# EDGAR Filing Document

**Accession Number:** 0001355064
**File Stem:** 0001752724-23-046774
**Filing Date:** 2023-2
**Character Count:** 139575
**Document Hash:** 40e8bc59b63eaed6a37da19d9cc76a81
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046774.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046774

**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**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MUTUAL FUND SERIES TRUST
- **CENTRAL INDEX KEY:** 0001355064
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21872
- **FILM NUMBER:** 23683042

**BUSINESS ADDRESS:**
- **STREET 1:** C/O GEMINI FUND SERVICES LLC
- **STREET 2:** 4221 NORTH 203RD STREET, SUITE 100
- **CITY:** ELKHORN
- **STATE:** NE
- **ZIP:** 68022-3474
- **BUSINESS PHONE:** 631 549 1859

**MAIL ADDRESS:**
- **STREET 1:** C/O GEMINI FUND SERVICES LLC
- **STREET 2:** 4221 NORTH 203RD STREET, SUITE 100
- **CITY:** ELKHORN
- **STATE:** NE
- **ZIP:** 68022-3474

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CATALYST FUNDS
- **DATE OF NAME CHANGE:** 20060303

## Series and Classes Contracts Data

### AlphaCentric Income Opportunities Fund (Series ID: S000048680)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000153405 | AlphaCentric Income Opportunities Fund Class A | IOFAX           |
| C000153406 | AlphaCentric Income Opportunities Fund Class C | IOFCX           |
| C000153407 | AlphaCentric Income Opportunities Fund Class I | IOFIX           |

