united states
securities and exchange commission
washington, d.c. 20549
form n-csr
certified shareholder report of registered management
investment companies
Investment Company Act file number 811-21720
Northern Lights Fund Trust
(Exact name of registrant as specified in charter)
225 Pictoria Drive , Suite 450,Cincinnati, Ohio 45246
(Address of principal executive offices) (Zip code)
Richard Malinowski, Gemini Fund Services, LLC.
4221 North 203rd Street, Suite 100, Elkhorn, Nebraska 68022-3474
(Name and address of agent for service)
Registrant's telephone number, including area code: 631-470-2669
Date of fiscal year end: 09/30
Date of reporting period:03/31/20
Item 1. Reports to Stockholders.
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Deer Park Total Return Credit Fund |
Class A Shares: DPFAX |
Class C Shares: DPFCX |
Class I Shares: DPFNX |
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Semi-Annual Report |
March 31, 2020 |
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www.deerparkfund.com |
1-888-868-9501 |
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Distributed by Northern Lights Distributors, LLC |
Member FINRA |
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Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website www.deerparkfund.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by following the instructions included with paper Fund documents that have been mailed to you.
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May 31, 2020
Dear Investor,
The Deer Park Total Return Credit Fund (the “Fund”) is an open-end mutual fund that invests primarily in legacy non-agency mortgage backed securities (“RMBS”) and legacy asset backed securities (“ABS”) which we believe have a very attractive fundamental backdrop of an improving U.S. economy and housing market. The Fund seeks to provide a distribution yield of 3-6% and an attractive risk-adjusted total return with little correlation to both investment grade and high yield bonds. As of March 31, 2020, approximately 92% of the Fund is in floating-rate securities which we believe have the potential to provide uncorrelated returns regardless of interest rate direction.
Market Performance for the Six-Month Period Ending March 31, 2020
The Fund’s Class I Shares returned -13.58% over the six-month period ended March 31, 2020, and 3.41% annualized since the Fund’s inception on October 16, 2015. The Fund made quarterly distributions that amounted to approximately $0.32/share over the six-month period.
The Fund’s distribution policy is to make quarterly distributions to shareholders. The level of quarterly distributions (including return of capital) is not fixed. However, this distribution policy is subject to change. Shareholders should not assume that the source of a distribution from the Fund is net profit. A portion of the distributions consist of a return of capital based on the character of the distributions received from the underlying holdings. The final determination of the source and tax characteristics of all distributions will be made after the end of the year. Shareholders should note that return of capital will reduce the tax basis of their shares and potentially increase the taxable gain, if any, upon disposition of their shares. There is no assurance that the Fund will continue to declare distributions or that they will continue at these rates.
As of March 31, 2020 | Q1 2020 | Q4 2019 | Six Months | One Year | Three Year | Since Inception* |
DPFNX Class I (NAV) | -14.11% | 0.61% | -13.58% | -10.55% | 0.12% | 3.41% |
DPFAX Class A (NAV) | -14.18% | 0.54% | -13.71% | -10.79% | -0.13% | 3.15% |
DPFAX Class A (Max Load) | -19.08% | -5.24% | -18.68% | -15.95% | -2.08% | 1.79% |
DPFCX Class C (NAV) | -14.39% | 0.45% | -14.00% | -11.46% | n/a | -0.97% |
Bloomberg Barclays US Aggregate | 3.15% | 0.18% | 3.33% | 8.93% | 4.82% | 3.79% |
HFRX Fixed Income – Credit | -6.39% | 2.54% | -4.01% | -1.84% | -0.17% | 0.57% |
| * | Inception date for the I and A share classes is October 16, 2015. Inception date the C share class is April 6, 2017. Performance for periods longer than one year is annualized. |
The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Past performance is no guarantee of future results. For performance information current to the most recent month-end, please call toll-free (888) 868-9501. The Fund’s total annual operating expenses are 2.36%, 3.11%, and 2.11% for the Class A, C, and I shares, respectively. The Fund’s investment advisor has contractually agreed to waive management fees and to make payments to limit Fund expenses. After this fee waiver, the expense ratios are 2.15%, 2.90%, and 1.90% for the Class A, C, and I shares, respectively. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years. The maximum sales load for the Class A shares is 5.75%. A fund’s performance, especially for very short periods of time, should not be the sole factor in making your investment decisions.
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Market & Portfolio Update:
Q4 2019
We saw continued spread tightening across sectors in corporate credit products through the Fourth Quarter of 2019. While legacy non-agency RMBS performed well throughout 2019, on a relative basis they lagged the exuberant returns seen in corporate bonds markets. While the outperformance of corporate bonds was in part due to the lower starting levels as a result of the Q4 2018 selloff, the end result was a retracement of corporate spreads back to the tightest levels seen since 2007.
In the Fourth Quarter of 2019, legacy non-agency RMBS market price levels remained stable which led to somewhat muted returns of +0.61% for the quarter for the I Share Class. At the same time, these stable prices provided opportunities to trade out of lower yielding positions with limited upside return potential.
Q1 2020
The First Quarter of 2020 proved to be an extraordinary time in the markets and for societies the world over. Stock markets endured their worst declines since the 2008 crisis, with the Dow diving -22.7% and the S&P 500 losing -19.6% in the First Quarter of 2020. In a dramatic shift in sentiment, US markets officially entered into correction territory, for reference this reflects the fastest decline from peak of markets to correction ever. The dramatic market shift led to numerous liquidity events in credit markets as well. Portfolio managers that had taken on excess leverage, moved into positions we believe were poor quality credit sectors, or who did both were blindsided by this event and pushed into forced selling. This has resulted in both justified price declines in sectors that we believe will face mounting default exposure (e.g. Agency CRT, CMBS, CLO, HY Corporate etc.) and more technical price declines in sectors we believe are fundamentally sound assets like legacy non-agency RMBS. Legacy non-agency RMBS has a notable advantage of substantial homeowner equity that we believe will insulate the asset class from permanent default risk. After the dramatic decline began, the US Federal Reserve (“Fed”) and central banks globally have thrown the kitchen sink at the market to “backstop” the selloff, increasing the Fed balance sheet to the tune of almost $2 trillion in just one month. The immediate impact has been to quell market fear and provide needed liquidity. But ultimately, we believe these efforts will have limited effect on mitigating the substantial default risk that many of the above-mentioned sectors may face.
As the impact of the coronavirus expands, we have seen extreme uncertainty and significant changes in public and business behavior which may have a dramatic impact on corporate debt instruments. Public events of all types have been suspended or cancelled, travel restrictions have had a dramatic impact on cruise lines, airlines and other transportation and hospitality businesses. As these preventative actions continue to be implemented (closing schools, instructing work-from-home policies, limitations being placed on gatherings, etc.) there is undoubtedly going to be clear effects on associated businesses and revenue, resulting in a decline in GDP forecasts, potentially significantly.
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The Current Opportunity in Non-Agency Legacy RMBS:
The core principals of the Deer Park Total Return Credit Fund (“Fund”) are founded on our approach to managing investments through all phases of credit cycles. Our strategy begins with fundamental analysis to source opportunities across all categories of structured credit and other markets and importantly to attempt to manage risk through avoiding sectors/asset classes we view as demonstrating adverse risk/return prospects. We have been concerned with what we believe are excesses across many speculative and risky markets, particularly those related to corporate credit and newer issue CMBS as well as new-issue mortgage products.
Non-Agency Legacy RMBS
| ● | The $400bn market for non-agency legacy RMBS, which has benefitted from a decade of deleveraging of risk (e.g. declining delinquency rates, increasing borrower home equity, and beneficial effects of low interest rates) has also been impacted by a severe technical selloff due to forced and indiscriminate selling in the markets. |
| ● | Given what we believe are strong fundamental performance characteristics of these seasoned mortgage pools, it is our belief we are now seeing one of the best opportunities in this market in over ten years. |
| ● | The best opportunity to produce outsized returns for investors is to be able to provide liquidity to markets demonstrating what we believe are attractive levels of pricing. |
Why the Opportunity Exists
In recent years we have witnessed several elements of risk developing in the credit markets. Cheap debt fostered by unprecedented Fed and Central Bank activity along with what we believe were irresponsible corporate uses of capital and massive private debt funds chasing yield in highly levered corporations created a susceptible heap of dry tinder primed to ignite. Alongside this, and within the asset backed space, new mortgage credit products emerged. An example of this are RMBS 2.0 securities which are new production, non-agency mortgages and Credit Risk Transfers (CRTs), which are risk sharing bonds where the buyer underwrites credit risk from FNMA and FHLMC. By nature, these securities are extremely leveraged. Utilizing these and other products in an effort to stretch for yields and invest capital we believe many REITs, hedge funds and other mutual funds began to make investments in these products.
We chose to specifically avoid these asset classes in anticipation of this scenario. Many funds have experienced redemptions and were forced to sell these securities as well as what we believe are coveted non-agency legacy RMBS bonds at discounts we haven’t seen in over 10+ years.
Why Non-Agency Legacy RMBS
Of the Fund’s $509 million of assets, roughly 84% of the holdings are in non-agency RMBS (as of 03/31/2020). We have frequently articulated our belief in the risk-adjusted returns and fundamental value of these assets on both a relative and absolute basis. This market consists of 2000-2007 vintage securities that have survived the global financial crisis and now contain mortgages which have loan-to-values of 40
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or more and are on the back-end of their amortization schedule. A large majority of the underlying loans have been through modification and the emotional attachment of the borrower to their home cannot be understated. Fundamentally we believe there has been little in the way of impact to these securities and ultimately Fed and Government economic support efforts will likely support these homeowners through this crisis.
Market Outlook
In terms of our positioning, we are confident in the diversified long bond holdings that we have accumulated in predominantly legacy Non-Agency RMBS. We believe fundamental performance characteristics remain sound and we see attractive additional new purchases opportunities. Meanwhile, we believe our dedicated approach to prudent risk management, through attempting to avoid high risk sectors will enable the strategy to perform well during this transition in markets.
Again, we want to thank everyone for your commitment to Deer Park during these challenging times. We are very positive about the positioning of the Fund and its ability to generate attractive near-term gains during periods of market dislocation, while still benefitting from core strength of our long holdings. Broader potential macro effects on financial markets and volatility levels are evolving daily and we believe this will offer us opportunities moving forward.
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Important Risk Disclosures:
Investors should carefully consider the investment objectives, risks, charges and expenses of the Deer Park Total Return Credit Fund. This and other important information about the Fund is contained in the Prospectus, which can be obtained by contacting your financial advisor, or by calling (888) 868-9501. The Prospectus should be read carefully before investing. The Deer Park Total Return Credit Fund is distributed by Northern Lights Distributors, LLC member FINRA/SIPC. Princeton Fund Advisors, LLC, and Northern Lights Distributors are not affiliated. Mutual Funds involve risk including the possible loss of principal.
ABS, RMBS and CMBS are subject to credit risk because underlying loan borrowers may default. Additionally, these securities are subject to prepayment risk because the underlying loans held by the issuers may be paid off prior to maturity. The value of these securities may go down as a result of changes in prepayment rates on the underlying mortgages or loans. During periods of declining interest rates, prepayment rates usually increase and the Fund may have to reinvest prepayment proceeds at a lower interest rate. CMBS are less susceptible to this risk because underlying loans may have prepayment penalties or prepayment lock out periods. There is a risk that issuers and counterparties will not make payments on securities and other investments held by the Fund, resulting in losses to the Fund. In addition, the credit quality of securities held by the Fund may be lowered if an issuer’s financial condition changes.
Standard Deviationmeasures the average deviations of a return series from its mean.Gain Deviationis the Standard Deviation of all positive returns.Loss Deviation is the Standard Deviation of all negative returns.Sharpe Ratio is a statistical measure that uses standard deviation and excess return over a risk-free rate of return to determine reward per unit of risk. A higher Sharpe ratio implies a better historical risk-adjusted performance. The Sharpe ratio has been calculated using the Citi 3-month Treasury Bill Index for the risk-free rate of return.Correlation is a statistic that measures the degree to which two return series move in relation to each other.
The Bloomberg Barclays U.S. Aggregate Bond Indexprovides a measure of the performance of the U.S. investment grades bond market.
The value of the Fund’s investments in fixed income securities will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities.HFRX Fixed Income - Credit Index includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, and Asset Backed. Investment thesis across all strategies is predicated on realization of a valuation discrepancy between the related credit instruments.The Bloomberg Barclays U.S. Municipal Index covers the USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds.
Foreign investing involves risks not typically associated with U.S. investments, including adverse fluctuations in foreign currency values, adverse political, social and economic developments, less liquidity, greater volatility, less developed or less efficient trading markets, political instability and differing auditing and legal standards. Investing in emerging markets imposes risks different from, or greater than, risks of investing in foreign developed countries.
Lower-quality fixed income securities, known as “high yield” or “junk” bonds, present greater risk than bonds of higher quality, including an increased risk of default. An economic downturn or period of rising interest rates could adversely affect the market for these bonds and reduce the Fund’s ability to sell its bonds. The lack of a liquid market for these bonds could decrease the Fund’s share price.
Repayment of defaulted securities and obligations of distressed issuers (including insolvent issuers or issuers in payment or covenant default, in workout or restructuring or in bankruptcy or in solvency proceedings) is subject to significant uncertainties. Investments in defaulted securities and obligations of distressed issuers are considered speculative as are junk bonds in general.
The value of a specific security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. The value of securities of smaller issuers can be more volatile than those of larger issuers. The value of certain types of securities can be more volatile due to increased sensitivity to adverse issuer, political, regulatory, market, or economic developments. Liquidity risk exists when particular investments of the Fund would be difficult to purchase or sell, possibly preventing the Fund from selling such illiquid securities at an advantageous time or price, or possibly requiring the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations.
The advisor’s and sub-advisors’ judgments about the attractiveness, value and potential appreciation of particular asset classes and securities in which the Fund invests (long or short) may prove to be incorrect and may not produce the desired results. Additionally, the advisor’s judgments about the potential performance of the sub-advisor may also prove incorrect and may not produce the desired results. Overall equity and fixed income securities and derivatives market risks may affect the value of individual instruments in which the Fund invests. Factors such as domestic and foreign economic growth and market conditions, interest rate levels, and political events affect the securities and derivatives markets. When the value of the Fund’s investments goes down, your investment in the Fund decreases in value and you could lose money.
Smaller companies may have limited product lines, markets or financial resources, and they may be dependent on a limited management group. Securities of smaller companies may be subject to more abrupt or erratic market movements than those of larger, more established companies or the market averages in general. Underlying funds are subject to investment advisory and other expenses, which will be indirectly paid by the Fund. As a result, the cost of investing in the Fund will be higher than the cost of investing directly in an underlying fund and may be higher than other mutual funds that invest directly in stocks and bonds. Underlying funds are subject to specific risks, depending on the nature of the fund.
3616-NLD-5/26/2020
Deer Park Total Return Credit Fund |
PORTFOLIO REVIEW (Unaudited) |
March 31, 2020 |
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The Fund’s performance figures* for the period ended March 31, 2020, compared to its benchmarks:
| | | | Annualized | Annualized |
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| Six Months | One Year | Three Year | March 31, 2020 | March 31, 2020 |
Class A Shares | (13.71)% | (10.79)% | (0.13)% | 3.15% | – |
Class A Shareswith load | (18.68)% | (15.95)% | (2.08)% | 1.79% | – |
Class C Shares | (14.00)% | (11.46)% | – | – | (0.97)% |
Class I Shares | (13.58)% | (10.55)% | 0.12% | 3.41% | – |
Bloomberg Barclays Capital U.S. Aggregate Bond Index | 3.33% | 8.93% | 4.82% | 3.79% | 4.74% |
HFRX Fixed Income - Credit Index | (4.01)% | (1.84)% | (0.17)% | 0.57% | 1.23% |
| * | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and distributions and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investors’ shares, when redeemed, may be worth more or less than the original cost. The returns shown do not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or on the redemption of the Fund shares. The Fund’s total annual operating expenses, including underlying funds, are 2.36%, 3.11% and 2.11%, respectively, for Class A, Class C and Class I shares per the January 28, 2020 prospectus. Class A shares are subject to a maximum sales charge of 5.75% imposed on purchases. For certain of the periods shown, the Fund’s adviser waived and/or reimbursed certain expenses of the Fund. Absent this arrangement, the Fund’s performance would have been lower. For performance information current to the most recent month-end, please call toll free (888) 868-9501. |
| ** | Commencement of operations is October 16, 2015. |
| *** | Commencement of operations is April 6, 2017. |
The Bloomberg Barclays Capital U.S. Aggregate Bond Index is commonly used as a benchmark by both passive and active investors to measure portfolio performance relative to the U.S. dollar-denominated investment grade fixed-rate taxable bond market. It is also an informational measure of broad market returns commonly applied to fixed income instruments. The index contains approximately 10,100 fixed income issues and is valued at around $20 trillion, representing 43% of the total U.S. bond market. Investors cannot invest directly in the index.
HFRX Fixed Income - Credit Index includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, Distressed, Convertible, Asset Backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Driven sub-strategies. Investment thesis across all strategies is predicated on realization of a valuation discrepancy between the related credit instruments. Strategies may also include and utilize equity securities, credit derivatives, government fixed income, commodities, currencies or other hybrid securities. Investors cannot invest directly in the index.
