260149 | Structured Asset Investment Loan Trust 2003-BC2 Series 2003-BC2 M1<sup>(a)</sup> | US0001M + 1.380% | 5.7690 | &nbsp;&nbsp;&nbsp;04/25/33 | 251236 |
| 145759 | Structured Asset Investment Loan Trust 2003-BC4 Series 2003-BC4 M4<sup>(a)</sup> | US0001M + 4.875% | 9.2640 | &nbsp;&nbsp;&nbsp;06/25/33 | 150418 |
| 68262 | Structured Asset Investment Loan Trust 2003-BC8 Series 2003-BC8 M2<sup>(a)</sup> | US0001M + 2.625% | 7.0140 | &nbsp;&nbsp;&nbsp;08/25/33 | 62304 |
| 508601 | Structured Asset Investment Loan Trust 2004-5 Series 2004-5 M7<sup>(a)</sup> | US0001M + 3.000% | 7.3890 | &nbsp;&nbsp;&nbsp;05/25/34 | 407776 |
| 71562 | Structured Asset Investment Loan Trust 2004-9 Series 2004-9 M6<sup>(a)</sup> | US0001M + 2.775% | 7.1640 | &nbsp;&nbsp;&nbsp;10/25/34 | 68013 |
| 512216 | Structured Asset Investment Loan Trust 2004-BNC2 Series 2004-BNC2 M1<sup>(a)</sup> | US0001M + 1.275% | 5.6640 | &nbsp;&nbsp;&nbsp;12/25/34 | 490705 |
| 3655833 | Structured Asset Investment Loan Trust 2005-9 Series 2005-9 M2<sup>(a)(h)</sup> | US0001M + 0.675% | 5.0640 | &nbsp;&nbsp;&nbsp;11/25/35 | 3206093 |
| 2595212 | Structured Asset Mortgage Investments II Trust Series 2005-AR5 X2<sup>(b),(d)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;07/19/35 | 29121 |
| 224397 | Structured Asset Mortgage Investments II Trust Series 2006-AR3 11A1<sup>(a)</sup> | US0001M + 0.420% | 4.8090 | &nbsp;&nbsp;&nbsp;04/25/36 | 192819 |
| 3312702 | Structured Asset Mortgage Investments II Trust Series 2006-AR3 12A3<sup>(a)</sup> | US0001M + 0.540% | 4.9290 | &nbsp;&nbsp;&nbsp;05/25/36 | 2387756 |
| 17985 | Structured Asset Mortgage Investments II Trust<sup>(a),(i)</sup> | US0001M + 0.400% | 0.4890 | &nbsp;&nbsp;&nbsp;08/25/36 | 17985 |
| 38205765 | Structured Asset Mortgage Investments II Trust Series 2006-AR7 X<sup>(b)</sup> |  | 0.9000 | &nbsp;&nbsp;&nbsp;08/25/36 | 887207 |
| 1818843 | Structured Asset Mortgage Investments II Trust Series 2005-AR2 1A1<sup>(a)</sup> | US0001M + 0.460% | 4.8490 | &nbsp;&nbsp;&nbsp;05/25/45 | 1462618 |
| 964508 | Structured Asset Mortgage Investments II Trust Series 2007-AR7 2A1<sup>(d)</sup> |  | 3.2450 | &nbsp;&nbsp;&nbsp;05/25/47 | 768458 |
| 34644564 | Structured Asset Mortgage Investments II Trust Series 2007-AR6 X2<sup>(b)</sup> |  | 0.5000 | &nbsp;&nbsp;&nbsp;08/25/47 | 645941 |
| 508591 | Structured Asset Securities Corp Assistance Loan Series 2003-AL1 B1<sup>(c)</sup> |  | 3.3560 | &nbsp;&nbsp;&nbsp;04/25/31 | 503644 |
| 195787 | Structured Asset Securities Corp Mortgage Series 2003-9A B1II<sup>(d)</sup> |  | 3.8580 | &nbsp;&nbsp;&nbsp;03/25/33 | 180743 |
| 181196 | Structured Asset Securities Corp Mortgage Series 2003-36XS M1<sup>(e)</sup> |  | 5.4050 | &nbsp;&nbsp;&nbsp;11/25/33 | 148094 |
| 273448 | Structured Asset Securities Corp Mortgage Series 2004-6XS M1<sup>(e)</sup> |  | 5.6700 | &nbsp;&nbsp;&nbsp;03/25/34 | 253907 |
| 3590912 | Structured Asset Securities Corp Mortgage Loan Series 2006-BC6 M1<sup>(a)(h)</sup> | US0001M + 0.270% | 4.6590 | &nbsp;&nbsp;&nbsp;01/25/37 | 3348298 |
| 21534 | Structured Asset Securities Corp Mortgage Pass Series 2001-SB1 A5 |  | 3.3750 | &nbsp;&nbsp;&nbsp;08/25/31 | 20243 |
| 87719 | Structured Asset Securities Corp Pass-Through Series 2002-AL1 A2 |  | 3.4500 | &nbsp;&nbsp;&nbsp;02/25/32 | 76037 |
| 491683 | Structured Asset Securities Corporation Series 2005-RF4 B1<sup>(c),(d)</sup> |  | 4.4100 | &nbsp;&nbsp;&nbsp;07/25/35 | 339004 |
| 447787 | SunTrust Alternative Loan Trust 2006-1F Series 2006-1F 1A4 |  | 6.0000 | &nbsp;&nbsp;&nbsp;04/25/36 | 218317 |
| 62350 | Terwin Mortgage Trust 2003-7SL Series 2003-7SL B3<sup>(c),(d)</sup> |  | 8.0000 | &nbsp;&nbsp;&nbsp;12/25/33 | 59382 |
| 641733 | Terwin Mortgage Trust 2004-18SL Series 2004-18SL 1B4<sup>(c),(d)</sup> |  | 8.0000 | &nbsp;&nbsp;&nbsp;10/25/34 | 589561 |
| 112896 | Terwin Mortgage Trust 2004-7HE Series 2004-7HE M1<sup>(a),(c)</sup> | US0001M + 1.275% | 5.6640 | &nbsp;&nbsp;&nbsp;07/25/34 | 99069 |
| 55075 | Terwin Mortgage Trust 2006-HF-1 Series 2006-HF1 M1<sup>(c),(d)</sup> |  | 4.5600 | &nbsp;&nbsp;&nbsp;02/25/37 | 238332 |
| 177562 | Terwin Mortgage Trust Series TMTS 2003-2HE Series 2003-2HE B<sup>(d)</sup> |  | 6.0000 | &nbsp;&nbsp;&nbsp;07/25/34 | 163079 |
| 17858 | Terwin Mortgage Trust Series TMTS 2003-5SL Series 2003-5SL B3<sup>(c),(d)</sup> |  | 8.0000 | &nbsp;&nbsp;&nbsp;10/25/34 | 15634 |
| 740640 | Truman Capital Mortgage Loan Trust Series 2004-1 M3<sup>(a),(c)</sup> | US0001M + 4.125% | 8.5140 | &nbsp;&nbsp;&nbsp;01/25/34 | 764760 |
| 1604444 | UCFC Home Equity Loan Trust 1998-D Series 1998-D MF2<sup>(d)</sup> |  | 7.7500 | &nbsp;&nbsp;&nbsp;04/15/30 | 1501716 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | &nbsp;&nbsp;&nbsp;**Maturity** | **Fair Value** |
|  | **NON-AGENCY MORTGAGE BACKED SECURITIES — 100.5% (Continued)** |  |  |  |  |
| 1214985 | Velocity Commercial Capital Loan Trust 2017-2 Series 2017-2 M5<sup>(c),(d)</sup> |  | 6.4200 | &nbsp;&nbsp;&nbsp;11/25/47 | $960851 |
| 315213 | Velocity Commercial Capital Loan Trust 2017-2 Series 2017-2 M6<sup>(c),(d)</sup> |  | 7.7500 | &nbsp;&nbsp;&nbsp;11/25/47 | 243398 |
| 52972 | Voyager CNTYW Delaware Trust Series 2009-1 5AX4<sup>(b),(c),(d)</sup> |  | 16.7490 | &nbsp;&nbsp;&nbsp;02/16/36 | 48087 |
| 25612371 | WaMu Mortgage Pass-Through Certificates Series Series 2005-AR15 X<sup>(b),(d),(i)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;11/25/45 | 17813 |
| 451922 | WaMu Mortgage Pass-Through Certificates Series Series 2006-AR4 2A1A<sup>(a)</sup> | COF 11 + 1.500% | 2.4200 | &nbsp;&nbsp;&nbsp;05/25/46 | 374340 |
| 396938 | Washington Mutual Mortgage Pass-Through Series 2006-5 1A2 |  | 6.0000 | &nbsp;&nbsp;&nbsp;07/25/36 | 290236 |
| 1386597 | Washington Mutual Mortgage Pass-Through Series 2007-1 1A3<sup>(a)</sup> | US0001M + 0.370% | 4.7590 | &nbsp;&nbsp;&nbsp;02/25/37 | 809252 |
| 355528 | Washington Mutual Mortgage Pass-Through Series 2007-OA1 1A<sup>(a)</sup> | 12MTA + 0.710% | 2.3990 | &nbsp;&nbsp;&nbsp;12/25/46 | 290302 |
| 1939423 | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 2A1<sup>(a)</sup> | US0001M + 0.060% | 3.8160 | &nbsp;&nbsp;&nbsp;10/25/36 | 737912 |
| 1035000 | Wells Fargo Commercial Mortgage Trust 2013-LC12 Series 2013-LC12 C<sup>(d)</sup> |  | 4.2960 | &nbsp;&nbsp;&nbsp;07/15/46 | 780279 |
| 4892000 | Wells Fargo Commercial Mortgage Trust 2013-LC12 Series 2013-LC12 D<sup>(c),(d)</sup> |  | 4.2960 | &nbsp;&nbsp;&nbsp;07/15/46 | 1703578 |
| 1666666 | Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 E<sup>(c)</sup> |  | 2.8690 | &nbsp;&nbsp;&nbsp;02/15/48 | 680640 |
| 1631000 | Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 D<sup>(c)</sup> |  | 3.7680 | &nbsp;&nbsp;&nbsp;02/15/48 | 1215529 |
| 2500000 | Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31 D |  | 3.8520 | &nbsp;&nbsp;&nbsp;11/15/48 | 2024846 |
| 15153000 | Wells Fargo Commercial Mortgage Trust 2016-C34 Series 2016-C34 XFG<sup>(b),(c),(d)</sup> |  | 2.0600 | &nbsp;&nbsp;&nbsp;06/15/49 | 824019 |
| 967758 | Wells Fargo Commercial Mortgage Trust 2016-C34 Series 2016-C34 C<sup>(d)</sup> |  | 5.0600 | &nbsp;&nbsp;&nbsp;06/15/49 | 801918 |
| 2500000 | Wells Fargo Commercial Mortgage Trust 2016-C35 Series 2016-C35 D<sup>(c)</sup> |  | 3.1420 | &nbsp;&nbsp;&nbsp;07/15/48 | 1814030 |
| 2500000 | Wells Fargo Commercial Mortgage Trust 2016-C36 Series 2016-C36 D<sup>(c)</sup> |  | 2.9420 | &nbsp;&nbsp;&nbsp;11/15/59 | 1519622 |
| 2000000 | Wells Fargo Commercial Mortgage Trust 2017-C40 Series 2017-C40 D<sup>(c)</sup> |  | 2.7000 | &nbsp;&nbsp;&nbsp;10/15/50 | 1363481 |
| 184229 | Wells Fargo Home Equity Asset-Backed Securities Series 2004-2 M6<sup>(a)</sup> | US0001M + 2.820% | 7.2090 | &nbsp;&nbsp;&nbsp;10/25/34 | 181856 |
| 1775415 | Wells Fargo Home Equity Asset-Backed Securities Series 2005-1 M12<sup>(a),(c)</sup> | US0001M + 3.750% | 8.1390 | &nbsp;&nbsp;&nbsp;04/25/35 | 1777700 |
| 430628 | Wells Fargo Home Equity Asset-Backed Securities Series 2005-1 M10<sup>(a)</sup> | US0001M + 3.750% | 8.1390 | &nbsp;&nbsp;&nbsp;04/25/35 | 435426 |
| 2315650 | WFRBS Commercial Mortgage Trust 2012-C9 Series 2012-C9 D<sup>(c),(d)</sup> |  | 4.7740 | &nbsp;&nbsp;&nbsp;11/15/45 | 2196958 |
| 2971000 | WFRBS Commercial Mortgage Trust 2012-C9 Series 2012-C9 E<sup>(c),(d)</sup> |  | 4.7740 | &nbsp;&nbsp;&nbsp;11/15/45 | 2789784 |
| 3000000 | WFRBS Commercial Mortgage Trust 2013-C14 Series 2013-C14 E<sup>(c)</sup> |  | 3.2500 | &nbsp;&nbsp;&nbsp;06/15/46 | 1652749 |
| 1600000 | WFRBS Commercial Mortgage Trust 2013-C14 Series 2013-C14 D<sup>(c),(d)</sup> |  | 3.9570 | &nbsp;&nbsp;&nbsp;06/15/46 | 1445197 |
| 42147 | Wilshire Mortgage Loan Trust Series 1997-2 A7<sup>(d)</sup> |  | 6.8350 | &nbsp;&nbsp;&nbsp;03/25/28 | 41449 |
| 44819 | Wilshire Mortgage Loan Trust Series 1997-2 M2<sup>(d)</sup> |  | 7.4250 | &nbsp;&nbsp;&nbsp;05/25/28 | 43930 |
| 693 | Wilshire Mortgage Loan Trust Series 1997-2 B<sup>(c),(d),(i)</sup> |  | 8.9900 | &nbsp;&nbsp;&nbsp;05/25/28 | 290 |
| 192474 | Yale Mortgage Loan Trust 2007-1 Series 2007-1 A<sup>(a),(c)</sup> | US0001M + 0.400% | 4.7890 | &nbsp;&nbsp;&nbsp;06/25/37 | 64769 |
|  | **TOTAL NON-AGENCY MORTGAGE BACKED SECURITIES (Cost $512,509,173)** |  |  |  | 485520249 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Spread** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **OTHER ASSET BACKED SECURITIES — 0.1%** | **OTHER ASSET BACKED SECURITIES — 0.1%** |  |  |  |
| 539330 | Business Loan Express Business Loan Trust 2007-A Series 2007-AA B<sup>(a),(c)</sup> | US0001M + 1.100% | 5.4530 | &nbsp;&nbsp;&nbsp;10/20/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$453857 |
|  | **TOTAL OTHER ASSET BACKED SECURITIES (Cost $468,541)** | **TOTAL OTHER ASSET BACKED SECURITIES (Cost $468,541)** |  |  |  |
| **Shares** |  |  |  |  | **Fair Value** |
|  | **SHORT-TERM INVESTMENT — 2.5%** | **SHORT-TERM INVESTMENT — 2.5%** |  |  |  |
|  | **MONEY MARKET FUND - 2.5%** | **MONEY MARKET FUND - 2.5%** |  |  |  |
| 12103469 | First American Government Obligations Fund Class X, 4.08% (Cost $12,103,469)<sup>(g)</sup> | First American Government Obligations Fund Class X, 4.08% (Cost $12,103,469)<sup>(g)</sup> |  |  | &nbsp;&nbsp;&nbsp; $12103469 |
|  | **TOTAL INVESTMENTS - 104.3% (Cost $543,023,558)** | **TOTAL INVESTMENTS - 104.3% (Cost $543,023,558)** |  |  | &nbsp;&nbsp;&nbsp; $503772230 |
|  | **REVERSE REPURCHASE AGREEMENTS – (5.2)%** | **REVERSE REPURCHASE AGREEMENTS – (5.2)%** |  |  | &nbsp;&nbsp; (25118000) |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9%** | **OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9%** |  |  | &nbsp;&nbsp; 4469841 |
|  | **NET ASSETS - 100.0%** |  |  |  | &nbsp;&nbsp; $483124071 |