## Nport-Ex

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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** |
|  | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5%** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5%** |  |  |  |
| 1095031 | ABFC 2004-OPT4 Trust Series 2004-OPT4 M4<sup>(a)</sup> | US0001M + 2.700% | 7.0890 | &nbsp;&nbsp;&nbsp;07/25/33 | $1020591 |
| 5097912 | ABFC 2007-NC1 Trust Series 2007-NC1 M1<sup>(a),(b)</sup> | US0001M + 1.000% | 5.3890 | &nbsp;&nbsp;&nbsp;05/25/37 | 3849780 |
| 1507020 | ABFS Mortgage Loan Trust 2003-2 Series 2003-2 B<sup>(b),(c)</sup> |  | 8.0000 | &nbsp;&nbsp;&nbsp;04/25/34 | 506123 |
| 678000 | ACE Securities Corp Home Equity Loan Trust Series 2004-SD1 M4<sup>(a)</sup> | US0001M + 4.125% | 8.5140 | &nbsp;&nbsp;&nbsp;11/25/33 | 649930 |
| 111159 | ACE Securities Corp Home Equity Loan Trust Series 2004-FM2 M3<sup>(a)</sup> | US0001M + 2.025% | 6.4140 | &nbsp;&nbsp;&nbsp;06/25/34 | 102367 |
| 1661129 | ACE Securities Corp Home Equity Loan Trust Series 2004-HE3 M7<sup>(a)</sup> | US0001M + 2.775% | 7.1640 | &nbsp;&nbsp;&nbsp;11/25/34 | 1757090 |
| 5162884 | ACE Securities Corp Home Equity Loan Trust Series 2004-HE4 M6<sup>(a)</sup> | US0001M + 1.950% | 6.3390 | &nbsp;&nbsp;&nbsp;12/25/34 | 3802010 |
| 481054 | ACE Securities Corp Home Equity Loan Trust Series 2004-RM2 M4<sup>(a)</sup> | US0001M + 1.320% | 5.7090 | &nbsp;&nbsp;&nbsp;01/25/35 | 388780 |
| 4357792 | ACE Securities Corp Home Equity Loan Trust Series 2005-HE2 M7<sup>(a)</sup> | US0001M + 1.845% | 6.2340 | &nbsp;&nbsp;&nbsp;04/25/35 | 2735702 |
| 2909713 | ACE Securities Corp Home Equity Loan Trust Series 2006-ASP3 M1<sup>(a)</sup> | US0001M + 0.420% | 4.8090 | &nbsp;&nbsp;&nbsp;06/25/36 | 2310291 |
| 4708522 | ACE Securities Corp Home Equity Loan Trust Series 2006-ASP4 M1<sup>(a)</sup> | US0001M + 0.435% | 4.8240 | &nbsp;&nbsp;&nbsp;08/25/36 | 4149498 |
| 2417000 | ACE Securities Corp Home Equity Loan Trust Series 2005-SD2 M5<sup>(a)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;08/25/40 | 1653434 |
| 2022296 | Adjustable Rate Mortgage Trust 2005-1 Series 2005-1 5M2<sup>(a)</sup> | US0001M + 1.500% | 5.8890 | &nbsp;&nbsp;&nbsp;05/25/35 | 1825825 |
| 5831898 | Adjustable Rate Mortgage Trust 2005-2 Series 2005-2 6M3<sup>(a)</sup> | US0001M + 1.350% | 5.7390 | &nbsp;&nbsp;&nbsp;06/25/35 | 3994009 |
| 93373 | Adjustable Rate Mortgage Trust 2005-3 Series 2005-3 1A2<sup>(c)</sup> |  | 3.2490 | &nbsp;&nbsp;&nbsp;07/25/35 | 89135 |
| 833937 | Aegis Asset Backed Securities Trust Mortgage Series 2004-4 B3<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;10/25/34 | 847730 |
| 1113006 | Alternative Loan Trust 2006-OA22 Series 2006-OA22 A3<sup>(a)</sup> | US0001M + 0.240% | 4.8690 | &nbsp;&nbsp;&nbsp;02/25/47 | 961790 |
| 7697276 | American Home Mortgage Investment Trust 2006-1 Series 2006-1 1A2<sup>(a)</sup> | US0001M + 0.380% | 4.7690 | &nbsp;&nbsp;&nbsp;03/25/46 | 5708663 |
| 1045849 | Ameriquest Mort Sec Inc Ass Bk Pas Thr Certs Ser Series 2002-2 M4<sup>(a)</sup> | US0001M + 3.300% | 4.6360 | &nbsp;&nbsp;&nbsp;08/25/32 | 859685 |
| 2409578 | Ameriquest Mortgage Securities Asset-Backed Series 2004-R8 M4<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;09/25/34 | 1912199 |
| 2722790 | Ameriquest Mortgage Securities Asset-Backed Series 2004-R8 M5<sup>(a)</sup> | US0001M + 1.920% | 6.3090 | &nbsp;&nbsp;&nbsp;09/25/34 | 2072636 |
| 2351672 | Ameriquest Mortgage Securities Asset-Backed Series 2004-R11 M6<sup>(a)</sup> | US0001M + 2.100% | 3.2450 | &nbsp;&nbsp;&nbsp;11/25/34 | 1957697 |
| 8557578 | Ameriquest Mortgage Securities Asset-Backed Series 2005-R1 M6<sup>(a)</sup> | US0001M + 1.500% | 5.8890 | &nbsp;&nbsp;&nbsp;03/25/35 | 8439625 |
| 3403670 | Ameriquest Mortgage Securities Asset-Backed Series 2005-R5 M7<sup>(a)</sup> | US0001M + 1.830% | 6.2190 | &nbsp;&nbsp;&nbsp;07/25/35 | 3295279 |
| 1184683 | Ameriquest Mortgage Securities Asset-Backed Series 2005-R10 M7<sup>(a)</sup> | US0001M + 2.175% | 6.5640 | &nbsp;&nbsp;&nbsp;01/25/36 | 1241603 |
| 2788 | Amresco Residential Securities Corp Mort Loan Series 1999-1 M2<sup>(a)</sup> | US0001M + 1.350% | 6.2390 | &nbsp;&nbsp;&nbsp;11/25/29 | 2531 |
| 5415351 | Argent Securities Inc Asset-Backed Pass-Through Series 2006-W1 M1<sup>(a)</sup> | US0001M + 0.615% | 5.0040 | &nbsp;&nbsp;&nbsp;03/25/36 | 4362196 |
| 1122080 | Banc of America Funding 2004-B Trust Series 2004-B 3A2<sup>(c)</sup> |  | 3.4380 | &nbsp;&nbsp;&nbsp;12/20/34 | 861194 |
| 7454916 | Banc of America Funding 2006-G Trust Series 2006-G M2<sup>(a)</sup> | US0001M + 0.480% | 4.8330 | &nbsp;&nbsp;&nbsp;07/20/36 | 6389203 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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 RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** |  |  |  |
| 2607004 | Banc of America Mortgage 2004-K Trust Series 2004-K B1<sup>(c)</sup> |  | 3.8070 | &nbsp;&nbsp;&nbsp;12/25/34 | $1941836 |
| 1287243 | Bear Stearns ALT-A Trust 2004-11 Series 2004-11 1M2<sup>(a)</sup> | US0001M + 1.575% | 5.9640 | &nbsp;&nbsp;&nbsp;11/25/34 | 1159438 |
| 2276165 | Bear Stearns ALT-A Trust 2004-6 Series 2004-6 B1<sup>(a)</sup> | US0001M + 2.850% | 7.2390 | &nbsp;&nbsp;&nbsp;07/25/34 | 2319493 |
| 25365 | Bear Stearns ARM Trust 2003-8 Series 2003-8 1A2<sup>(c)</sup> |  | 2.3200 | &nbsp;&nbsp;&nbsp;01/25/34 | 22855 |
| 401844 | Bear Stearns ARM Trust 2004-7 Series 2004-7 1A1<sup>(c)</sup> |  | 2.6250 | &nbsp;&nbsp;&nbsp;10/25/34 | 340248 |
| 3917599 | Bear Stearns Asset Backed Securities I Trust Series 2005-CL1 M1<sup>(a)</sup> | US0001M + 0.945% | 4.8250 | &nbsp;&nbsp;&nbsp;09/25/34 | 2872410 |
| 2985794 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE11 M4<sup>(a)</sup> | US0001M + 2.550% | 5.1190 | &nbsp;&nbsp;&nbsp;12/25/34 | 2443205 |
| 1292006 | Bear Stearns Asset Backed Securities I Trust Series 2005-HE1 M5<sup>(a)</sup> | US0001M + 2.325% | 5.0940 | &nbsp;&nbsp;&nbsp;01/25/35 | 1191317 |
| 2513651 | Bear Stearns Asset Backed Securities I Trust Series 2005-HE4 M4<sup>(a)</sup> | US0001M + 1.875% | 4.7120 | &nbsp;&nbsp;&nbsp;04/25/35 | 2282943 |
| 9949858 | Bear Stearns Asset Backed Securities I Trust Series 2005-HE9 M4<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;10/25/35 | 8851691 |
| 1052645 | Bear Stearns Asset Backed Securities I Trust Series 2005-HE10 M2<sup>(a)</sup> | US0001M + 1.050% | 4.4210 | &nbsp;&nbsp;&nbsp;11/25/35 | 945142 |
| 30804587 | Bear Stearns Asset Backed Securities I Trust Series 2006-HE9 M1<sup>(a)</sup> | US0001M + 0.290% | 4.6790 | &nbsp;&nbsp;&nbsp;11/25/36 | 26831216 |
| 1708345 | Bear Stearns Asset Backed Securities I Trust Series 2007-HE2 1A4<sup>(a)</sup> | US0001M + 0.320% | 4.7090 | &nbsp;&nbsp;&nbsp;03/25/37 | 1541172 |
| 1750211 | Bear Stearns Asset Backed Securities I Trust Series 2007-HE7 M2<sup>(a)</sup> | US0001M + 1.750% | 6.1390 | &nbsp;&nbsp;&nbsp;10/25/37 | 1583600 |
| 3104304 | Bear Stearns Asset Backed Securities Trust 2006-4 Series 2006-4 M2<sup>(a)</sup> | US0001M + 0.750% | 5.1390 | &nbsp;&nbsp;&nbsp;10/25/36 | 1411098 |
| 45368500 | Carrington Mortgage Loan Trust Series 2006-FRE1 Series 2006-FRE1 M1<sup>(a)</sup> | US0001M + 0.300% | 4.6890 | &nbsp;&nbsp;&nbsp;07/25/36 | 31225425 |
| 2626954 | Carrington Mortgage Loan Trust Series 2006-FRE2 Series 2006-FRE2 A4<sup>(a)</sup> | US0001M + 0.250% | 4.6390 | &nbsp;&nbsp;&nbsp;10/25/36 | 2143046 |
| 23424000 | Carrington Mortgage Loan Trust Series 2006-NC2 Series 2006-NC2 M1<sup>(a)</sup> | US0001M + 0.405% | 4.7940 | &nbsp;&nbsp;&nbsp;06/25/36 | 17947804 |
| 8508783 | Carrington Mortgage Loan Trust Series 2006-NC4 Series 2006-NC4 M1<sup>(a)</sup> | US0001M + 0.300% | 4.6890 | &nbsp;&nbsp;&nbsp;10/25/36 | 6925155 |
| 8725486 | Carrington Mortgage Loan Trust Series 2006-RFC1 Series 2006-RFC1 M2<sup>(a)</sup> | US0001M + 0.435% | 4.8240 | &nbsp;&nbsp;&nbsp;05/25/36 | 7552387 |
| 13733757 | Carrington Mortgage Loan Trust Series 2007-RFC1 Series 2007-RFC1 M1<sup>(a)</sup> | US0001M + 0.260% | 4.6490 | &nbsp;&nbsp;&nbsp;12/25/36 | 10703733 |
| 3774725 | Centex Home Equity Loan Trust 2002-C Series 2002-C M2<sup>(a)</sup> | US0001M + 1.150% | 5.5390 | &nbsp;&nbsp;&nbsp;09/25/32 | 3565380 |
| 58269 | Centex Home Equity Loan Trust 2004-B Series 2004-B M7<sup>(a)</sup> | US0001M + 2.325% | 6.7140 | &nbsp;&nbsp;&nbsp;03/25/34 | 1724 |
| 2686229 | Centex Home Equity Loan Trust 2004-C Series 2004-C M5<sup>(a)</sup> | US0001M + 1.725% | 4.1180 | &nbsp;&nbsp;&nbsp;06/25/34 | 2374102 |
| 1723187 | Centex Home Equity Loan Trust 2004-C Series 2004-C M6<sup>(a)</sup> | US0001M + 2.100% | 4.1180 | &nbsp;&nbsp;&nbsp;06/25/34 | 609411 |
| 191501 | CHL Mortgage Pass-Through Trust 2004-6 Series 2004-6 M<sup>(c)</sup> |  | 6.6420 | &nbsp;&nbsp;&nbsp;05/25/34 | 190007 |
| 81751747 | CIT Mortgage Loan Trust 2007-1 Series 2007-1 1M3<sup>(a),(b)</sup> | US0001M + 1.750% | 6.1390 | &nbsp;&nbsp;&nbsp;10/25/37 | 50410810 |
| 14454834 | CIT Mortgage Loan Trust 2007-1 Series 2007-1 2M3<sup>(a),(b)</sup> | US0001M + 1.750% | 6.1390 | &nbsp;&nbsp;&nbsp;10/25/37 | 8829359 |
| 1622515 | Citigroup Mortgage Loan Trust 2004-OPT1 Series 2004-OPT1 M8<sup>(a)</sup> | US0001M + 2.625% | 7.0140 | &nbsp;&nbsp;&nbsp;10/25/34 | 1155722 |