The Fund’s top asset classes and industry sectors as of March 31, 2020, are as follows:
| | Percent of | |
Portfolio Composition: | | Net Assets | |
Non-Agency Residential Mortgage Backed Securities | | | 83.3 | % |
Short Term Investments | | | 12.2 | % |
Commercial Mortgage Backed Securities | | | 10.0 | % |
Other Mortgage Backed Securities | | | 1.3 | % |
Liabilities in Excess of Other Assets | | | (6.80 | )% |
| | | 100.00 | % |
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Please refer to the Portfolio of Investments in this Semi-Annual Report for a detailed listing of the Fund’s holdings.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% | | | | | | | | |
| 172,537 | | | ABFC 2004-HE1 Trust, 1M Libor + 2.55% | | 3.497 | | 10/25/2033 | | $ | 138,728 | |
| 176,034 | | | ABFC 2004-OPT1 Trust, 1M Libor + 5.25% | | 6.197 | | 12/25/2032 | | | 136,983 | |
| 1,208,860 | | | ABFC 2004-OPT3 Trust, 1M Libor + 0.75% | | 1.697 | | 9/25/2033 | | | 1,152,897 | |
| 481,733 | | | ABFC 2004-OPT4 Trust, 1M Libor + 2.18% | | 3.122 | | 8/25/2033 | | | 374,009 | |
| 625,577 | | | ABFC 2005-HE1 Trust, 1M Libor + 0.74% | | 1.682 | | 3/25/2035 | | | 472,529 | |
| 562,272 | | | Accredited Mortgage Loan Trust 2005-3, 1M Libor +0.70% | | 1.647 | | 9/25/2035 | | | 292,126 | |
| 338,700 | | | ACE Securities Corp Home Equity Loan Trust Series 2003-FM1, 1M Libor + 5.25% | | 6.197 | | 11/25/2032 | | | 241,283 | |
| 447,512 | | | ACE Securities Corp Home Equity Loan Trust Series 2003-HE1, 1M Libor + 5.25% | | 6.197 | | 11/25/2033 | | | 378,810 | |
| 29,125 | | | ACE Securities Corp Home Equity Loan Trust Series 2003-NC1, 1M Libor + 2.85% | | 3.797 | | 7/25/2033 | | | 29,733 | |
| 165,477 | | | ACE Securities Corp Home Equity Loan Trust Series 2003-NC1, 1M Libor +5.25% | | 6.197 | | 7/25/2033 | | | 128,509 | |
| 1,142,649 | | | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1, 1M Libor + 3.00% | | 3.947 | | 4/25/2034 | | | 734,028 | |
| 245,351 | | | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1, 1M Libor + 3.38% | | 4.322 | | 4/25/2034 | | | 145,604 | |
| 73,566 | | | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1, 1M Libor + 5.25% | | 6.197 | | 4/25/2034 | | | 42,230 | |
| 857,202 | | | ACE Securities Corp Home Equity Loan Trust Series 2004-RM2, 1M Libor + 1.40% | | 2.342 | | 1/25/2035 | | | 539,966 | |
| 1,291,069 | | | ACE Securities Corp Home Equity Loan Trust Series 2005-WF1, 1M Libor + 3.50% | | 4.447 | | 5/25/2035 | | | 975,263 | |
| 78,321 | | | Adjustable Rate Mortgage Trust 2005-4 (A) | | 4.262 | | 8/25/2035 | | | 70,580 | |
| 1,478,980 | | | Adjustable Rate Mortgage Trust 2007-1, 1M Libor + 0.15% | | 1.097 | | 3/25/2037 | | | 1,277,780 | |
| 372,476 | | | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-1, 1M Libor + 2.33% | | 3.277 | | 4/25/2034 | | | 259,926 | |
| 209,021 | | | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-1, 1M Libor + 2.78% | | 3.727 | | 4/25/2034 | | | 144,202 | |
| 1,193,603 | | | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-3, 1M Libor + 2.85% | | 3.797 | | 9/25/2034 | | | 886,882 | |
| 865,185 | | | AFC Home Equity Loan Trust, 1M Libor + 0.81% | | 1.757 | | 6/25/2029 | | | 680,541 | |
| 1,741,881 | | | Alliance Bancorp Trust 2007-OA1, 1M Libor + 0.24% | | 1.187 | | 7/25/2037 | | | 1,325,862 | |
| 530,159 | | | Alternative Loan Trust 2005-22T1, 1M Libor +5.07% | | 4.123 | | 6/25/2035 | | | 90,328 | |
| 39,401 | | | Alternative Loan Trust 2005-24, Federal Reserve U.S. 12 month +1.31% | | 3.276 | | 7/20/2035 | | | 11,187 | |
| 91,195 | | | Alternative Loan Trust 2005-36 (A) | | 4.053 | | 5/25/2033 | | | 14,567 | |
| 747,018 | | | Alternative Loan Trust 2005-45, 1M Libor +2.05% | | 4.016 | | 10/20/2035 | | | 545,638 | |
| 1,443,538 | | | Alternative Loan Trust 2005-50CB | | 6.000 | | 11/25/2035 | | | 905,009 | |
| 540,692 | | | Alternative Loan Trust 2005-56, 1M Libor + 0.32% | | 1.267 | | 11/25/2035 | | | 423,975 | |
| 2,107,720 | | | Alternative Loan Trust 2005-61, 1M Libor +0.42% | | 1.367 | | 12/25/2035 | | | 1,473,418 | |
| 1,021,909 | | | Alternative Loan Trust 2005-65CB | | 5.500 | | 12/25/2035 | | | 868,555 | |
| 529,993 | | | Alternative Loan Trust 2005-65CB, 1M Libor + 0.75% | | 1.697 | | 1/25/2036 | | | 361,469 | |
| 623,498 | | | Alternative Loan Trust 2006-36T2, 1M Libor + 0.90% | | 1.847 | | 12/25/2036 | | | 203,390 | |
| 414,992 | | | Alternative Loan Trust 2006-HY10 (A) | | 4.039 | | 5/25/2036 | | | 343,680 | |
| 294,588 | | | Alternative Loan Trust 2006-J3 | | 4.750 | | 12/25/2020 | | | 225,863 | |
| 339,468 | | | Alternative Loan Trust 2006- J5 | | 6.500 | | 9/25/2036 | | | 189,673 | |
| 4,559,402 | | | Alternative Loan Trust 2006-OA2, 1M Libor + 0.21% | | 0.983 | | 5/20/2046 | | | 3,149,159 | |
| 22,870,480 | | | Alternative Loan Trust 2006-OA2 (A)(C) | | 1.966 | | 5/20/2046 | | | 1,274,993 | |
| 5,732,916 | | | Alternative Loan Trust 2006-OA6, 1M Libor + 0.27% | | 1.217 | | 7/25/2046 | | | 3,320,671 | |
| 1,383,864 | | | Alternative Loan Trust 2006-OA7, Federal Reserve U.S. 12 month + 0.94% | | 2.906 | | 6/25/2046 | | | 1,148,950 | |
| 3,136,551 | | | Alternative Loan Trust 2006-OA7, Federal Reserve U.S. 12 month + 0.94% | | 2.906 | | 6/25/2046 | | | 2,416,545 | |
| 37,568,435 | | | Alternative Loan Trust 2006-OA10 (A)(C) | | 1.841 | | 8/25/2046 | | | 3,443,865 | |
| 1,742,966 | | | Alternative Loan Trust 2006-OA11, 1M Libor + 0.19% | | 1.137 | | 9/25/2046 | | | 1,470,457 | |
| 2,071,850 | | | Alternative Loan Trust 2006-OA12, 1M Libor + 0.21% | | 0.983 | | 9/20/2046 | | | 1,490,473 | |
| 7,365,392 | | | Alternative Loan Trust 2006-OA17 (A)(C) | | 1.243 | | 12/20/2046 | | | 523,769 | |
| 378,855 | | | Alternative Loan Trust 2006-OA19, 1M Libor + 0.18% | | 0.953 | | 2/20/2047 | | | 257,071 | |
| 2,076,600 | | | Alternative Loan Trust 2006-OC6, 1M Libor + 0.16% | | 1.107 | | 7/25/2036 | | | 1,950,157 | |
| 238,220 | | | Alternative Loan Trust Resecuritization 2006-22R | | 6.250 | | 5/25/2036 | | | 186,785 | |
| 1,584,341 | | | American Home Mortgage Assets Trust 2005-1, 1M Libor + 0.66% | | 1.607 | | 11/25/2035 | | | 1,017,341 | |
| 881,028 | | | American Home Mortgage Assets Trust 2006-1, 1M Libor + 0.19% | | 1.137 | | 5/25/2046 | | | 677,860 | |
| 304,596 | | | American Home Mortgage Assets Trust 2006-2, Federal Reserve U.S. 12 month + 0.96% | | 2.926 | | 9/25/2046 | | | 243,448 | |
| 243,432 | | | American Home Mortgage Assets Trust 2006-2, 1M Libor + 0.19% | | 1.137 | | 9/25/2046 | | | 188,495 | |
| 1,124,221 | | | American Home Mortgage Assets Trust 2006-4, 1M Libor + 0.21% | | 1.157 | | 10/25/2046 | | | 674,308 | |
| 4,007,282 | | | American Home Mortgage Assets Trust 2006-6, 1M Libor + 0.19% | | 1.137 | | 12/25/2046 | | | 2,856,985 | |
| 7,248,635 | | | American Home Mortgage Assets Trust 2007-1, Federal Reserve U.S. 12 month + 0.70% | | 2.753 | | 2/25/2047 | | | 3,254,882 | |
| 253,700 | | | American Home Mortgage Assets Trust 2007-5, 1M Libor + 0.19% | | 1.137 | | 6/25/2047 | | | 189,699 | |
| 4,263,125 | | | American Home Mortgage Investment Trust 2005-4, 1M Libor + 0.76% | | 1.707 | | 11/25/2045 | | | 3,058,140 | |
| 731,775 | | | American Home Mortgage Investment Trust 2006-3, 1M Libor + 0.46% | | 1.407 | | 12/25/2046 | | | 521,761 | |
| 5,550,998 | | | American Home Mortgage Investment Trust 2007-2, 1M Libor + 0.27% | | 1.217 | | 3/25/2037 | | | 2,996,456 | |
| 675,141 | | | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, 1M Libor + 4.88% | | 5.287 | | 12/25/2033 | | | 463,412 | |
| 614,850 | | | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2003-AR2, 1M Libor + 3.05% | | 3.992 | | 5/25/2033 | | | 375,977 | |
| 1,322,847 | | | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004 R3, 1M Libor + 2.76% | | 3.707 | | 5/25/2034 | | | 1,058,163 | |
| 198,688 | | | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004-R11, 1M Libor + 2.10% | | 3.047 | | 11/25/2034 | | | 137,564 | |
| 1,171,717 | | | Amortizing Residential Collateral Trust 2001-BC6, 1M Libor + 1.20% | | 2.147 | | 10/25/2031 | | | 848,221 | |
| 201,887 | | | Amortizing Residential Collateral Trust 2001-BC6, 1M Libor + 2.03% | | 2.972 | | 10/25/2031 | | | 131,647 | |
| 80,248 | | | Amortizing Residential Collateral Trust 2002-BC5, 1M Libor + 1.80% | | 2.747 | | 7/25/2032 | | | 75,144 | |
| 621,894 | | | Argent Securities Inc Asset Back Pass Thr Certs Ser 2003-W4, 1M Libor +5.25%, 144A | | 4.919 | | 10/25/2033 | | | 456,919 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 385,295 | | | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W7, 1M Libor +2.78% | | 4.202 | | 1/25/2034 | | $ | 362,314 | |
| 1,538,032 | | | Argent Securities Trust 2006-M1, 1M Libor + 0.15% | | 1.097 | | 7/25/2036 | | | 1,188,740 | |
| 326,986 | | | Argent Securities Trust 2006-M2, 1M Libor + 0.15% | | 1.097 | | 9/25/2036 | | | 122,692 | |
| 65,919 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE4, 1M Libor + 3.00% | | 3.705 | | 8/15/2033 | | | 61,834 | |
| 85,099 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3, 1M Libor + 2.10% | | 3.047 | | 6/25/2034 | | | 82,171 | |
| 266,316 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3, 1M Libor + 2.55% | | 3.497 | | 6/25/2034 | | | 238,042 | |
| 517,096 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3, 1M Libor + 4.13% | | 5.072 | | 6/25/2034 | | | 368,151 | |
| 426,906 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, 1M Libor + 2.81% | | 3.752 | | 9/25/2034 | | | 332,280 | |
| 578,030 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, 1M Libor + 3.00% | | 3.947 | | 9/25/2034 | | | 378,373 | |
| 66,359 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE8, 1M Libor + 1.05% | | 1.997 | | 12/25/2034 | | | 58,080 | |
| 303,449 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE10, 1M Libor + 1.90%, 144A | | 2.847 | | 9/25/2034 | | | 224,024 | |
| 418,538 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE10, 1M Libor + 2.75%, 144A | | 3.697 | | 9/25/2034 | | | 271,877 | |
| 199,370 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, 1M Libor + 1.23% | | 2.177 | | 2/25/2035 | | | 160,583 | |
| 783,872 | | | Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, 1 M Libor + 1.88% | | 2.822 | | 2/25/2035 | | | 629,518 | |
| 1,359,509 | | | Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, 1M Libor + 2.03% | | 2.972 | | 5/25/2035 | | | 909,487 | |
| 1,612,897 | | | Asset-Backed Pass Through Certificates Series 2002-3, 1M Libor + 3.23% | | 4.172 | | 8/25/2032 | | | 1,077,771 | |
| 2,199,781 | | | Asset-Backed Pass-Through Certificates Series 2004-R12, 1M Libor + 1.68% | | 2.627 | | 1/25/2035 | | | 1,741,323 | |
| 27,276 | | | Banc of America Funding 2004-C Trust (A) | | 4.408 | | 12/20/2034 | | | 22,858 | |
| 91,048 | | | Banc of America Funding 2005-F Trust, 1M Libor + 0.31% | | 1.083 | | 9/20/2035 | | | 59,415 | |
| 162,324 | | | Banc of America Funding 2005-F Trust (A) | | 4.179 | | 9/20/2035 | | | 131,470 | |
| 1,765,991 | | | Banc of America Funding 2006-D Trust, 1M Libor + 0.56% | | 1.333 | | 5/20/2036 | | | 760,066 | |
| 1,450,689 | | | BankUnited Trust 2005-1, 1M Libor + 0.78% | | 1.727 | | 9/25/2045 | | | 1,191,744 | |
| 500,000 | | | Bayview Financial Acquisition Trust (B) | | 6.096 | | 12/28/2036 | | | 488,055 | |
| 4,725,919 | | | Bayview Financial Mortgage Pass-Through Certificates Series 2004-D, 1M Libor + 5.25% | | 6.191 | | 8/28/2044 | | | 4,686,628 | |
| 2,430,000 | | | Bayview Financial Mortgage Pass-Through Trust 2005-C, 1M Libor + 1.35% | | 2.291 | | 6/28/2044 | | | 1,740,598 | |
| 362,835 | | | Bayview Koitere Fund Trust 2019-RN3 Trust (B), 144A | | 3.967 | | 7/28/2033 | | | 362,240 | |
| 171,091 | | | Bayview Opportunity Master Fund IVa Trust 2019-RN2 (B), 144A | | 3.967 | | 3/28/2034 | | | 170,465 | |
| 670,631 | | | BCAP LLC Trust 2006-AA2, 1M Libor + 0.17% | | 1.117 | | 1/25/2037 | | | 609,312 | |
| 599,168 | | | BCMSC Trust 2001-A (A) | | 8.265 | | 12/15/2030 | | | 271,876 | |
| 1,499,016 | | | Bear Stearns ALT-A Trust 2003-5 (A) | | 3.921 | | 12/25/2033 | | | 1,321,052 | |
| 467,493 | | | Bear Stearns ALT-A Trust 2003-6 (A) | | 3.811 | | 1/25/2034 | | | 257,862 | |
| 384,495 | | | Bear Stearns ALT-A Trust 2005-3 (A) | | 3.549 | | 4/25/2035 | | | 329,277 | |
| 3,433,202 | | | Bear Stearns ALT-A Trust 2005-10, 1M Libor + 0.50% | | 1.447 | | 1/25/2036 | | | 4,181,685 | |
| 1,626,855 | | | Bear Stearns ALT-A Trust 2006-4 (A) | | 3.716 | | 8/25/2036 | | | 1,328,295 | |
| 619,786 | | | Bear Stearns ALT-A Trust 2007-2, 1M Libor + 0.17% | | 1.117 | | 4/25/2037 | | | 469,484 | |
| 85,688 | | | Bear Stearns ARM Trust 2002-1 (A) | | 4.416 | | 2/25/2024 | | | 83,192 | |