---

---

| | |
|:---|:---|
| LLC | - Limited Liability Company |
| LTD | - Limited Company |
| REMIC | - Real Estate Mortgage Investment Conduit |
| 12MTA | Federal Reserve US 12 Month Cumulative Avg 1 Year CMT |
| COF 11 | Cost of Funds for the 11th District of San Francisco |
| H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
| US0001M | ICE LIBOR USD 1 Month |
| US0006M | ICE LIBOR USD 6 Month |
| <sup>(a)</sup> | Variable or 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>(b)</sup> | Interest only securities. |
| <sup>(c)</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 December 31, 2022 the total market value of 144A securities is $134,392,730 or 27.8% of net assets. |
| <sup>(d)</sup> | Variable rate security; the rate shown represents the rate on December 31, 2022. |
| <sup>(e)</sup> | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at December 31, 2022. |
| <sup>(f)</sup> | Zero coupon bond. |
| <sup>(g)</sup> | Rate disclosed is the seven day effective yield as of December 31, 2022. |
| <sup>(h)</sup> | All or a portion of the security is pledged as collateral for open reverse repurchase agreements. |
| <sup>(i)</sup> | lliquid security. Total illiquid securities represent 0.6% of net assets as of December 31, 2022. |

---

## 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:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**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:** $515131644.68

**Total Liabilities:** $32007573.80

**Net Assets:** $483124070.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 136.91708400 | **1-Year:** 1815.79751500 | **5-Year:** 3663.60616800 | **10-Year:** 600.55130300 | **30-Year:** 0.66076000

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

- **3-Month:** 1477.21668600 | **1-Year:** 9054.40484500 | **5-Year:** 47454.14778400 | **10-Year:** 115816.76499700 | **30-Year:** 19382.33787500

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000159221 | -1.95%               | -0.36%               | -0.31%               |
| Class ID C000159222 | -1.87%               | -0.27%               | -0.22%               |
| Class ID C000159220 | -1.89%               | -0.30%               | -0.24%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $333535.36               | $-12713881.56                              |
| Month 2  | $-1647952.90             | $-1489984.98                               |
| Month 3  | $-421715.81              | $-2560282.52                               |