| 600659 | Citigroup Mortgage Loan Trust 2005-3 Series 2005-3 2A3<sup>(c)</sup> |  | 3.8150 | &nbsp;&nbsp;&nbsp;08/25/35 | 481482 |
| 4880726 | Citigroup Mortgage Loan Trust 2006-WMC1 Series 2006-WMC1 M2<sup>(a)</sup> | US0001M + 0.615% | 5.0040 | &nbsp;&nbsp;&nbsp;12/25/35 | 3972737 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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 RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** |  |  |  |
| 187039 | Citigroup Mortgage Loan Trust 2007-10 Series 2007-10 2A4A<sup>(c)</sup> |  | 3.7350 | &nbsp;&nbsp;&nbsp;09/25/37 | $164788 |
| 10641435 | Citigroup Mortgage Loan Trust 2007-AHL1 Series 2007-AHL1 M2<sup>(a)</sup> | US0001M + 0.270% | 4.7940 | &nbsp;&nbsp;&nbsp;12/25/36 | 11163954 |
| 8757444 | Citigroup Mortgage Loan Trust 2007-AMC4 Series 2007-AMC4 M2<sup>(a)</sup> | US0001M + 0.300% | 4.6890 | &nbsp;&nbsp;&nbsp;05/25/37 | 8181223 |
| 669861 | Citigroup Mortgage Loan Trust, Inc. Series 2005-OPT1 M8<sup>(a)</sup> | ICE LIBOR USD 1 Month + 1.935% | 6.3240 | &nbsp;&nbsp;&nbsp;02/25/35 | 536789 |
| 2531865 | Citigroup Mortgage Loan Trust, Inc. Series 2005-HE1 M5<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;05/25/35 | 2356834 |
| 2000000 | Citigroup Mortgage Loan Trust, Inc. Series 2005-OPT4 M7<sup>(a)</sup> | US0001M + 1.680% | 6.0690 | &nbsp;&nbsp;&nbsp;07/25/35 | 1721654 |
| 148255 | Countrywide Asset-Backed Certificates Series 2003-SD2 B1<sup>(a),(b)</sup> | US0001M + 5.625% | 10.0140 | &nbsp;&nbsp;&nbsp;10/25/32 | 162418 |
| 96605 | Countrywide Asset-Backed Certificates Series 2004-SD3 M3<sup>(a),(b)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;11/25/33 | 105168 |
| 1813521 | Countrywide Asset-Backed Certificates Series 2004-BC5 M8<sup>(a)</sup> | US0001M + 2.625% | 7.0140 | &nbsp;&nbsp;&nbsp;10/25/34 | 1663805 |
| 2442562 | Countrywide Asset-Backed Certificates Series 2004-11 M6<sup>(a)</sup> | US0001M + 2.625% | 7.0140 | &nbsp;&nbsp;&nbsp;11/25/34 | 2065442 |
| 5711109 | Countrywide Asset-Backed Certificates Series 2005-9 M4<sup>(a)</sup> | US0001M + 1.500% | 5.8890 | &nbsp;&nbsp;&nbsp;01/25/36 | 4857133 |
| 4000469 | Countrywide Asset-Backed Certificates Series 2006-SD1 M2<sup>(a),(b)</sup> | US0001M + 1.095% | 5.4840 | &nbsp;&nbsp;&nbsp;02/25/36 | 3320906 |
| 2551554 | Countrywide Asset-Backed Certificates Series 2006-2 M3<sup>(a)</sup> | US0001M + 0.660% | 5.0490 | &nbsp;&nbsp;&nbsp;06/25/36 | 2580031 |
| 3623224 | Countrywide Asset-Backed Certificates Series 2007-BC2 M1<sup>(a)</sup> | US0001M + 0.340% | 4.7290 | &nbsp;&nbsp;&nbsp;06/25/37 | 2746314 |
| 4047723 | Countrywide Asset-Backed Certificates Series 2007-2 M1<sup>(a)</sup> | US0001M + 0.220% | 4.6090 | &nbsp;&nbsp;&nbsp;08/25/37 | 3229186 |
| 12456820 | Countrywide Asset-Backed Certificates Series 2006-22 M1<sup>(a)</sup> | US0001M + 0.230% | 4.6190 | &nbsp;&nbsp;&nbsp;05/25/47 | 10671905 |
| 9943872 | Countrywide Asset-Backed Certificates Series 2007-9 M1<sup>(a)</sup> | US0001M + 0.260% | 4.6490 | &nbsp;&nbsp;&nbsp;06/25/47 | 10206050 |
| 1413549 | Credit Suisse First Boston Mortgage Securities Series 2001-HE22 M1<sup>(a)</sup> | US0001M + 1.500% | 5.4060 | &nbsp;&nbsp;&nbsp;02/25/32 | 2138376 |
| 1238572 | Credit Suisse First Boston Mortgage Securities Series 2004-FRE1 B4<sup>(a)</sup> | US0001M + 3.850% | 8.2390 | &nbsp;&nbsp;&nbsp;04/25/34 | 629041 |
| 1672937 | Credit-Based Asset Servicing and Securitization, Series 2003-RP1 M2<sup>(a),(b)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;03/25/33 | 1111091 |
| 76959 | Credit-Based Asset Servicing and Securitization, Series 2004-CB7 B2<sup>(a),(b)</sup> | US0001M + 2.850% | 3.3200 | &nbsp;&nbsp;&nbsp;10/25/34 | 59732 |
| 1997993 | Credit-Based Asset Servicing and Securitization, Series 2004-CB8 B2<sup>(a)</sup> | US0001M + 2.625% | 3.3990 | &nbsp;&nbsp;&nbsp;12/25/35 | 1545398 |
| 3616772 | Credit-Based Asset Servicing and Securitization, Series 2007-SP2 M7<sup>(b),(d)</sup> |  | 7.7500 | &nbsp;&nbsp;&nbsp;03/25/46 | 777259 |
| 1270633 | CWABS Asset-Backed Certificates Trust 2004-9 Series 2004-9 MV5<sup>(a)</sup> | US0001M + 1.650% | 6.0390 | &nbsp;&nbsp;&nbsp;11/25/34 | 1089999 |
| 6744279 | CWABS Asset-Backed Certificates Trust 2006-7 Series 2006-7 M1<sup>(a)</sup> | US0001M + 0.420% | 4.8090 | &nbsp;&nbsp;&nbsp;04/25/46 | 6148697 |
| 1441070 | Delta Funding Home Equity Loan Trust 1997-3 Series 1997-3 B1F |  | 7.6500 | &nbsp;&nbsp;&nbsp;10/25/28 | 1273561 |
| 1355353 | Delta Funding Home Equity Loan Trust 1998-1 Series 1998-1 M1F<sup>(a)</sup> | US0001M + 0.825% | 5.2140 | &nbsp;&nbsp;&nbsp;05/25/30 | 1148371 |
| 1159343 | Delta Funding Home Equity Loan Trust 1999-1 Series 1999-1 B<sup>(c)</sup> |  | 6.8000 | &nbsp;&nbsp;&nbsp;03/15/28 | 952901 |
| 1733831 | Delta Funding Home Equity Loan Trust 1999-2 Series 1999-2 M1 |  | 7.3700 | &nbsp;&nbsp;&nbsp;08/15/30 | 1294861 |
| 782301 | Delta Funding Home Equity Loan Trust 2000-3 Series 2000-3 M2<sup>(d)</sup> |  | 8.3900 | &nbsp;&nbsp;&nbsp;11/15/30 | 667546 |
| 413473 | Deutsche Mortgage Securities Inc Mortgage Loan Series 2006-PR1 4AF2<sup>(a),(b)</sup> | US0001M + 0.350% | 4.6680 | &nbsp;&nbsp;&nbsp;04/15/36 | 373765 |
| 2686093 | Ellington Loan Acquisition Trust 2007-2 Series 2007-2 M2B<sup>(a),(b)</sup> | US0001M + 1.700% | 6.0890 | &nbsp;&nbsp;&nbsp;05/25/37 | 1847631 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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 RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** |  |  |  |
| 5664442 | EMC Mortgage Loan Trust 2005-B Series 2005-B M2<sup>(a),(b)</sup> | US0001M + 2.250% | 6.6390 | &nbsp;&nbsp;&nbsp;04/25/42 | $5308748 |
| 1782268 | EquiFirst Mortgage Loan Trust 2005-1 Series 2005-1 M7<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;04/25/35 | 1509761 |
| 1724282 | Finance America Mortgage Loan Trust 2004-3 Series 2004-3 M5<sup>(a)</sup> | US0001M + 1.650% | 6.0390 | &nbsp;&nbsp;&nbsp;11/25/34 | 1338660 |
| 2015976 | 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 | 1716479 |
| 1588560 | 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 | 1252651 |
| 4838101 | First Franklin Mortgage Loan Trust 2004-FFH2 Series 2004-FFH2 M4<sup>(a)</sup> | US0001M + 1.575% | 5.9640 | &nbsp;&nbsp;&nbsp;06/25/34 | 4118650 |
| 3759787 | First Franklin Mortgage Loan Trust 2005-FF5 Series 2005-FF5 M5<sup>(a)</sup> | US0001M + 1.200% | 5.5890 | &nbsp;&nbsp;&nbsp;05/25/35 | 2950793 |
| 2962112 | First Franklin Mortgage Loan Trust 2006-FF7 Series 2006-FF7 M1<sup>(a)</sup> | US0001M + 0.375% | 4.7640 | &nbsp;&nbsp;&nbsp;05/25/36 | 2727909 |
| 6919209 | First Franklin Mortgage Loan Trust 2006-FF9 Series 2006-FF9 M1<sup>(a)</sup> | US0001M + 0.375% | 4.7640 | &nbsp;&nbsp;&nbsp;06/25/36 | 9192768 |
| 1420990 | First Franklin Mortgage Loan Trust2006-FF3 Series 2006-FF3 M2<sup>(a)</sup> | US0001M + 0.585% | 4.9740 | &nbsp;&nbsp;&nbsp;02/25/36 | 1137184 |
| 1975222 | Fremont Home Loan Trust 2004-3 Series 2004-3 M5<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;11/25/34 | 1503634 |
| 375966 | Fremont Home Loan Trust 2004-4 Series 2004-4 M3<sup>(a)</sup> | US0001M + 0.915% | 5.3040 | &nbsp;&nbsp;&nbsp;03/25/35 | 280962 |
| 5979255 | Fremont Home Loan Trust 2005-1 Series 2005-1 M7<sup>(a),(b)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;06/25/35 | 2734573 |
| 6836146 | Fremont Home Loan Trust 2005-A Series 2005-A M5<sup>(a)</sup> | US0001M + 1.050% | 5.4390 | &nbsp;&nbsp;&nbsp;01/25/35 | 5330056 |
| 5048045 | GreenPoint Mortgage Funding Trust 2005-HY1 Series 2005-HY1 M2<sup>(a)</sup> | US0001M + 0.885% | 5.2740 | &nbsp;&nbsp;&nbsp;07/25/35 | 4697075 |
| 3330714 | GreenPoint Mortgage Funding Trust Series 2006-AR4 Series 2006-AR4 4A<sup>(a)</sup> | US0001M + 0.640% | 5.0290 | &nbsp;&nbsp;&nbsp;09/25/46 | 2581908 |
| 4032640 | GSAA Home Equity Trust 2004-11 Series 2004-11 M2<sup>(a)</sup> | US0001M + 1.425% | 5.8140 | &nbsp;&nbsp;&nbsp;12/25/34 | 3370427 |
| 2146082 | GSAA Home Equity Trust 2005-4 Series 2005-4 B1<sup>(a)</sup> | US0001M + 1.725% | 6.1140 | &nbsp;&nbsp;&nbsp;03/25/35 | 1625288 |
| 4553023 | GSAMP Trust 2005-AHL2 Series 2005-AHL2 M1<sup>(a)</sup> | US0001M + 0.660% | 5.0490 | &nbsp;&nbsp;&nbsp;12/25/35 | 3250752 |
| 6278763 | GSAMP Trust 2006-HE8 Series 2006-HE8 M1<sup>(a)</sup> | US0001M + 0.250% | 4.6390 | &nbsp;&nbsp;&nbsp;01/25/37 | 4991545 |
| 5149507 | GSAMP Trust 2006-NC1 Series 2006-NC1 M2<sup>(a)</sup> | US0001M + 0.570% | 4.9590 | &nbsp;&nbsp;&nbsp;02/25/36 | 4922895 |
| 2026546 | GSAMP Trust 2006-SD2 Series 2006-SD2 M1<sup>(a),(b)</sup> | US0001M + 0.705% | 5.0940 | &nbsp;&nbsp;&nbsp;05/25/46 | 1242186 |
| 8753 | GSR Mortgage Loan Trust 2005-7F Series 2005-7F 3A1<sup>(a)</sup> | US0001M + 0.500% | 4.8890 | &nbsp;&nbsp;&nbsp;09/25/35 | 8564 |
| 1007035 | GSRPM Mortgage Loan Trust Series 2004-1 Series 2004-1 B2<sup>(a),(b)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;09/25/42 | 881809 |
| 1170783 | HarborView Mortgage Loan Trust 2006-12 Series 2006-12 2A2B<sup>(a)</sup> | US0001M + 0.250% | 4.8390 | &nbsp;&nbsp;&nbsp;01/19/38 | 1887111 |
| 3840219 | Home Equity Asset Trust 2005-3 Series 2005-3 M6<sup>(a)</sup> | US0001M + 1.065% | 5.4540 | &nbsp;&nbsp;&nbsp;08/25/35 | 3754698 |