| 212,389 | | | Bear Stearns ARM Trust 2004-6 (A) | | 3.914 | | 9/25/2034 | | | 183,981 | |
| 128,151 | | | Bear Stearns ARM Trust 2004-7 (A) | | 4.250 | | 10/25/2034 | | | 106,935 | |
| 161,406 | | | Bear Stearns ARM Trust 2007-4 (A) | | 4.054 | | 6/25/2047 | | | 134,945 | |
| 56,237 | | | Bear Stearns Asset Backed Securities I Trust 2004-AC5, 1M Libor + 0.40% | | 1.347 | | 10/25/2034 | | | 43,755 | |
| 643,000 | | | Bear Stearns Asset Backed Securities I Trust 2004-BO1, 1M Libor + 4.00% | | 4.947 | | 10/25/2034 | | | 544,109 | |
| 293,321 | | | Bear Stearns Asset Backed Securities I Trust 2004-FR2, 1M Libor + 2.85% | | 3.797 | | 6/25/2034 | | | 203,835 | |
| 499,190 | | | Bear Stearns Asset Backed Securities I Trust 2004-FR3, 1M Libor + 2.70% | | 3.647 | | 9/25/2034 | | | 349,149 | |
| 912,695 | | | Bear Stearns Asset Backed Securities I Trust 2004-FR3, 1M Libor + 2.85% | | 3.797 | | 9/25/2034 | | | 503,716 | |
| 149,983 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE6, 1M Libor + 4.13% | | 5.677 | | 8/25/2034 | | | 42,713 | |
| 195,968 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE7, 1M Libor + 2.10% | | 3.047 | | 8/25/2034 | | | 191,616 | |
| 182,516 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE7, 1M Libor + 5.63% | | 6.572 | | 8/25/2034 | | | 139,952 | |
| 587,353 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE8, 1M Libor + 2.10% | | 3.047 | | 9/25/2034 | | | 484,406 | |
| 566,048 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE8, 1M Libor + 2.63% | | 3.572 | | 9/25/2034 | | | 369,438 | |
| 1,816,009 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE9, 1M Libor + 2.10% | | 3.047 | | 11/25/2034 | | | 1,244,255 | |
| 301,146 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE9, 1M Libor + 2.63% | | 3.572 | | 11/25/2034 | | | 167,224 | |
| 981,225 | | | Bear Stearns Asset Backed Securities I Trust 2004-HE10, 1M Libor + 2.70% | | 3.647 | | 11/25/2034 | | | 834,663 | |
| 850,481 | | | Bear Stearns Asset Backed Securities I Trust 2005-HE4, 1M Libor + 1.88% | | 2.822 | | 12/25/2035 | | | 819,054 | |
| 386,133 | | | Bear Stearns Asset Backed Securities I Trust 2007-HE2, 1M Libor + 0.17% | | 1.117 | | 3/25/2037 | | | 722,244 | |
| 122,747 | | | Bear Stearns Asset Backed Securities Trust (B) | | 8.410 | | 10/25/2029 | | | 122,042 | |
| 248,269 | | | Bear Stearns Asset Backed Securities Trust (B) | | 8.220 | | 10/25/2029 | | | 230,336 | |
| 51,739 | | | Bear Stearns Asset Backed Securities Trust, 1M Libor + 5.63% | | 6.572 | | 7/25/2034 | | | 40,579 | |
| 240,924 | | | Bear Stearns Asset Backed Securities Trust 2003-AC4 (B) | | 5.658 | | 9/25/2033 | | | 215,504 | |
| 137,533 | | | Bear Stearns Asset Backed Securities Trust 2003-AC5, 1M Libor + 4.88% | | 5.822 | | 10/25/2033 | | | 133,526 | |
| 81,814 | | | Bear Stearns Asset Backed Securities Trust 2003-AC6, 1M Libor + 2.65% | | 3.597 | | 11/25/2033 | | | 63,335 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 86,246 | | | Bear Stearns Asset Backed Securities Trust 2003-HE1, 1M Libor + 2.85% | | 3.797 | | 1/25/2034 | | $ | 55,580 | |
| 87,869 | | | Bear Stearns Asset Backed Securities Trust 2003-HE1, 1M Libor + 3.38% | | 4.322 | | 1/25/2034 | | | 22,202 | |
| 112,358 | | | Bear Stearns Asset Backed Securities Trust 2004-HE1, 1M Libor + 6.00% | | 6.002 | | 2/25/2034 | | | 88,353 | |
| 147,707 | | | Bear Stearns Asset Backed Securities Trust 2004-HE2, 1M Libor + 2.10% | | 3.047 | | 3/25/2034 | | | 127,857 | |
| 57,410 | | | Bear Stearns Asset Backed Securities Trust 2004-HE2, 1M Libor + 2.63% | | 3.572 | | 3/25/2034 | | | 46,512 | |
| 331,640 | | | Bear Stearns Asset Backed Securities Trust 2004-HE2, 1M Libor + 4.88% | | 5.857 | | 3/25/2034 | | | 244,667 | |
| 33,302 | | | Bear Stearns Asset Backed Securities Trust 2004-SD1 (B) | | 6.000 | | 12/25/2042 | | | 7,309 | |
| 650,305 | | | Bear Stearns Asset Backed Securities Trust 2005-SD2, 1M Libor + 3.75% | | 4.697 | | 12/25/2044 | | | 582,963 | |
| 119,323 | | | Bear Stearns Asset Backed Securities Trust 2007-SD2 | | 6.000 | | 9/25/2046 | | | 108,872 | |
| 316,221 | | | Bear Stearns Mortgage Funding Trust 2006-AR1, 1M Libor + 0.26% | | 1.207 | | 8/25/2036 | | | 575,066 | |
| 662,463 | | | Bear Stearns Mortgage Funding Trust 2006-AR5, 1M Libor + 0.16% | | 1.107 | | 12/25/2046 | | | 555,240 | |
| 369,291 | | | Bear Stearns Mortgage Funding Trust 2006-AR5, 1M Libor + 0.21% | | 1.157 | | 12/25/2046 | | | 534,459 | |
| 284,129 | | | Bear Stearns Mortgage Funding Trust 2007-AR3, 1M Libor + 0.14% | | 1.087 | | 3/25/2037 | | | 234,587 | |
| 57,519 | | | Bear Stearns Mortgage Funding Trust 2007-SL1, 1M Libor + 0.32% | | 1.267 | | 3/25/2037 | | | 51,726 | |
| 250,000 | | | Bravo Mortgage Asset Trust | | 1.347 | | 7/25/2036 | | | 193,070 | |
| 736,447 | | | Business Loan Express Business Loan Trust 2007-A, 1M Libor + 1.10%, 144A | | 1.873 | | 10/20/2040 | | | 471,371 | |
| 122,249 | | | Carrington Mortgage Loan Trust Series 2004-NC1, 1M Libor + 2.33% | | 3.272 | | 5/25/2034 | | | 122,075 | |
| 5,337,273 | | | Carrington Mortgage Loan Trust Series 2005-FRE1, 1M Libor + 0.62% | | 1.567 | | 12/25/2035 | | | 1,671,711 | |
| 1,262,364 | | | Carrington Mortgage Loan Trust Series 2005-NC1, 1M Libor + 1.17% | | 2.117 | | 2/25/2035 | | | 818,188 | |
| 1,439,801 | | | Carrington Mortgage Loan Trust Series 2006-NC4, 1M Libor + 0.16% | | 1.107 | | 10/25/2036 | | | 1,287,783 | |
| 1,876,634 | | | Carrington Mortgage Loan Trust Series 2006-NC5, 1M Libor + 0.11% | | 1.057 | | 1/25/2037 | | | 1,810,969 | |
| 500,000 | | | Carrington Mortgage Loan Trust Series 2007-FRE1, 1M Libor + 0.26% | | 1.207 | | 2/25/2037 | | | 415,068 | |
| 280,740 | | | C-BASS 2007-CB1 TRUST, 1M Libor + 0.07% | | 1.017 | | 1/25/2037 | | | 104,524 | |
| 949,036 | | | C-BASS 2007-CB1 TRUST (B) | | 5.721 | | 1/25/2037 | | | 413,270 | |
| 2,599,019 | | | C-BASS 2007-CB1 TRUST (B) | | 5.835 | | 1/25/2037 | | | 1,131,522 | |
| 1,007,879 | | | C-BASS Mortgage Loan Trust 2007-CB3 | | 3.761 | | 3/25/2037 | | | 469,481 | |
| 792,273 | | | CDC Mortgage Capital Trust 2003-HE2, 1M Libor + 2.85% | | 3.797 | | 10/25/2033 | | | 677,029 | |
| 91,108 | | | CDC Mortgage Capital Trust 2003-HE3, 1M Libor + 2.63% | | 3.572 | | 11/25/2033 | | | 91,039 | |
| 581,470 | | | CDC Mortgage Capital Trust 2004-HE1, 1M Libor + 1.80% | | 2.747 | | 6/25/2034 | | | 534,142 | |
| 1,566,683 | | | CDC Mortgage Capital Trust 2004-HE3, 1M Libor + 0.92% | | 1.862 | | 11/25/2034 | | | 1,449,098 | |
| 887,071 | | | CDC Mortgage Capital Trust 2004-HE3, 1M Libor + 1.80% | | 2.747 | | 11/25/2034 | | | 718,984 | |
| 369,907 | | | Centex Home Equity Loan Trust 2001-B (B) | | 7.330 | | 7/25/2032 | | | 303,825 | |
| 950,203 | | | Centex Home Equity Loan Trust 2004-B, 1M Libor + 1.58% | | 2.522 | | 3/25/2034 | | | 751,792 | |
| 293,289 | | | Centex Home Equity Loan Trust 2004-D, 1M Libor + 0.69% | | 1.637 | | 9/25/2034 | | | 278,815 | |
| 133,313 | | | Centex Home Equity Loan Trust 2004-D, 1M Libor + 1.00% | | 1.947 | | 9/25/2034 | | | 129,934 | |
| 41,439 | | | Chase Funding Loan Acquisition Trust Series 2004-OPT1, 1M Libor + 2.40% | | 3.347 | | 6/25/2034 | | | 41,321 | |
| 429,356 | | | Chase Funding Trust Series 2003-1, 1M Libor +0.66% | | 1.607 | | 11/25/2032 | | | 412,393 | |
| 143,273 | | | Chase Funding Trust Series 2003-3 | | 4.885 | | 5/25/2032 | | | 73,179 | |
| 593,757 | | | Chase Mortgage Finance Trust Series 2005-S3 | | 5.500 | | 11/25/2035 | | | 522,130 | |
| 52,793 | | | Chase Mortgage Finance Trust Series 2007-A1 (A) | | 4.617 | | 2/25/2037 | | | 44,174 | |
| 170,119 | | | Chase Mortgage Finance Trust Series 2007-A1 (A) | | 4.495 | | 2/25/2037 | | | 154,626 | |
| 97,227 | | | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-2, 1M Libor + 0.32%, 144A | | 1.267 | | 5/25/2035 | | | 90,461 | |
| 859,365 | | | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2007-2, 1M Libor + 0.18%, 144A | | 1.727 | | 5/25/2048 | | | 603,747 | |
| 47,234 | | | CHL Mortgage Pass-Through Trust 2004-25, 1M Libor + 0.78% | | 1.627 | | 2/25/2035 | | | 38,683 | |
| 489,392 | | | CHL Mortgage Pass-Through Trust 2005-2, 1M Libor + 0.68% | | 2.786 | | 3/25/2035 | | | 404,896 | |
| 77,034 | | | CHL Mortgage Pass-Through Trust 2005-11 (A) | | 1.217 | | 4/25/2035 | | | 55,827 | |
| 46,901 | | | CHL Mortgage Pass-Through Trust 2005-11, 1M Libor + 0.27% | | 1.267 | | 4/25/2035 | | | 42,535 | |
| 732,069 | | | CHL Mortgage Pass-Through Trust 2005-11, 1M Libor + 0.32% | | 5.500 | | 4/25/2035 | | | 443,280 | |
| 445,188 | | | CHL Mortgage Pass-Through Trust 2005-14 | | 3.461 | | 7/25/2035 | | | 240,623 | |
| 129,887 | | | CHL Mortgage Pass-Through Trust 2007-HYB2 (A) | | 6.000 | | 2/25/2047 | | | 107,000 | |
| 326,954 | | | CHL Mortgage Pass-Through Trust 2007-J3 | | 6.000 | | 7/25/2037 | | | 209,559 | |
| 3,118,027 | | | CIT Home Equity Loan Trust 2002-2 (B) | | 6.490 | | 2/25/2031 | | | 3,053,534 | |
| 175,074 | | | Citicorp Mortgage Securities Trust Series 2006-4 | | 6.000 | | 8/25/2036 | | | 80,853 | |
| 97,907 | | | Citicorp Mortgage Securities Trust Series 2007-7 ** | | 0.000 | | 8/25/2037 | | | 71,961 | |
| 1,612,500 | | | Citicorp Residential Mortgage Trust Series 2006-1 (B) | | 6.142 | | 7/25/2036 | | | 1,500,797 | |
| 4,996,334 | | | Citicorp Residential Mortgage Trust Series 2006-1 (B) | | 5.145 | | 7/25/2036 | | | 2,812,965 | |
| 1,457,118 | | | Citicorp Residential Mortgage Trust Series 2006-2 (B) | | 5.996 | | 9/25/2036 | | | 340,373 | |
| 443,119 | | | Citigroup Global Markets Mortgage Securities VII, Inc., 1M Libor + 1.35% | | 2.297 | | 1/25/2032 | | | 418,938 | |
| 184,223 | | | Citigroup Global Markets Mortgage Securities VII, Inc. | | 7.000 | | 12/25/2027 | | | 157,900 | |
| 55,676 | | | Citigroup Mortgage Loan Trust 2004-HYB2 | | 4.348 | | 3/25/2034 | | | 48,829 | |
| 195,211 | | | Citigroup Mortgage Loan Trust 2005-3 (A) | | 4.493 | | 8/25/2035 | | | 149,036 | |
| 2,629,079 | | | Citigroup Mortgage Loan Trust 2006-AMC1, 1M Libor + 0.26% | | 1.207 | | 9/25/2036 | | | 2,102,464 | |
| 1,562,460 | | | Citigroup Mortgage Loan Trust 2006-HE1, 1M Libor + 0.75% | | 1.697 | | 1/25/2036 | | | 1,068,575 | |
| 2,242,167 | | | Citigroup Mortgage Loan Trust 2007-AHL2, 1M Libor + 0.07% | | 1.017 | | 5/25/2037 | | | 1,600,333 | |
| 328,512 | | | Citigroup Mortgage Loan Trust 2007-AHL3, 1M Libor + 0.17% 144A | | 1.117 | | 5/25/2037 | | | 248,994 | |
| 109,051 | | | Citigroup Mortgage Loan Trust 2007-AMC2, 1M Libor + 0.08% | | 1.027 | | 1/25/2037 | | | 80,718 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 100,501 | | | Citigroup Mortgage Loan Trust 2007-AR8 (A) | | 4.468 | | 7/25/2037 | | $ | 82,096 | |
| 435,167 | | | Citigroup Mortgage Loan Trust 2007-OPX1 (B) | | 6.333 | | 1/25/2037 | | | 197,558 | |
| 199,059 | | | Citigroup Mortgage Loan Trust Inc (A) | | 3.898 | | 2/25/2034 | | | 189,433 | |
| 499,721 | | | Citigroup Mortgage Loan Trust Inc, 1M Libor + 1.10% | | 2.042 | | 2/25/2035 | | | 423,163 | |
| 264,380 | | | Citigroup Mortgage Loan Trust Inc, 1M Libor + 1.86% | | 2.807 | | 2/25/2035 | | | 226,178 | |
| 3,931,531 | | | Citigroup Mortgage Loan Trust Inc, 1M Libor + 0.65% | | 1.597 | | 10/25/2035 | | | 1,462,078 | |
| 665,680 | | | Citigroup Mortgage Loan Trust Inc., 1M Libor + 0.26% | | 1.207 | | 11/25/2035 | | | 487,730 | |
| 113,882 | | | CitiMortgage Alternative Loan Trust Series 2007-A1 | | 6.000 | | 1/25/2037 | | | 105,186 | |
| 959,425 | | | Conseco Finance Home Equity Loan Trust 2002-B, 1M Libor +5.25% | | 5.955 | | 5/15/2033 | | | 937,549 | |
| 116,509 | | | Countrywide Asset-Backed Certificates, 1M Libor + 3.38%, 144A | | 4.322 | | 3/25/2032 | | | 117,177 | |
| 558,011 | | | Countrywide Asset-Backed Certificates, 1M Libor + 2.25% | | 3.197 | | 11/25/2032 | | | 495,879 | |
| 321,147 | | | Countrywide Asset-Backed Certificates, 1M Libor + 2.55% | | 3.497 | | 4/25/2033 | | | 307,369 | |
| 459,690 | | | Countrywide Asset-Backed Certificates, 1M Libor + 2.10% | | 3.047 | | 8/25/2033 | | | 433,339 | |
| 802,349 | | | Countrywide Asset-Backed Certificates, 1M Libor + 1.02% | | 1.967 | | 9/25/2033 | | | 645,725 | |
| 240,535 | | | Countrywide Asset-Backed Certificates, 1M Libor + 1.95% | | 2.897 | | 3/25/2034 | | | 240,314 | |
| 200,272 | | | Countrywide Asset-Backed Certificates, 1M Libor + 1.88% | | 2.822 | | 4/25/2034 | | | 163,708 | |
| 21,925 | | | Countrywide Asset-Backed Certificates, 1M Libor + 2.25% | | 3.197 | | 7/25/2034 | | | 17,552 | |
| 63,577 | | | Countrywide Asset-Backed Certificates, 1M Libor + 1.88% | | 2.822 | | 10/25/2034 | | | 50,362 | |
| 408,191 | | | Countrywide Asset-Backed Certificates, 1M Libor + 0.50% | | 1.447 | | 3/25/2036 | | | 370,274 | |