### 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        |   1042296 | PA      | $845251.13    | 0.17%             | 2034-11-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2004-FF10 M2         | CUSIP: 32027NMK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2596711 | PA      | $2047623.31   | 0.42%             | 2034-05-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2018-64 SE            | CUSIP: 3136B23K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2035806 | PA      | $204630.47    | 0.04%             | 2048-09-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                | MSAC 2003-NC8 B2          | CUSIP: 61746RDR9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    568546 | PA      | $555375.08    | 0.11%             | 2033-09-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2003-FFH2 M2         | CUSIP: 32027NEU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2831742 | PA      | $2748607.61   | 0.57%             | 2034-02-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| FIRST AMERN FDS INC                                             | FRST AM-GV OB-X           | CUSIP: 31846V336<br>LEI: 549300J5J5SJCZ9IA369 | Long             | STIV             | RF                | US        |  12103469 | PA      | $12103468.82  | 2.51%             |  |  |  | No            |                  1 | On Loan: No      |
| CWMBS Inc                                                       | CWALT 2003-J2 B1          | CUSIP: 12669E4F0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99783 | PA      | $72071.91     | 0.01%             | 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        |   1205543 | PA      | $123308.38    | 0.03%             | 2042-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| RALI Series Trust                                               | RALI 2007-QH7 1A2         | CUSIP: 75115LAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625620 | PA      | $353278.05    | 0.07%             | 2037-08-25      | Floating      | 4.93%                 | 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        |     55685 | PA      | $64008.33     | 0.01%             | 2033-10-25      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 86358EYG5   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -2247000 | PA      | $-2247000.00  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                              | CMALT 2007-A4 1A7         | CUSIP: 12566VAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1182097 | PA      | $1056250.33   | 0.22%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Rali Ser 06-Qs16                                                | RALI 2006-QS16 A10        | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283354 | PA      | $229140.94    | 0.05%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                               | SBM7 1997-LB6 B2          | CUSIP: 79548KYB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147303 | PA      | $85666.57     | 0.02%             | 2027-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | CSFB 2004-FRE1 B3         | CUSIP: 22541SSX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114483 | PA      | $103114.58    | 0.02%             | 2034-04-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Asset Backed Secs Corp Home Equity Loan                         | ABSHE 2004-HE3 M3         | CUSIP: 04541GJV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7987 | PA      | $7992.17      | 0.00%             | 2034-06-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                       | MSBAM 2016-C30 E          | CUSIP: 61766NAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3976000 | PA      | $2314251.87   | 0.48%             | 2049-09-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-2A M6           | CUSIP: 07324SBV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90406 | PA      | $83235.51     | 0.02%             | 2035-08-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2002-3 M4            | CUSIP: 03072SCX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3157162 | PA      | $2797355.47   | 0.58%             | 2032-08-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2007-2 1A1          | CUSIP: 073870AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401989 | PA      | $345374.86    | 0.07%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                 | NHEL 2004-3 B1            | CUSIP: 66987XFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98506 | PA      | $91744.78     | 0.02%             | 2034-12-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2005-AR2 2A1B        | CUSIP: 45660LCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208497 | PA      | $147417.41    | 0.03%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2004-D MV2           | CUSIP: 152314LR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146217 | PA      | $149729.49    | 0.03%             | 2034-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-OP1 M2           | CUSIP: 004421EX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38202 | PA      | $36718.70     | 0.01%             | 2034-04-25      | Floating      | 5.96%                 | 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        |   1514778 | PA      | $2033981.19   | 0.42%             | 2037-09-25      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Cwheq Inc                                                       | CWHEL 2005-B 2A           | CUSIP: 126685AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715982 | PA      | $704068.09    | 0.15%             | 2035-05-15      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| MortgageIT Trust                                                | MHL 2005-2 1M2            | CUSIP: 61915RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85836 | PA      | $82060.32     | 0.02%             | 2035-05-25      | Floating      | 5.20%                 | 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      | $750707.30    | 0.16%             | 2033-10-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                  | GSMS 2007-GG10 AJ         | CUSIP: 36246LAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1209585 | PA      | $316533.15    | 0.07%             | 2045-08-10      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp Mortgage Loan                  | SASC 2006-BC6 M1          | CUSIP: 86362VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3590912 | PA      | $3348297.62   | 0.69%             | 2037-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                              | RAST 2007-A9 AX           | CUSIP: 761143AM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2270263 | PA      | $679315.21    | 0.14%             | 2037-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2006-1 MV2            | CUSIP: 126670TX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750851 | PA      | $1643125.74   | 0.34%             | 2036-07-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2004-HE2 B3          | CUSIP: 59020ULE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    698665 | PA      | $699530.50    | 0.14%             | 2035-08-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2003-36XS M1         | CUSIP: 86359BAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181196 | PA      | $148093.61    | 0.03%             | 2033-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Secs Inc                                         | DBALT 2005-5 1A3          | CUSIP: 251510HN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82612 | PA      | $117552.57    | 0.02%             | 2035-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-2A M4           | CUSIP: 07324SBT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442628 | PA      | $408932.06    | 0.08%             | 2035-08-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2005-AR23 2A1        | CUSIP: 45660LF38<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296778 | PA      | $244261.21    | 0.05%             | 2035-11-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SAIL 2003-BC10 B          | CUSIP: 86359A2N2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473390 | PA      | $509951.59    | 0.11%             | 2033-10-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-9 1A1          | CUSIP: 17307GK31<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473572 | PA      | $391111.47    | 0.08%             | 2035-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                 | LXS 2006-18N A4           | CUSIP: 52522GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1631290 | PA      | $1239410.87   | 0.26%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-68 SN            | CUSIP: 3136AXM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2613900 | PA      | $298452.97    | 0.06%             | 2047-09-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2006-BC1 M4           | CUSIP: 126670XU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3131747 | PA      | $2443796.15   | 0.51%             | 2036-04-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Rali Ser 06-Qo8 Tr                                              | RALI 2006-QO8 1A3A        | CUSIP: 75115FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365741 | PA      | $343687.66    | 0.07%             | 2046-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSMS 2018-SRP5 A          | CUSIP: 36255TAA0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   6418559 | PA      | $5406696.31   | 1.12%             | 2031-09-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2003-NC1 M4           | CUSIP: 004421CT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142790 | PA      | $125724.46    | 0.03%             | 2033-07-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-WF2 MV6        | CUSIP: 17307GWB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1322377 | PA      | $1415094.39   | 0.29%             | 2035-08-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Homebanc Mtg Trust                                              | HMBT 2004-2 M1            | CUSIP: 43739EAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97394 | PA      | $89862.99     | 0.02%             | 2034-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2006-AR5 2A1         | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41591 | PA      | $35502.71     | 0.01%             | 2036-05-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | CSFB 2004-AR1 6M2         | CUSIP: 22541Q5B4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735397 | PA      | $725160.94    | 0.15%             | 2034-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Palisades Center Tst                                            | PCT 2016-PLSD A           | CUSIP: 69640GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4387000 | PA      | $2939290.00   | 0.61%             | 2033-04-13      | Fixed         | 2.71%                 | Yes           |                  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      | $3103831.50   | 0.64%             | 2047-06-10      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2005-R2 1AS          | CUSIP: 12669GN72<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |   9953563 | PA      | $445282.60    | 0.09%             | 2035-06-25      | Floating      | 1.77%                 | Yes           |                  2 | On Loan: No      |
| Hudson's Bay Simon JV Trust                                     | HBCT 2015-HBFL BFL        | CUSIP: 44422PAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    849880 | PA      | $732910.65    | 0.15%             | 2034-08-05      | Floating      | 6.57%                 | 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        |    491683 | PA      | $339004.40    | 0.07%             | 2035-07-25      | Floating      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2006-10 2A1B        | CUSIP: 41162CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4187498 | PA      | $3684744.63   | 0.76%             | 2036-11-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Gsmps Mtg Ln Trust                                              | GSMPS 2003-3 B1           | CUSIP: 36290PAW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1471433 | PA      | $160840.58    | 0.03%             | 2043-06-25      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust                  | SABR 2004-NC1 B2          | CUSIP: 81375WAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30746 | PA      | $29407.48     | 0.01%             | 2034-02-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Hudson's Bay Simon JV Trust                                     | HBCT 2015-HB10 A10        | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1846000 | PA      | $1612650.28   | 0.33%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | RAST 2005-A16 A3          | CUSIP: 45660L2V0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264644 | PA      | $124760.52    | 0.03%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2004-R11 M6          | CUSIP: 03072SWV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1622090 | PA      | $1350341.31   | 0.28%             | 2034-11-25      | Floating      | 3.25%                 | 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        |    279887 | PA      | $272898.78    | 0.06%             | 2035-09-25      | Floating      | 5.14%                 | 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        |     89763 | PA      | $81840.74     | 0.02%             | 2035-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                              | RAST 2007-A1 A1           | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1789626 | PA      | $616957.53    | 0.13%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                       | NCHET 2003-5 M2           | CUSIP: 64352VEJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1522 | PA      | $1319.96      | 0.00%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mtg Sec                                                | CMSI 2007-7 APO           | CUSIP: 173104AH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34817 | PA      | $23288.28     | 0.00%             | 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        |     91089 | PA      | $85734.67     | 0.02%             | 2033-03-25      | Floating      | 3.21%                 | 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        |     51793 | PA      | $45574.52     | 0.01%             | 2032-12-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2005-IM3 A3           | CUSIP: 126670JD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119990 | PA      | $119338.89    | 0.02%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RES Asst Sec 08-A8                                              | RAST 2007-A8 1A1          | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1598313 | PA      | $978807.62    | 0.20%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                         | FHLT 2004-C M3            | CUSIP: 35729PEV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15094 | PA      | $14237.98     | 0.00%             | 2034-08-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Chase Fdg Mtg Ln                                                | CFAB 2003-3 1M2           | CUSIP: 161546FJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111627 | PA      | $73602.21     | 0.02%             | 2032-05-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                 | IMM 2005-6 2B2            | CUSIP: 45254NQT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3578 | PA      | $3493.25      | 0.00%             | 2035-10-25      | Floating      | 7.76%                 | 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      | $1652749.20   | 0.34%             | 2046-06-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                              | LXS 2005-5N 3A3C          | CUSIP: 86359DUZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1304347 | PA      | $755782.20    | 0.16%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2005-R1 1AS          | CUSIP: 12669GWP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10392105 | PA      | $533098.35    | 0.11%             | 2035-03-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2004-FFH4 M8         | CUSIP: 32027NPK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    913552 | PA      | $771495.63    | 0.16%             | 2035-01-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                 | CWHL 2007-J3 A9           | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260997 | PA      | $125863.47    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2003-58 M            | CUSIP: 12669E6K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286272 | PA      | $258311.11    | 0.05%             | 2034-02-19      | Floating      | 4.27%                 | 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        |     29202 | PA      | $23296.40     | 0.00%             | 2033-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                    | MASD 2005-2 B             | CUSIP: 576436CK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332556 | PA      | $327385.54    | 0.07%             | 2035-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2007-5A A4           | CUSIP: 07325WAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11776214 | PA      | $7822701.00   | 1.62%             | 2037-10-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| First Nlc Trust                                                 | FNLC 2007-1 A4            | CUSIP: 32115BAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1187227 | PA      | $562868.00    | 0.12%             | 2037-08-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| GSamp Trust                                                     | GSAMP 2007-FM1 A2B        | CUSIP: 3622MAAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1017946 | PA      | $509298.31    | 0.11%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-14 DS            | CUSIP: 3136AVWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2648578 | PA      | $275769.44    | 0.06%             | 2047-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2005-1 B3            | CUSIP: 805564RV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948250 | PA      | $67376.23     | 0.01%             | 2035-05-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2003-BC4 M4          | CUSIP: 86358EBP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145759 | PA      | $150418.25    | 0.03%             | 2033-06-25      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                         | FHLT 2004-B M6            | CUSIP: 35729PDV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54487 | PA      | $51031.52     | 0.01%             | 2034-05-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Business Loan 07-A                                              | BLX 2007-AA B             | CUSIP: 12328RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    539330 | PA      | $453857.17    | 0.09%             | 2040-10-20      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust    | WFHET 2004-2 M6           | CUSIP: 94980GAT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184229 | PA      | $181855.92    | 0.04%             | 2034-10-25      | Floating      | 7.21%                 | 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        |     82178 | PA      | $43412.16     | 0.01%             | 2029-07-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                  | TMTS 2006-HF1 M1          | CUSIP: 881561R63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55075 | PA      | $238332.12    | 0.05%             | 2037-02-25      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| OPTONE TRUST                                                    | OPTON 2016-1A SAC3        | CUSIP: 68404NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4354185 | PA      | $3035601.06   | 0.63%             | 2038-02-26      | Floating      | 18.05%                | Yes           |                  2 | On Loan: No      |
| Aegis Asset Backed Secs Trust                                   | AABST 2004-3 B1           | CUSIP: 00764MCJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1193603 | PA      | $1064080.30   | 0.22%             | 2034-09-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                        | JPMMT 2006-S3 1A12        | CUSIP: 46629AAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131430 | PA      | $55045.02     | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Rali Ser 07-Qh3 Tr                                              | RALI 2007-QH3 A2          | CUSIP: 74922WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1486244 | PA      | $3520294.72   | 0.73%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2004-BNC2 M1         | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512216 | PA      | $490705.22    | 0.10%             | 2034-12-25      | Floating      | 5.66%                 | 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        |     14704 | PA      | $15388.58     | 0.00%             | 2034-05-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 1999-2 AF2          | CUSIP: 07383GAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63971 | PA      | $63682.63     | 0.01%             | 2029-10-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSMS 2018-3PCK D          | CUSIP: 36255YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1148845.13   | 0.24%             | 2031-09-15      | Floating      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2002-BC3 M1           | CUSIP: 126671RE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1084194 | PA      | $1041746.94   | 0.22%             | 2032-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2011-C2                         | WFRBS 2012-C9 E           | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2971000 | PA      | $2789784.15   | 0.58%             | 2045-11-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                        | DSLA 2005-AR1 2A2         | CUSIP: 23332UCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11040 | PA      | $887.98       | 0.00%             | 2045-02-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| C-Bass                                                          | CBASS 2002-CB2 M2         | CUSIP: 12489WEU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    928113 | PA      | $902295.46    | 0.19%             | 2032-04-25      | Floating      | 4.23%                 | 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      | $210867.96    | 0.04%             | 2032-12-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                      | BSABS 2005-SD2 2B         | CUSIP: 073877BV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1016463 | PA      | $1022688.72   | 0.21%             | 2044-12-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                           | WFCM 2017-C40 D           | CUSIP: 95000YAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1363480.80   | 0.28%             | 2050-10-15      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-AR8 2A1A       | CUSIP: 17313FAR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42679 | PA      | $36871.37     | 0.01%             | 2037-07-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                               | INABS 2005-D M1           | CUSIP: 456606JP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137000 | PA      | $125690.90    | 0.03%             | 2036-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                           | WFCM 2016-C35 D           | CUSIP: 95000FAC0<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1814030.00   | 0.38%             | 2048-07-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                  | OOMLT 2004-2 M2           | CUSIP: 68389FFH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68063 | PA      | $72654.16     | 0.02%             | 2034-05-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                     | DELHE 1999-3 M1           | CUSIP: 24763LFY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147229 | PA      | $92240.44     | 0.02%             | 2030-01-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSAA 2005-2 B2            | CUSIP: 36242DTV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19912 | PA      | $34056.66     | 0.01%             | 2034-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                               | INHEL 2004-C M4           | CUSIP: 456606FX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156564 | PA      | $134067.36    | 0.03%             | 2035-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                           | WFCM 2013-LC12 D          | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-O            | CORP              | US        |   4892000 | PA      | $1703577.85   | 0.35%             | 2046-07-15      | Floating      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                  | ARMT 2005-4 3A1           | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38811 | PA      | $37422.62     | 0.01%             | 2035-08-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust                                      | CDCMC 2004-HE1 M2         | CUSIP: 12506YCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581470 | PA      | $580910.28    | 0.12%             | 2034-06-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | HEAT 2002-4 M2            | CUSIP: 22541NQN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233120 | PA      | $217822.62    | 0.05%             | 2033-03-25      | Floating      | 6.94%                 | 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        |    563693 | PA      | $289194.31    | 0.06%             | 2034-11-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                               | MSM 2007-7AX 2A4          | CUSIP: 61754HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20949213 | PA      | $855578.42    | 0.18%             | 2037-04-25      | Floating      | 5.03%                 | 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        |     82440 | PA      | $71615.69     | 0.01%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust            | DMSI 2008-RS1 4A2         | CUSIP: 25156BAM6<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    954447 | PA      | $374344.23    | 0.08%             | 2037-05-28      | Floating      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                       | ABFC 2004-OPT3 M1         | CUSIP: 04542BGV8<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    571539 | PA      | $570149.92    | 0.12%             | 2033-09-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2006-HYB3 2A1A       | CUSIP: 1266943Y2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80318 | PA      | $71388.23     | 0.01%             | 2036-05-20      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2006-14 2A1B        | CUSIP: 41162NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1044888 | PA      | $1754443.13   | 0.36%             | 2037-02-19      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Wilshire Mtg Ln Tr                                              | WIMLT 1997-2 M2           | CUSIP: 971885AN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44819 | PA      | $43930.35     | 0.01%             | 2028-05-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                | BOAA 2006-8 XIO           | CUSIP: 06050AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370811 | PA      | $76516.40     | 0.02%             | 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        |   2910553 | PA      | $4365829.35   | 0.90%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Peoples Chce Hm Ln                                              | PCHLT 2004-2 M3           | CUSIP: 71085PAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189648 | PA      | $173147.12    | 0.04%             | 2034-10-25      | Floating      | 6.11%                 | 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      | $1148136.65   | 0.24%             | 2033-11-25      | Floating      | 4.83%                 | 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        |    879861 | PA      | $771405.70    | 0.16%             | 2033-09-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-AMC2 A3A       | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80626 | PA      | $60069.12     | 0.01%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                  | RALI 2005-QO1 A3          | CUSIP: 761118EQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3622259 | PA      | $1579299.35   | 0.33%             | 2035-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2003-FM1 M6           | CUSIP: 004421BW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338700 | PA      | $283580.99    | 0.06%             | 2032-11-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 43710XAF5   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -5746000 | PA      | $-5746000.00  | -1.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mtg Inv Trust                                     | MLCC 2007-3 M1            | CUSIP: 59022XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294796 | PA      | $71351.51     | 0.01%             | 2037-09-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                         | AHM 2005-4 1A2            | CUSIP: 02660TGP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3081513 | PA      | $2955409.69   | 0.61%             | 2045-11-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | ARC 2001-BC6 M1           | CUSIP: 86358RNA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1171717 | PA      | $1059920.79   | 0.22%             | 2031-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-BO1 M9B        | CUSIP: 073879JV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    708000 | PA      | $689119.75    | 0.14%             | 2034-10-25      | Floating      | 10.39%                | 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        |     82929 | PA      | $70507.43     | 0.01%             | 2036-12-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2004-6XS M1          | CUSIP: 86359BJV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273448 | PA      | $253907.40    | 0.05%             | 2034-03-25      | Floating      | 5.67%                 | 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      | $194630.88    | 0.04%             | 2033-07-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust          | JPMCC 2012-WLDN A         | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3150016 | PA      | $2533553.27   | 0.52%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  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      | $78400.41     | 0.02%             | 2034-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2007-1 M3            | CUSIP: 07325MAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    241635 | PA      | $215860.53    | 0.04%             | 2037-03-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2006-HE10 23A       | CUSIP: 07389RAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    870983 | PA      | $1551804.44   | 0.32%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                              | GSR 2003-1 A11            | CUSIP: 36229RJF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    256372 | PA      | $230392.87    | 0.05%             | 2033-03-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust                                      | CDCMC 2003-HE2 M2         | CUSIP: 12506YBF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792273 | PA      | $765680.17    | 0.16%             | 2033-10-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                               | SEMT 9 B1                 | CUSIP: 81743SAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98453 | PA      | $78330.82     | 0.02%             | 2032-09-20      | Floating      | 5.48%                 | 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        |    156061 | PA      | $133483.30    | 0.03%             | 2047-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Saco I Trust                                                    | SACO 2006-6 A             | CUSIP: 785779AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51344 | PA      | $50137.06     | 0.01%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2005-WMC1 B5         | CUSIP: 59020URD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1092952 | PA      | $1007078.47   | 0.21%             | 2035-09-25      | Floating      | 10.01%                | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAMP 2005-EFC4 M5         | CUSIP: 76112BC81<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $962476.50    | 0.20%             | 2035-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                              | CMALT 2007-A1 1A1         | CUSIP: 12566QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66560 | PA      | $58856.96     | 0.01%             | 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      | $1660000.00   | 0.34%             | 2031-07-05      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2003-11 M5           | CUSIP: 03072SMC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675141 | PA      | $646977.86    | 0.13%             | 2033-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                              | GSR 2006-9F 6A1           | CUSIP: 3622X7AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1059741 | PA      | $111237.56    | 0.02%             | 2036-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-50CB 3A1       | CUSIP: 12668ALK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1148386 | PA      | $476440.79    | 0.10%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                         | HEAT 2004-8 M4            | CUSIP: 437084GU4<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    770660 | PA      | $715541.35    | 0.15%             | 2035-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                    | MALT 2006-2 2A3           | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436972 | PA      | $49357.04     | 0.01%             | 2036-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-6 IO             | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4459813 | PA      | $51137.56     | 0.01%             | 2051-02-16      | Floating      | 0.48%                 | 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      | $525348.57    | 0.11%             | 2034-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                | BOAA 2006-5 CBIO          | CUSIP: 05950BAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933136 | PA      | $169105.14    | 0.04%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative loan Trust                              | CWALT 2006-OC6 2A2A       | CUSIP: 23243DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1092 | PA      | $1164.08      | 0.00%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-1A M5           | CUSIP: 07324SDL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10214 | PA      | $9071.97      | 0.00%             | 2036-04-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | HEAT 2003-8 B1            | CUSIP: 22541QY63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296287 | PA      | $278091.48    | 0.06%             | 2034-04-25      | Floating      | 6.89%                 | 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        |    187042 | PA      | $169085.41    | 0.03%             | 2032-06-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Ar8                                                | INDX 2006-AR8 A3A         | CUSIP: 456618AF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333101 | PA      | $356817.32    | 0.07%             | 2046-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2006-HY10 2A1       | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188608 | PA      | $165423.36    | 0.03%             | 2036-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Cfcre Coml Mtg Tr 2016-C7                                       | CFCRE 2016-C7 D           | CUSIP: 12532BAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $2277973.63   | 0.47%             | 2054-12-10      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                  | OOMLT 2004-2 M3           | CUSIP: 68389FFJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17222 | PA      | $17250.87     | 0.00%             | 2034-05-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                           | WFCM 2013-LC12 C          | CUSIP: 94988QAS0<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-O            | CORP              | US        |   1035000 | PA      | $780278.94    | 0.16%             | 2046-07-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Asset Backed Secs Corp Home Equity Loan                         | ABSHE 2005-HE2 M5         | CUSIP: 04541GQF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    789648 | PA      | $893280.46    | 0.18%             | 2035-02-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Newcastle Mortgage Securities Trust                             | NCMT 2007-1 M2            | CUSIP: 65106FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957887 | PA      | $2845582.27   | 0.59%             | 2037-04-25      | Floating      | 5.04%                 | 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      | $298238.27    | 0.06%             | 2033-08-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                 | IMM 2005-2 1M3            | CUSIP: 45254NND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423607 | PA      | $380527.18    | 0.08%             | 2035-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                 | LXS 2007-1 1A4            | CUSIP: 525241AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138324 | PA      | $104438.40    | 0.02%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Asset Trust                              | AHMA 2005-1 3A22          | CUSIP: 02660VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1227254 | PA      | $955946.61    | 0.20%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2006-2 M4            | CUSIP: 83611MNL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1737008 | PA      | $2236226.53   | 0.46%             | 2036-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-122 IO           | CUSIP: 38379KE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    256068 | PA      | $605.04       | 0.00%             | 2057-05-16      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-24 2A1C        | CUSIP: 12667GUZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25759 | PA      | $3925.52      | 0.00%             | 2035-07-20      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 39538BAE4   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -3469000 | PA      | $-3469000.00  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                  | TMTS 2003-7SL B3          | CUSIP: 881561CV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62350 | PA      | $59382.12     | 0.01%             | 2033-12-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | ARC 2002-BC5 M2           | CUSIP: 86358RZ75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127724 | PA      | $123908.74    | 0.03%             | 2032-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Hom                                              | MSHEL 2007-2 A1           | CUSIP: 61752UAA3<br>LEI: 549300C5U61AIRK1S645 | Long             | ABS-O            | CORP              | US        |   1094445 | PA      | $606961.45    | 0.13%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                  | TMTS 2003-5SL B3          | CUSIP: 881561BQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17858 | PA      | $15633.94     | 0.00%             | 2034-10-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Asset Trust                              | AHMA 2006-2 1A1           | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195105 | PA      | $169483.59    | 0.04%             | 2046-09-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                         | CCMFC 2003-4A B1          | CUSIP: 16678RAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737572 | PA      | $660793.12    | 0.14%             | 2034-10-25      | Floating      | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Greenpoint Mtg Ln                                               | GMLT 2004-1 A             | CUSIP: 39538VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344171 | PA      | $273199.75    | 0.06%             | 2034-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-3A B1           | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    801023 | PA      | $731668.27    | 0.15%             | 2035-11-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2003-5 M            | CUSIP: 07386HDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    864194 | PA      | $779095.53    | 0.16%             | 2033-12-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2004-WMC1 M4         | CUSIP: 83611MBY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67964 | PA      | $67256.82     | 0.01%             | 2035-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bayview Finl Secs                                               | BAYV 2004-D B2            | CUSIP: 07325NAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4756909 | PA      | $4887679.98   | 1.01%             | 2044-08-28      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | CSFB 2002-AR21 CB1        | CUSIP: 22540V5C2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264542 | PA      | $250429.42    | 0.05%             | 2032-06-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2004-AR5 2A1B        | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97585 | PA      | $80568.47     | 0.02%             | 2034-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-32CB A8        | CUSIP: 02147XAH0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |   1685041 | PA      | $133168.65    | 0.03%             | 2036-11-25      | Floating      | 0.88%                 | 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      | $5395145.00   | 1.12%             | 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        |    448856 | PA      | $434839.57    | 0.09%             | 2033-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                  | CHASE 2007-A1 7A1         | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45431 | PA      | $44502.06     | 0.01%             | 2037-02-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                | GT 1996-8 B1              | CUSIP: 393505QR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790723 | PA      | $1693046.93   | 0.35%             | 2026-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE6 M5         | CUSIP: 073879CY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112763 | PA      | $88708.14     | 0.02%             | 2034-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                  | MSC 2019-BPR D            | CUSIP: 61769GAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $668670.68    | 0.14%             | 2036-05-15      | Floating      | 8.57%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Secs Inc                                         | DBALT 2007-OA5 A3         | CUSIP: 25150XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1143531 | PA      | $801348.79    | 0.17%             | 2047-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-4A M3           | CUSIP: 07324SCV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297681 | PA      | $269749.81    | 0.06%             | 2036-01-25      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                  | TMTS 2003-2HE B           | CUSIP: 881561AU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177562 | PA      | $163079.00    | 0.03%             | 2034-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Ucfc Loan Trust                                                 | UCFC 1998-D MF2           | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1604444 | PA      | $1501716.37   | 0.31%             | 2030-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2004-HYB1 A31       | CUSIP: 17307GDL9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     43271 | PA      | $42768.22     | 0.01%             | 2034-02-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-FR2 M6         | CUSIP: 073879FL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293321 | PA      | $262434.23    | 0.05%             | 2034-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2007-2A A2           | CUSIP: 07325XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1197143 | PA      | $1053925.02   | 0.22%             | 2037-07-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLCC 2003-G XA2           | CUSIP: 5899295Z7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4983862 | PA      | $19953.39     | 0.00%             | 2029-01-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2003-4 M1             | CUSIP: 126671H58<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544587 | PA      | $484018.36    | 0.10%             | 2033-09-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| C-Bass                                                          | CBASS 2007-CB4 A2C        | CUSIP: 1248MEAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $276981.35    | 0.06%             | 2037-04-25      | Fixed         | 6.11%                 | 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      | $128623.08    | 0.03%             | 2034-04-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                 | LXS 2007-6 2A1            | CUSIP: 52524PAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    916470 | PA      | $741123.05    | 0.15%             | 2037-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                        | WFRBS 2013-C14 D          | CUSIP: 92890PBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1445196.80   | 0.30%             | 2046-06-15      | Floating      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-RM2 M5           | CUSIP: 004421KA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1361096 | PA      | $1176251.39   | 0.24%             | 2035-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-SD1                  | CWL 2007-SD1 A1           | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    856622 | PA      | $704765.19    | 0.15%             | 2047-03-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                         | AHM 2007-2 12A1           | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4285262 | PA      | $1703706.70   | 0.35%             | 2037-03-25      | Floating      | 4.93%                 | 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      | $802400.00    | 0.17%             | 2031-07-05      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Irwin Hm Eqty Loan                                              | IRWHE 2006-1 1A1          | CUSIP: 464126CW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4226 | PA      | $4212.94      | 0.00%             | 2035-09-25      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2004-2 MV3           | CUSIP: 805564QM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52691 | PA      | $48773.87     | 0.01%             | 2035-08-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Washington Mut Pas                                              | WMALT 2006-5 1A2          | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396938 | PA      | $290235.52    | 0.06%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWALT 2003-4CB B1         | CUSIP: 12669DN79<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    143730 | PA      | $71714.47     | 0.01%             | 2033-04-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                              | RAMC 2003-2 M2A           | CUSIP: 759950AZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358632 | PA      | $309711.80    | 0.06%             | 2033-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-45 2A1         | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606317 | PA      | $417955.77    | 0.09%             | 2035-10-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-OA11 A1B       | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1167648 | PA      | $1079152.60   | 0.22%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Indymac Indx 07-Fl                                              | INDX 2007-FLX3 A2         | CUSIP: 45670AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1408645 | PA      | $1538277.50   | 0.32%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                              | SARM 2005-18 4A1          | CUSIP: 863579XE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1184204 | PA      | $883101.32    | 0.18%             | 2035-09-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Indymac Imsc Mtg                                                | IMSC 2007-HOA1 A22        | CUSIP: 45670LAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4684075 | PA      | $3407114.02   | 0.71%             | 2047-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-2A M2           | CUSIP: 07324SBR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340529 | PA      | $314709.76    | 0.07%             | 2035-08-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                         | EMCM 2002-AA M2           | CUSIP: 268668AS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930117 | PA      | $928325.56    | 0.19%             | 2039-05-25      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2005-NC1 B2          | CUSIP: 59020URT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122683 | PA      | $114116.30    | 0.02%             | 2035-10-25      | Floating      | 6.34%                 | No            |                  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        |    117781 | PA      | $107983.18    | 0.02%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                  | SAMI 2005-AR5 X2          | CUSIP: 86359LPH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2595212 | PA      | $29120.87     | 0.01%             | 2035-07-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Tr 06-Aa2                                              | BCAP 2006-AA2 A1          | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422163 | PA      | $356625.36    | 0.07%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-3 2A2B         | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155765 | PA      | $125303.16    | 0.03%             | 2035-08-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Argent Secs Inc                                                 | ARSI 2003-W10 M3          | CUSIP: 040104ET4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335922 | PA      | $261965.71    | 0.05%             | 2034-01-25      | Floating      | 3.36%                 | 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      | $797419.45    | 0.17%             | 2035-02-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSR 2003-2F 2A5           | CUSIP: 36228FMW3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    155800 | PA      | $144702.58    | 0.03%             | 2032-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                               | CARR 2005-NC1 M4          | CUSIP: 144531BE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1262364 | PA      | $1151548.25   | 0.24%             | 2035-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-OPT1 M5        | CUSIP: 17307GNV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182295 | PA      | $183339.05    | 0.04%             | 2035-02-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4796 AS               | CUSIP: 3137FG4D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1362909 | PA      | $142110.51    | 0.03%             | 2048-05-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2006-4 23A4         | CUSIP: 073871BB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1364442 | PA      | $935188.04    | 0.19%             | 2036-08-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                | MSAC 2007-HE3 A2A         | CUSIP: 617538AA1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    274349 | PA      | $143429.13    | 0.03%             | 2036-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2006-1 X1           | CUSIP: 41161PB36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11776385 | PA      | $117.76       | 0.00%             | 2036-03-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Yale Mtg Loan Tr                                                | YMLT 2007-1 A             | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192474 | PA      | $64769.15     | 0.01%             | 2037-06-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-15 IO            | CUSIP: 38378B5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2899613 | PA      | $51554.54     | 0.01%             | 2051-08-16      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt 06                                                | JPALT 2006-A2 5A1         | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373972 | PA      | $211050.05    | 0.04%             | 2036-05-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Struct Ass 07-Ar7                                               | SAMI 2007-AR7 2A1         | CUSIP: 86364KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    964508 | PA      | $768458.31    | 0.16%             | 2047-05-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CBASS 2004-CB3 B2         | CUSIP: 17307GET1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108178 | PA      | $108472.38    | 0.02%             | 2034-03-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                          | BSARM 2004-6 2A2          | CUSIP: 07384MW73<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116211 | PA      | $106464.37    | 0.02%             | 2034-09-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2005-WF1 M11          | CUSIP: 004421QZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1291069 | PA      | $1273049.54   | 0.26%             | 2035-05-25      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Cwmbs Reperform Ln                                              | CWHL 2006-R1 AS           | CUSIP: 12669UCQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11219896 | PA      | $442266.97    | 0.09%             | 2036-01-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                  | CHASE 2005-S3 A10         | CUSIP: 16162WNL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409906 | PA      | $305826.69    | 0.06%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Equifirst Mtg Ln T                                              | EMLT 2005-1 M7            | CUSIP: 29445FCU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850860 | PA      | $720764.51    | 0.15%             | 2035-04-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| CIT Home Equity Loan Trust                                      | CITHE 2002-2 MF1          | CUSIP: 12558MAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3081801 | PA      | $2937967.18   | 0.61%             | 2031-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Raac Trust                                                      | RAAC 2007-RP4 A           | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456295 | PA      | $407818.76    | 0.08%             | 2046-11-25      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                          | NAA 2004-AR1 5M1          | CUSIP: 65535VEA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124545 | PA      | $127337.15    | 0.03%             | 2034-08-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Csail Commercial Mortgage Trust                                 | CSAIL 2015-C2 D           | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $722327.70    | 0.15%             | 2057-06-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                        | JPMMT 2006-A7 2A2         | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157735 | PA      | $122408.56    | 0.03%             | 2037-01-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| RALI Series Trust                                               | RALI 2006-QS12 AV         | CUSIP: 751151BA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35476125 | PA      | $440475.11    | 0.09%             | 2036-09-25      | Floating      | 0.46%                 | 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        |     32572 | PA      | $25689.03     | 0.01%             | 2034-02-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                               | INHEL 2001-C M2           | CUSIP: 456606DD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465896 | PA      | $470525.73    | 0.10%             | 2032-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Saco I Trust                                                    | SACO 2006-3 A1            | CUSIP: 785778QJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159979 | PA      | $213443.58    | 0.04%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2003-9A B1II         | CUSIP: 86359ARN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195787 | PA      | $180743.22    | 0.04%             | 2033-03-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-36T2 1A9       | CUSIP: 02146XAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467330 | PA      | $157089.35    | 0.03%             | 2036-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                 | LXS 2007-16N 2A2          | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134144 | PA      | $111696.44    | 0.02%             | 2047-09-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                  | TMTS 2004-18SL 1B4        | CUSIP: 881561MZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    641733 | PA      | $589560.58    | 0.12%             | 2034-10-25      | Fixed         | 8.00%                 | Yes           |                  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        |     25762 | PA      | $24824.08     | 0.01%             | 2034-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Res Mtg                                               | CRMSI 2006-1 M3           | CUSIP: 17309NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4262508 | PA      | $2677602.89   | 0.55%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                           | LMT 2005-3 1A5            | CUSIP: 52520MDR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1763611 | PA      | $942596.12    | 0.20%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2003-A M2            | CUSIP: 152314GS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48684 | PA      | $44762.91     | 0.01%             | 2033-03-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Gmacm Home Equity Loan Trust                                    | GMACM 2006-HE1 A          | CUSIP: 361856ER4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37215 | PA      | $78795.08     | 0.02%             | 2036-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                | MSAC 2003-NC5 B1          | CUSIP: 61746RBF7<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   1617153 | PA      | $1626679.11   | 0.34%             | 2033-04-25      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                 | CFCRE 2016-C6 D           | CUSIP: 12532AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1892975.00   | 0.39%             | 2049-11-10      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2003-2 M2            | CUSIP: 07324SAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99384 | PA      | $98145.11     | 0.02%             | 2033-12-25      | Floating      | 7.61%                 | Yes           |                  2 | On Loan: No      |
| Jpmdb Commercial Mortgage Secu                                  | JPMDB 2016-C2 D           | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1552884.50   | 0.32%             | 2049-06-15      | Floating      | 3.33%                 | Yes           |                  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        |     78867 | PA      | $76290.07     | 0.02%             | 2032-10-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative loan Trust                              | CWALT 2006-OA19 A1        | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242697 | PA      | $184094.61    | 0.04%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2005-1 MF3            | CUSIP: 126673WG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2651473 | PA      | $2305407.25   | 0.48%             | 2035-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2003-48 B1           | CUSIP: 12669EV60<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484506 | PA      | $31351.40     | 0.01%             | 2033-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2005-13 2A11        | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3552598 | PA      | $1884896.64   | 0.39%             | 2036-02-19      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Peoples Chce Hm Ln                                              | PCHLT 2004-2 M5           | CUSIP: 71085PAZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1317784 | PA      | $950779.16    | 0.20%             | 2034-10-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Ixis Real Estate Cap                             | MSIX 2006-2 A3            | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2066196 | PA      | $722268.19    | 0.15%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                | GT 1999-1 M1              | CUSIP: 393505T51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2817387 | PA      | $2553885.81   | 0.53%             | 2028-11-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                               | INHEL 2004-C M5           | CUSIP: 456606FY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344441 | PA      | $289496.69    | 0.06%             | 2035-03-25      | Floating      | 4.07%                 | 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      | $1519622.00   | 0.31%             | 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        |     87719 | PA      | $76036.52     | 0.02%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAMP 2003-RS9 MII2        | CUSIP: 760985B42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386390 | PA      | $363198.02    | 0.08%             | 2033-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2005-9 M2            | CUSIP: 86358EYG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3655833 | PA      | $3206093.16   | 0.66%             | 2035-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                 | IMM 2005-2 2M2            | CUSIP: 45254NNM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73649 | PA      | $64364.11     | 0.01%             | 2035-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-OA10 XBI       | CUSIP: 02146QAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23489152 | PA      | $200308.44    | 0.04%             | 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      | $5578.87      | 0.00%             | 2031-10-25      | Floating      | 7.24%                 | 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      | $706496.50    | 0.15%             | 2048-10-15      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-AC5 A2         | CUSIP: 073879GN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35016 | PA      | $33688.60     | 0.01%             | 2034-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                           | LMT 2005-3 2A7            | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39248 | PA      | $30943.78     | 0.01%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                | BOAA 2006-8 1A5           | CUSIP: 06050AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186955 | PA      | $34862.33     | 0.01%             | 2036-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                              | RASC 2005-KS6 M8          | CUSIP: 76110WZ58<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2692655.40   | 0.56%             | 2035-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2007-1 2A1B         | CUSIP: 41164MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2170423 | PA      | $2837123.56   | 0.59%             | 2037-03-19      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                             | BAFC 2005-C M2            | CUSIP: 05946XUF8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   2917698 | PA      | $2386269.21   | 0.49%             | 2035-05-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-16 CS            | CUSIP: 3136AVA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4289533 | PA      | $425088.45    | 0.09%             | 2047-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| C-Bass 2007-Cb1 Tr                                              | CBASS 2007-CB1 AF2        | CUSIP: 1248MGAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826973 | PA      | $264746.90    | 0.05%             | 2037-01-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE9 M4         | CUSIP: 073879KF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376471 | PA      | $340373.33    | 0.07%             | 2034-11-25      | Floating      | 4.97%                 | 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        |    200000 | PA      | $184875.40    | 0.04%             | 2035-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                               | INHEL 2004-C M6           | CUSIP: 456606FZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293558 | PA      | $243083.12    | 0.05%             | 2035-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| C-Bass 2007-Cb1 Tr                                              | CBASS 2007-CB1 AF1A       | CUSIP: 1248MGAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557762 | PA      | $179299.18    | 0.04%             | 2037-01-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CBASS 2004-CB3 B4         | CUSIP: 17307GEV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221578 | PA      | $226779.19    | 0.05%             | 2034-03-25      | Floating      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2005-R11 M6          | CUSIP: 03072SV69<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3599999 | PA      | $4035147.01   | 0.84%             | 2036-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk6                                                  | BANK 2017-BNK6 XG         | CUSIP: 060352AT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18729314 | PA      | $902724.84    | 0.19%             | 2060-07-15      | Floating      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                       | MSBAM 2016-C29 E          | CUSIP: 61766EAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1666666 | PA      | $1151644.54   | 0.24%             | 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        |     74458 | PA      | $55386.82     | 0.01%             | 2036-10-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2003-AL1 B1          | CUSIP: 86359AMH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508591 | PA      | $503644.09    | 0.10%             | 2031-04-25      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| C-Bass 2007-Cb1 Tr                                              | CBASS 2007-CB1 AF6        | CUSIP: 1248MGAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2264740 | PA      | $724823.70    | 0.15%             | 2037-01-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                | MSAC 2005-NC1 M5          | CUSIP: 61744CMP8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   1100106 | PA      | $977057.12    | 0.20%             | 2035-01-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                               | MSM 2007-7AX 2A6          | CUSIP: 61754HAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5261451 | PA      | $214880.80    | 0.04%             | 2037-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2004-AR6 2A          | CUSIP: 45660NX34<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    861910 | PA      | $810337.20    | 0.17%             | 2034-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Gmacm Home Ln Tr                                                | GMACM 2004-GH1 M2         | CUSIP: 36185HED1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1549199 | PA      | $1333319.52   | 0.28%             | 2035-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-144 SH           | CUSIP: 3136ABJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4907030 | PA      | $548963.70    | 0.11%             | 2043-01-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC17 MORTGAGE TRUST                                   | COMM 2014-LC17 E          | CUSIP: 12592MAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1044995.12   | 0.22%             | 2047-10-10      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2004-8CB M3         | CUSIP: 12667FGN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    719570 | PA      | $778322.75    | 0.16%             | 2034-06-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Rali Ser 2006-Qa8                                               | RALI 2006-QA8 A1          | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1771776 | PA      | $1618248.21   | 0.33%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                              | SAMI 2006-AR3 12A3        | CUSIP: 86360KAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3312702 | PA      | $2387756.27   | 0.49%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | QUEST 2003-X3 M3          | CUSIP: 03072SKF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224619 | PA      | $226245.04    | 0.05%             | 2034-02-25      | Floating      | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage Backed Certificates            | CCMFC 2007-2A A2          | CUSIP: 16679BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459080 | PA      | $283855.69    | 0.06%             | 2048-05-25      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4583 ST               | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    217347 | PA      | $24098.13     | 0.00%             | 2046-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                  | CHASE 2007-A1 5A2         | CUSIP: 161630AR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25933 | PA      | $23186.14     | 0.00%             | 2037-02-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Asset Backed Secs Corp Home Equity Loan                         | ABSHE 2004-HE3 M6         | CUSIP: 04541GJY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174115 | PA      | $181661.33    | 0.04%             | 2034-06-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2005-4 MF3            | CUSIP: 126673P48<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1883000 | PA      | $1439554.63   | 0.30%             | 2035-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Rfmsi Series 2007-S6 Trust                                      | RFMSI 2007-S6 2A5         | CUSIP: 762009BC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180297 | PA      | $783038.11    | 0.16%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 7-Sl1                                              | BSMF 2007-SL1 1A          | CUSIP: 07401PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23827 | PA      | $23984.05     | 0.00%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS Mortgage Funding Trust 2006-AR1                    | BSMF 2006-AR5 1A2         | CUSIP: 07401NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2779764 | PA      | $3144463.71   | 0.65%             | 2046-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2006-AR1 2A1        | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71768 | PA      | $65254.40     | 0.01%             | 2036-03-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                              | BCM 2001-A M2             | CUSIP: 09774XBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272042 | PA      | $83171.25     | 0.02%             | 2030-12-15      | Fixed         | 8.27%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2003-HE1 M5           | CUSIP: 004421DE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471009 | PA      | $439394.34    | 0.09%             | 2033-11-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-HE4 M5         | CUSIP: 17307GQ27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4277240 | PA      | $2549837.98   | 0.53%             | 2035-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-8 M4             | CUSIP: 126673EY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506367 | PA      | $464922.63    | 0.10%             | 2034-10-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4718 SC               | CUSIP: 3137FAT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4073287 | PA      | $473789.66    | 0.10%             | 2047-09-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                | PPSI 2004-WHQ1 M7         | CUSIP: 70069FBX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1299364 | PA      | $1067251.59   | 0.22%             | 2034-09-25      | Floating      | 7.16%                 | 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        |    237975 | PA      | $204449.23    | 0.04%             | 2034-01-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4685 SA               | CUSIP: 3137BXSJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1955096 | PA      | $219266.53    | 0.05%             | 2047-05-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSMPS 2006-RP1 1AF2       | CUSIP: 3623413V9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    138609 | PA      | $114643.67    | 0.02%             | 2036-01-25      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11     | CSFB 2003-1 DB2           | CUSIP: 2254W0GK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1127534 | PA      | $845204.97    | 0.17%             | 2033-02-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2003-BC5 M4           | CUSIP: 126671L20<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163696 | PA      | $160699.71    | 0.03%             | 2033-04-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Popular Abs Inc                                                 | POPLR 2005-5 AF4          | CUSIP: 73316PGH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23101 | PA      | $22504.21     | 0.00%             | 2035-11-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2007-3 