| 2275131 | Home Equity Asset Trust 2005-6 Series 2005-6 M6<sup>(a)</sup> | US0001M + 1.065% | 5.4540 | &nbsp;&nbsp;&nbsp;12/25/35 | 3632814 |
| 11779850 | Home Equity Asset Trust 2005-7 Series 2005-7 M3<sup>(a)</sup> | US0001M + 0.750% | 4.8890 | &nbsp;&nbsp;&nbsp;01/25/36 | 10973262 |
| 16695890 | Home Equity Mortgage Loan Asset-Backed Trust Series 2006-B M1<sup>(a)</sup> | US0001M + 0.540% | 4.9290 | &nbsp;&nbsp;&nbsp;06/25/36 | 12709065 |
| 4406638 | Home Equity Mortgage Loan Asset-Backed Trust Series 2006-C M1<sup>(a)</sup> | US0001M + 0.290% | 4.8240 | &nbsp;&nbsp;&nbsp;08/25/36 | 4726112 |
| 253075 | Impac CMB Trust Series 2004-10 Series 2004-10 3M1<sup>(a)</sup> | US0001M + 0.855% | 5.2440 | &nbsp;&nbsp;&nbsp;03/25/35 | 227294 |
| 20284 | IndyMac INDX Mortgage Loan Trust 2004-AR6 Series 2004-AR6 6A2<sup>(c)</sup> |  | 3.5180 | &nbsp;&nbsp;&nbsp;10/25/34 | 18173 |
| 995969 | IXIS Real Estate Capital Trust 2005-HE2 Series 2005-HE2 M6<sup>(a)</sup> | US0001M + 1.035% | 5.4240 | &nbsp;&nbsp;&nbsp;09/25/35 | 1030185 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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 RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** |  |  |  |
| 5669874 | JP Morgan Mortgage Acquisition Trust 2006-CH1 Series 2006-CH1 M9<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;07/25/36 | $4698436 |
| 3012492 | JP Morgan Mortgage Acquisition Trust 2006-CW1 Series 2006-CW1 M3<sup>(a)</sup> | US0001M + 0.450% | 4.8390 | &nbsp;&nbsp;&nbsp;05/25/36 | 3001300 |
| 3777375 | JP Morgan Mortgage Acquisition Trust 2007-HE1 Series 2007-HE1 MV1<sup>(a)</sup> | US0001M + 0.260% | 4.6490 | &nbsp;&nbsp;&nbsp;03/25/47 | 3879585 |
| 1902704 | Long Beach Mortgage Loan Trust 2003-1 Series 2003-1 M3<sup>(a)</sup> | US0001M + 6.000% | 10.3890 | &nbsp;&nbsp;&nbsp;03/25/33 | 2258201 |
| 11153657 | Long Beach Mortgage Loan Trust 2005-3 Series 2005-3 M1<sup>(a)</sup> | US0001M + 0.705% | 5.0940 | &nbsp;&nbsp;&nbsp;08/25/45 | 9865636 |
| 506216 | MAFI II Remic Trust 1998-A Series 1998-AX B2 |  | 6.0000 | &nbsp;&nbsp;&nbsp;02/20/27 | 442335 |
| 444564 | MASTR Adjustable Rate Mortgages Trust 2004-5 Series 2004-5 B2<sup>(c)</sup> |  | 3.2470 | &nbsp;&nbsp;&nbsp;07/25/34 | 351537 |
| 423825 | MASTR Alternative Loan Trust 2002-2 Series 2002-2 B3<sup>(c)</sup> |  | 7.1320 | &nbsp;&nbsp;&nbsp;10/25/32 | 19484 |
| 1497751 | Mastr Asset Backed Securities Trust 2004-HE1 Series 2004-HE1 M10<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;09/25/34 | 1167288 |
| 1575958 | Mastr Asset Backed Securities Trust 2004-WMC3 Series 2004-WMC3 M6<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;10/25/34 | 1537070 |
| 79302 | Mastr Asset Backed Securities Trust 2005-NC1 Series 2005-NC1 M8<sup>(a)</sup> | US0001M + 2.295% | 6.6840 | &nbsp;&nbsp;&nbsp;12/25/34 | 299932 |
| 4454272 | Mastr Asset Backed Securities Trust 2007-HE1 Series 2007-HE1 M1<sup>(a)</sup> | US0001M + 0.300% | 4.6890 | &nbsp;&nbsp;&nbsp;05/25/37 | 4372991 |
| 901537 | Mastr Specialized Loan Trust Series 2005-2 M4<sup>(a),(b)</sup> | US0001M + 2.265% | 6.4780 | &nbsp;&nbsp;&nbsp;07/25/35 | 874166 |
| 1462000 | Mastr Specialized Loan Trust Series 2005-3 M2<sup>(a),(b)</sup> | US0001M + 1.250% | 6.2640 | &nbsp;&nbsp;&nbsp;11/25/35 | 890801 |
| 6460152 | Mastr Specialized Loan Trust Series 2006-1 M2<sup>(a),(b)</sup> | US0001M + 2.400% | 6.7890 | &nbsp;&nbsp;&nbsp;01/25/36 | 4525260 |
| 1259829 | Meritage Mortgage Loan Trust 2004-2 Series 2004-2 M4<sup>(a)</sup> | US0001M + 1.725% | 6.1140 | &nbsp;&nbsp;&nbsp;01/25/35 | 1095036 |
| 2674273 | Merrill Lynch Mortgage Investors Trust 2002-AFC1 Series 2002-AFC1 BV1<sup>(a)</sup> | US0001M + 3.450% | 5.1890 | &nbsp;&nbsp;&nbsp;09/25/32 | 2621863 |
| 19432 | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1 2A<sup>(a)</sup> | US0012M + 1.625% | 6.9940 | &nbsp;&nbsp;&nbsp;12/25/32 | 18009 |
| 78427 | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2 2A2<sup>(a)</sup> | US0006M + 1.500% | 6.4310 | &nbsp;&nbsp;&nbsp;02/25/33 | 73173 |
| 498328 | Merrill Lynch Mortgage Investors Trust Series 2003-OPT1 M2<sup>(a)</sup> | US0001M + 2.175% | 6.5640 | &nbsp;&nbsp;&nbsp;07/25/34 | 407699 |
| 1504514 | Merrill Lynch Mortgage Investors Trust Series 2004-WMC1 B1<sup>(a)</sup> | US0001M + 2.400% | 6.7890 | &nbsp;&nbsp;&nbsp;10/25/34 | 1327478 |
| 5937647 | Merrill Lynch Mortgage Investors Trust Series 2005-A3 M2<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;04/25/35 | 5447075 |
| 253924 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2005-A B2<sup>(a)</sup> | US0001M + 1.005% | 5.3940 | &nbsp;&nbsp;&nbsp;03/25/30 | 175952 |
| 3292413 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2006-1 M1<sup>(c)</sup> |  | 2.9660 | &nbsp;&nbsp;&nbsp;02/25/36 | 2278546 |
| 1467852 | Morgan Stanley A.B.S Capital I Inc Trust 2004-WMC2 Series 2004-WMC2 B3<sup>(a)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;07/25/34 | 1285377 |
| 344627 | Morgan Stanley A.B.S Capital I Inc Trust 2004-WMC3 Series 2004-WMC3 M4<sup>(a)</sup> | US0001M + 1.350% | 3.5490 | &nbsp;&nbsp;&nbsp;01/25/35 | 306918 |
| 296662 | Morgan Stanley A.B.S Capital I Inc Trust 2004-WMC3 Series 2004-WMC3 M6<sup>(a)</sup> | US0001M + 1.650% | 3.5490 | &nbsp;&nbsp;&nbsp;01/25/35 | 281423 |
| 2378505 | Morgan Stanley A.B.S Capital I Inc Trust 2005-WMC2 Series 2005-WMC2 M5<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;02/25/35 | 1797559 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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 RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** |  |  |  |
| 4303249 | Morgan Stanley A.B.S Capital I Inc Trust 2005-WMC3 Series 2005-WMC3 M6<sup>(a)</sup> | US0001M + 1.065% | 5.4540 | &nbsp;&nbsp;&nbsp;03/25/35 | $3278942 |
| 5897597 | Morgan Stanley A.B.S Capital I Inc Trust 2005-WMC5 Series 2005-WMC5 B1<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;06/25/35 | 4889805 |
| 10595476 | Morgan Stanley A.B.S Capital I Inc Trust 2006-NC1 Series 2006-NC1 M3<sup>(a)</sup> | US0001M + 0.630% | 5.0190 | &nbsp;&nbsp;&nbsp;12/25/35 | 10268511 |
| 3481120 | Morgan Stanley A.B.S Capital I Inc Trust 2007-HE6 Series 2007-HE6 M1<sup>(a)</sup> | US0001M + 0.260% | 4.6490 | &nbsp;&nbsp;&nbsp;05/25/37 | 7008332 |
| 62584 | Morgan Stanley Mortgage Loan Trust 2004-7AR Series 2004-7AR 2A7<sup>(c)</sup> |  | 3.6460 | &nbsp;&nbsp;&nbsp;09/25/34 | 61103 |
| 6437511 | Nationstar Home Equity Loan Trust 2007-B Series 2007-B M2<sup>(a)</sup> | US0001M + 0.470% | 4.8590 | &nbsp;&nbsp;&nbsp;04/25/37 | 7867773 |
| 657803 | New Century Home Equity Loan Trust Series 2004-A M2<sup>(c)</sup> |  | 5.6500 | &nbsp;&nbsp;&nbsp;08/25/34 | 632749 |
| 2019256 | New Century Home Equity Loan Trust 2005-1 Series 2005-1 M6<sup>(a)</sup> | US0001M + 1.200% | 5.5890 | &nbsp;&nbsp;&nbsp;03/25/35 | 1673904 |
| 3701538 | New Century Home Equity Loan Trust 2006-2 Series 2006-2 M1<sup>(a)</sup> | US0001M + 0.310% | 4.6990 | &nbsp;&nbsp;&nbsp;08/25/36 | 3733274 |
| 195432 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 AII<sup>(a)</sup> | US0001M + 0.800% | 3.8650 | &nbsp;&nbsp;&nbsp;11/25/33 | 176520 |
| 16568 | Nomura Asset Acceptance Corp Alternative Loan Series 2003-A1 A5 |  | 7.0000 | &nbsp;&nbsp;&nbsp;04/25/33 | 16176 |
| 6303 | Nomura Asset Acceptance Corp Alternative Loan Series 2003-A1 A2 |  | 6.0000 | &nbsp;&nbsp;&nbsp;05/25/33 | 6029 |
| 1334307 | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1 M4<sup>(a)</sup> | US0001M + 0.555% | 4.9440 | &nbsp;&nbsp;&nbsp;03/25/36 | 1173123 |
| 3126335 | NovaStar Mortgage Funding Trust Series 2003-1 Series 2003-1 M2<sup>(a)</sup> | US0001M + 3.000% | 7.3890 | &nbsp;&nbsp;&nbsp;05/25/33 | 2756555 |
| 5952157 | Opteum Mortgage Acceptance Corp Asset Backed Series 2005-5 M1<sup>(a)</sup> | US0001M + 0.645% | 5.0340 | &nbsp;&nbsp;&nbsp;12/25/35 | 6022145 |
| 7453936 | Option One Mortgage Loan Trust 2005-2 Series 2005-2 M4<sup>(a)</sup> | US0001M + 1.035% | 5.4240 | &nbsp;&nbsp;&nbsp;05/25/35 | 5377728 |
| 2880092 | Option One Mortgage Loan Trust 2005-5 Series 2005-5 M4<sup>(a)</sup> | US0001M + 0.870% | 5.2590 | &nbsp;&nbsp;&nbsp;12/25/35 | 2441812 |
| 13603485 | Option One Mortgage Loan Trust 2007-CP1 Series 2007-CP1 M1<sup>(a)</sup> | US0001M + 0.300% | 4.6890 | &nbsp;&nbsp;&nbsp;03/25/37 | 11157399 |
| 2290244 | 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 | 2137965 |
| 3355676 | Park Place Securities Inc Asset-Backed Series 2004-WHQ2 M7<sup>(a)</sup> | US0001M + 2.625% | 7.0140 | &nbsp;&nbsp;&nbsp;02/25/35 | 2097670 |
| 7727847 | Park Place Securities Inc Asset-Backed Series 2005-WHQ1 M7<sup>(a)</sup> | US0001M + 1.875% | 6.2640 | &nbsp;&nbsp;&nbsp;03/25/35 | 6382671 |
| 3620892 | Park Place Securities Inc Asset-Backed Series 2005-WHQ3 M7<sup>(a)</sup> | US0001M + 1.800% | 6.1890 | &nbsp;&nbsp;&nbsp;06/25/35 | 4062601 |
| 17839265 | Park Place Securities Inc Asset-Backed Series 2005-WHQ4 M4<sup>(a)</sup> | US0001M + 0.915% | 5.3040 | &nbsp;&nbsp;&nbsp;09/25/35 | 14140725 |
| 3800387 | Park Place Securities Inc Asset-Backed Series 2005-WCW1 M5<sup>(a)</sup> | US0001M + 0.990% | 5.3790 | &nbsp;&nbsp;&nbsp;09/25/35 | 3376022 |
| 8501550 | Popular A.B.S Mortgage Pass-Through Trust 2007-A Series 2007-A M1<sup>(a)</sup> | US0001M + 0.310% | 4.6990 | &nbsp;&nbsp;&nbsp;06/25/47 | 7345767 |