| 2,832,312 | | | Countrywide Asset-Backed Certificates, 1M Libor + 0.65% | | 1.597 | | 4/25/2036 | | | 1,255,804 | |
| 531,737 | | | Countrywide Asset-Backed Certificates, 1M Libor + 0.13% | | 1.077 | | 12/25/2036 | | | 416,142 | |
| 2,332,477 | | | Countrywide Asset-Backed Certificates, 1M Libor + 0.14% | | 1.087 | | 3/25/2037 | | | 1,823,447 | |
| 2,362,999 | | | Countrywide Asset-Backed Certificates, 1M Libor + 0.16% | | 1.107 | | 1/25/2046 | | | 2,293,446 | |
| 1,244,203 | | | Countrywide Asset-Backed Certificates, 1M Libor + 0.45%, 144A | | 1.397 | | 3/25/2047 | | | 901,171 | |
| 310,687 | | | Credit Suisse First Boston Mortgage Securities Corp. (A) | | 4.501 | | 6/25/2032 | | | 280,066 | |
| 189,866 | | | Credit Suisse First Boston Mortgage Securities Corp, 1M Libor + 2.00% | | 2.947 | | 10/25/2032 | | | 173,806 | |
| 1,552,809 | | | Credit Suisse First Boston Mortgage Securities Corp. (A) | | 6.733 | | 2/25/2033 | | | 1,392,755 | |
| 104,670 | | | Credit Suisse First Boston Mortgage Securities Corp. (A) | | 4.077 | | 3/25/2033 | | | 88,825 | |
| 114,483 | | | Credit Suisse First Boston Mortgage Securities Corp, 1M Libor + 3.25% | | 4.322 | | 4/25/2034 | | | 98,062 | |
| 231,084 | | | Credit Suisse First Boston Mortgage Securities Corp., 1M Libor + 2.00% | | 2.947 | | 2/25/2035 | | | 223,107 | |
| 928,113 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.95% | | 2.897 | | 4/25/2032 | | | 753,869 | |
| 573,151 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.00% | | 3.947 | | 5/25/2032 | | | 536,834 | |
| 498,204 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 5.63% | | 6.572 | | 10/25/2032 | | | 429,539 | |
| 157,613 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.43% | | 2.372 | | 1/25/2033 | | | 147,961 | |
| 108,178 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.00% | | 3.783 | | 3/25/2034 | | | 101,851 | |
| 221,578 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.75%, 144A | | 3.783 | | 3/25/2034 | | | 202,115 | |
| 145,075 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 4.88% | | 3.783 | | 3/25/2034 | | | 166,120 | |
| 58,483 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.10% | | 2.042 | | 1/25/2035 | | | 55,731 | |
| 363,000 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 0.63% | | 1.577 | | 7/25/2035 | | | 283,157 | |
| 246,075 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 2.70% | | 3.647 | | 7/25/2035 | | | 238,444 | |
| 3,505,000 | | | Credit-Based Asset Servicing & Securitization LLC, 144A (B) | | 6.000 | | 9/25/2035 | | | 2,263,167 | |
| 63,651 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 0.80% | | 1.742 | | 12/25/2035 | | | 60,798 | |
| 2,920,000 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.05%, 144A | | 1.997 | | 7/25/2036 | | | 2,734,577 | |
| 445,000 | | | Credit-Based Asset Servicing & Securitization LLC (B) | | 6.114 | | 4/25/2037 | | | 322,121 | |
| 1,202,525 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 0.34%, 144A | | 1.287 | | 7/25/2037 | | | 736,532 | |
| 1,360,918 | | | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.75%, 144A | | 4.697 | | 5/25/2050 | | | 1,168,452 | |
| 152,789 | | | CSFB Mortgage-Backed Pass-Through Certificates Series 2003-10 (A) | | 5.750 | | 5/25/2033 | | | 135,853 | |
| 623,439 | | | CSFB Mortgage-Backed Trust Series 2004-7 (A) | | 5.960 | | 11/25/2034 | | | 359,540 | |
| 441,912 | | | CWABS Asset-Backed Certificates Trust 2005-1 (A) | | 5.555 | | 7/25/2035 | | | 398,839 | |
| 783,000 | | | CWABS Asset-Backed Certificates Trust 2005-4 (A) | | 5.236 | | 7/25/2035 | | | 552,169 | |
| 172,313 | | | CWABS Asset-Backed Certificates Trust 2005-11 (A) | | 4.246 | | 3/25/2034 | | | 171,605 | |
| 113,985 | | | CWABS Inc Asset-Backed Certificates Series 2004-1, 1M Libor +1.80% | | 2.747 | | 12/25/2033 | | | 114,288 | |
| 2,113,923 | | | CWABS Inc Asset-Backed Certificates Trust 2004-4, 1M Libor +4.50% | | 5.447 | | 8/25/2033 | | | 1,917,640 | |
| 69,200 | | | CWABS Inc Asset-Backed Certificates Trust 2004-5, 1M Libor +0.86% | | 1.802 | | 8/25/2034 | | | 66,205 | |
| 222,938 | | | CWABS Inc Asset-Backed Certificates Trust 2004-5, 1M Libor +2.33% | | 3.272 | | 5/25/2034 | | | 216,784 | |
| 13,488 | | | CWABS Inc Asset-Backed Certificates Trust 2004-5, 1M Libor +3.00% | | 3.947 | | 4/25/2034 | | | 12,231 | |
| 2,360,389 | | | CWHEQ Revolving Home Equity Loan Trust Series 2005-B, 1M Libor + 0.18% | | 0.885 | | 5/15/2035 | | | 2,251,311 | |
| 510,296 | | | CWHEQ Revolving Home Equity Loan Trust Series 2006-D, 1M Libor + 0.20% | | 0.905 | | 5/15/2036 | | | 429,735 | |
| 1,422,338 | | | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5/DE, 1M Libor + 0.40% | | 1.347 | | 8/25/2047 | | | 743,178 | |
| 1,042,491 | | | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2008-RS1, 1M Libor + 0.25%, 144A | | 1.191 | | 5/28/2037 | | | 495,483 | |
| 25,548 | | | DSLA Mortgage Loan Trust 2004-AR3, 1M Libor + 1.65% | | 2.400 | | 8/25/2035 | | | 20,953 | |
| 48,686 | | | DSLA Mortgage Loan Trust 2005-AR1, 1M Libor + 0.66% | | 1.410 | | 2/19/2045 | | | 2,904 | |
| 1,035,137 | | | DSLA Mortgage Loan Trust 2007-AR1, 1M Libor + 0.18% | | 0.930 | | 4/19/2047 | | | 816,601 | |
| 1,007,443 | | | Emc Mortgage Trust Loan Trust, 1M Libor + 2.55%, 144A | | 3.497 | | 5/25/2039 | | | 861,113 | |
| 681,206 | | | EquiFirst Mortgage Loan Trust 2004-3, 1M Libor + 2.63% | | 3.572 | | 12/25/2034 | | | 516,849 | |
| 368,074 | | | EquiFirst Mortgage Loan Trust 2004-3, 1M Libor + 3.90% | | 4.847 | | 12/25/2034 | | | 152,032 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 850,860 | | | EquiFirst Mortgage Loan Trust 2005-1, 1M Libor + 1.80% | | 2.747 | | 4/25/2035 | | $ | 668,794 | |
| 6,623,481 | | | Fannie Mae REMICS, 1M Libor + 6.05% | | 5.103 | | 3/25/2039 | | | 314,050 | |
| 10,961,868 | | | Fannie Mae REMICS, 1M Libor + 6.15% | | 5.203 | | 4/25/2040 | | | 842,165 | |
| 2,621,816 | | | Fannie Mae REMICS, 1M Libor + 6.58% | | 5.633 | | 8/25/2041 | | | 176,471 | |
| 2,741,714 | | | Fannie Mae REMICS, 1M Libor + 6.05% | | 5.103 | | 8/25/2042 | | | 447,047 | |
| 8,698,652 | | | Fannie Mae REMICS, 1M Libor + 6.10% | | 5.153 | | 1/25/2043 | | | 2,087,065 | |
| 8,418,786 | | | Fannie Mae REMICS, 1M Libor + 6.05% | | 5.103 | | 3/25/2047 | | | 1,815,102 | |
| 6,559,286 | | | Fannie Mae REMICS, 1M Libor + 6.05% | | 5.103 | | 3/25/2047 | | | 1,108,680 | |
| 6,018,685 | | | Fannie Mae REMICS, 1M Libor + 6.15% | | 5.203 | | 9/25/2047 | | | 1,046,314 | |
| 7,667,671 | | | Fannie Mae REMICS, 1M Libor + 6.20% | | 5.253 | | 9/25/2048 | | | 953,598 | |
| 281,641 | | | FBR Securitization Trust, 1M Libor + 0.68% | | 1.622 | | 10/25/2035 | | | 159,140 | |
| 10,329,791 | | | FBR Securitization Trust 2005-2, 1M Libor + 0.98% | | 1.922 | | 9/25/2035 | | | 886,807 | |
| 45,756 | | | Finance America Mortgage Loan Trust 2004-1, 1M Libor + 1.73% | | 2.672 | | 6/25/2034 | | | 45,363 | |
| 585,777 | | | Finance America Mortgage Loan Trust 2004-1, 1M Libor + 2.18% | | 3.122 | | 6/25/2034 | | | 485,329 | |
| 135,821 | | | First Franklin Mortgage Loan Asset Backed Certificates, 1M Libor + 2.10% | | 3.047 | | 5/25/2034 | | | 101,721 | |
| 640,958 | | | First Franklin Mortgage Loan Trust 2002-FF4, 1M Libor + 1.58% | | 2.522 | | 2/25/2033 | | | 368,480 | |
| 122,690 | | | First Franklin Mortgage Loan Trust 2002-FFA, 1M Libor + 2.00% | | 2.947 | | 9/25/2032 | | | 126,078 | |
| 997,914 | | | First Franklin Mortgage Loan Trust 2003-FFH1, 1M Libor + 2.63% | | 3.572 | | 9/25/2033 | | | 730,137 | |
| 3,195,778 | | | First Franklin Mortgage Loan Trust 2003-FFH2, 1M Libor + 2.37% | | 3.317 | | 2/25/2034 | | | 2,478,151 | |
| 557,331 | | | First Franklin Mortgage Loan Trust 2004-FF5, 1M Libor + 2.40% | | 3.347 | | 8/25/2034 | | | 568,970 | |
| 750,067 | | | First Franklin Mortgage Loan Trust 2004-FF7 (B) | | 5.500 | | 9/25/2034 | | | 540,099 | |
| 1,148,388 | | | First Franklin Mortgage Loan Trust 2004-FF7, 1M Libor + 2.18% | | 3.122 | | 9/25/2034 | | | 983,223 | |
| 999,057 | | | First Franklin Mortgage Loan Trust 2004-FF8, 1M Libor + 1.43% | | 2.372 | | 10/25/2034 | | | 930,470 | |
| 913,553 | | | First Franklin Mortgage Loan Trust 2004-FFH4, 1M Libor +2.70% | | 3.647 | | 1/25/2035 | | | 619,735 | |
| 5,617,275 | | | First Franklin Mortgage Loan Trust 2005-FF9, 1M Libor + 0.54% | | 1.487 | | 10/25/2035 | | | 4,502,408 | |
| 4,607,131 | | | First Franklin Mortgage Loan Trust 2005-FF10, 1M Libor + 0.27% | | 1.217 | | 7/25/2036 | | | 4,162,491 | |
| 5,106,131 | | | First NLC Trust 2005-1, 1M Libor + 0.65% & | | 1.883 | | 5/25/2035 | | | 3,977,048 | |
| 1,512,959 | | | First NLC Trust 2007-1, 1M Libor + 0.28%, 144A | | 1.227 | | 8/25/2037 | | | 810,130 | |
| 1,842,056 | | | Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 2015-R1, 144A (A) | | 5.936 | | 11/25/2052 | | | 1,476,217 | |
| 2,507,664 | | | Freddie Mac REMICS, 1M Libor + 6.70% | | 5.995 | | 2/15/2042 | | | 334,651 | |
| 6,889,400 | | | Freddie Mac REMICS, 1M Libor + 6.10% | | 5.395 | | 12/15/2044 | | | 1,422,854 | |
| 530,885 | | | Freddie Mac REMICS, 1M Libor + 6.00% | | 5.295 | | 5/15/2046 | | | 83,549 | |
| 3,522,067 | | | Freddie Mac REMICS, 1M Libor + 6.10% | | 5.395 | | 5/15/2047 | | | 602,723 | |
| 10,864,369 | | | Freddie Mac REMICS, 1M Libor + 6.15% | | 5.445 | | 9/15/2047 | | | 1,929,206 | |
| 7,886,733 | | | Freddie Mac REMICS, 1M Libor + 6.20% | | 5.495 | | 5/15/2048 | | | 984,700 | |
| 40,418 | | | Fremont Home Loan Trust 2004-B, 1M Libor + 2.33% | | 3.272 | | 5/25/2034 | | | 35,497 | |
| 446,761 | | | Fremont Home Loan Trust 2004-C, 1M Libor + 1.73% | | 2.672 | | 8/25/2034 | | | 331,646 | |
| 513,299 | | | GE Capital Mortgage Services Corp. 1999-HE3 Trust (A) | | 7.775 | | 10/25/2029 | | | 529,999 | |
| 159,265 | | | GE Capital Mortgage Services Inc 1999-HE2 Trust (A) | | 7.905 | | 7/25/2029 | | | 83,002 | |
| 1,127,695 | | | Global Mortgage Securitization Ltd., 1M Libor + 0.27%, 144A | | 1.217 | | 4/25/2032 | | | 1,035,060 | |
| 2,312,288 | | | Global Mortgage Securitization Ltd., 144A | | 5.250 | | 4/25/2032 | | | 2,135,379 | |
| 1,549,199 | | | GMACM Mortgage Loan Trust 2004-GH1 (B) | | 5.000 | | 7/25/2035 | | | 1,420,315 | |
| 6,263,547 | | | Government National Mortgage Association (A) | | 1.462 | | 3/16/2047 | | | 220,291 | |
| 29,733,912 | | | Government National Mortgage Association, 1M Libor + 3.43% | | 2.657 | | 9/20/2049 | | | 3,060,330 | |
| 9,562,708 | | | Government National Mortgage Association (A) | | 0.679 | | 2/16/2051 | | | 385,804 | |
| 7,348,680 | | | Government National Mortgage Association (A) | | 0.601 | | 8/16/2051 | | | 273,602 | |
| 45,047,309 | | | Government National Mortgage Association (A) | | 0.378 | | 11/16/2052 | | | 829,765 | |
| 10,783,956 | | | Government National Mortgage Association (A) | | 0.862 | | 5/16/2057 | | | 622,619 | |
| 23,848,702 | | | Government National Mortgage Association (A) | | 0.739 | | 2/16/2059 | | | 1,469,747 | |
| 93,125 | | | GreenPoint Mortgage Funding Trust Series 2006-AR3, 1M Libor + 0.23% | | 1.177 | | 4/25/2036 | | | 95,302 | |
| 1,009,711 | | | GreenPoint Mortgage Funding Trust Series 2006-AR8, 1M Libor + 0.21% | | 1.157 | | 1/25/2047 | | | 1,025,929 | |
| 504,567 | | | GreenPoint Mortgage Loan Trust 2004-1, 1M Libor + 0.58% | | 1.522 | | 10/25/2034 | | | 423,669 | |
| 1,448,948 | | | GSAA Home Equity Trust 2005-2, 1M Libor + 2.18% | | 3.122 | | 12/25/2034 | | | 1,321,981 | |
| 4,176,000 | | | GSAA Home Equity Trust 2005-6, 1M Libor + 1.20% | | 2.147 | | 6/25/2035 | | | 3,017,715 | |
| 70,166 | | | GSAA Home Equity Trust 2006-3, 1M Libor + 0.08% | | 1.027 | | 3/25/2036 | | | 33,831 | |
| 1,692,000 | | | GSAA Trust (B) | | 5.760 | | 11/25/2034 | | | 1,567,551 | |
| 44,642 | | | GSAMP Trust 2003-FM1, 1M Libor + 2.78% | | 3.548 | | 3/20/2033 | | | 46,002 | |
| 83,148 | | | GSAMP Trust 2004-OPT, 1M Libor + 2.55% | | 4.023 | | 11/25/2034 | | | 45,537 | |
| 89,597 | | | GSAMP Trust 2004-WF, 1M Libor + 2.48% | | 3.422 | | 10/25/2034 | | | 59,614 | |
| 1,226,759 | | | GSAMP Trust 2007-FM1, 1M Libor + 0.12% | | 1.067 | | 12/25/2036 | | | 621,362 | |
| 2,000,000 | | | GSAMP Trust 2007-SEA1, 144A, (B) | | 5.500 | | 12/25/2036 | | | 1,578,626 | |
| 1,994,801 | | | GSMPS Mortgage Loan Trust 2003-3, (A), 144A | | 7.075 | | 6/25/2043 | | | 470,777 | |
| 191,763 | | | GSMPS Mortgage Loan Trust 2006-RP1, 1M Libor + 0.35%, 144A | | 1.297 | | 1/25/2036 | | | 147,573 | |
| 168,723 | | | GSR Mortgage Loan Trust 2003-2F | | 4.750 | | 3/25/2032 | | | 157,158 | |
| 22,661 | | | GSR Mortgage Loan Trust 2004-7 (A) | | 3.680 | | 6/25/2034 | | | 19,405 | |