2A1B         | CUSIP: 41164UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1778373 | PA      | $1459504.78   | 0.30%             | 2047-05-19      | Floating      | 4.80%                 | 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      | $680639.73    | 0.14%             | 2048-02-15      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2004-R12 M5          | CUSIP: 03072SXH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2199781 | PA      | $1632309.32   | 0.34%             | 2035-01-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| C-Bass                                                          | CBASS 2002-CB5 M2         | CUSIP: 12489WFT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573151 | PA      | $579645.06    | 0.12%             | 2032-05-25      | Floating      | 4.73%                 | 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        |    236926 | PA      | $189824.22    | 0.04%             | 2033-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust                  | SABR 2004-OP2 M3          | CUSIP: 81375WBQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80948 | PA      | $82605.85     | 0.02%             | 2034-08-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE5 M2         | CUSIP: 073879CD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80288 | PA      | $76708.97     | 0.02%             | 2034-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2005-A6 M2           | CUSIP: 59020UZM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3520722 | PA      | $4204585.07   | 0.87%             | 2035-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                 | NHEL 2004-1 B1            | CUSIP: 66987XEG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1281027 | PA      | $1225609.28   | 0.25%             | 2034-06-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-4 B              | CUSIP: 1266715S1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1558955 | PA      | $1592299.33   | 0.33%             | 2033-08-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-BC3 M5           | CUSIP: 126673CE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200272 | PA      | $182375.51    | 0.04%             | 2034-04-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Secs Trust                                   | AABST 2004-1 M3           | CUSIP: 00764MBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372476 | PA      | $326746.46    | 0.07%             | 2034-04-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-OP1 M5           | CUSIP: 004421FA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245351 | PA      | $194439.74    | 0.04%             | 2034-04-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                         | CCMFC 2004-2A A2          | CUSIP: 16678RBD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41984 | PA      | $39330.16     | 0.01%             | 2035-05-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Coml Mtg Tr 2018                                      | CGCMT 2015-GC35 D         | CUSIP: 17324KAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $1995622.80   | 0.41%             | 2048-11-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Banc Amer Mtg Tst                                               | BOAMS 2007-1 2IO          | CUSIP: 05952HCP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485293 | PA      | $72494.86     | 0.02%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | QUEST 2003-X4A M2         | CUSIP: 03072SMJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410562 | PA      | $1195715.39   | 0.25%             | 2033-12-25      | Floating      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2005-1 MF4            | CUSIP: 126673WH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132574 | PA      | $92260.89     | 0.02%             | 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        |     39188 | PA      | $38344.97     | 0.01%             | 2034-09-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                      | BSABS 2006-2 M7           | CUSIP: 07388FAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2987000 | PA      | $2936282.53   | 0.61%             | 2036-07-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2002-4 M2             | CUSIP: 126671SM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525220 | PA      | $507807.10    | 0.11%             | 2032-11-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Ln                                                      | GSR 2006-AR2 1B2          | CUSIP: 36297TAN2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     19138 | PA      | $7206.84      | 0.00%             | 2035-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-SP2 M4          | CUSIP: 07325KAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1348906 | PA      | $1227949.81   | 0.25%             | 2037-01-25      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                              | FFML 2006-FF10 M1         | CUSIP: 32028HAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4626480 | PA      | $6065854.20   | 1.26%             | 2036-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Homebanc Mtg Trust                                              | HMBT 2005-1 B1            | CUSIP: 43739EAT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385958 | PA      | $296568.80    | 0.06%             | 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        |    420215 | PA      | $419296.91    | 0.09%             | 2033-09-25      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAAC 2004-SP3 MII4        | CUSIP: 76112BEW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325067 | PA      | $199692.79    | 0.04%             | 2034-09-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 86362VAF9   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -1760000 | PA      | $-1760000.00  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                          | VCC 2017-2 M5             | CUSIP: 92258VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1214985 | PA      | $960850.57    | 0.20%             | 2047-11-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| CitiMortgage Alternative Loan Trust                             | CMALT 2007-A6 1A2         | CUSIP: 18976GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3185536 | PA      | $142424.05    | 0.03%             | 2037-06-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2006-7 2A1A         | CUSIP: 41161VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117105 | PA      | $105276.82    | 0.02%             | 2046-09-19      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2003-BC2 A2          | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66223 | PA      | $64284.49     | 0.01%             | 2033-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2001-SB1 A5          | CUSIP: 86358RDX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21534 | PA      | $20243.46     | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2003-BC8 M2          | CUSIP: 86358EEB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68262 | PA      | $62304.09     | 0.01%             | 2033-08-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Ownit Mtg Loan Tr                                               | OWNIT 2006-3 M1           | CUSIP: 69121PDZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3817073 | PA      | $3563274.47   | 0.74%             | 2037-03-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Wamu Wmalt 07-0c1                                               | WMALT 2007-1 1A3          | CUSIP: 93935PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1386597 | PA      | $809251.85    | 0.17%             | 2037-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp                                       | IMSA 2004-1 M2            | CUSIP: 45254TPB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900165 | PA      | $744570.81    | 0.15%             | 2034-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                | MSAC 2005-HE2 M5          | CUSIP: 61744CNF9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    492840 | PA      | $412660.75    | 0.09%             | 2035-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                             | CGCMT 2014-GC21 E         | CUSIP: 17322MAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $2306352.65   | 0.48%             | 2047-05-10      | Floating      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Chaseflex Trust                                                 | CFLX 2007-M1 2AV2         | CUSIP: 16165YAR3<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-O            | CORP              | US        |    592997 | PA      | $502669.60    | 0.10%             | 2037-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Secs Corp                                     | CNF 2001-2 M1             | CUSIP: 20846QHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    893262 | PA      | $765216.71    | 0.16%             | 2031-03-01      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-1A M2           | CUSIP: 07324SDH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21584 | PA      | $19194.97     | 0.00%             | 2036-04-25      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Merit Securities Corp                                           | MESC 12-1 1M2             | CUSIP: 589962CP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    797928 | PA      | $678484.40    | 0.14%             | 2033-07-28      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Spclty Undrw & Res                                              | SURF 2003-BC2 B1          | CUSIP: 84751PAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166394 | PA      | $173117.68    | 0.04%             | 2034-06-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Rali Series Trust 2006-QO7                                      | RALI 2006-QO7 1A1         | CUSIP: 751150AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1637317 | PA      | $1387296.49   | 0.29%             | 2046-09-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-3A M2           | CUSIP: 07324SCE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38964 | PA      | $35041.08     | 0.01%             | 2035-11-25      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Saco I Inc                                                      | SACO 1999-3 1B1           | CUSIP: 78386NBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173433 | PA      | $159449.66    | 0.03%             | 2039-04-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Aegis Asset Backed Secs Trust                                   | AABST 2004-1 B1           | CUSIP: 00764MBG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209021 | PA      | $145243.50    | 0.03%             | 2034-04-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Truman Cap Mtg Ln                                               | TRUMN 2004-1 M3           | CUSIP: 897896AT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740640 | PA      | $764760.37    | 0.16%             | 2034-01-25      | Floating      | 8.51%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                             | MABS 2004-OPT2 M4         | CUSIP: 57643LEZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122696 | PA      | $120337.98    | 0.02%             | 2034-09-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                           | WELLS FARGO COMMERCIAL MR | CUSIP: 95000DBK6<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-O            | CORP              | US        |    967758 | PA      | $801918.34    | 0.17%             | 2049-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-56 5A1         | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380947 | PA      | $302140.40    | 0.06%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bayview Finl Secs                                               | BAYV 2005-C B2            | CUSIP: 07325NBU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2430000 | PA      | $2132543.21   | 0.44%             | 2044-06-28      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Suntrust Alt Loan                                               | STALT 2006-1F 1A4         | CUSIP: 86800RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447787 | PA      | $218316.81    | 0.05%             | 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        |     42147 | PA      | $41448.77     | 0.01%             | 2028-03-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Prime Mtg Tst 2006                                              | PRIME 2006-CL1 M3         | CUSIP: 74161QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695000 | PA      | $610033.61    | 0.13%             | 2035-02-25      | Floating      | 5.11%                 | 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      | $23742.90     | 0.00%             | 2031-04-15      | Floating      | 7.69%                 | 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      | $56559.64     | 0.01%             | 2031-04-15      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ML                                               | MSM 2004-11AR 1B1         | CUSIP: 61748HGT2<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-O            | CORP              | US        |    478275 | PA      | $372188.15    | 0.08%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                               | CBASS 2003-CB1 M1         | CUSIP: 79549ARX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78740 | PA      | $77391.40     | 0.02%             | 2033-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVE                                  | SAMI 2006-AR7 A10         | CUSIP: 86361HAN4<br>LEI: N/A                  | Long             | ABS-O            |  | US        |     17985 | PA      | $17985.00     | 0.00%             | 2036-08-25      | Floating      | 0.49%                 | 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        |       962 | PA      | $941.74       | 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      | $353048.46    | 0.07%             | 2034-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                       | COMM 2013-CR7 E           | CUSIP: 12625FBC9<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-O            | CORP              | US        |    918000 | PA      | $822664.05    | 0.17%             | 2046-03-10      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Finl Mbpt                                               | BAYV 2006-D 1A4           | CUSIP: 07325HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293920 | PA      | $296559.27    | 0.06%             | 2036-12-28      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                          | BSARM 2007-4 22A1         | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75444 | PA      | $67696.66     | 0.01%             | 2047-06-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 32028PAG0   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -2208000 | PA      | $-2208000.00  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-2A M3           | CUSIP: 07324YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41281 | PA      | $37732.73     | 0.01%             | 2036-07-25      | Floating      | 4.91%                 | Yes           |                  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        |    274158 | PA      | $233428.71    | 0.05%             | 2033-10-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                  | MSC 2019-MEAD B           | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109000 | PA      | $98646.09     | 0.02%             | 2036-11-10      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Res Mtg T                                              | CRMSI 2006-2 M3           | CUSIP: 17310EAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1336089 | PA      | $557004.37    | 0.12%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                    | GSMS 2014-GC26 D          | CUSIP: 36250HAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3790000 | PA      | $2563305.86   | 0.53%             | 2047-11-10      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-SP2 M1          | CUSIP: 07325KAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    878538 | PA      | $801585.44    | 0.17%             | 2037-01-25      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-22T1 A2        | CUSIP: 12667GGP2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    384728 | PA      | $26981.89     | 0.01%             | 2035-06-25      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2004-9 M6            | CUSIP: 86358EMY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71562 | PA      | $68013.20     | 0.01%             | 2034-10-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2005-12 1A1A        | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472133 | PA      | $269719.82    | 0.06%             | 2035-10-19      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2005-11 4A2          | CUSIP: 12669GUS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269654 | PA      | $143909.62    | 0.03%             | 2035-04-25      | Floating      | 4.71%                 | 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      | $129657.92    | 0.03%             | 2034-11-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Bear Strn 2007-Ar3                                              | BSMF 2007-AR3 1A2         | CUSIP: 07401VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2067555 | PA      | $2085654.30   | 0.43%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 1999-2 MF1          | CUSIP: 07383GAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183888 | PA      | $237778.50    | 0.05%             | 2029-10-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2004-AR14 2A1A       | CUSIP: 45660LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1496115 | PA      | $1151418.52   | 0.24%             | 2035-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CBA Commercial Assets Small Balance                             | CBAC 2006-2A A            | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    787453 | PA      | $725415.26    | 0.15%             | 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      | $414443.58    | 0.09%             | 2029-06-20      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                           | WFCM 2015-C31 D           | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2024845.75   | 0.42%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2005-AR4 2A1A        | CUSIP: 45660LEG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    368280 | PA      | $357872.36    | 0.07%             | 2035-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates                  | CBASS 2006-RP2 M1         | CUSIP: 1248M3AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1072261 | PA      | $1039807.37   | 0.22%             | 2036-07-25      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust                                      | CDCMC 2004-HE3 M2         | CUSIP: 12506YDG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    529705 | PA      | $495040.72    | 0.10%             | 2034-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Asset Backed Secs Corp Home Equity Loan                         | ABSHE 2005-HE2 M4         | CUSIP: 04541GQE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199370 | PA      | $189300.49    | 0.04%             | 2035-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2005-10 11A1        | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1799326 | PA      | $2321933.53   | 0.48%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LB Small Bal Coml                                               | LBSBC 2007-2A M2          | CUSIP: 52521VAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3825571.00   | 0.79%             | 2037-06-25      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-36 4A2         | CUSIP: 12667GA37<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28794 | PA      | $6029.11      | 0.00%             | 2033-05-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                              | CMSI 2006-4 1A12          | CUSIP: 17310DAM2<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     66566 | PA      | $44593.53     | 0.01%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-SP2 M6          | CUSIP: 07325KAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    449741 | PA      | $408708.26    | 0.08%             | 2037-01-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2005-14 A3           | CUSIP: 12669GK75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247679 | PA      | $104053.83    | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust    | WFHET 2005-1 M10          | CUSIP: 9497ERAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430628 | PA      | $435426.00    | 0.09%             | 2035-04-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Asset Backed Secs Corp Home Equity Loan                         | ABSHE 2004-HE9 M2         | CUSIP: 04541GNB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342146 | PA      | $257398.09    | 0.05%             | 2034-12-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home                                             | PBHET 1999-3 A2           | CUSIP: 743844CV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169002 | PA      | $129307.59    | 0.03%             | 2031-01-25      | Floating      | 4.86%                 | 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        |     10524 | PA      | $9360.45      | 0.00%             | 2036-04-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-OP1 M4           | CUSIP: 004421EZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80583 | PA      | $73441.14     | 0.02%             | 2034-04-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2003-BC2 M1          | CUSIP: 86358EAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260149 | PA      | $251236.15    | 0.05%             | 2033-04-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                       | NCHET 2003-6 M4           | CUSIP: 64352VFG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817812 | PA      | $833366.36    | 0.17%             | 2034-01-25      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                         | HEAT 2005-4 M7            | CUSIP: 437084LS3<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |   1140469 | PA      | $1141840.96   | 0.24%             | 2035-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-61 2A3         | CUSIP: 12668AVR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1501078 | PA      | $1219812.71   | 0.25%             | 2035-12-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust Series 2007-OAR4     | MANA 2007-OAR4 A1         | CUSIP: 59025EAV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    622367 | PA      | $524851.48    | 0.11%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2011-C2                         | WFRBS 2012-C9 D           | CUSIP: 92930RAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2315650 | PA      | $2196958.27   | 0.45%             | 2045-11-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                    | MALT 2006-2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284032 | PA      | $32435.58     | 0.01%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                  | RALI 2003-QS9 A2          | CUSIP: 76110HCB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5460 | PA      | $5284.62      | 0.00%             | 2030-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Home Eqty Ln Tst                                                | HELT 2007-FRE1 M1         | CUSIP: 43710XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9120902 | PA      | $9192793.86   | 1.90%             | 2037-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Alt                                                | NAA 2006-AF1 2A           | CUSIP: 65536PAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227324 | PA      | $169574.73    | 0.04%             | 2036-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Ramp Ser 2007 Rs2                                               | RAMP 2007-RS2 A3          | CUSIP: 75157DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231315 | PA      | $201751.22    | 0.04%             | 2037-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWALT 2006-OA2 X1P        | CUSIP: 126694Z68<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |  38869577 | PA      | $351318.78    | 0.07%             | 2046-05-20      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                              | GSR 2006-OA1 2A2          | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210322 | PA      | $336508.67    | 0.07%             | 2046-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAAC 2005-SP2 2A          | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    494430 | PA      | $406606.84    | 0.08%             | 2044-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| C-BASS Mortgage Loan Asset Backed Certificates Series 2007- CB6 | CBASS 2007-CB6 A4         | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    867633 | PA      | $579648.06    | 0.12%             | 2037-07-25      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2012-72 IO            | CUSIP: 38378BVN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    877213 | PA      | $7033.58      | 0.00%             | 2052-11-16      | Floating      | 0.56%                 | 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      | $10317.53     | 0.00%             | 2034-03-25      | Floating      | 5.05%                 | 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        |    138470 | PA      | $135064.21    | 0.03%             | 2035-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                              | WAMU 2005-AR15 X          | CUSIP: 92922F6D5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25612371 | PA      | $17813.40     | 0.00%             | 2045-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Alt 2006-J8                                               | CWALT 2006-OA12 A2        | CUSIP: 23243AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251002 | PA      | $954152.64    | 0.20%             | 2046-09-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Secs Corp                                     | CNFHE 2002-A B1           | CUSIP: 20846QJN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318566 | PA      | $321063.53    | 0.07%             | 2032-04-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Ownit                                                           | OWNIT 2004-1 B2           | CUSIP: 691215AH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931143 | PA      | $1110114.81   | 0.23%             | 2035-07-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2004-FF7 B           | CUSIP: 32027NLK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    984907 | PA      | $899751.59    | 0.19%             | 2034-09-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 40431RAG0   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -3761000 | PA      | $-3761000.00  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| Sasco Mtg Ln Tr                                                 | SASC 2004-GEL2 M3         | CUSIP: 80382UAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618856 | PA      | $568859.36    | 0.12%             | 2044-07-19      | Fixed         | 5.50%                 | 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      | $148370.07    | 0.03%             | 2033-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Cwalt Alt 2006-J8                                               | CWALT 2006-J5 1A4         | CUSIP: 12668EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166256 | PA      | $83275.38     | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                         | HEAT 2004-6 M5            | CUSIP: 437084EX0<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    215407 | PA      | $207785.10    | 0.04%             | 2034-12-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| American Hm Mtg In                                              | AHM 2006-3 11A2           | CUSIP: 026929AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    529215 | PA      | $503596.92    | 0.10%             | 2046-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2004-FF7 M5          | CUSIP: 32027NLE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1148388 | PA      | $1156458.53   | 0.24%             | 2034-09-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Sasco Mtg Ln Tr                                                 | SASC 2004-GEL2 M4         | CUSIP: 80382UAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    719805 | PA      | $601914.86    | 0.12%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                              | GPMF 2006-AR6 A3A         | CUSIP: 39538BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5028124 | PA      | $4654993.35   | 0.96%             | 2046-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                 | IMM 2004-11 2A2           | CUSIP: 45254NMC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369430 | PA      | $344660.02    | 0.07%             | 2035-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4416 DS               | CUSIP: 3137BFM32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3782594 | PA      | $358487.77    | 0.07%             | 2044-12-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Secs Corp                                     | CNF 2002-1 M2             | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2736972.00   | 0.57%             | 2033-12-01      | Floating      | 9.55%                 | No            |                  2 | On Loan: No      |
| Rali Ser 2006-Qs7                                               | RALI 2006-QS7 A4          | CUSIP: 748940AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154461 | PA      | $112272.31    | 0.02%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Finance America Mt                                              | FINA 2004-2 M2            | CUSIP: 317350BE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220033 | PA      | $201419.92    | 0.04%             | 2034-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Wilshire Mtg Ln Tr                                              | WIMLT 1997-2 B            | CUSIP: 971885AX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       693 | PA      | $289.85       | 0.00%             | 2028-05-25      | Floating      | 8.99%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                       | SAMI 2006-AR7 X           | CUSIP: 86361HAT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38205765 | PA      | $887206.63    | 0.18%             | 2036-08-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                               | CARR 2005-FRE1 M4         | CUSIP: 144531EJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5193003 | PA      | $3235569.67   | 0.67%             | 2035-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | ARC 2001-BC5 M1           | CUSIP: 86358RHG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163691 | PA      | $179374.95    | 0.04%             | 2031-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bear Strn 2007-Ar3                                              | BSMF 2007-AR3 21A2        | CUSIP: 07401VAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1823294 | PA      | $1780023.10   | 0.37%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Saco I Trust                                                    | SACO 2005-5 2M6           | CUSIP: 785778GQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16970 | PA      | $16965.26     | 0.00%             | 2035-05-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-OPX1 A4B       | CUSIP: 17311FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333142 | PA      | $133652.38    | 0.03%             | 2037-01-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust                                      | CDCMC 2004-HE1 M1         | CUSIP: 12506YCL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    758430 | PA      | $1057693.28   | 0.22%             | 2034-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | RAST 2003-A4 B1           | CUSIP: 45660NPT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045417 | PA      | $717820.69    | 0.15%             | 2033-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                  | ARMT 2007-1 5A1           | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1867321 | PA      | $1942777.16   | 0.40%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2005-2 2A3           | CUSIP: 12669GPT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311034 | PA      | $271603.19    | 0.06%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2004-3 B1            | CUSIP: 07324SBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76691 | PA      | $76711.02     | 0.02%             | 2035-01-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Provident Bank Home                                             | PBHET 1999-3 A3           | CUSIP: 743844CW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553934 | PA      | $384416.02    | 0.08%             | 2031-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                          | GSAMP 2006-NC1 M2         | CUSIP: 362334EE0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1665020 | PA      | $1591748.00   | 0.33%             | 2036-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-3A M3           | CUSIP: 07324SCF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360005 | PA      | $322997.30    | 0.07%             | 2035-11-25      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Mtg Ac                                              | RAMC 2002-3 B             | CUSIP: 75970NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354951 | PA      | $294055.96    | 0.06%             | 2032-12-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home                                             | PBHET 1998-4 A9           | CUSIP: 743844CD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234000 | PA      | $214952.45    | 0.04%             | 2030-01-25      | Floating      | 7.89%                 | 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        |   1023568 | PA      | $867856.46    | 0.18%             | 2033-01-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mtg                                                | INDX 2006-AR21 A1         | CUSIP: 45660HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231016 | PA      | $201605.56    | 0.04%             | 2036-08-25      | Floating      | 4.63%                 | 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        |    200747 | PA      | $139590.78    | 0.03%             | 2045-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                 | NMFT 2006-MTA1 2A1A       | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278389 | PA      | $264001.75    | 0.05%             | 2046-09-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| Argent Sec Tr 2006                                              | ARSI 2006-M2 A2C          | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290682 | PA      | $97096.97     | 0.02%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                              | OAK 2002-A M1             | CUSIP: 67087TDH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1899374 | PA      | $1689596.26   | 0.35%             | 2032-03-15      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                | PPSI 2005-WCW1 M5         | CUSIP: 70069FKJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3192325 | PA      | $2835858.22   | 0.59%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                   | VCWHE 2009-1 5AX4         | CUSIP: 92910EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52972 | PA      | $48086.83     | 0.01%             | 2036-02-16      | Floating      | 16.75%                | Yes           |                  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      | $77321.40     | 0.02%             | 2034-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                        | DSLA 2004-AR3 B3          | CUSIP: 23332UBN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271742 | PA      | $143388.30    | 0.03%             | 2044-07-19      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Cwasb A/Bkd 06-12                                               | CWL 2006-12 1A            | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379594 | PA      | $364307.68    | 0.08%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10     | MSBAM 2013-C10 C          | CUSIP: 61762MCB5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $87165.85     | 0.02%             | 2046-07-15      | Floating      | 4.07%                 | 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      | $113089.76    | 0.02%             | 2034-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Ln                                                      | GSR 2006-AR2 2A1          | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106511 | PA      | $73942.53     | 0.02%             | 2036-04-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2004-R3 M4           | CUSIP: 03072SQF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1322847 | PA      | $1165774.59   | 0.24%             | 2034-05-25      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Wash Mutual A/Bkd                                               | WMABS 2006-HE5 2A1        | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1939423 | PA      | $737912.16    | 0.15%             | 2036-10-25      | Floating      | 3.82%                 | 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      | $1553470.33   | 0.32%             | 2046-04-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                  | ACCR 2005-3 M6            | CUSIP: 004375DZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    562272 | PA      | $395008.56    | 0.08%             | 2035-09-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE5 M6         | CUSIP: 073879CH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51739 | PA      | $46425.21     | 0.01%             | 2034-07-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| Washington Mut Pas                                              | WMALT 2007-OA1 1A         | CUSIP: 93935NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355528 | PA      | $290302.34    | 0.06%             | 2046-12-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                 | LXS 2007-12N 1A3A         | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    673925 | PA      | $633433.61    | 0.13%             | 2047-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                              | SAMI 2006-AR3 11A1        | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224397 | PA      | $192819.28    | 0.04%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                       | ABFC 2004-OPT4 M3         | CUSIP: 04542BHF2<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    481733 | PA      | $443196.01    | 0.09%             | 2033-08-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                        | DSLA 2004-AR3 B2          | CUSIP: 23332UBM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13260 | PA      | $11318.17     | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4238 NS               | CUSIP: 3137B4EB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    709993 | PA      | $69551.01     | 0.01%             | 2042-02-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2005-3 1A1          | CUSIP: 07386HRU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1319513 | PA      | $1133464.32   | 0.23%             | 2035-04-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                         | HEAT 2004-3 B1            | CUSIP: 437084CH7<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    230711 | PA      | $598685.45    | 0.12%             | 2034-08-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                              | GPMF 2006-AR3 3A1         | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10287 | PA      | $11791.21     | 0.00%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Home Equity Ln Tst                              | CNFHE 2002-B B1           | CUSIP: 20847TBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300769 | PA      | $302844.70    | 0.06%             | 2033-05-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2007-OPT2 2A3        | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259143 | PA      | $233900.50    | 0.05%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2007-4 M1            | CUSIP: 80557CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $2980429.20   | 0.62%             | 2037-12-25      | Floating      | 7.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | CSFB 2005-1 1A4           | CUSIP: 225458AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568329 | PA      | $506499.48    | 0.10%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  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        |   1615541 | PA      | $1941225.66   | 0.40%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Rasc Ser 2005-Ks12                                              | RASC 2005-KS12 M5         | CUSIP: 753910AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1245389 | PA      | $1255616.61   | 0.26%             | 2036-01-25      | Floating      | 5.39%                 | 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        |   4321261 | PA      | $4008722.77   | 0.83%             | 2036-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Ramp Ser 2006-Rz2                                               | RAMP 2006-RZ2 M2          | CUSIP: 75156UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2383999 | PA      | $2792890.18   | 0.58%             | 2036-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust                  | SABR 2004-NC3 M2          | CUSIP: 81375WCK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141886 | PA      | $150403.03    | 0.03%             | 2034-09-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Popular Abs Inc                                                 | POPLR 2006-C M2           | CUSIP: 73316MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2343245 | PA      | $2687079.65   | 0.56%             | 2036-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                | MSAC 2005-NC2 M6          | CUSIP: 61744CPM2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   1887683 | PA      | $1457121.77   | 0.30%             | 2035-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7      | MSBAM 2013-C7 D           | CUSIP: 61690KAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2667000 | PA      | $2247479.03   | 0.47%             | 2046-02-15      | Floating      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| Mellon Residential                                              | MRFC 1999-TBC3 A2         | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672610 | PA      | $661563.52    | 0.14%             | 2029-10-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Tr 07-Aa1                                              | BCAP 2009-RR4 1A2         | CUSIP: 05531RAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1716606 | PA      | $485230.19    | 0.10%             | 2037-06-26      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Conseco Financial Secs Corp                                     | CNF 2002-1 B1             | CUSIP: 20846QJU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884167 | PA      | $36817.44     | 0.01%             | 2033-12-01      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CBASS 2004-CB3 B3         | CUSIP: 17307GEU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145075 | PA      | $199705.19    | 0.04%             | 2034-03-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | QUEST 2004-X2 M3          | CUSIP: 03072SSY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1192772 | PA      | $1025222.12   | 0.21%             | 2034-06-25      | Floating      | 7.61%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp                                       | IMSA 2002-2 M1            | CUSIP: 45254TLL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226805 | PA      | $134368.11    | 0.03%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                | GT 1997-2 M1              | CUSIP: 393505SV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152476 | PA      | $150034.75    | 0.03%             | 2028-06-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                         | CCMFC 2004-4A B1          | CUSIP: 16678RCE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    613428 | PA      | $424561.04    | 0.09%             | 2035-10-25      | Floating      | 3.02%                 | Yes           |                  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      | $2456175.20   | 0.51%             | 2049-03-15      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                  | TMTS 2004-7HE M1          | CUSIP: 881561FY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112896 | PA      | $99068.87     | 0.02%             | 2034-07-25      | Floating      | 5.66%                 | 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        |     48168 | PA      | $35301.04     | 0.01%             | 2033-11-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                          | BSARM 2004-7 1A1          | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85154 | PA      | $72100.93     | 0.01%             | 2034-10-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Spclty Undrw & Res                                              | SURF 2004-BC1 B1          | CUSIP: 84751PCC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    526371 | PA      | $519307.84    | 0.11%             | 2035-02-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                             | BSMF 2007-AR1 1A2         | CUSIP: 07401MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2640690 | PA      | $2521132.75   | 0.52%             | 2037-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNW 2003-W1 M             | CUSIP: 31392GWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    132922 | PA      | $103231.37    | 0.02%             | 2042-12-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| First Nlc Trust                                                 | FNLC 2005-1 M2            | CUSIP: 32113JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4133450 | PA      | $3234481.70   | 0.67%             | 2035-05-25      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-4A M4           | CUSIP: 07324SCW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152469 | PA      | $138472.20    | 0.03%             | 2036-01-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Altern Ln 07-Hy5r                                               | CWALT 2006-22R 2A2        | CUSIP: 02147LAM5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    157901 | PA      | $94962.48     | 0.02%             | 2036-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                              | GPMF 2006-AR6 A4          | CUSIP: 39538BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560746 | PA      | $1063548.57   | 0.22%             | 2046-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                | GT 1998-4 M1              | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2761319 | PA      | $2494049.04   | 0.52%             | 2030-04-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-3A M4           | CUSIP: 07324SCG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43481 | PA      | $39070.58     | 0.01%             | 2035-11-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| RALI Series Trust                                               | RALI 2007-QH5 AI2         | CUSIP: 75116EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    659964 | PA      | $425144.71    | 0.09%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                              | GSR 2006-4F 4A1           | CUSIP: 362650AN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2093191 | PA      | $336318.86    | 0.07%             | 2036-05-25      | Floating      | 4.74%                 | 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      | $112431.32    | 0.02%             | 2034-07-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-J3 2A1         | CUSIP: 021469AJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294588 | PA      | $203887.70    | 0.04%             | 2022-12-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                             | MABS 2004-HE1 M8          | CUSIP: 57643LER3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106409 | PA      | $86888.58     | 0.02%             | 2034-09-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-FR3 M4         | CUSIP: 073879KT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542598 | PA      | $503856.88    | 0.10%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Asset Trust                              | AHMA 2006-1 1A2           | CUSIP: 02660WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    496508 | PA      | $421134.56    | 0.09%             | 2046-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-AHL3 A1        | CUSIP: 17312GAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232659 | PA      | $200393.86    | 0.04%             | 2037-05-25      | Floating      | 4.56%                 | 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        |    593107 | PA      | $585053.75    | 0.12%             | 2034-05-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2007-15 IO            | CUSIP: 38373MYV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3043348 | PA      | $38061.03     | 0.01%             | 2047-03-16      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust            | DMSI 2004-1 3M1           | CUSIP: 251563CD2<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |   2295502 | PA      | $1895729.31   | 0.39%             | 2033-12-25      | Floating      | 5.67%                 | 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        |    429595 | PA      | $377966.06    | 0.08%             | 2034-08-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-2A M5           | CUSIP: 07324SBU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90406 | PA      | $83325.07     | 0.02%             | 2035-08-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                             | MABS 2005-NC1 M5          | CUSIP: 57643LGK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79544 | PA      | $76332.69     | 0.02%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Origen Mfd Housing                                              | ORGN 2001-A M1            | CUSIP: 68619AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183632 | PA      | $166747.48    | 0.03%             | 2032-03-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust              | MSBAM 2016-C31 D          | CUSIP: 61766RAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4566000 | PA      | $3012597.49   | 0.62%             | 2049-11-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 23333YAD7   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -2078000 | PA      | $-2078000.00  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE8 M4         | CUSIP: 073879HH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618958 | PA      | $617967.20    | 0.13%             | 2034-09-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-OA14 X2        | CUSIP: 02146SAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13778034 | PA      | $20609.18     | 0.00%             | 2046-11-25      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Ar29                                               | INDX 2006-AR29 A2         | CUSIP: 45662DAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    521471 | PA      | $489994.57    | 0.10%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-OA10 XAD       | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5598001 | PA      | $22723.41     | 0.00%             | 2046-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A | INABS 2006-E 2A2          | CUSIP: 43709XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165600 | PA      | $115425.55    | 0.02%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Secs Mtg Ln Tr                                   | DBALT 2006-AR5 23A        | CUSIP: 25150NAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682113 | PA      | $482167.76    | 0.10%             | 2023-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2005-FF9 M1          | CUSIP: 32027NVZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5076098 | PA      | $5137875.88   | 1.06%             | 2035-10-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                               | AFC 1999-2 1A             | CUSIP: 00105HDZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    654632 | PA      | $406545.62    | 0.08%             | 2029-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                               | SBM7 2002-WMC1 M1         | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200261 | PA      | $202375.17    | 0.04%             | 2032-01-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Ar29                                               | INDX 2006-AR29 A3         | CUSIP: 45662DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    638948 | PA      | $603704.84    | 0.12%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2007-1 M2            | CUSIP: 07325MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315176 | PA      | $284235.03    | 0.06%             | 2037-03-25      | Floating      | 4.82%                 | Yes           |                  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      | $80243.84     | 0.02%             | 2035-12-25      | Floating      | 4.85%                 | 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      | $250960.59    | 0.05%             | 2034-01-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                | MHL 2005-2 2M2            | CUSIP: 61915RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24440 | PA      | $22008.42     | 0.00%             | 2035-05-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE8 M3         | CUSIP: 073879HG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461043 | PA      | $435305.82    | 0.09%             | 2034-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                  | RALI 2005-QS7 CB          | CUSIP: 761118AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204677 | PA      | $179343.84    | 0.04%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-SP2 M5          | CUSIP: 07325KAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    418646 | PA      | $380303.60    | 0.08%             | 2037-01-25      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                 | IMM 2005-2 2B             | CUSIP: 45254NNN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49099 | PA      | $43895.49     | 0.01%             | 2035-04-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-4A M1           | CUSIP: 07325BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865464 | PA      | $787627.15    | 0.16%             | 2036-12-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-SP2 B1          | CUSIP: 07325KAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    970209 | PA      | $1606972.12   | 0.33%             | 2037-01-25      | Floating      | 6.19%                 | 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        |     37632 | PA      | $10160.29     | 0.00%             | 2042-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Homebanc Mtg Trust                                              | HMBT 2005-1 B2            | CUSIP: 43739EAY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50370 | PA      | $38662.94     | 0.01%             | 2035-03-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2003-HE1 M2          | CUSIP: 5899294X3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1088197 | PA      | $1057973.96   | 0.22%             | 2034-07-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                             | CGCMT 2015-GC27 XH        | CUSIP: 17323CBC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25850765 | PA      | $587143.26    | 0.12%             | 2048-02-10      | Floating      | 1.42%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | ARC 2001-BC6 M2           | CUSIP: 86358RNB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255110 | PA      | $216790.21    | 0.04%             | 2031-10-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2005-11 3A3          | CUSIP: 12669GUP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45889 | PA      | $33515.14     | 0.01%             | 2035-04-25      | Floating      | 2.91%                 | 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        |    107013 | PA      | $91434.71     | 0.02%             | 2047-02-25      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2005-6 B1           | CUSIP: 41161PPD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1416064 | PA      | $1079895.89   | 0.22%             | 2045-07-19      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2007-7 2A1B         | CUSIP: 411640AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4621533 | PA      | $3604894.97   | 0.75%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                              | WAMU 2006-AR4 2A1A        | CUSIP: 93934FPT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451922 | PA      | $374339.91    | 0.08%             | 2046-05-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2019-111 SK           | CUSIP: 38381YLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  11608011 | PA      | $170924.49    | 0.04%             | 2049-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2003-6 B1           | CUSIP: 07386HEM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283528 | PA      | $152553.63    | 0.03%             | 2034-01-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2005-7 25A1         | CUSIP: 07386HVW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237978 | PA      | $104555.47    | 0.02%             | 2035-09-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                        | DSLA 2007-AR1 2A1B        | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3297692 | PA      | $3397989.12   | 0.70%             | 2047-04-19      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mort                                               | SAMI 2007-AR6 X2          | CUSIP: 86364RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  34644564 | PA      | $645940.97    | 0.13%             | 2047-08-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAMP 2006-RS1 M1          | CUSIP: 76112BU32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    889570 | PA      | $753231.13    | 0.16%             | 2036-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-65CB 1A5       | CUSIP: 12668AX75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439930 | PA      | $287649.63    | 0.06%             | 2036-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                             | GMSL 2005-A B1            | CUSIP: 378961AU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1336514 | PA      | $1206912.02   | 0.25%             | 2032-04-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2006-12 2A13        | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1441896 | PA      | $1305599.09   | 0.27%             | 2036-12-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSAMP 2004-WF B1          | CUSIP: 36242DKN2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     89597 | PA      | $86981.92     | 0.02%             | 2034-10-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| HSI Asset Sec 2007                                              | HASC 2007-WF1 M2          | CUSIP: 40431RAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5015345 | PA      | $5073939.34   | 1.05%             | 2037-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2004-B M5            | CUSIP: 152314JZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    658373 | PA      | $604916.84    | 0.13%             | 2034-03-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                                  | SRPT 2014-STAR A          | CUSIP: 85571XAA5<br>LEI: 5493004YMVUQ9Z7JGZ50 | Long             | ABS-O            | CORP              | US        |   5176235 | PA      | $3662186.28   | 0.76%             | 2027-11-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                             | CWALT 2005-65CB 2A4       | CUSIP: 12668AZ40<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629586 | PA      | $447730.01    | 0.09%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                             | DP Rev Repo - 32027NVZ1   | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |  -3849000 | PA      | $-3849000.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative loan Trust                              | CWALT 2006-OA17 2X        | CUSIP: 12668PAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5404014 | PA      | $336973.24    | 0.07%             | 2046-12-20      | Floating      | 0.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS4                           | GSMS 2016-GS4 D           | CUSIP: 36251XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2184810.30   | 0.45%             | 2049-11-10      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| BEAR STEARNS Mortgage Funding Trust 2006-AR1                    | BSMF 2006-AR5 1A1         | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331942 | PA      | $281074.07    | 0.06%             | 2046-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2005-3A M1           | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    565730 | PA      | $509932.64    | 0.11%             | 2035-11-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2006-OA7 2A1        | CUSIP: 02146BAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2127392 | PA      | $1695667.68   | 0.35%             | 2046-06-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2004-HYB2 1A        | CUSIP: 17307GEB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41325 | PA      | $38385.00     | 0.01%             | 2034-03-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                             | BAFC 2005-F 1A1           | CUSIP: 05946XYP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66175 | PA      | $46950.74     | 0.01%             | 2035-09-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bear Strn 2007-Ar3                                              | BSMF 2007-AR3 1A1         | CUSIP: 07401VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157583 | PA      | $132117.32    | 0.03%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69541 | PA      | $59828.92     | 0.01%             | 2037-09-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2004-AR13 B1         | CUSIP: 45660N7R0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    985755 | PA      | $755994.52    | 0.16%             | 2035-01-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | RAST 2005-A11 1AX         | CUSIP: 45660LB24<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15670604 | PA      | $125059.25    | 0.03%             | 2035-10-25      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mtg                                                | INDX 2006-AR6 2A1A        | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79555 | PA      | $61863.89     | 0.01%             | 2046-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust 2007-SEA1                                           | GSAMP 2007-SEA1 M1        | CUSIP: 3622MLAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1707975.20   | 0.35%             | 2036-12-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Indymac Imja Mtg                                                | IMJA 2007-A3 A1           | CUSIP: 456669AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1471798 | PA      | $693499.38    | 0.14%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                 | LXS 2007-7N 1A2           | CUSIP: 52524GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    862738 | PA      | $768225.06    | 0.16%             | 2047-06-25      | Floating      | 4.87%                 | 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      | $521430.23    | 0.11%             | 2034-09-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Bayview Coml Trust                                              | BAYC 2006-SP1 B2          | CUSIP: 07324MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3357929.20   | 0.70%             | 2036-04-25      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Equifirst Mtg Ln T                                              | EMLT 2004-3 M9            | CUSIP: 29445FCF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440684 | PA      | $428229.31    | 0.09%             | 2034-12-25      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 06-D                                              | BAFC 2006-D 1A2           | CUSIP: 058933AB8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1425263 | PA      | $455237.13    | 0.09%             | 2036-05-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2005-6 A1B          | CUSIP: 41161PQR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127039 | PA      | $102331.68    | 0.02%             | 2045-07-19      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Indymac Imja Mtg                                                | IMJA 2007-A1 A4           | CUSIP: 456652AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1551270 | PA      | $668843.74    | 0.14%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                              | SARM 2005-10 M1           | CUSIP: 863579SM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3354037 | PA      | $3218579.20   | 0.67%             | 2035-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                          | BSARM 2005-12 23A1        | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328940 | PA      | $291639.81    | 0.06%             | 2036-02-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2004-29 2X           | CUSIP: 12669GJD4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   5456256 | PA      | $22188.41     | 0.00%             | 2035-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                  | SAMI 2005-AR2 1A1         | CUSIP: 86359LHX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1818843 | PA      | $1462617.99   | 0.30%             | 2045-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                           | WFCM 2016-C34 XFG         | CUSIP: 95000DAC5<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-O            | CORP              | US        |  15153000 | PA      | $824018.62    | 0.17%             | 2049-06-15      | Floating      | 2.06%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                      | JPMCC 2006-LDP9 AMS       | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    983106 | PA      | $918651.75    | 0.19%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-5 M1             | CUSIP: 1266716K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21807 | PA      | $21447.44     | 0.00%             | 2034-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2001-B A5            | CUSIP: 152314DP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292658 | PA      | $237068.04    | 0.05%             | 2032-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Finance America Mt                                              | FINA 2004-1 M6            | CUSIP: 317350AV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432100 | PA      | $375332.48    | 0.08%             | 2034-06-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-FR3 M5         | CUSIP: 073879KU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912695 | PA      | $799453.05    | 0.17%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-1A M1           | CUSIP: 07324SDG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20428 | PA      | $18309.77     | 0.00%             | 2036-04-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | CBASS 2004-CB8 M1         | CUSIP: 59020UPR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26512 | PA      | $25942.46     | 0.01%             | 2035-12-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-SD4 M3           | CUSIP: 126673SG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1133380 | PA      | $1153089.42   | 0.24%             | 2034-12-25      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE10 M5        | CUSIP: 073879MV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189755 | PA      | $195141.15    | 0.04%             | 2034-12-25      | Floating      | 5.19%                 | 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      | $539381.79    | 0.11%             | 2033-02-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2004-25 1A2          | CUSIP: 12669GJZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30844 | PA      | $23956.21     | 0.00%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                 | IMM 2005-2 1M1            | CUSIP: 45254NNB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247758 | PA      | $225593.72    | 0.05%             | 2035-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                          | VCC 2017-2 M6             | CUSIP: 92258VAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315213 | PA      | $243397.65    | 0.05%             | 2047-11-25      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                               | MASTR 2004-1 B1           | CUSIP: 55265K7C7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392566 | PA      | $309467.51    | 0.06%             | 2034-02-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SG Mtg Sec 06-Opt2                                              | SGMS 2006-OPT2 A3C        | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124738 | PA      | $111658.81    | 0.02%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Frem Mil Hse Tr 2015-R1                                         | FMMHR 2015-R1 C3          | CUSIP: 35563CAY4<br>LEI: 549300ZG8WH0M4JSUM77 | Long             | ABS-O            | CORP              | US        |   2603043 | PA      | $2211821.26   | 0.46%             | 2052-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                               | MASTR 2004-3 4A11         | CUSIP: 55265K8B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49232 | PA      | $13690.43     | 0.00%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-21                   | CWL 2006-21 M1            | CUSIP: 12667LAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239845 | PA      | $188700.02    | 0.04%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE7 M6         | CUSIP: 073879EZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182516 | PA      | $165762.89    | 0.03%             | 2034-08-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| GE Cap Mtg Fndg                                                 | GECMS 1999-HE3 M          | CUSIP: 36157DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341810 | PA      | $332366.54    | 0.07%             | 2029-10-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                  | BCAP 2008-RR3 A1B         | CUSIP: 05531VAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568952 | PA      | $178063.66    | 0.04%             | 2036-10-25      | Floating      | 6.67%                 | 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      | $1215529.34   | 0.25%             | 2048-02-15      | Fixed         | 3.77%                 | Yes           |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                | BOAA 2006-6 CBIO          | CUSIP: 059487AN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1530890 | PA      | $194749.71    | 0.04%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2005-11 4A1          | CUSIP: 12669GUR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22129 | PA      | $19719.72     | 0.00%             | 2035-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2004-5 M7            | CUSIP: 86358EJL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508601 | PA      | $407775.71    | 0.08%             | 2034-05-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Chase Fdg Mtg Ln                                                | CFAB 2003-1 2A2           | CUSIP: 161546EF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215486 | PA      | $211424.48    | 0.04%             | 2032-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSR 2004-7 1A2            | CUSIP: 36228F5Q5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     13922 | PA      | $13298.54     | 0.00%             | 2034-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                         | BAYC 2006-2A M1           | CUSIP: 07324YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141661 | PA      | $130079.37    | 0.03%             | 2036-07-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2005-8 1X           | CUSIP: 41161PQX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16123824 | PA      | $161.24       | 0.00%             | 2035-09-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                          | GSAA 2006-3 A1            | CUSIP: 362334BQ6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     53180 | PA      | $19529.59     | 0.00%             | 2036-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                           | LMT 2007-5 10A2           | CUSIP: 52521RCJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4790305 | PA      | $754536.27    | 0.16%             | 2037-06-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust    | WFHET 2005-1 M12          | CUSIP: 9497ERAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1775415 | PA      | $1777699.68   | 0.37%             | 2035-04-25      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2004-AR9 5M2         | CUSIP: 45660N3Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    909102 | PA      | $620214.00    | 0.13%             | 2034-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

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

**Signature:** James Colantino

**Name of Signer:** James Colantino

**Title:** Treasurer