| 5984900 | Quest Trust Series 2005-X1 M5<sup>(a),(b)</sup> | US0001M + 3.375% | 7.7640 | &nbsp;&nbsp;&nbsp;03/25/35 | 5241083 |
| 4565336 | RAAC Series 2006-RP2 Trust Series 2006-RP2 M2<sup>(a),(b)</sup> | US0001M + 1.250% | 5.6390 | &nbsp;&nbsp;&nbsp;02/25/37 | 3715072 |
| 14328547 | RAAC Series 2007-SP3 Trust Series 2007-SP3 M1<sup>(a)</sup> | US0001M + 2.250% | 6.6390 | &nbsp;&nbsp;&nbsp;09/25/47 | 11419263 |
| 1458059 | RAMP Series 2004-RS7 Trust Series 2004-RS7 A3<sup>(c)</sup> |  | 3.8710 | &nbsp;&nbsp;&nbsp;07/25/34 | 1327348 |
| 3356660 | RAMP Series 2005-RS8 Trust Series 2005-RS8 M4<sup>(a)</sup> | US0001M + 0.600% | 5.2890 | &nbsp;&nbsp;&nbsp;09/25/35 | 2700586 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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 RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** |  |  |  |
| 2490795 | RAMP Series 2006-RS1 Trust Series 2006-RS1 M1<sup>(a)</sup> | US0001M + 0.410% | 5.0040 | &nbsp;&nbsp;&nbsp;01/25/36 | $2109047 |
| 3713903 | RAMP Series 2006-RS4 Trust Series 2006-RS4 M2<sup>(a)</sup> | US0001M + 0.380% | 4.9590 | &nbsp;&nbsp;&nbsp;07/25/36 | 3352596 |
| 1791312 | RASC Series 2005-EMX1 Trust Series 2005-EMX1 B<sup>(a),(b)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;03/25/35 | 1591912 |
| 2772672 | RASC Series 2005-KS1 Trust Series 2005-KS1 M4<sup>(a)</sup> | US0001M + 1.250% | 6.2640 | &nbsp;&nbsp;&nbsp;02/25/35 | 2394617 |
| 6476021 | RASC Series 2005-KS12 Trust Series 2005-KS12 M5<sup>(a)</sup> | US0001M + 0.670% | 5.3940 | &nbsp;&nbsp;&nbsp;01/25/36 | 6529206 |
| 1407828 | RASC Series 2005-KS2 Trust Series 2005-KS2 M3<sup>(a)</sup> | US0001M + 0.770% | 5.5440 | &nbsp;&nbsp;&nbsp;03/25/35 | 1387797 |
| 2975928 | RASC Series 2006-EMX1 Trust Series 2006-EMX1 M3<sup>(a)</sup> | US0001M + 0.470% | 5.0940 | &nbsp;&nbsp;&nbsp;01/25/36 | 2404566 |
| 1992148 | Renaissance Home Equity Loan Trust 2002-1 Series 2002-1 M2<sup>(a)</sup> | US0001M + 2.925% | 7.3140 | &nbsp;&nbsp;&nbsp;06/25/32 | 1634831 |
| 1229306 | Renaissance Home Equity Loan Trust 2002-2 Series 2002-2 M2<sup>(a)</sup> | US0001M + 2.250% | 6.6390 | &nbsp;&nbsp;&nbsp;08/25/32 | 1069248 |
| 398481 | Renaissance Home Equity Loan Trust 2003-2 Series 2003-2 M2F<sup>(d)</sup> |  | 4.1560 | &nbsp;&nbsp;&nbsp;08/25/33 | 331574 |
| 10217101 | Renaissance Home Equity Loan Trust 2005-1 Series 2005-1 M2<sup>(d)</sup> |  | 5.4050 | &nbsp;&nbsp;&nbsp;05/25/35 | 1648436 |
| 7166109 | Renaissance Home Equity Loan Trust 2005-2 Series 2005-2 M2<sup>(d)</sup> |  | 5.1010 | &nbsp;&nbsp;&nbsp;08/25/35 | 1747025 |
| 167083 | SASCO Mortgage Loan Trust 2003-GEL1 Series 2003-GEL1 M3<sup>(a)</sup> | US0001M + 4.500% | 8.8890 | &nbsp;&nbsp;&nbsp;10/25/33 | 147253 |
| 2309753 | Saxon Asset Securities Trust 2004-2 Series 2004-2 MF5<sup>(d)</sup> |  | 2.8400 | &nbsp;&nbsp;&nbsp;08/25/35 | 1555701 |
| 2149653 | Saxon Asset Securities Trust 2005-2 Series 2005-2 M3<sup>(a)</sup> | US0001M + 0.705% | 5.0940 | &nbsp;&nbsp;&nbsp;10/25/35 | 1726699 |
| 5326270 | Saxon Asset Securities Trust 2005-4 Series 2005-4 M4<sup>(a)</sup> | US0001M + 0.930% | 5.3190 | &nbsp;&nbsp;&nbsp;11/25/37 | 4043317 |
| 11161909 | Saxon Asset Securities Trust 2006-2 Series 2006-2 M3<sup>(a)</sup> | US0001M + 0.320% | 4.7090 | &nbsp;&nbsp;&nbsp;09/25/36 | 8863443 |
| 4743900 | Saxon Asset Securities Trust 2007-3 Series 2007-3 1M2<sup>(a)</sup> | US0001M + 0.900% | 5.2890 | &nbsp;&nbsp;&nbsp;09/25/47 | 4641039 |
| 10935000 | Saxon Asset Securities Trust 2007-4 Series 2007-4 M1<sup>(a),(b)</sup> | US0001M + 3.000% | 7.3890 | &nbsp;&nbsp;&nbsp;12/25/37 | 7242443 |
| 1147987 | Securitized Asset Backed Receivables, LLC Trust Series 2005-FR1 M2<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;12/25/34 | 989138 |
| 9253912 | Sequoia Mortgage Trust 2004-10 Series 2004-10 XA<sup>(c) (e)</sup> |  | 0.0000 | &nbsp;&nbsp;&nbsp;11/20/34 | 93 |
| 1007302 | Sequoia Mortgage Trust 2004-10 Series 2004-10 B1<sup>(a)</sup> | US0001M + 0.750% | 5.1030 | &nbsp;&nbsp;&nbsp;11/20/34 | 701272 |
| 3544181 | Soundview Home Loan Trust 2005-1 Series 2005-1 M6<sup>(a)</sup> | US0001M + 1.950% | 3.8220 | &nbsp;&nbsp;&nbsp;04/25/35 | 3444714 |
| 2045293 | Soundview Home Loan Trust 2005-3 Series 2005-3 M4<sup>(a)</sup> | US0001M + 0.990% | 5.3790 | &nbsp;&nbsp;&nbsp;06/25/35 | 1937632 |
| 902887 | Soundview Home Loan Trust 2005-A Series 2005-A M6<sup>(a)</sup> | US0001M + 1.350% | 5.7390 | &nbsp;&nbsp;&nbsp;04/25/35 | 900662 |
| 4542879 | Soundview Home Loan Trust 2005-OPT1 Series 2005-OPT1 M4<sup>(a)</sup> | US0001M + 0.825% | 5.2140 | &nbsp;&nbsp;&nbsp;06/25/35 | 3348402 |
| 5321456 | Soundview Home Loan Trust 2005-OPT1 Series 2005-OPT1 M5<sup>(a)</sup> | US0001M + 1.050% | 5.4390 | &nbsp;&nbsp;&nbsp;06/25/35 | 3393179 |
| 3977500 | Soundview Home Loan Trust 2005-OPT3 Series 2005-OPT3 M4<sup>(a)</sup> | US0001M + 1.020% | 5.4090 | &nbsp;&nbsp;&nbsp;11/25/35 | 2933708 |
| 6698014 | Soundview Home Loan Trust 2005-OPT4 Series 2005-OPT4 M2<sup>(a)</sup> | US0001M + 0.825% | 5.2140 | &nbsp;&nbsp;&nbsp;12/25/35 | 5346352 |
| 11126680 | Soundview Home Loan Trust 2006-1 Series 2006-1 M1<sup>(a)</sup> | US0001M + 0.615% | 5.0040 | &nbsp;&nbsp;&nbsp;02/25/36 | 8811524 |
| 4210678 | Specialty Underwriting & Residential Finance Trust Series 2005-BC3 M4<sup>(a)</sup> | US0001M + 0.975% | 5.3640 | &nbsp;&nbsp;&nbsp;06/25/36 | 3252150 |
| 5260599 | Specialty Underwriting & Residential Finance Trust Series 2006-AB1 M1<sup>(a)</sup> | US0001M + 0.585% | 4.3530 | &nbsp;&nbsp;&nbsp;12/25/36 | 5705904 |
| 2584533 | Structured Asset Investment Loan Trust 2004-10 Series 2004-10 M7<sup>(a)</sup> | US0001M + 3.750% | 8.1390 | &nbsp;&nbsp;&nbsp;11/25/34 | 3028919 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** | **ALPHACENTRIC INCOME OPPORTUNITIES FUND (IOFAX, IOFCX, IOFIX)** |
| **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 RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** | **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES — 103.5% (Continued)** |  |  |  |
| 3048877 | Structured Asset Investment Loan Trust 2005-HE2 Series 2005-HE2 M3<sup>(a)</sup> | US0001M + 0.780% | 5.1690 | &nbsp;&nbsp;&nbsp;07/25/35 | $2638430 |
| 2106652 | Structured Asset Investment Loan Trust 2005-HE3 Series 2005-HE3 M3<sup>(a)</sup> | US0001M + 0.795% | 5.1840 | &nbsp;&nbsp;&nbsp;09/25/35 | 1696536 |
| 122121 | Structured Asset Mortgage Investments II Trust Series 2004-AR5 1A2<sup>(c)</sup> |  | 2.7700 | &nbsp;&nbsp;&nbsp;10/19/34 | 103418 |
| 1786689 | Structured Asset Mortgage Investments II Trust Series 2005-AR5 B1<sup>(a)</sup> | US0001M + 0.750% | 5.0890 | &nbsp;&nbsp;&nbsp;07/19/35 | 1549986 |
| 1041133 | Structured Asset Mortgage Investments Trust Series 2002-AR4 A2<sup>(a)</sup> | US0001M + 0.825% | 5.1640 | &nbsp;&nbsp;&nbsp;02/19/33 | 821821 |
| 2479557 | Structured Asset Securities Corp 2005-NC1 Series 2005-NC1 M6<sup>(a)</sup> | US0001M + 1.950% | 4.1320 | &nbsp;&nbsp;&nbsp;02/25/35 | 2453155 |
| 478047 | Structured Asset Securities Corp 2005-WF1 Series 2005-WF1 M7<sup>(a)</sup> | US0001M + 1.905% | 6.2940 | &nbsp;&nbsp;&nbsp;02/25/35 | 457515 |
| 5239725 | Structured Asset Securities Corp Mortgage Loan Series 2006-GEL4 M2<sup>(a),(b)</sup> | US0001M + 0.645% | 5.0340 | &nbsp;&nbsp;&nbsp;10/25/36 | 5262635 |
| 6254500 | Structured Asset Securities Corp Mortgage Loan Series 2007-BC1 M1<sup>(a)</sup> | US0001M + 0.230% | 4.6190 | &nbsp;&nbsp;&nbsp;02/25/37 | 5373033 |
| 9415856 | Structured Asset Securities Corp Mortgage Loan Series 2006-W1A M1<sup>(a),(b)</sup> | US0001M + 0.300% | 4.6890 | &nbsp;&nbsp;&nbsp;08/25/46 | 9467002 |
| 5740000 | Terwin Mortgage Trust 2007-QHL1 Series 2007-QHL1 M1<sup>(a),(b)</sup> | US0001M + 1.500% | 5.8890 | &nbsp;&nbsp;&nbsp;10/25/38 | 5187593 |
| 267169 | Thornburg Mortgage Securities Trust 2004-2 Series 2004-2 B2<sup>(a)</sup> | US0001M + 1.000% | 5.3890 | &nbsp;&nbsp;&nbsp;06/25/44 | 198279 |
| 757000 | Truman Capital Mortgage Loan Trust Series 2005-1 M3<sup>(a),(b)</sup> | US0001M + 5.250% | 9.6390 | &nbsp;&nbsp;&nbsp;03/25/37 | 776165 |
| 629161 | WaMu Mortgage Pass-Through Certificates Series 2003-AR10 B2<sup>(c)</sup> |  | 4.2380 | &nbsp;&nbsp;&nbsp;10/25/33 | 459312 |
| 104292 | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 2B1<sup>(a)</sup> | COF 11 + 1.250% | 2.4870 | &nbsp;&nbsp;&nbsp;11/25/42 | 96295 |
| 2331185 | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE1 M2<sup>(a)</sup> | US0001M + 0.540% | 4.9290 | &nbsp;&nbsp;&nbsp;04/25/36 | 2088167 |
| 12628252 | Wells Fargo Home Equity Asset-Backed Securities Series 2006-3 M2<sup>(a)</sup> | US0001M + 0.405% | 4.7940 | &nbsp;&nbsp;&nbsp;01/25/37 | 12848483 |
|  | **TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $661,987,686)** | **TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $661,987,686)** |  |  | 803479371 |
|  | **TOTAL INVESTMENTS - 103.5% (Cost $661,987,686)** | **TOTAL INVESTMENTS - 103.5% (Cost $661,987,686)** |  |  | &nbsp;&nbsp;&nbsp; $803479371 |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (3.5)%** | **LIABILITIES IN EXCESS OF OTHER ASSETS - (3.5)%** |  |  | &nbsp;&nbsp; (26956010) |
|  | **NET ASSETS - 100.0%** |  |  |  | &nbsp;&nbsp; $776523361 |