| 2,712,954 | | | GSR Mortgage Loan Trust 2006-4F,1M Libor + 0.35% | | 1.297 | | 5/25/2036 | | | 220,190 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 1,231,552 | | | GSR Mortgage Loan Trust 2006-9F, 1M Libor + 0.35% | | 1.297 | | 10/25/2036 | | $ | 203,821 | |
| 24,123 | | | GSR Mortgage Loan Trust 2006-AR2 (A) | | 3.769 | | 4/25/2036 | | | 18,315 | |
| 1,666,706 | | | GSR Mortgage Loan Trust 2006-OA1, 1M Libor + 0.26% | | 1.207 | | 8/25/2046 | | | 763,735 | |
| 432,317 | | | HarborView Mortgage Loan Trust 2004-8, 1M Libor + 0.94% | | 1.690 | | 11/19/2034 | | | 187,166 | |
| 5,059,478 | | | HarborView Mortgage Loan Trust 2005-13, 1M Libor + 0.56% | | 1.310 | | 2/19/2036 | | | 3,603,120 | |
| 233,306 | | | HarborView Mortgage Loan Trust 2006-7, 1M Libor + 0.20% | | 0.950 | | 9/19/2046 | | | 185,405 | |
| 3,080,283 | | | HarborView Mortgage Loan Trust 2006-8, 1M Libor + 0.19% | | 1.114 | | 7/21/2036 | | | 2,899,219 | |
| 6,845,717 | | | HarborView Mortgage Loan Trust 2006-10, 1M Libor + 0.24% | | 0.990 | | 11/19/2036 | | | 4,820,895 | |
| 3,794,134 | | | HarborView Mortgage Loan Trust 2007-1, 1M Libor + 0.18% | | 0.930 | | 3/19/2037 | | | 3,033,686 | |
| 2,386,110 | | | Helios Issuer LLC, 144A | | 8.000 | | 9/20/2049 | | | 1,697,718 | |
| 237,122 | | | Home Equity Asset Trust, 1M Libor + 2.55% | | 3.497 | | 3/25/2033 | | | 215,177 | |
| 1,333,643 | | | Home Equity Asset Trust, 1M Libor + 3.50% | | 4.447 | | 3/25/2034 | | | 1,114,584 | |
| 263,366 | | | Home Equity Asset Trust, 1M Libor + 2.50% | | 3.447 | | 4/25/2034 | | | 216,923 | |
| 518,522 | | | Home Equity Asset Trust, 1M Libor + 2.60% | | 3.547 | | 8/25/2034 | | | 664,380 | |
| 770,660 | | | Home Equity Asset Trust, 1M Libor + 1.50% | | 2.447 | | 3/25/2035 | | | 649,753 | |
| 267,048 | | | Home Equity Asset Trust 2002-2, 1M Libor + 1.85% | | 2.797 | | 6/25/2032 | | | 218,947 | |
| 923,930 | | | Home Equity Asset Trust 2004-4, 1M Libor + 2.75% | | 3.697 | | 10/25/2034 | | | 765,352 | |
| 215,407 | | | Home Equity Asset Trust 2004-6, 1M Libor + 1.65% | | 2.597 | | 12/25/2034 | | | 184,905 | |
| 1,132,079 | | | Home Equity Asset Trust 2005-4, 1M Libor + 1.68% | | 2.627 | | 10/25/2035 | | | 801,479 | |
| 137,000 | | | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-D, 1M Libor + 0.44% | | 1.387 | | 3/25/2036 | | | 109,660 | |
| 5,831,032 | | | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-D, 1M Libor + 0.16% | | 1.107 | | 11/25/2036 | | | 4,234,075 | |
| 220,158 | | | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-E, 1M Libor + 0.12% | | 1.067 | | 4/25/2037 | | | 151,526 | |
| 787,240 | | | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A, 1M Libor + 0.22% | | 1.167 | | 4/25/2037 | | | 603,501 | |
| 1,798,757 | | | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A, 1M Libor + 0.24% | | 1.187 | | 4/25/2037 | | | 1,239,748 | |
| 478,123 | | | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2001-C, 1M Libor + 2.18% | | 3.122 | | 12/25/2032 | | | 371,569 | |
| 112,653 | | | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2003-A (B) | | 4.965 | | 4/25/2033 | | | 117,968 | |
| 343,315 | | | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-B, 1M Libor + 2.18% | | 3.122 | | 11/25/2034 | | | 342,288 | |
| 178,584 | | | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C, 1M Libor + 1.43% | | 2.372 | | 3/25/2035 | | | 140,368 | |
| 392,885 | | | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C, 1M Libor + 1.58% | | 2.522 | | 3/25/2035 | | | 306,873 | |
| 337,729 | | | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C, 1M Libor + 1.88% | | 2.822 | | 3/25/2035 | | | 249,378 | |
| 217,493 | | | HomeBanc Mortgage Trust 2004-2, 1M Libor + 0.98% | | 1.922 | | 12/25/2034 | | | 193,720 | |
| 777,621 | | | HomeBanc Mortgage Trust 2005-1, 1M Libor + 1.25% | | 2.197 | | 3/25/2035 | | | 642,896 | |
| 4,763,686 | | | HSI Asset Securitization Corp Trust 2007-WF1, 1M Libor + 0.27% | | 1.217 | | 5/25/2037 | | | 4,373,284 | |
| 453,975 | | | IMC Home Equity Loan Trust 1998-1 (B) | | 7.530 | | 6/20/2029 | | | 431,679 | |
| 4,392 | | | IMC Home Equity Loan Trust 1998-5 (B) | | 6.560 | | 3/15/2037 | | | 4,418 | |
| 92,286 | | | Impac CMB Trust Series 2004-4, 1M Libor + 2.25% | | 3.197 | | 9/25/2034 | | | 91,942 | |
| 630,023 | | | Impac CMB Trust Series 2004-11, 1M Libor + 0.74% | | 1.687 | | 3/25/2035 | | | 550,614 | |
| 275,160 | | | Impac CMB Trust Series 2005-2, 1M Libor + 0.65% | | 1.592 | | 4/25/2035 | | | 242,239 | |
| 891,519 | | | Impac CMB Trust Series 2005-2, 1M Libor + 0.77% | | 1.712 | | 4/25/2035 | | | 749,499 | |
| 151,020 | | | Impac CMB Trust Series 2005-2, 1M Libor + 1.13% | | 2.072 | | 4/25/2035 | | | 125,695 | |
| 100,680 | | | Impac CMB Trust Series 2005-2, 1M Libor + 2.48% | | 3.422 | | 4/25/2035 | | | 86,348 | |
| 18,620 | | | Impac CMB Trust Series 2005-6, 1M Libor + 3.38% | | 4.322 | | 10/25/2035 | | | 18,053 | |
| 76,533 | | | Impac Secured Assets CMN Owner Trust | | 6.500 | | 4/25/2033 | | | 62,362 | |
| 4,093,126 | | | Impac Secured Assets Corp Series 2004-4, 1M Libor + 1.65% | | 2.597 | | 2/25/2035 | | | 2,856,591 | |
| 1,918,675 | | | IndyMac IMJA Mortgage Loan Trust 2007-A1 | | 6.000 | | 8/25/2037 | | | 1,163,969 | |
| 3,695,636 | | | IndyMac IMSC Mortgage Loan Trust 2007-HOA1, 1M Libor + 0.18% | | 1.127 | | 7/25/2047 | | | 2,725,268 | |
| 144,004 | | | IndyMac INDA Mortgage Loan Trust 2006-AR3 (A) | | 3.830 | | 12/25/2036 | | | 118,857 | |
| 100,316 | | | IndyMac INDX Mortgage Loan Trust 2004-AR5, 1M Libor + 0.80% | | 1.747 | | 8/25/2034 | | | 80,126 | |
| 1,707,092 | | | IndyMac INDX Mortgage Loan Trust 2004-AR6 (A) | | 4.198 | | 10/25/2034 | | | 1,514,436 | |
| 1,404,588 | | | IndyMac INDX Mortgage Loan Trust 2004-AR14, 1M Libor + 0.72% | | 1.667 | | 1/25/2035 | | | 1,106,188 | |
| 5,322,308 | | | IndyMac INDX Mortgage Loan Trust 2005-AR18, 1M Libor + 0.31% | | 1.257 | | 10/25/2036 | | | 3,520,577 | |
| 492,370 | | | IndyMac INDX Mortgage Loan Trust 2005-AR23 (A) | | 3.725 | | 11/25/2035 | | | 412,271 | |
| 105,949 | | | IndyMac INDX Mortgage Loan Trust 2006-AR6, 1M Libor + 0.20% | | 1.147 | | 6/25/2046 | | | 82,572 | |
| 817,370 | | | IndyMac INDX Mortgage Loan Trust 2006-AR8, 1M Libor + 0.31% | | 1.177 | | 7/25/2046 | | | 745,905 | |
| 899,031 | | | IndyMac INDX Mortgage Loan Trust 2006-AR29, 1M Libor + 0.08% | | 1.027 | | 11/25/2036 | | | 732,243 | |
| 1,101,566 | | | IndyMac INDX Mortgage Loan Trust 2006-AR29, 1M Libor + 0.17% | | 1.117 | | 11/25/2036 | | | 902,719 | |
| 643,331 | | | JP Morgan Alternative Loan Trust (A) | | 3.996 | | 5/25/2036 | | | 447,822 | |
| 957,411 | | | JP Morgan Mortgage Trust 2005-A1 (A) | | 4.352 | | 2/25/2035 | | | 548,844 | |
| 146,233 | | | JP Morgan Mortgage Trust 2006-A6 (A) | | 3.906 | | 10/25/2036 | | | 117,084 | |
| 317,334 | | | JP Morgan Mortgage Trust 2006-A7 (A) | | 3.803 | | 1/25/2037 | | | 261,872 | |
| 175,817 | | | JP Morgan Mortgage Trust 2006-S3 | | 6.500 | | 8/25/2036 | | | 109,204 | |
| 57,723 | | | Lehman Mortgage Trust 2005-3 | | 6.000 | | 1/25/2036 | | | 57,204 | |
| 5,623,863 | | | Lehman Mortgage Trust 2007-5, 1M Libor + 6.34% | | 5.393 | | 6/25/2037 | | | 1,062,686 | |
| 138,556 | | | Lehman XS Trust 2007-1, 1M Libor + 0.23% | | 1.177 | | 2/25/2037 | | | 82,908 | |
| 1,658,095 | | | Lehman XS Trust 2007-6, 1M Libor + 0.21% | | 1.157 | | 5/25/2037 | | | 1,246,874 | |
| 4,757,681 | | | Lehman XS Trust Series 2005-5N, 1M Libor + 0.36% # | | 1.307 | | 11/25/2035 | | | 3,682,880 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 6,288,283 | | | Lehman XS Trust Series 2005-9N, Federal Reserve U.S. 12 month + 1.06% | | 3.026 | | 2/25/2036 | | $ | 5,165,222 | |
| 1 | | | Lehman XS Trust Series 2006-18N, 1M Libor + 0.17% | | 1.117 | | 12/25/2036 | | | 1 | |
| 725,780 | | | Lehman XS Trust Series 2007-7N, 1M Libor + 0.24% | | 1.187 | | 6/25/2047 | | | 562,515 | |
| 1,224,178 | | | Lehman XS Trust Series 2007-12N, 1M Libor + 0.20% | | 1.147 | | 7/25/2047 | | | 1,020,240 | |
| 230,729 | | | Lehman XS Trust Series 2007-16N, 1M Libor + 0.85% | | 1.797 | | 9/25/2047 | | | 192,926 | |
| 5,200,000 | | | Long Beach Mortgage Loan Trust 2001-2, 1M Libor + 1.95% ^ | | 0.000 | | 7/25/2031 | | | 379,600 | |
| 4,850 | | | Long Beach Mortgage Loan Trust 2001-4, 1M Libor + 2.48% | | 3.422 | | 3/25/2032 | | | 7,113 | |
| 6,937 | | | Long Beach Mortgage Loan Trust 2003-3, 1M Libor + 2.78% | | 3.722 | | 7/25/2033 | | | 7,652 | |
| 90,129 | | | Long Beach Mortgage Loan Trust 2003-4, 1M Libor + 2.63% | | 3.572 | | 8/25/2033 | | | 91,344 | |
| 45,046 | | | Long Beach Mortgage Loan Trust 2004-4, 1M Libor + 1.65% | | 2.597 | | 10/25/2034 | | | 44,078 | |
| 140,310 | | | Long Beach Mortgage Loan Trust 2004-5, 1M Libor + 1.80% | | 2.747 | | 9/25/2034 | | | 116,994 | |
| 70,706 | | | Long Beach Mortgage Loan Trust 2004-5, 1M Libor + 1.95% | | 2.897 | | 9/25/2034 | | | 59,760 | |
| 4,513,470 | | | Long Beach Mortgage Loan Trust 2005-1, 1M Libor + 1.43% # | | 2.372 | | 2/25/2035 | | | 3,678,783 | |
| 440,617 | | | MASTR Alternative Loan Trust 2006-2, 1M Libor + 0.35% | | 1.297 | | 3/25/2036 | | | 32,123 | |
| 286,401 | | | MASTR Alternative Loan Trust 2006-2, 1M Libor + 0.40% | | 1.347 | | 3/25/2036 | | | 21,604 | |
| 3,000,000 | | | Mastr Asset Backed Securities Trust 2004-HE1, 1M Libor + 3.75% | | 4.697 | | 9/25/2034 | | | 2,911,169 | |
| 657,256 | | | Mastr Asset Backed Securities Trust 2004-OPT2, 1M Libor +2.85% | | 3.797 | | 9/25/2034 | | | 385,969 | |
| 58,810 | | | Mastr Asset Backed Securities Trust 2004-WMC3, 1M Libor + 0.96% | | 1.907 | | 10/25/2034 | | | 58,067 | |
| 112,841 | | | Mastr Asset Backed Securities Trust 2005-NC1, 1M Libor + 1.20% | | 2.147 | | 12/25/2034 | | | 107,537 | |
| 99,127 | | | MASTR Asset Securitization Trust 2004-3 | | 5.500 | | 3/25/2034 | | | 82,839 | |
| 332,556 | | | Mastr Specialized Loan Trust, 144A (B) | | 6.250 | | 7/25/2035 | | | 308,126 | |
| 985,703 | | | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR4, 1M Libor + 0.25% | | 1.197 | | 8/25/2037 | | | 782,927 | |
| 86,134 | | | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1 | | 4.056 | | 12/25/2032 | | | 62,451 | |
| 1,088,197 | | | Merrill Lynch Mortgage Investors Trust Series 2003-HE1, 1M Libor + 2.48% | | 3.422 | | 7/25/2034 | | | 828,840 | |
| 228,992 | | | Merrill Lynch Mortgage Investors Trust Series 2004-HE2, 1M Libor + 4.35% | | 5.297 | | 8/25/2035 | | | 211,495 | |
| 491,885 | | | Merrill Lynch Mortgage Investors Trust Series 2004-WMC2, 1M Libor + 2.78% | | 3.722 | | 12/25/2034 | | | 386,705 | |
| 1,427,340 | | | Merrill Lynch Mortgage Investors Trust Series 2005-A6, 1M Libor +0.65% | | 1.597 | | 8/25/2035 | | | 807,367 | |
| 344,247 | | | Merrill Lynch Mortgage Investors Trust Series 2005-WMC1, 1M Libor + 0.80% | | 1.742 | | 9/25/2035 | | | 338,034 | |
| 828,187 | | | Merrill Lynch Mortgage Investors Trust Series 2005-WMC1, 1M Libor + 5.63%, 144A | | 6.572 | | 9/25/2035 | | | 572,305 | |
| 17,787 | | | Merrill Lynch Mortgage Investors Trust Series MLCC 2007-3 (A) | | 3.750 | | 9/25/2037 | | | 14,875 | |
| 823,240 | | | Merrill Lynch Mortgage Investors Trust Series MLCC 2007-3 (A) | | 3.902 | | 9/25/2037 | | | 447,458 | |
| 86,147 | | | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1 (A) | | 3.978 | | 2/25/2034 | | | 69,025 | |
| 197,506 | | | Morgan Stanley ABS Capital I Inc Trust 2001-WF1, 1M Libor + 1.58% | | 2.522 | | 9/25/2031 | | | 200,283 | |
| 703,110 | | | Morgan Stanley ABS Capital I Inc Trust 2003-NC5, 1M Libor + 4.95% | | 5.897 | | 4/25/2033 | | | 638,040 | |
| 61,929 | | | Morgan Stanley ABS Capital I Inc Trust 2003-NC7, 1M Libor + 5.63% | | 6.572 | | 6/25/2033 | | | 63,486 | |
| 420,215 | | | Morgan Stanley ABS Capital I Inc Trust 2003-NC8, 1M Libor + 5.40% | | 6.347 | | 9/25/2033 | | | 350,469 | |
| 568,546 | | | Morgan Stanley ABS Capital I Inc Trust 2003-NC8, 1M Libor + 5.63% | | 6.572 | | 9/25/2033 | | | 460,145 | |
| 732,187 | | | Morgan Stanley ABS Capital I Inc Trust 2003-NC10, 1M Libor + 5.63% | | 6.572 | | 10/25/2033 | | | 645,842 | |
| 19,356 | | | Morgan Stanley ABS Capital I Inc Trust 2004-HE4, 1M Libor + 3.15% | | 4.097 | | 5/25/2034 | | | 20,405 | |
| 1,365,296 | | | Morgan Stanley ABS Capital I Inc Trust 2004-HE6, 1M Libor + 2.03% | | 2.972 | | 8/25/2034 | | | 1,319,670 | |
| 290,018 | | | Morgan Stanley ABS Capital I Inc Trust 2004-HE8, 1M Libor + 1.95% | | 2.897 | | 9/25/2034 | | | 286,642 | |
| 94,364 | | | Morgan Stanley ABS Capital I Inc Trust 2004-HE8, 1M Libor + 2.70% | | 3.647 | | 9/25/2034 | | | 90,164 | |
| 1,479,915 | | | Morgan Stanley ABS Capital I Inc Trust 2004-HE9, 1M Libor + 1.58% | | 2.522 | | 11/25/2034 | | | 1,231,474 | |
| 46,131 | | | Morgan Stanley ABS Capital I Inc Trust 2004-NC7, 1M Libor + 1.73% | | 2.672 | | 7/25/2034 | | | 42,639 | |
| 368,490 | | | Morgan Stanley ABS Capital I Inc Trust 2004-NC8, 1M Libor + 1.88% | | 2.822 | | 9/25/2034 | | | 364,521 | |
| 69,219 | | | Morgan Stanley ABS Capital I Inc Trust 2004-NC8, 1M Libor + 2.78% | | 3.722 | | 9/25/2034 | | | 68,174 | |
| 1,500,428 | | | Morgan Stanley ABS Capital I Inc Trust 2004-WMC3, 1M Libor + 1.43% | | 2.372 | | 1/25/2035 | | | 766,989 | |
| 1,366,815 | | | Morgan Stanley ABS Capital I Inc Trust 2005-HE1, 1M Libor + 1.31% | | 2.252 | | 12/25/2034 | | | 957,987 | |
| 492,840 | | | Morgan Stanley ABS Capital I Inc Trust 2005-HE2, 1M Libor + 1.02% | | 1.967 | | 1/25/2035 | | | 344,569 | |
| 1,100,106 | | | Morgan Stanley ABS Capital I Inc Trust 2005-NC1, 1M Libor + 1.10% | | 2.042 | | 1/25/2035 | | | 846,727 | |
| 312,669 | | | Morgan Stanley ABS Capital I Inc Trust 2005-NC1, 1M Libor + 1.88% | | 2.822 | | 1/25/2035 | | | 249,409 | |
| 1,887,631 | | | Morgan Stanley ABS Capital I Inc Trust 2005-NC2, 1M Libor + 1.04% | | 1.982 | | 3/25/2035 | | | 936,417 | |
| 1,610,635 | | | Morgan Stanley ABS Capital I Inc Trust 2005-WMC2, 1M Libor + 0.98% | | 1.922 | | 2/25/2035 | | | 825,886 | |
| 200,000 | | | Morgan Stanley ABS Capital I Inc Trust 2005-WMC4, 1M Libor + 1.05% | | 1.997 | | 4/25/2035 | | | 167,255 | |
| 4,112,927 | | | Morgan Stanley ABS Capital I Inc Trust 2006-HE7, 1M Libor + 0.23% | | 1.177 | | 9/25/2036 | | | 2,045,297 | |
| 348,493 | | | Morgan Stanley ABS Capital I Inc Trust 2007-HE3, 1M Libor + 0.06% | | 1.007 | | 12/25/2036 | | | 181,406 | |
| 4,887 | | | Morgan Stanley Dean Witter Capital I Inc Trust 2001-NC1, 1M Libor + 0.95% | | 1.892 | | 10/25/2031 | | | 50,935 | |
| 1,314,986 | | | Morgan Stanley Home Equity Loan Trust 2007-2, 1M Libor + 0.10% | | 1.047 | | 4/25/2037 | | | 702,821 | |
| 2,410,792 | | | Morgan Stanley IXIS Real Estate Capital Trust 2006-2, 1M +0.15% | | 1.097 | | 11/25/2036 | | | 1,025,167 | |
| 5,261,451 | | | Morgan Stanley Mortgage Loan Trust 2007-7AX, 1M Libor + 0.32% | | 1.267 | | 4/25/2037 | | | 424,057 | |
| 20,949,213 | | | Morgan Stanley Mortgage Loan Trust 2007-7AX, 1M Libor + 0.32% | | 1.267 | | 4/25/2037 | | | 1,662,268 | |
| 210,267 | | | Mortgage IT Trust 2004-2, 1M Libor + 0.83% | | 1.772 | | 12/25/2034 | | | 193,798 | |
| 305,622 | | | Mortgage IT Trust 2005-2, 1M Libor + 0.81% | | 1.757 | | 5/25/2035 | | | 289,973 | |
| 93,325 | | | Mortgage IT Trust 2005-2, 1M Libor + 1.65% | | 3.231 | | 5/25/2035 | | | 87,476 | |
| 2,500,000 | | | Nationstar Home Equity Loan Trust 2007-A, 1M Libor + 0.28% | | 1.227 | | 3/25/2037 | | | 1,959,556 | |
| 1,048,129 | | | New Century Home Equity Loan Trust 2003-6, 1M Libor + 4.76% | | 5.709 | | 1/25/2034 | | | 966,705 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 94,380 | | | New Century Home Equity Loan Trust 2004-1, 1M Libor + 2.33% | | 3.272 | | 5/25/2034 | | $ | 93,896 | |
| 50,147 | | | New Century Home Equity Loan Trust 2004-3, 1M Libor + 1.73% | | 2.672 | | 11/25/2034 | | | 45,997 | |
| 4,903,909 | | | New Century Home Equity Loan Trust 2005-1, 1M Libor + 1.20% | | 2.147 | | 3/25/2035 | | | 1,989,140 | |
| 3,631,418 | | | New Century Home Equity Loan Trust 2005-2, 1M Libor + 1.02% | | 1.967 | | 6/25/2035 | | | 1,711,177 | |
| 398,413 | | | New Century Home Equity Loan Trust 2006-2, 1M Libor + 0.16% | | 1.107 | | 8/25/2036 | | | 364,574 | |
| 1,511,814 | | | New Century Home Equity Loan Trust Series 2003-2, 1M Libor + 3.00% | | 3.947 | | 1/25/2033 | | | 1,304,580 | |
| 174,454 | | | New Century Home Equity Loan Trust Series 2003-3, 1M Libor + 5.63% | | 6.572 | | 7/25/2033 | | | 121,512 | |
| 352,236 | | | New Century Home Equity Loan Trust Series 2003-5 (B) | | 6.000 | | 11/25/2033 | | | 346,008 | |
| 3,750,281 | | | New Residential Mortgage LLC, 144A | | 5.670 | | 5/25/2023 | | | 3,705,849 | |
| 141,908 | | | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR1, 1M Libor +1.10% | | 2.047 | | 8/25/2034 | | | 119,802 | |
| 315,728 | | | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1 (A) | | 4.442 | | 6/25/2036 | | | 240,009 | |
| 142,432 | | | NovaStar Mortgage Funding Trust Series 2003-3, 1M Libor + 1.13% | | 2.072 | | 12/25/2033 | | | 140,762 | |
| 1,281,027 | | | NovaStar Mortgage Funding Trust Series 2004-1, 1M Libor + 2.55% | | 3.497 | | 6/25/2034 | | | 1,045,081 | |
| 1,867,037 | | | NovaStar Mortgage Funding Trust Series 2004-1, 1M Libor + 2.70% | | 3.647 | | 6/25/2034 | | | 1,227,194 | |
| 98,506 | | | NovaStar Mortgage Funding Trust Series 2004-3, 1M Libor + 2.78% | | 3.722 | | 12/25/2034 | | | 66,211 | |
| 2,500,000 | | | NovaStar Mortgage Funding Trust Series 2004-4, 1M Libor + 2.55% | | 3.497 | | 3/25/2035 | | | 1,817,720 | |
| 3,191,837 | | | NovaStar Mortgage Funding Trust Series 2005-1, 1M Libor + 1.77% | | 2.717 | | 6/25/2035 | | | 1,608,107 | |
| 557,437 | | | NovaStar Mortgage Funding Trust Series 2006-MTA1, 1M Libor + 0.38% | | 0.780 | | 9/25/2046 | | | 490,490 | |
| 2,110,501 | | | NovaStar Mortgage Funding Trust Series 2007-1, 1M Libor + 0.13% | | 1.077 | | 3/25/2037 | | | 1,388,596 | |
| 439,085 | | | Option One Mortgage Loan Trust 2004-1, 1M Libor + 2.03% | | 2.972 | | 1/25/2034 | | | 292,768 | |
| 298,286 | | | Option One Mortgage Loan Trust 2004-1, 1M Libor + 2.48% | | 3.422 | | 1/25/2034 | | | 190,887 | |
| 298,348 | | | Option One Mortgage Loan Trust 2004-2, 1M Libor + 1.58% | | 2.522 | | 5/25/2034 | | | 282,662 | |
| 593,107 | | | Option One Mortgage Loan Trust 2004-2, 1M Libor + 2.70% | | 3.647 | | 5/25/2034 | | | 391,283 | |
| 5,840,243 | | | Optone Delware Trust Adj% (A)(C) | | 6.171 | | 2/26/2038 | | | 3,763,758 | |
| 259,076 | | | Origen Manufactured Housing | | 7.820 | | 3/15/2032 | | | 237,187 | |
| 1,062,242 | | | Ownit Mortgage Loan Trust Series 2004-1, 1M Libor + 2.78% | | 3.722 | | 7/25/2035 | | | 1,094,761 | |
| 411,213 | | | Ownit Mortgage Loan Trust Series 2006-2 (B) | | 6.133 | | 1/25/2037 | | | 409,654 | |
| 1,067,102 | | | Park Place Securities Inc Asset-Backed Pass-Through Certificates Ser 2004-WHQ1, 1M Libor +2.78% | | 3.722 | | 9/25/2034 | | | 733,358 | |
| 275,566 | | | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW3, 1M Libor + 0.48% | | 1.427 | | 8/25/2035 | | | 268,660 | |
| 2,564,113 | | | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WLL, 1M Libor + 1.11%, 144A | | 2.057 | | 3/25/2035 | | | 1,285,170 | |
| 2,761,217 | | | Park Place Securities Inc Series 2005-WCW1, 1M Libor + 0.66% | | 1.607 | | 9/25/2035 | | | 1,404,013 | |
| 189,648 | | | People’s Choice Home Loan Securities Trust Series 2004-2, 1M Libor + 1.73% | | 2.672 | | 10/25/2034 | | | 158,529 | |
| 163,349 | | | People’s Choice Home Loan Securities Trust Series 2004-2, 1M Libor + 2.70% | | 3.647 | | 10/25/2034 | | | 97,564 | |
| 85,322 | | | Popular ABS Mortgage Pass-Through Trust 2005-5 (B) | | 3.885 | | 11/25/2035 | | | 83,739 | |
| 980,213 | | | Popular ABS Mortgage Pass-Through Trust 2005-A, 1M Libor + 1.65% | | 2.597 | | 6/25/2035 | | | 634,524 | |
| 700,000 | | | Popular ABS Mortgage Pass-Through Trust 2005-B, 1M Libor + 1.90% | | 2.847 | | 8/25/2035 | | | 561,719 | |
| 440,825 | | | Prime Mortgage Trust 2006-1 | | 5.500 | | 6/25/2036 | | | 458,429 | |
| 992,000 | | | Prime Mortgage Trust 2006-CL1, 1M Libor + 0.40% | | 1.347 | | 2/25/2035 | | | 701,703 | |
| 695,000 | | | Prime Mortgage Trust 2006-CL1, 1M Libor + 0.48% | | 1.427 | | 2/25/2035 | | | 446,984 | |
| 300,000 | | | Provident Bank Home Equity Loan Trust 1998-4, 1M Libor + 3.50% | | 4.447 | | 1/25/2030 | | | 285,408 | |
| 796,466 | | | Provident Bank Home Equity Loan Trust 1999-3, 1M Libor + 0.39% | | 2.407 | | 1/25/2031 | | | 662,739 | |
| 246,502 | | | Provident Bank Home Equity Loan Trust 1999-3, 1M Libor + 0.42% | | 2.467 | | 1/25/2031 | | | 205,013 | |
| 2,208,380 | | | Quest Trust, 1M Libor + 5.25%, 144A | | 4.572 | | 12/25/2033 | | | 1,698,999 | |
| 347,716 | | | Quest Trust, 1M Libor + 4.88%, 144A | | 5.822 | | 2/25/2034 | | | 301,994 | |
| 325,067 | | | RAAC Series 2004-SP3 Trust, 1M Libor + 1.85% | | 2.797 | | 9/25/2034 | | | 150,428 | |
| 148,249 | | | RAAC Series 2005-SP2 Trust, 1M Libor + 0.30% | | 1.247 | | 6/25/2044 | | | 122,900 | |
| 445,747 | | | RAAC Series 2007-RP4 Trust, 1M Libor + 0.35%, 144A | | 1.297 | | 11/25/2046 | | | 387,115 | |
| 14,064 | | | RALI Series 2003-QS9 Trust, 1M Libor + 0.45% | | 1.397 | | 5/25/2020 | | | 13,305 | |
| 6,006,581 | | | RALI Series 2005-QO1 Trust, 1M Libor +0.38% | | 1.327 | | 8/25/2035 | | | 3,011,494 | |
| 375,485 | | | RALI Series 2005-QS7 Trust | | 5.500 | | 6/25/2035 | | | 343,622 | |
| 3,378,072 | | | RALI Series 2006-QO7 Trust, + 0.80% | | 2.766 | | 9/25/2046 | | | 2,175,579 | |
| 743,947 | | | RALI Series 2006-QO8 Trust, 1M Libor + 0.20% | | 1.147 | | 10/25/2046 | | | 643,935 | |
| 50,597 | | | RALI Series 2006-QS7 Trust, 1M Libor + 0.40% | | 1.347 | | 6/25/2036 | | | 35,366 | |
| 63,103,332 | | | RALI Series 2006-QS12 Trust (A)(C) | | 0.463 | | 9/25/2036 | | | 847,888 | |
| 993,907 | | | RALI Series 2007-QH3 Trust, 1M Libor + 0.21% | | 1.157 | | 4/25/2037 | | | 2,225,795 | |
| 384,982 | | | RALI Series 2007-QH5 Trust, 1M Libor + 0.25% | | 1.197 | | 6/25/2037 | | | 10,810 | |
| 715,213 | | | RALI Series 2007-QH7 Trust, 1M Libor + 0.27% | | 1.217 | | 8/25/2037 | | | 354,900 | |
| 297,057 | | | RAMP Series 2003-RS9 Trust, 1M Libor + 2.70% | | 3.647 | | 10/25/2033 | | | 253,707 | |
| 6,258 | | | RAMP Series 2004-SL1 Trust, 1M Libor + 1.90% | | 3.527 | | 10/25/2031 | | | 6,126 | |
| 1,000,000 | | | RAMP Series 2005-EFC4 Trust, 1M Libor + 0.63% | | 1.577 | | 9/25/2035 | | | 847,846 | |
| 409,322 | | | RAMP Series 2005-RS8 Trust, 1M Libor + 0.50% | | 1.447 | | 9/25/2035 | | | 369,766 | |
| 759,259 | | | RAMP Series 2006-RS1 Trust, 1M Libor +0.41 | | 1.357 | | 1/25/2036 | | | 355,063 | |
| 1,844,466 | | | RASC Series 2004-KS6 Trust | | 5.066 | | 7/25/2034 | | | 1,351,969 | |
| 3,000,000 | | | RASC Series 2005-KS6 Trust, 1M Libor + 1.88% | | 2.822 | | 7/25/2035 | | | 2,101,357 | |
| 339,720 | | | Renaissance Home Equity Loan Trust 2002-3, 1M Libor + 5.25% | | 6.197 | | 12/25/2032 | | | 198,441 | |
| 16,541,348 | | | Reperforming Loan REMIC Trust 2005-R1, 144A (A) | | 4.565 | | 3/25/2035 | | | 2,214,738 | |
| 18,281,411 | | | Reperforming Loan REMIC Trust 2005-R2, 144A (A) | | 4.141 | | 6/25/2035 | | | 2,210,059 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | | | | | | |
| 21,426,486 | | | Reperforming Loan REMIC Trust 2006-R1, 144A (A) | | 4.220 | | 1/25/2036 | | $ | 2,619,449 | |
| 1,546,562 | | | Residential Asset Securitization Trust 2003-A4 | | 5.750 | | 5/25/2033 | | | 1,132,217 | |
| 26,010,889 | | | Residential Asset Securitization Trust 2005-A11CB (A)(C) | | 0.334 | | 10/25/2035 | | | 212,600 | |
| 1,954,962 | | | Residential Asset Securitization Trust 2007-A1 | | 6.000 | | 3/25/2037 | | | 996,181 | |
| 1,597,764 | | | Residential Asset Securitization Trust 2007-A2 | | 6.000 | | 4/25/2037 | | | 1,256,283 | |
| 1,941,577 | | | Residential Asset Securitization Trust 2007-A8 | | 6.000 | | 8/25/2037 | | | 1,330,069 | |
| 2,900,702 | | | Residential Asset Securitization Trust 2007-A9 (A)(C) | | 7.000 | | 9/25/2037 | | | 703,255 | |
| 255,745 | | | SACO I Inc., 144A (A) | | 5.504 | | 4/25/2039 | | | 253,187 | |
| 772,081 | | | SACO I Trust 2006-3, 1M Libor + 0.36% | | 1.307 | | 4/25/2036 | | | 753,924 | |
| 210,081 | | | SACO I Trust 2006-6, 1M Libor + 0.26% | | 1.207 | | 6/25/2036 | | | 199,794 | |
| 618,856 | | | SASCO Mortgage Loan Trust 2004-GEL2 (B) | | 5.500 | | 7/19/2044 | | | 590,379 | |
| 719,805 | | | SASCO Mortgage Loan Trust 2004-GEL2 (B) | | 5.500 | | 5/25/2034 | | | 589,802 | |
| 401,672 | | | Saxon Asset Securities Trust 2002-3, 1M Libor + 2.59% | | 3.534 | | 12/25/2032 | | | 276,027 | |
| 52,691 | | | Saxon Asset Securities Trust 2004-2, 1M Libor + 1.91% | | 3.064 | | 8/25/2035 | | | 39,264 | |
| 948,250 | | | Saxon Asset Securities Trust 2005-1, 1M Libor + 3.53% | | 2.466 | | 5/25/2035 | | | 46,890 | |
| 4,500,000 | | | Saxon Asset Securities Trust 2007-4, 1M Libor + 3.00%, 144A | | 3.947 | | 12/25/2037 | | | 1,656,418 | |
| 57,874 | | | Securitized Asset Backed Receivables LLC Trust 2004-NC1, 1M Libor + 1.73% | | 2.672 | | 2/25/2034 | | | 56,851 | |
| 45,580 | | | Securitized Asset Backed Receivables LLC Trust 2004-NC1, 1M Libor + 2.18% | | 3.122 | | 2/25/2034 | | | 45,408 | |
| 30,746 | | | Securitized Asset Backed Receivables LLC Trust 2004-NC1, 1M Libor + 3.00% | | 3.947 | | 2/25/2034 | | | 26,429 | |
| 141,886 | | | Securitized Asset Backed Receivables LLC Trust 2004-NC3, 1M Libor + 1.68% | | 2.627 | | 9/25/2034 | | | 95,504 | |