---

---

| | |
|:---|:---|
| LLC | - Limited Liability Company |
| REMIC | - Real Estate Mortgage Investment Conduit |
| COF 11 | Cost of Funds for the 11th District of San Francisco |
| ICE LIBOR USD 1 Month | ICE LIBOR USD 1 Month |
| US0001M | ICE LIBOR USD 1 Month |
| US0006M | ICE LIBOR USD 6 Month |
| US0012M | ICE LIBOR USD 12 Month |
| <sup>(a)</sup> | Floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
| <sup>(b)</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 $126,295,490 or 16.3% of net assets. |
| <sup>(c)</sup> | Variable rate security; the rate shown represents the rate on December 31, 2022. |
| <sup>(d)</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>(e)</sup> | Illiquid security. Total illiquid securities represents 0.0% 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:** MUTUAL FUND SERIES TRUST

- **b. Investment Company Act file number:** 811-21872

- **c. CIK number of Registrant:** 0001355064

- **d. LEI of Registrant:** 5493002ZGLQMLR4QMA96

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

  - **Street Address 1:** C/O GEMINI FUND SERVICES LLC

  - **City:** ELKHORN

  - **State:** NE

  - **Foreign country:** US

  - **Zip / Postal Code:** 68022

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

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

- **a. Name of Series:** AlphaCentric Income Opportunities Fund

- **b. EDGAR series identifier (if any):** S000048680

- **c. LEI of Series:** 549300G5GDKQ1HGLKQ58

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

- **a. Date of fiscal year-end:** 2023-03-31

- **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:** $807206697.31

**Total Liabilities:** $30683336.13

**Net Assets:** $776523361.18

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 11.51532300 | **5-Year:** 74.81367500 | **10-Year:** 53.17496000 | **30-Year:** 0.00000000

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

- **3-Month:** 73.74670300 | **1-Year:** 2902.60748000 | **5-Year:** 40910.70075500 | **10-Year:** 1039332.99748900 | **30-Year:** 234881.36925000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000153405 | -1.84%               | -1.11%               | 1.20%                |
| Class ID C000153406 | -1.90%               | -1.19%               | 1.13%                |
| Class ID C000153407 | -1.81%               | -1.09%               | 1.22%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $11682959.32             | $-30893734.24                              |
| Month 2  | $14567757.35             | $-26342672.07                              |
| Month 3  | $5342026.02              | $2677103.19                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Residential Asset Securities Corp.                              | RASC 2005-KS2 M3   | CUSIP: 76110WN85<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1407828 | PA      | $1387797.13   | 0.18%             | 2035-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                     | DELHE 1997-3 B1F   | CUSIP: 24763LCD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1441070 | PA      | $1273560.63   | 0.16%             | 2028-10-25      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-RM2 M4    | CUSIP: 004421JZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481054 | PA      | $388779.73    | 0.05%             | 2035-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-SD3 M3    | CUSIP: 126673FN7<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-O            | CORP              | US        |     96605 | PA      | $105168.21    | 0.01%             | 2033-11-25      | Floating      | 8.89%                 | Yes           |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                | PPSI 2005-WHQ1 M7  | CUSIP: 70069FGG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7727847 | PA      | $6382671.48   | 0.82%             | 2035-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Mastr Asset Backed Secs Trust 2007                              | MABS 2007-HE1 M1   | CUSIP: 576457AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4454272 | PA      | $4372991.13   | 0.56%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2005-OPT3 M4  | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3977500 | PA      | $2933708.14   | 0.38%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAMP 2004-RS7 A3   | CUSIP: 7609857K1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1458059 | PA      | $1327348.15   | 0.17%             | 2034-07-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2005-3 M4     | CUSIP: 83611MFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2045293 | PA      | $1937631.70   | 0.25%             | 2035-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Ownit Mtg Loan Tr                                               | OWNIT 2006-3 M1    | CUSIP: 69121PDZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2290244 | PA      | $2137964.67   | 0.28%             | 2037-03-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ellington Ln Acq T                                              | ELAT 2007-2 M2B    | CUSIP: 288547AU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2686093 | PA      | $1847631.18   | 0.24%             | 2037-05-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                          | GSAMP 2006-NC1 M2  | CUSIP: 362334EE0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   5149507 | PA      | $4922894.84   | 0.63%             | 2036-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2005-HE3 M3   | CUSIP: 86358EWZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2106652 | PA      | $1696535.87   | 0.22%             | 2035-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                             | MABS 2004-HE1 M10  | CUSIP: 57643LET9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1497751 | PA      | $1167287.94   | 0.15%             | 2034-09-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp Mortgage Loan                  | SASC 2006-W1A M1   | CUSIP: 86361CAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9415856 | PA      | $9467002.21   | 1.22%             | 2046-08-25      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-BC5 M8    | CUSIP: 126673PV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1813521 | PA      | $1663804.93   | 0.21%             | 2034-10-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | QUEST 2005-X1 M5   | CUSIP: 03072SZN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5984900 | PA      | $5241083.46   | 0.67%             | 2035-03-25      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2005-HE9 M4  | CUSIP: 073879R75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9949858 | PA      | $8851690.99   | 1.14%             | 2035-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                | MSAC 2006-NC1 M3   | CUSIP: 61744CYD2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |  10595476 | PA      | $10268511.00  | 1.32%             | 2035-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2005-HE1 M5  | CUSIP: 073879PV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1292006 | PA      | $1191317.49   | 0.15%             | 2035-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                               | MSM 2004-7AR 2A7   | CUSIP: 61748HCL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62584 | PA      | $61103.24     | 0.01%             | 2034-09-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                 | IMM 2004-10 3M1    | CUSIP: 45254NLR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253075 | PA      | $227293.51    | 0.03%             | 2035-03-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                       | ABFC 2004-OPT4 M4  | CUSIP: 04542BHG0<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |   1095031 | PA      | $1020590.95   | 0.13%             | 2033-07-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                | PPSI 2004-WHQ2 M7  | CUSIP: 70069FEP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3355676 | PA      | $2097670.49   | 0.27%             | 2035-02-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                | PPSI 2005-WHQ3 M7  | CUSIP: 70069FJV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3620892 | PA      | $4062601.06   | 0.52%             | 2035-06-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2004-10 M7    | CUSIP: 86358EPJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2584533 | PA      | $3028919.15   | 0.39%             | 2034-11-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2006-WMC1 M2 | CUSIP: 17307GZ76<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4880726 | PA      | $3972737.03   | 0.51%             | 2035-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Argent Secs Inc                                                 | ARSI 2006-W1 M1    | CUSIP: 040104RH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5415351 | PA      | $4362196.30   | 0.56%             | 2036-03-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2005-OPT4 M2  | CUSIP: 83611MJM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6698014 | PA      | $5346351.61   | 0.69%             | 2035-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2006-GEL4 M2  | CUSIP: 86361NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5239725 | PA      | $5262634.93   | 0.68%             | 2036-10-25      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Greenpoint Mtg Ar4                                              | GPMF 2006-AR4 A4A  | CUSIP: 39539FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3330714 | PA      | $2581908.25   | 0.33%             | 2046-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                           | MARM 2004-5 B2     | CUSIP: 576433NJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444564 | PA      | $351536.51    | 0.05%             | 2034-07-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                         | FHLT 2005-1 M7     | CUSIP: 35729PJH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5979255 | PA      | $2734573.41   | 0.35%             | 2035-06-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2004-R8 M4    | CUSIP: 03072SUC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2409578 | PA      | $1912198.70   | 0.25%             | 2034-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-7                    | CWL 2006-7 M1      | CUSIP: 232422AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6744279 | PA      | $6148697.45   | 0.79%             | 2046-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                  | ARMT 2005-3 1A2    | CUSIP: 007036KA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93373 | PA      | $89135.11     | 0.01%             | 2035-07-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-10 2A4A | CUSIP: 17313QAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187039 | PA      | $164788.45    | 0.02%             | 2037-09-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                               | SEMT 2004-10 B1    | CUSIP: 81744FFC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007302 | PA      | $701271.91    | 0.09%             | 2034-11-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                              | RAMC 2005-1 M2     | CUSIP: 759950FJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10217101 | PA      | $1648436.29   | 0.21%             | 2035-05-25      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                  | OOMLT 2005-2 M4    | CUSIP: 68389FHE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7453936 | PA      | $5377728.43   | 0.69%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                  | OOMLT 2007-CP1 M1  | CUSIP: 68402YAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13603485 | PA      | $11157399.00  | 1.44%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                               | CARR 2006-NC4 M1   | CUSIP: 14453MAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8508783 | PA      | $6925154.99   | 0.89%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-OPT1 M8 | CUSIP: 17307GNY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    669860 | PA      | $536788.89    | 0.07%             | 2035-02-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                       | HVMLT 2006-12 2A2B | CUSIP: 41162DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170783 | PA      | $1887111.33   | 0.24%             | 2038-01-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                     | DELHE 1999-1 B     | CUSIP: 24763LFF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1159343 | PA      | $952901.46    | 0.12%             | 2028-03-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2003-FF4 M2   | CUSIP: 32027NDV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2015976 | PA      | $1716479.16   | 0.22%             | 2033-10-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| CIT Mtg Ln Tr                                                   | CITM 2007-1 2M3    | CUSIP: 12559QAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14454834 | PA      | $8829359.42   | 1.14%             | 2037-10-25      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                | MSAC 2005-WMC2 M5  | CUSIP: 61744CNV4<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   2378505 | PA      | $1797558.60   | 0.23%             | 2035-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2004-HE11 M4 | CUSIP: 073879PB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2985794 | PA      | $2443204.86   | 0.31%             | 2034-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Abfc Trust                                                      | ABFC 2007-NC1 M1   | CUSIP: 00076BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5097912 | PA      | $3849779.69   | 0.50%             | 2037-05-25      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2006-ASP4 M1   | CUSIP: 00441UAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4708522 | PA      | $4149498.27   | 0.53%             | 2036-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                               | CARR 2007-RFC1 M1  | CUSIP: 144526AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13733757 | PA      | $10703733.45  | 1.38%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2007-HE2 1A4 | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1708345 | PA      | $1541172.02   | 0.20%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                  | SAMI 2005-AR5 B1   | CUSIP: 86359LPL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1786689 | PA      | $1549986.38   | 0.20%             | 2035-07-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust Series 2005-A                | NCHET 2006-2 M1    | CUSIP: 64360YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3701538 | PA      | $3733274.20   | 0.48%             | 2036-08-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2002-C M2     | CUSIP: 152314FT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3774725 | PA      | $3565379.89   | 0.46%             | 2032-09-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-3 2A3   | CUSIP: 17307GTL2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    600659 | PA      | $481481.96    | 0.06%             | 2035-08-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                               | INABS 2006-B M1    | CUSIP: 456606LB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16695890 | PA      | $12709065.06  | 1.64%             | 2036-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Popular Abs Mtg 07                                              | POPLR 2007-A M1    | CUSIP: 73316NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8501550 | PA      | $7345766.52   | 0.95%             | 2047-06-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2005-R5 M7    | CUSIP: 03072SE84<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3403670 | PA      | $3295279.00   | 0.42%             | 2035-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                         | HEAT 2005-6 M6     | CUSIP: 437084NH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2275131 | PA      | $3632814.12   | 0.47%             | 2035-12-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Ixis Real Estate                                                | IXIS 2005-HE2 M6   | CUSIP: 45071KBP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    995969 | PA      | $1030184.71   | 0.13%             | 2035-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Finance America Mt                                              | FINA 2004-3 M5     | CUSIP: 317350BX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1724282 | PA      | $1338659.67   | 0.17%             | 2034-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2006-ASP3 M1   | CUSIP: 00442VAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2909713 | PA      | $2310291.45   | 0.30%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2004-R8 M5    | CUSIP: 03072SUD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2722790 | PA      | $2072635.73   | 0.27%             | 2034-09-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2005-R10 M7   | CUSIP: 03072ST47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1184683 | PA      | $1241602.52   | 0.16%             | 2036-01-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                       | SAMI 2002-AR4 A2   | CUSIP: 86358HQT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1041133 | PA      | $821821.47    | 0.11%             | 2033-02-19      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                          | BSARM 2004-7 1A1   | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401844 | PA      | $340248.07    | 0.04%             | 2034-10-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSAA 2004-11 M2    | CUSIP: 36242DQK2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   4032640 | PA      | $3370426.99   | 0.43%             | 2034-12-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                  | LBMLT 2005-3 M1    | CUSIP: 542514NX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11153657 | PA      | $9865636.12   | 1.27%             | 2045-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                     | DELHE 1998-1 M1F   | CUSIP: 24763LDE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1355353 | PA      | $1148371.09   | 0.15%             | 2030-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                          | NAA 2003-A1 A2     | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6303 | PA      | $6028.55      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JpMorgan MrtgAcq                                                | JPMAC 2007-HE1 MV1 | CUSIP: 46630KAV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3777375 | PA      | $3879584.72   | 0.50%             | 2047-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity                                              | NHELI 2006-WF1 M4  | CUSIP: 65536RAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1334307 | PA      | $1173123.41   | 0.15%             | 2036-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Truman Cap Mtg Ln                                               | TRUMN 2005-1 M3    | CUSIP: 897896BG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757000 | PA      | $776165.12    | 0.10%             | 2037-03-25      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2005-HE2 M7    | CUSIP: 004421MJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4357792 | PA      | $2735702.10   | 0.35%             | 2035-04-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Rasc Ser 2005-Ks12                                              | RASC 2005-KS12 M5  | CUSIP: 753910AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6476021 | PA      | $6529206.43   | 0.84%             | 2036-01-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                      | AMRES 1999-1 M2    | CUSIP: 03215PFQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2788 | PA      | $2530.83      | 0.00%             | 2029-11-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLCC 2006-1 M1     | CUSIP: 59020U4U6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3292413 | PA      | $2278545.89   | 0.29%             | 2036-02-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-9 MV5     | CUSIP: 126673GT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1270633 | PA      | $1089998.87   | 0.14%             | 2034-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Rasc Ser 06-Emx1                                                | RASC 2006-EMX1 M3  | CUSIP: 75405KAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2975928 | PA      | $2404566.29   | 0.31%             | 2036-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2005-HE10 M2 | CUSIP: 073879X45<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1052645 | PA      | $945141.82    | 0.12%             | 2035-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-2                    | CWL 2007-2 M1      | CUSIP: 12668NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4047723 | PA      | $3229185.82   | 0.42%             | 2037-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-AHL1 M2 | CUSIP: 17311VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10641435 | PA      | $11163954.32  | 1.44%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secs 1 Tr                             | BSABS 2007-HE7 M2  | CUSIP: 07387VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750211 | PA      | $1583599.61   | 0.20%             | 2037-10-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2006-2 M3     | CUSIP: 80556XAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11161909 | PA      | $8863442.78   | 1.14%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                | MSAC 2005-WMC5 B1  | CUSIP: 61744CRX6<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   5897597 | PA      | $4889804.92   | 0.63%             | 2035-06-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2005-NC1 M6   | CUSIP: 86359BZ61<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2479557 | PA      | $2453155.00   | 0.32%             | 2035-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | CSFB 2001-HE22 M1  | CUSIP: 22540VCT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1413549 | PA      | $2138375.92   | 0.28%             | 2032-02-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2004-11 M6     | CUSIP: 126673LW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2442562 | PA      | $2065441.74   | 0.27%             | 2034-11-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2005-A3 M2    | CUSIP: 59020UVU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5937647 | PA      | $5447074.83   | 0.70%             | 2035-04-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corp                                 | OPMAC 2005-5 M1    | CUSIP: 68383NDB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5952157 | PA      | $6022146.25   | 0.78%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2004-WMC1 B1  | CUSIP: 5899297M4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1504514 | PA      | $1327477.55   | 0.17%             | 2034-10-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-HE4 M6    | CUSIP: 004421JN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5162884 | PA      | $3802010.45   | 0.49%             | 2034-12-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust    | WFHET 2006-3 M2    | CUSIP: 9497EBAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12628252 | PA      | $12848482.90  | 1.65%             | 2037-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                              | GPMF 2005-HY1 M2   | CUSIP: 39538WBF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5048045 | PA      | $4697075.12   | 0.60%             | 2035-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                 | INDX 2004-AR6 6A2  | CUSIP: 45660NY33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20284 | PA      | $18172.79     | 0.00%             | 2034-10-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                      | BSABS 2006-4 M2    | CUSIP: 07389LAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3104304 | PA      | $1411098.01   | 0.18%             | 2036-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                    | MASD 2005-2 M4     | CUSIP: 576436CH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    901537 | PA      | $874166.07    | 0.11%             | 2035-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2004-OPT1 M8 | CUSIP: 17307GJQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1622515 | PA      | $1155722.37   | 0.15%             | 2034-10-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2004-11 1M2  | CUSIP: 07386HMS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1287243 | PA      | $1159437.85   | 0.15%             | 2034-11-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                | MSAC 2005-WMC3 M6  | CUSIP: 61744CQC3<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   4303249 | PA      | $3278941.77   | 0.42%             | 2035-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                | PPSI 2005-WCW1 M5  | CUSIP: 70069FKJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800387 | PA      | $3376021.69   | 0.43%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2007-3 1M2    | CUSIP: 80557BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4743900 | PA      | $4641038.78   | 0.60%             | 2047-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2003-SD2 B1    | CUSIP: 126671ZH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148255 | PA      | $162418.36    | 0.02%             | 2032-10-25      | Floating      | 10.01%                | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-FM2 M3    | CUSIP: 004421GL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111159 | PA      | $102367.47    | 0.01%             | 2034-06-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                               | SASC 2005-WF1 M7   | CUSIP: 86359BW56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478047 | PA      | $457514.88    | 0.06%             | 2035-02-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                         | FHLT 2004-4 M3     | CUSIP: 35729PGV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375966 | PA      | $280962.21    | 0.04%             | 2035-03-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2005-1 M6     | CUSIP: 83611MCS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3544181 | PA      | $3444714.32   | 0.44%             | 2035-04-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLCC 2005-A B2     | CUSIP: 59020UTF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253924 | PA      | $175951.55    | 0.02%             | 2030-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                              | RAMC 2002-2 M2     | CUSIP: 759950AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1229306 | PA      | $1069247.96   | 0.14%             | 2032-08-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                               | CARR 2006-FRE1 M1  | CUSIP: 144538AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  45368500 | PA      | $31225423.62  | 4.02%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                      | BAFC 2006-G M2     | CUSIP: 05950MAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7454916 | PA      | $6389204.26   | 0.82%             | 2036-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                       | NCHET 2004-A M2    | CUSIP: 64352VGX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    657803 | PA      | $632749.15    | 0.08%             | 2034-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                       | NCHET 2003-5 AII   | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195432 | PA      | $176519.93    | 0.02%             | 2033-11-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Cwalt Alt 2006-J8                                               | CWALT 2006-OA22 A3 | CUSIP: 23245PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1113006 | PA      | $961790.11    | 0.12%             | 2047-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                             | BAFC 2004-B 3A2    | CUSIP: 05946XJC8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1122080 | PA      | $861193.78    | 0.11%             | 2034-12-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                  | LBMLT 2003-1 M3    | CUSIP: 542514DL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1902704 | PA      | $2258201.07   | 0.29%             | 2033-03-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2004-B M7     | CUSIP: 152314KB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58269 | PA      | $1724.31      | 0.00%             | 2034-03-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                         | AHM 2006-1 1A2     | CUSIP: 02660THZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7697276 | PA      | $5708663.01   | 0.74%             | 2046-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                          | BSARM 2003-8 1A2   | CUSIP: 07384MZR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25365 | PA      | $22854.79     | 0.00%             | 2034-01-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                     | DELHE 1999-2 M1    | CUSIP: 24763LFP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1733831 | PA      | $1294861.04   | 0.17%             | 2030-08-15      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2005-CL1 M1  | CUSIP: 073879V47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3917599 | PA      | $2872410.43   | 0.37%             | 2034-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                          | FFML 2006-FF3 M2   | CUSIP: 362334AX2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1420990 | PA      | $1137183.84   | 0.15%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| 1ST Franklin Ff9                                                | FFML 2006-FF9 M1   | CUSIP: 320276AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6919209 | PA      | $9192768.19   | 1.18%             | 2036-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSAA 2005-4 B1     | CUSIP: 36242DZS5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   2146082 | PA      | $1625288.28   | 0.21%             | 2035-03-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                              | RASC 2005-EMX1 B   | CUSIP: 76110WR32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1791312 | PA      | $1591912.00   | 0.21%             | 2035-03-25      | Floating      | 8.89%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-SD1 M4    | CUSIP: 004421HH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    678000 | PA      | $649930.46    | 0.08%             | 2033-11-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Eq                                              | NSTR 2007-B M2     | CUSIP: 63860LAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6437511 | PA      | $7867773.00   | 1.01%             | 2037-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2005-OPT1 M5  | CUSIP: 83611MDL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5321456 | PA      | $3393178.85   | 0.44%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                               | CARR 2006-NC2 M1   | CUSIP: 14453FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23424000 | PA      | $17947803.76  | 2.31%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSRPM 2004-1 B2    | CUSIP: 36242DGM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007035 | PA      | $881809.23    | 0.11%             | 2042-09-25      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                              | WMABS 2006-HE1 M2  | CUSIP: 92925CEV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2331185 | PA      | $2088167.40   | 0.27%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust                  | SABR 2005-FR1 M2   | CUSIP: 81375WDT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1147987 | PA      | $989137.60    | 0.13%             | 2034-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2004-R11 M6   | CUSIP: 03072SWV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2351672 | PA      | $1957697.18   | 0.25%             | 2034-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2005-2 M3     | CUSIP: 805564SE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2149653 | PA      | $1726699.04   | 0.22%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                | BALTA 2004-6 B1    | CUSIP: 07386HJZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2276165 | PA      | $2319492.64   | 0.30%             | 2034-07-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                    | MASD 2005-3 M2     | CUSIP: 576436CQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1462000 | PA      | $890801.28    | 0.11%             | 2035-11-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2005-9 M4      | CUSIP: 1266736H0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5711109 | PA      | $4857132.74   | 0.63%             | 2036-01-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2004-HE3 M7    | CUSIP: 004421HW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1661129 | PA      | $1757089.94   | 0.23%             | 2034-11-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust 2006-SD2                                            | GSAMP 2006-SD2 M1  | CUSIP: 362405AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2026546 | PA      | $1242186.21   | 0.16%             | 2046-05-25      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| GSamp Trust                                                     | GSAMP 2006-HE8 M1  | CUSIP: 3622M8AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6278763 | PA      | $4991544.79   | 0.64%             | 2037-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                | MSAC 2004-WMC2 B3  | CUSIP: 61746RHX2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   1467852 | PA      | $1285377.15   | 0.17%             | 2034-07-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSAMP 2005-AHL2 M1 | CUSIP: 362341C64<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   4553023 | PA      | $3250751.58   | 0.42%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Abfs Mtg Ln Tst                                                 | ABFS 2003-2 B      | CUSIP: 000759DN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1507020 | PA      | $506122.93    | 0.07%             | 2034-04-25      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Asset                                              | METRO 1998-AX B2   | CUSIP: 591739AT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506216 | PA      | $442335.36    | 0.06%             | 2027-02-20      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAMP 2006-RS1 M1   | CUSIP: 76112BU32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2490795 | PA      | $2109047.20   | 0.27%             | 2036-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                              | WAMU 2003-AR10 B2  | CUSIP: 92922FED6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629161 | PA      | $459312.26    | 0.06%             | 2033-10-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Equifirst Mtg Ln T                                              | EMLT 2005-1 M7     | CUSIP: 29445FCU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1782268 | PA      | $1509761.40   | 0.19%             | 2035-04-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2005-OPT1 M4  | CUSIP: 83611MDK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4542879 | PA      | $3348402.03   | 0.43%             | 2035-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-OPT4 M7 | CUSIP: 17307GUX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1721654.40   | 0.22%             | 2035-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                | MSAC 2007-HE6 M1   | CUSIP: 61755CAE2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   3481120 | PA      | $7008331.71   | 0.90%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust            | DMSI 2006-PR1 4AF2 | CUSIP: 25157GAQ5<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    413473 | PA      | $373765.45    | 0.05%             | 2036-04-15      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                             | MABS 2005-NC1 M8   | CUSIP: 57643LGN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79302 | PA      | $299931.88    | 0.04%             | 2034-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2003-A2 2A2   | CUSIP: 589929M96<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78427 | PA      | $73172.68     | 0.01%             | 2033-02-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| J P Morgan Mortgage Acquisition Corporation                     | JPMAC 2006-CH1 M9  | CUSIP: 46629TAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5669874 | PA      | $4698435.99   | 0.61%             | 2036-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2002-2 M4     | CUSIP: 03072SCK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045849 | PA      | $859684.81    | 0.11%             | 2032-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                             | MABS 2004-WMC3 M6  | CUSIP: 57643LFT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1575958 | PA      | $1537069.58   | 0.20%             | 2034-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates                  | CBASS 2007-SP2 M7  | CUSIP: 1248MHAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3616772 | PA      | $777259.23    | 0.10%             | 2046-03-25      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2004-C M5     | CUSIP: 152314KV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2686229 | PA      | $2374102.44   | 0.31%             | 2034-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Soundview Home Eqt                                              | SVHE 2005-A M6     | CUSIP: 83611PBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902887 | PA      | $900662.30    | 0.12%             | 2035-04-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                         | HEAT 2005-7 M3     | CUSIP: 437084PB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11779850 | PA      | $10973262.09  | 1.41%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2      | ACE 2005-SD2 M5    | CUSIP: 004421QJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2417000 | PA      | $1653434.17   | 0.21%             | 2040-08-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Ramp Ser 2006 Rs4                                               | RAMP 2006-RS4 M2   | CUSIP: 75156WAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3713903 | PA      | $3352595.63   | 0.43%             | 2036-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Carrngtn Mtg Fre2                                               | CARR 2006-FRE2 A4  | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2626954 | PA      | $2143046.11   | 0.28%             | 2036-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                              | RAMC 2002-1 M2     | CUSIP: 759950AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1992148 | PA      | $1634830.53   | 0.21%             | 2032-06-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp             | CSFB 2004-FRE1 B4  | CUSIP: 22541SSY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1238572 | PA      | $629041.24    | 0.08%             | 2034-04-25      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-BC2                  | CWL 2007-BC2 M1    | CUSIP: 12669QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3623224 | PA      | $2746313.55   | 0.35%             | 2037-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2004-2 MF5    | CUSIP: 805564QE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2309753 | PA      | $1555701.25   | 0.20%             | 2035-08-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                       | CWHL 2004-6 M      | CUSIP: 12669FVK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191501 | PA      | $190007.05    | 0.02%             | 2034-05-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| RAAC Series 2007-SP3 Trust                                      | RAAC 2007-SP3 M1   | CUSIP: 74978FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14328547 | PA      | $11419262.93  | 1.47%             | 2047-09-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-9                    | CWL 2007-9 M1      | CUSIP: 12670FAF7<br>LEI: 549300SQF1W3GH3SVI10 | Long             | ABS-O            | CORP              | US        |   9943872 | PA      | $10206049.79  | 1.31%             | 2047-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CIT Mtg Ln Tr                                                   | CITM 2007-1 1M3    | CUSIP: 12559QAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  81751747 | PA      | $50410808.60  | 6.49%             | 2037-10-25      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                  | CBASS 2003-RP1 M2  | CUSIP: 124860DU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1672937 | PA      | $1111090.88   | 0.14%             | 2033-03-25      | Floating      | 8.89%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                  | ARMT 2005-1 5M2    | CUSIP: 007036FY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2022296 | PA      | $1825825.25   | 0.24%             | 2035-05-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                               | SEMT 2004-10 XA    | CUSIP: 81744FEZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9253912 | PA      | $92.54        | 0.00%             | 2034-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mtg A                                                 | JPMAC 2006-CW1 M3  | CUSIP: 46628MAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3012492 | PA      | $3001299.71   | 0.39%             | 2036-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2006-SD1 M2    | CUSIP: 126670VQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000469 | PA      | $3320905.67   | 0.43%             | 2036-02-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2005-HE1 M5  | CUSIP: 17307GQT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2531865 | PA      | $2356833.64   | 0.30%             | 2035-05-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                       | SVHE 2006-1 M1     | CUSIP: 83611MLA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11126680 | PA      | $8811523.69   | 1.13%             | 2036-02-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                | MSAC 2004-WMC3 M4  | CUSIP: 61746RJN2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    344627 | PA      | $306917.70    | 0.04%             | 2035-01-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                              | FFML 2006-FF7 M1   | CUSIP: 320277AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2962112 | PA      | $2727909.19   | 0.35%             | 2036-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                       | NCHET 2005-1 M6    | CUSIP: 64352VKF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2019256 | PA      | $1673903.62   | 0.22%             | 2035-03-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                    | MASD 2006-1 M2     | CUSIP: 576436CX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6460152 | PA      | $4525259.67   | 0.58%             | 2036-01-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Strctrd Asset Invt                                              | SAIL 2005-HE2 M3   | CUSIP: 86358EVP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3048877 | PA      | $2638430.25   | 0.34%             | 2035-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                          | NAA 2003-A1 A5     | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16568 | PA      | $16175.95     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                              | RASC 2005-KS1 M4   | CUSIP: 76110WM60<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2772672 | PA      | $2394617.29   | 0.31%             | 2035-02-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2003-A1 2A    | CUSIP: 589929D88<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19432 | PA      | $18008.52     | 0.00%             | 2032-12-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | CBASS 2004-CB8 B2  | CUSIP: 59020UPV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1997993 | PA      | $1545397.89   | 0.20%             | 2035-12-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2002-AFC1 BV1 | CUSIP: 589929YF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2674273 | PA      | $2621862.70   | 0.34%             | 2032-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                      | CWL 2006-2 M3      | CUSIP: 126670UY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2551554 | PA      | $2580031.13   | 0.33%             | 2036-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                         | EMCM 2005-B M2     | CUSIP: 268668EY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5664442 | PA      | $5308748.12   | 0.68%             | 2042-04-25      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2005-4 M4     | CUSIP: 805564TM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5326270 | PA      | $4043317.30   | 0.52%             | 2037-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Spclty Undrw & Res                                              | SURF 2006-AB1 M1   | CUSIP: 84751PKX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5260599 | PA      | $5705904.48   | 0.73%             | 2036-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                     | DELHE 2000-3 M2    | CUSIP: 24763LHJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782301 | PA      | $667546.37    | 0.09%             | 2030-11-15      | Fixed         | 8.39%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2005-FF5 M5   | CUSIP: 32027NRX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3759787 | PA      | $2950792.86   | 0.38%             | 2035-05-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                          | MLMI 2003-OPT1 M2  | CUSIP: 5899295L8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498328 | PA      | $407698.70    | 0.05%             | 2034-07-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2006-HE9 M1  | CUSIP: 07389MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30804587 | PA      | $26831214.57  | 3.46%             | 2036-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                | MSAC 2004-WMC3 M6  | CUSIP: 61746RJQ5<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    296662 | PA      | $281423.10    | 0.04%             | 2035-01-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A | INABS 2006-C M1    | CUSIP: 43709BAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4406638 | PA      | $4726111.72   | 0.61%             | 2036-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Secs Trust                                   | AABST 2004-4 B3    | CUSIP: 00764MCY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    833937 | PA      | $847729.80    | 0.11%             | 2034-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                | PPSI 2005-WHQ4 M4  | CUSIP: 70069FMV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17839265 | PA      | $14140725.11  | 1.82%             | 2035-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                   | CXHE 2004-C M6     | CUSIP: 152314KW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1723187 | PA      | $609410.63    | 0.08%             | 2034-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Strctd Asst 07-Bc1                                              | SASC 2007-BC1 M1   | CUSIP: 86362PAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6254500 | PA      | $5373032.91   | 0.69%             | 2037-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                             | TMST 2004-2 B2     | CUSIP: 885220FM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267169 | PA      | $198278.53    | 0.03%             | 2044-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-22                   | CWL 2006-22 M1     | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12456820 | PA      | $10671904.53  | 1.37%             | 2047-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                           | BOAMS 2004-K B1    | CUSIP: 05949AXN5<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |   2607004 | PA      | $1941835.63   | 0.25%             | 2034-12-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CMLTI 2007-AMC4 M2 | CUSIP: 17313BAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8757444 | PA      | $8181222.83   | 1.05%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                     | GSR 2005-7F 3A1    | CUSIP: 362341MT3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      8753 | PA      | $8563.94      | 0.00%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                    | MALT 2002-2 B3     | CUSIP: 576434BH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423825 | PA      | $19484.08     | 0.00%             | 2032-10-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                     | FFML 2004-FFH2 M4  | CUSIP: 32027NJB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4838101 | PA      | $4118650.11   | 0.53%             | 2034-06-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Raac Ser 06-Rp2                                                 | RAAC 2006-RP2 M2   | CUSIP: 74919MAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4565336 | PA      | $3715072.43   | 0.48%             | 2037-02-25      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                       | RAMP 2005-RS8 M4   | CUSIP: 76112BZM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3356660 | PA      | $2700586.09   | 0.35%             | 2035-09-25      | Floating      | 5.29%                 | 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        |   1588560 | PA      | $1252650.79   | 0.16%             | 2034-05-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                         | FHLT 2005-A M5     | CUSIP: 35729PHQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6836146 | PA      | $5330056.15   | 0.69%             | 2035-01-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                  | AMSI 2005-R1 M6    | CUSIP: 03072SYD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8557578 | PA      | $8439624.96   | 1.09%             | 2035-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                               | CARR 2006-RFC1 M2  | CUSIP: 14453EAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8725486 | PA      | $7552386.65   | 0.97%             | 2036-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                   | CBASS 2004-CB7 B2  | CUSIP: 17307GLT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76959 | PA      | $59731.98     | 0.01%             | 2034-10-25      | Floating      | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                  | OOMLT 2005-5 M4    | CUSIP: 68389FKB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2880092 | PA      | $2441811.70   | 0.31%             | 2035-12-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                    | SAST 2007-4 M1     | CUSIP: 80557CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10935000 | PA      | $7242442.96   | 0.93%             | 2037-12-25      | Floating      | 7.39%                 | Yes           |                  2 | On Loan: No      |
| Spclty Undrw & Res                                              | SURF 2005-BC3 M4   | CUSIP: 84751PHB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4210678 | PA      | $3252150.42   | 0.42%             | 2036-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                         | HEAT 2005-3 M6     | CUSIP: 437084KV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3840219 | PA      | $3754697.74   | 0.48%             | 2035-08-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Sasco Mtg Ln Tr                                                 | SASC 2003-GEL1 M3  | CUSIP: 80382UAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167083 | PA      | $147253.08    | 0.02%             | 2033-10-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                 | NHEL 2003-1 M2     | CUSIP: 66987XCG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3126335 | PA      | $2756554.91   | 0.35%             | 2033-05-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                  | ARMT 2005-2 6M3    | CUSIP: 007036HB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5831898 | PA      | $3994008.99   | 0.51%             | 2035-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust                                    | MMLT 2004-2 M4     | CUSIP: 59001FBH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1259829 | PA      | $1095036.47   | 0.14%             | 2035-01-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                    | BSABS 2005-HE4 M4  | CUSIP: 073879TW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2513651 | PA      | $2282943.33   | 0.29%             | 2035-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                           | TMTS 2007-QHL1 M1  | CUSIP: 88157YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5740000 | PA      | $5187593.31   | 0.67%             | 2038-10-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                              | RAMC 2003-2 M2F    | CUSIP: 759950BA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398481 | PA      | $331573.70    | 0.04%             | 2033-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                              | WAMU 2002-AR17 2B1 | CUSIP: 929227XG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104292 | PA      | $96294.86     | 0.01%             | 2042-11-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                  | SAMI 2004-AR5 1A2  | CUSIP: 86359LDY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122121 | PA      | $103417.87    | 0.01%             | 2034-10-19      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                         | FHLT 2004-3 M5     | CUSIP: 35729PFQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1975222 | PA      | $1503634.30   | 0.19%             | 2034-11-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Renaissance Mtg Ac                                              | RAMC 2005-2 M2     | CUSIP: 75970NAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7166109 | PA      | $1747024.89   | 0.22%             | 2035-08-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** MUTUAL FUND SERIES TRUST

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Treasurer