| 152,941 | | | Security National Mortgage Loan Trust 2005-1, 1M Libor + 0.40%, 144A | | 1.347 | | 2/25/2035 | | | 149,950 | |
| 132,905 | | | Sequoia Mortgage Trust 2007-1 (A) | | 3.901 | | 2/20/2047 | | | 108,082 | |
| 225,523 | | | Sequoia Mortgage Trust 9, 1M Libor + 1.13% | | 2.890 | | 9/20/2032 | | | 189,143 | |
| 200,000 | | | SG Mortgage Securities Trust 2006-OPT2, 1M Libor + 0.15% | | 1.097 | | 10/25/2036 | | | 170,878 | |
| 203,619 | | | Soundview Home Loan Trust 2004-WMC1 | | 2.147 | | 1/25/2035 | | | 165,787 | |
| 1,820,061 | | | Soundview Home Loan Trust 2006-3, 1M Libor + 0.16% | | 1.107 | | 11/25/2036 | | | 1,782,601 | |
| 377,827 | | | Soundview Home Loan Trust 2007-OPT2, 1M Libor + 0.18% | | 1.127 | | 7/25/2037 | | | 325,362 | |
| 1,446,243 | | | Soundview Home Loan Trust 2007-OPT4, 1M Libor + 1.00% | | 1.947 | | 9/25/2037 | | | 1,008,264 | |
| 166,394 | | | Specialty Underwriting & Residential Finance Trust Series 2003-BC2, 1M Libor + 4.50% | | 5.447 | | 6/25/2034 | | | 135,737 | |
| 160,286 | | | Specialty Underwriting & Residential Finance Trust Series 2004-BC1, 1M Libor + 1.95% | | 2.897 | | 2/25/2035 | | | 159,467 | |
| 443,457 | | | Specialty Underwriting & Residential Finance Trust Series 2004-BC1, 1M Libor + 2.55% | | 3.497 | | 2/25/2035 | | | 387,047 | |
| 24,755 | | | Specialty Underwriting & Residential Finance Trust Series 2004-BC3, 1M Libor + 2.63% | | 3.572 | | 7/25/2035 | | | 24,683 | |
| 1,687,759 | | | Specialty Underwriting & Residential Finance Trust Series 2006-BC5, 1M Libor + 0.15% | | 1.097 | | 11/25/2037 | | | 1,125,057 | |
| 1,904,151 | | | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 (A) | | 3.897 | | 9/25/2035 | | | 1,452,908 | |
| 191,352 | | | Structured Asset Investment Loan Trust, 1M Libor + 4.50% | | 5.447 | | 10/25/2033 | | | 206,058 | |
| 260,149 | | | Structured Asset Investment Loan Trust 2003-BC2, 1M Libor + 1.38% | | 2.327 | | 4/25/2033 | | | 230,248 | |
| 145,759 | | | Structured Asset Investment Loan Trust 2003-BC4, 1M Libor + 4.88% | | 5.822 | | 6/25/2033 | | | 105,230 | |
| 68,262 | | | Structured Asset Investment Loan Trust 2003-BC8, 1M Libor + 2.63% | | 3.572 | | 8/25/2033 | | | 57,408 | |
| 851,404 | | | Structured Asset Investment Loan Trust 2003-BC8, 1M Libor + 4.50% | | 5.447 | | 8/25/2033 | | | 562,398 | |
| 473,390 | | | Structured Asset Investment Loan Trust 2003-BC10, 1M Libor + 4.50% | | 5.447 | | 10/25/2033 | | | 406,387 | |
| 508,601 | | | Structured Asset Investment Loan Trust 2004-5, 1M Libor + 3.00% | | 3.947 | | 5/25/2034 | | | 403,237 | |
| 124,558 | | | Structured Asset Investment Loan Trust 2004-8, 1M Libor + 0.93% | | 1.877 | | 9/25/2034 | | | 114,899 | |
| 128,489 | | | Structured Asset Investment Loan Trust 2004-8, 1M Libor + 1.73% | | 2.672 | | 9/25/2034 | | | 127,767 | |
| 1,734,865 | | | Structured Asset Investment Loan Trust 2004-8, 1M Libor + 3.75% | | 4.697 | | 9/25/2034 | | | 1,418,468 | |
| 71,562 | | | Structured Asset Investment Loan Trust 2004-9, 1M Libor + 2.78% | | 3.722 | | 10/25/2034 | | | 56,556 | |
| 512,216 | | | Structured Asset Investment Loan Trust 2004-BNC2, 1M Libor + 1.28% | | 2.222 | | 12/25/2034 | | | 425,481 | |
| 5,587,584 | | | Structured Asset Mortgage Investments II Trust 2005-AR2, 1M Libor + 0.46% | | 1.407 | | 5/25/2045 | | | 4,014,259 | |
| 561,444 | | | Structured Asset Mortgage Investments II Trust 2006-AR3, 1M Libor + 0.21% | | 1.157 | | 4/25/2036 | | | 545,109 | |
| 36,488 | | | Structured Asset Mortgage Investments II Trust 2006-AR7, 1M Libor +0.20% | | 1.147 | | 8/25/2036 | | | 54,622 | |
| 826,607 | | | Structured Asset Mortgage Investments II Trust 2007-AR7 (A) | | 3.226 | | 5/25/2047 | | | 623,170 | |
| 616,812 | | | Structured Asset Securities Corp (A), 144A | | 4.809 | | 7/25/2035 | | | 487,504 | |
| 672,396 | | | Structured Asset Securities Corp 2005-S1, 1M Libor + 1.05% | | 1.997 | | 3/25/2035 | | | 1,736,507 | |
| 1,110,358 | | | Structured Asset Securities Corp Assistance Loan Trust 2003-AL1, 144A | | 3.357 | | 4/25/2031 | | | 1,087,418 | |
| 44,926 | | | Structured Asset Securities Corp Mortgage Pass-Through Certificates Series 2001-SB1 | | 3.375 | | 8/25/2031 | | | 39,930 | |
| 181,196 | | | Structured Asset Securities Corp Mortgage Pass-Through Certificates Series 2003-36XS (B) | | 5.336 | | 11/25/2033 | | | 111,974 | |
| 171,251 | | | Structured Asset Securities Corp Mortgage Pass-Through Certificates Series 2004-6XS (B) | | 5.670 | | 3/25/2034 | | | 176,575 | |
| 363,799 | | | Structured Asset Securities Corp Pass-Through Certificates Series 2002-AL1 | | 3.450 | | 2/25/2032 | | | 346,765 | |
| 762,922 | | | SunTrust Alternative Loan Trust 2006-1F | | 6.000 | | 4/25/2036 | | | 609,935 | |
| 150,131 | | | Terwin Mortgage Trust 2003-7SL, 144A (A) | | 8.000 | | 12/25/2033 | | | 139,798 | |
| 414,617 | | | Terwin Mortgage Trust 2004-7HE, 1M Libor + 0.85%, 144A | | 1.797 | | 7/25/2034 | | | 371,501 | |
| 1,113,993 | | | Terwin Mortgage Trust 2004-18SL, 144A (A) | | 8.000 | | 10/25/2034 | | | 1,072,061 | |
| 376,242 | | | Terwin Mortgage Trust 2006-HF-1, 144A (A) | | 4.560 | | 2/25/2037 | | | 382,209 | |
| 177,562 | | | Terwin Mortgage Trust Series TMTS 2003-2HE (A) | | 6.000 | | 7/25/2034 | | | 137,741 | |
| 58,149 | | | Terwin Mortgage Trust Series TMTS 2003-5SL, 144A (A) | | 8.000 | | 10/25/2034 | | | 49,668 | |
| 734,767 | | | Truman Capital Mortgage Loan Trust, 1M Libor + 4.13%, 144A | | 5.072 | | 1/25/2034 | | | 670,735 | |
| 1,860,549 | | | UCFC Home Equity Loan Trust 1998-D | | 7.750 | | 4/15/2030 | | | 1,817,847 | |
| 151,076 | | | Voyager CNTYW Delaware Trust, 144A (C) | | 42.216 | | 2/16/2036 | | | 125,373 | |
| 679,399 | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR4 Trust, 1M Libor + 1.50% | | 2.536 | | 5/25/2046 | | | 557,073 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued) | | | |
| 1,921,920 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-1 Trust, 1M Libor +0.37% | | 1.317 | | 2/25/2037 | | $ | 1,067,048 | |
| 540,653 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust, Federal Reserve U.S. 12 month + 0.71% | | 2.676 | | 12/25/2046 | | | 424,063 | |
| 2,335,935 | | | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust, 1M Libor + 0.06% | | 1.007 | | 10/25/2036 | | | 1,033,908 | |
| 384,403 | | | Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, 1M Libor + 2.82% | | 3.767 | | 10/25/2034 | | | 380,310 | |
| 1,056,238 | | | Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, 144A (A) | | 5.000 | | 10/25/2034 | | | 878,883 | |
| 322,971 | | | Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust, 1M Libor + 3.75% | | 4.697 | | 4/25/2035 | | | 277,363 | |
| 1,775,415 | | | Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust, 1M Libor + 3.75%, 144A | | 4.697 | | 4/25/2035 | | | 1,374,237 | |
| 151,641 | | | Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1, 1M Libor + 0.95% | | 1.897 | | 4/25/2034 | | | 148,045 | |
| 75,029 | | | Wilshire Mortgage Loan Trust, (A) | | 6.835 | | 3/25/2028 | | | 74,687 | |
| 69,179 | | | Wilshire Mortgage Loan Trust, (A) | | 7.425 | | 5/25/2028 | | | 68,742 | |
| 26,771 | | | Wilshire Mortgage Loan Trust, 144A, (A) | | 8.990 | | 5/25/2028 | | | 15,696 | |
| 219,780 | | | Yale Mortgage Loan Trust 2007-1, 144A, 1M Libor + 0.40% | | 1.347 | | 6/25/2037 | | | 79,945 | |
| | | | TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $464,135,736) | | | | | | | 424,553,932 | |
| | | | | | | | | | | | |
| | | | COMMERCIAL MORTGAGE BACKED SECURITIES - 10.0% | | | | | | | | |
| 18,729,314 | | | BANK 2017-BNK6 | | 1.500 | | 7/15/2060 | | | 1,472,334 | |
| 242,941 | | | Bayview Commercial Asset Trust 2003-2, 144A, 1M Libor + 3.23% | | 4.172 | | 12/25/2033 | | | 235,160 | |
| 135,682 | | | Bayview Commercial Asset Trust 2004-3, 144A, 1M Libor + 2.40% | | 3.347 | | 1/25/2035 | | | 133,666 | |
| 552,227 | | | Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.48% | | 1.427 | | 8/25/2035 | | | 418,079 | |
| 717,797 | | | Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.61% | | 1.557 | | 8/25/2035 | | | 524,750 | |
| 146,609 | | | Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.62% | | 1.567 | | 8/25/2035 | | | 103,622 | |
| 146,609 | | | Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.66% | | 1.607 | | 8/25/2035 | | | 100,467 | |
| 857,026 | | | Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.44% | | 1.387 | | 11/25/2035 | | | 659,609 | |
| 59,027 | | | Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.49% | | 1.437 | | 11/25/2035 | | | 44,725 | |
| 545,373 | | | Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.51% | | 1.457 | | 11/25/2035 | | | 413,209 | |
| 65,869 | | | Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.60% | | 1.547 | | 11/25/2035 | | | 49,893 | |
| 1,183,103 | | | Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 1.10% | | 2.047 | | 11/25/2035 | | | 860,167 | |
| 461,616 | | | Bayview Commercial Asset Trust 2005-4, 144A, 1M Libor + 0.50% | | 1.447 | | 1/25/2036 | | | 408,904 | |
| 236,434 | | | Bayview Commercial Asset Trust 2005-4, 144A, 1M Libor + 0.61% | | 1.557 | | 1/25/2036 | | | 209,982 | |
| 34,113 | | | Bayview Commercial Asset Trust 2006-1, 144A, 1M Libor + 0.38% | | 1.327 | | 4/25/2036 | | | 26,111 | |
| 36,043 | | | Bayview Commercial Asset Trust 2006-1, 144A, 1M Libor + 0.40% | | 1.347 | | 4/25/2036 | | | 27,321 | |
| 238,735 | | | Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.31% | | 1.257 | | 7/25/2036 | | | 212,720 | |
| 1,264,234 | | | Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.33% | | 1.277 | | 7/25/2036 | | | 1,113,484 | |
| 69,570 | | | Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.35% | | 1.297 | | 7/25/2036 | | | 61,211 | |
| 1,483,172 | | | Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.42% | | 1.367 | | 7/25/2036 | | | 1,309,665 | |
| 1,262,950 | | | Bayview Commercial Asset Trust 2006-4, 144A, 1M Libor + 0.23% | | 1.177 | | 12/25/2036 | | | 1,059,368 | |
| 1,586,064 | | | Bayview Commercial Asset Trust 2006-4, 144A, 1M Libor + 0.29% | | 1.237 | | 12/25/2036 | | | 1,295,224 | |
| 2,313,704 | | | Bayview Commercial Asset Trust 2006-SP2, 144A, 1M Libor + 0.47% | | 1.417 | | 1/25/2037 | | | 1,954,784 | |
| 718,080 | | | Bayview Commercial Asset Trust 2006-SP2, 1M Libor + 0.49% | | 1.437 | | 1/25/2037 | | | 604,529 | |
| 771,417 | | | Bayview Commercial Asset Trust 2006-SP2, 1M Libor + 0.56% | | 1.507 | | 1/25/2037 | | | 649,651 | |
| 1,298,801 | | | Bayview Commercial Asset Trust 2006-SP2, 144A, 1M Libor + 1.20% | | 2.147 | | 1/25/2037 | | | 1,549,797 | |
| 148,086 | | | Bayview Commercial Asset Trust 2007-1, 144A, 1M Libor + 0.22% | | 1.167 | | 3/25/2037 | | | 132,093 | |
| 525,750 | | | Bayview Commercial Asset Trust 2007-1, 1M Libor + 0.29% | | 1.237 | | 3/25/2037 | | | 454,930 | |
| 2,012,870 | | | Bayview Commercial Asset Trust 2007-2, 144A, 1M Libor + 0.32% | | 1.267 | | 7/25/2037 | | | 1,688,712 | |
| 1,878,244 | | | Bayview Commercial Asset Trust 2007-4, 1M Libor + 0.55% | | 1.497 | | 9/25/2037 | | | 1,523,407 | |
| 3,124,709 | | | Bayview Commercial Asset Trust 2007-5, 144A, 1M Libor + 1.00% | | 1.947 | | 10/25/2037 | | | 3,081,975 | |
| 13,628,500 | | | Bayview Commercial Asset Trust 2007-5, 1M Libor + 1.50% | | 2.447 | | 10/25/2037 | | | 8,113,745 | |
| 8,500,000 | | | Bayview Commercial Asset Trust 2007-6, 144A, 1M Libor + 1.50% | | 2.447 | | 12/25/2037 | | | 7,095,379 | |
| 502,573 | | | Bayview Commercial Asset Trust 2008-1, 144A, 1M Libor + 1.50% | | 2.447 | | 1/25/2038 | | | 483,559 | |
| 4,000,000 | | | Bayview Commercial Mortgage Pass-Through Trust 2006-SP1, 144A, 1M Libor + 3.38% | | 4.322 | | 4/25/2036 | | | 2,499,275 | |
| 1,735,731 | | | CBA Commercial Small Balance Commercial Mortgage, 144A, (B) | | 6.040 | | 1/25/2039 | | | 1,279,654 | |
| 802,255 | | | Cherrywood SB Commercial Mortgage Loan Trust 2016-1, 144A, 1M Libor + 2.65% | | 3.597 | | 3/25/2049 | | | 812,316 | |
| 1,496,000 | | | Cherrywood SB Commercial Mortgage Loan Trust 2016-1, 144A (A) | | 7.273 | | 3/25/2049 | | | 1,036,750 | |
| 40,298,466 | | | Citigroup Commercial Mortgage Trust 2015-GC27, 1M Libor (C) | | 1.420 | | 2/10/2048 | | | 2,187,630 | |
| 1,500,000 | | | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7 (A) | | 6.034 | | 4/15/2045 | | | 221,477 | |
| 2,200,000 | | | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7 (A) | | 6.034 | | 4/17/2045 | | | 152,275 | |
| 5,000,000 | | | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2, 144A, 1M Libor + 0.60% | | 2.227 | | 6/25/2037 | | | 3,266,114 | |
| 15,153,000 | | | Wells Fargo Commercial Mortgage Trust 2016-C34, 1M Libor (C) | | 2.028 | | 6/15/2049 | | | 1,545,789 | |
| | | | TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $51,384,193) | | | | | | | 51,073,512 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2020 |
Principal Amount ($) | | | | | Coupon Rate (%) | | Maturity | | Value | |
| | | | OTHER MORTGAGE BACKED SECURITIES - 1.3% | | | | | | | | |
| 1,350,176 | | | Conseco Financial Corp. (A) | | 7.950 | | 11/15/2026 | | $ | 995,098 | |
| 3,526,612 | | | Conseco Financial Corp. (A) | | 6.830 | | 4/1/2030 | | | 3,162,960 | |
| 1,416,043 | | | Conseco Financial Corp. 1M Libor + 5.25% | | 5.955 | | 4/15/2032 | | | 1,434,582 | |
| 855,130 | | | Conseco Finance Securitizations Corp. (A) | | 7.690 | | 3/1/2031 | | | 706,081 | |
| 2,102,269 | | | Conseco Finance Securitizations Corp. (A) | | 9.910 | | 12/1/2033 | | | 232,680 | |
| 59,839 | | | Irwin Home Equity Loan Trust 2006-1, 1M Libor + 0.42%, 144A | | 1.367 | | 9/25/2035 | | | 57,895 | |
| 133,496 | | | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S1, 1M Libor + 0.62%, 144A | | 1.567 | | 1/25/2036 | | | 186,564 | |
| | | | TOTAL OTHER MORTGAGE BACKED SECURITIES (Cost $6,832,014) | | | | 6,775,860 | |
| | | | | | | | | | | | |
| | | | SHORT TERM INVESTMENTS - 12.2% | | | | | | | | |
| | | | MONEY MARKET FUNDS - 12.2% | | | | | | | | |
| 3,669,937 | | | Dreyfus Treasury & Agency Cash Management - Institutional Class to yield 1.50% * | | | 3,669,937 | |
| 58,523,371 | | | Goldman Sachs Financial Square Funds - Government Fund, Institutional Class, to yield 1.53% * | | | 58,523,371 | |
| | | | TOTAL MONEY MARKET FUNDS (Cost $62,193,308) | | | 62,193,308 | |
| | | | | | | | | | | | |
| | | | TOTAL INVESTMENTS - 106.8% (Cost - $584,545,251) | | | $ | 544,596,612 | |
| | | | REVERSE REPURCHASE AGREEMENTS - (2.3)%(Cost - $11,484,000) | | | 11,504,457 | |
| | | | OTHER ASSETS LESS LIABILITIES - (4.5)% | | | | (46,130,854 | ) |
| | | | NET ASSETS - 100.0% | | | 509,970,215 | |
| | | | | | | | | | | | |
| | | | REVERSE REPURCHASE AGREEMENTS - (2.3)% | | | | |
| | | | | | | | | | | | |
| | | | | | | Maturity | | | |
Principal ($) | | | Counterparty | | Rate (%) | | Date | | Prinicipal & Interest | |
| 3,182,000 | | | Société Générale | | 2.000 | | 4/14/2020 | | $ | 3,187,127 | |
| 3,176,000 | | | Société Générale | | 2.000 | | 4/14/2020 | | | 3,181,117 | |
| 2,751,000 | | | Société Générale | | 2.562 | | 4/14/2020 | | | 2,756,481 | |
| 2,375,000 | | | Société Générale | | 2.562 | | 4/14/2020 | | | 2,379,732 | |
$ | 11,484,000 | | | | | | | | | $ | 11,504,457 | |
| | | | | | | | | | | | |
The weighted average daily balance of reverse repurchase agreements during the reporting period ended March 31, 2020 was $8,035,286, at a weighted average interest rate of 2.16%. Total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at March 31, 2020 was $11,338,712.
| * | Money market fund; interest rate reflects seven-day effective yield on March 31, 2020. |
| ^ | Fair Valued by the Board of Trustees in good faith using significant unobservable inputs. |
| # | All or a portion of the security used as collateral in reverse repurchase agreement. |
144A - Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. At March 31, 2020 144A, securities amounted to $96,967,040 or 19.01% of net assets.
LIBOR - London Interbank Offered Rate
| (A) | Variable rate security. |
| (C) | Interest only variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The rate shown represents the rate at March 31, 2020. |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2020 |
ASSETS | | | | |
Investment in securities (identified cost $584,545,251), at fair value | | $ | 544,596,612 | |
Receivable for Fund shares sold | | | 2,357,486 | |
Interest receivable | | | 1,511,890 | |
Prepaid expenses and other assets | | | 67,154 | |
TOTAL ASSETS | | | 548,533,142 | |
| | | | |
LIABILITIES | | | | |
Line of credit payable | | | 20,000,000 | |
Payable for reverse repurchase agreements | | | 11,484,000 | |
Payable for Fund shares redeemed | | | 2,340,536 | |
Investment advisory fees payable | | | 808,850 | |
Interest payable for reverse repurchase agreements | | | 20,457 | |
Due to broker | | | 3,414,413 | |
Payable to related parties | | | 371,404 | |
Distribution (12b-1) fees payable | | | 31,148 | |
Accrued expenses and other liabilities | | | 92,119 | |
TOTAL LIABILITIES | | | 38,562,927 | |
NET ASSETS | | $ | 509,970,215 | |
| | | | |
Net Assets Consist Of: | | | | |
Paid in capital | | $ | 622,055,288 | |
Accumulated loss | | | (112,085,073 | ) |
NET ASSETS | | $ | 509,970,215 | |
| | | | |
Net Asset Value Per Share: | | | | |
Class A Shares: | | | | |
Net Assets | | $ | 97,884,478 | |
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | | | 10,652,143 | |
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share | | $ | 9.19 | |
Maximum offering price per share (maximum sales charge of 5.75%) (a) | | $ | 9.75 | |
| | | | |
Class C Shares: | | | | |
Net Assets | | $ | 8,611,536 | |
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | | | 940,146 | |
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share | | $ | 9.16 | |
| | | | |
Class I Shares: | | | | |
Net Assets | | $ | 403,474,201 | |
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | | | 43,870,250 | |
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share | | $ | 9.20 | |
| | | | |
| (a) | On investments of $1 million or more, the maximum sales charge will not apply. |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
STATEMENT OF OPERATIONS (Unaudited) |
For the Six Months Ended March 31, 2020 |
INVESTMENT INCOME | | | | |
Interest income | | $ | 12,241,821 | |
TOTAL INVESTMENT INCOME | | | 12,241,821 | |
| | | | |
EXPENSES | | | | |
Investment advisory fees | | | 6,276,292 | |
Distribution (12b-1) Fees: | | | | |
Class A | | | 150,153 | |
Class C | | | 47,391 | |
Administrative services fees | | | 325,418 | |
Third Party Administrative Servicing Fees | | | 210,086 | |
Transfer agent fees | | | 66,254 | |
Accounting services fees | | | 58,039 | |
Printing and postage expenses | | | 55,001 | |
Registration fees | | | 49,999 | |
Broker margin interest expense | | | 47,529 | |
Line of credit interest expense | | | 45,125 | |
Custodian fees | | | 43,122 | |
Interest expense for reverse repurchase agreements | | | 26,740 | |
Professional fees | | | 24,911 | |
Compliance officer fees | | | 19,343 | |
Insurance expense | | | 8,250 | |
Trustees fees and expenses | | | 7,381 | |
Other expenses | | | 2,843 | |
TOTAL EXPENSES | | | 7,463,877 | |
Less: Fees waived by the Adviser | | | (556,323 | ) |
NET EXPENSES | | | 6,907,554 | |
NET INVESTMENT INCOME | | | 5,334,267 | |
| | | | |
REALIZED AND UNREALIZED LOSS ON INVESTMENTS | | | | |
| | | | |
Net realized loss from security transactions | | | (9,318,522 | ) |
Net change in unrealized depreciation on investments | | | (80,178,240 | ) |
| | | | |
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS | | | (89,496,762 | ) |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (84,162,495 | ) |
| | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended | | | | |
| | March 31, 2020 | | | Year Ended | |
| | (Unaudited) | | | September 30, 2019 | |
FROM OPERATIONS | | | | | | | | |
Net investment income | | $ | 5,334,267 | | | $ | 14,499,651 | |
Net realized loss from security transactions | | | (9,318,522 | ) | | | (2,770,714 | ) |
Net change in unrealized appreciation (depreciation) of investments | | | (80,178,240 | ) | | | 11,799,444 | |
Net increase (decrease) in net assets resulting from operations | | | (84,162,495 | ) | | | 23,528,381 | |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
From return of capital: | | | | | | | | |
Class A | | | — | | | | (2,518,164 | ) |
Class C | | | — | | | | (150,591 | ) |
Class I | | | — | | | | (11,460,617 | ) |
Total distributions paid: * | | | | | | | | |
Class A | | | (3,152,130 | ) | | | (4,554,568 | ) |
Class C | | | (238,808 | ) | | | (197,567 | ) |
Class I | | | (14,522,513 | ) | | | (22,702,118 | ) |
Net decrease in net assets resulting from distributions to shareholders | | | (17,913,451 | ) | | | (41,583,625 | ) |
| | | | | | | | |
FROM SHARES OF BENEFICIAL INTEREST | | | | | | | | |
Proceeds from shares sold: | | | | | | | | |
Class A | | | 32,954,361 | | | | 157,293,030 | |
Class C | | | 2,155,179 | | | | 6,335,710 | |
Class I | | | 173,414,265 | | | | 351,886,466 | |
Net asset value of shares issued in reinvestment of distributions: | | | | | | | | |
Class A | | | 3,069,773 | | | | 6,876,150 | |
Class C | | | 214,370 | | | | 315,714 | |
Class I | | | 12,683,704 | | | | 28,736,976 | |
Payments for shares redeemed: | | | | | | | | |
Class A | | | (54,806,184 | ) | | | (81,004,128 | ) |
Class C | | | (1,174,211 | ) | | | (1,594,914 | ) |
Class I | | | (292,238,456 | ) | | | (414,376,680 | ) |
Net increase (decrease) in net assets resulting from shares of beneficial interest | | | (123,727,199 | ) | | | 54,468,324 | |
| | | | | | | | |
TOTAL INCREASE (DECREASE) IN NET ASSETS | | | (225,803,145 | ) | | | 36,413,080 | |
| | | | | | | | |
NET ASSETS | | | | | | | | |
Beginning of Period | | | 735,773,360 | | | | 699,360,280 | |
End of Period | | $ | 509,970,215 | | | $ | 735,773,360 | |
| | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| | Six Months Ended | | | | |
| | March 31, 2020 | | | Year Ended | |
| | (Unaudited) | | | September 30, 2019 | |
SHARE ACTIVITY | | | | | | | | |
Class A: | | | | | | | | |
Shares sold | | | 3,080,403 | | | | 14,174,276 | |
Shares reinvested | | | 310,908 | | | | 628,272 | |
Shares redeemed | | | (5,103,606 | ) | | | (7,335,110 | ) |
Net increase (decrease) in shares of beneficial interest outstanding | | | (1,712,295 | ) | | | 7,467,438 | |
| | | | | | | | |
Class C: | | | | | | | | |
Shares sold | | | 200,142 | | | | 575,881 | |
Shares reinvested | | | 21,874 | | | | 28,920 | |
Shares redeemed | | | (108,701 | ) | | | (145,406 | ) |
Net increase in shares of beneficial interest outstanding | | | 113,315 | | | | 459,395 | |
| | | | | | | | |
Class I: | | | | | | | | |
Shares sold | | | 16,564,377 | | | | 31,764,467 | |
Shares reinvested | | | 1,272,757 | | | | 2,623,088 | |
Shares redeemed | | | (27,761,816 | ) | | | (37,417,260 | ) |
Net decrease in shares of beneficial interest outstanding | | | (9,924,682 | ) | | | (3,029,705 | ) |
| | | | | | | | |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
FINANCIAL HIGHLIGHTS |
|
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |
| | Six Months Ended | | | | | | | | | | | | | |
| | March 31, 2020 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
Class A | | (Unaudited) | | | September 30, 2019 | | | September 30, 2018 | | | September 30, 2017 | | | September 30, 2016 (1) | |
Net asset value, beginning of period | | $ | 10.98 | | | $ | 11.26 | | | $ | 11.36 | | | $ | 10.64 | | | $ | 10.00 | |
Activity from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (2) | | | 0.08 | | | | 0.19 | | | | 0.26 | | | | 0.26 | | | | 0.44 | |
Net realized and unrealized gain (loss) on investments | | | (1.57 | ) | | | 0.14 | | | | 0.24 | | | | 0.92 | | | | 0.64 | |
Total from investment operations | | | (1.49 | ) | | | 0.33 | | | | 0.50 | | | | 1.18 | | | | 1.08 | |
Less distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.30 | ) | | | (0.40 | ) | | | (0.43 | ) | | | (0.39 | ) | | | (0.34 | ) |
Return of capital | | | — | | | | (0.21 | ) | | | (0.17 | ) | | | (0.07 | ) | | | (0.10 | ) |
Total distributions | | | (0.30 | ) | | | (0.61 | ) | | | (0.60 | ) | | | (0.46 | ) | | | (0.44 | ) |
Net asset value, end of period | | $ | 9.19 | | | $ | 10.98 | | | $ | 11.26 | | | $ | 11.36 | | | $ | 10.64 | |
Total return (3) | | | (13.71 | )% (6) | | | 3.16 | % | | | 4.53 | % | | | 11.29 | % | | | 10.97 | % (6) |
Net assets, at end of period (000s) | | $ | 97,884 | | | $ | 135,705 | | | $ | 55,124 | | | $ | 66,837 | | | $ | 14,493 | |
Ratio of gross expenses to average net assets (4) | | | 2.38 | % (5)(8) | | | 2.35 | % (7) | | | 2.33 | % | | | 2.43 | % | | | 3.25 | % (5) |
Ratio of net expenses to average net assets | | | 2.22 | % (5)(8) | | | 2.25 | % (7) | | | 2.24 | % | | | 2.24 | % | | | 2.24 | % (5) |
Ratio of net investment income to average net assets | | | 1.38 | % (5) | | | 1.73 | % | | | 2.27 | % | | | 2.38 | % | | | 4.82 | % (5) |
Portfolio Turnover Rate | | | 11 | % (6) | | | 29 | % | | | 34 | % | | | 10 | % | | | 28 | % (6) |
| | | | | | | | | | | | | | | | | | | | |
| (1) | The Deer Park Total Return Credit Fund Class A shares commenced operations on October 16, 2015. |
| (2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
| (3) | Total returns shown are historical in nature and assume changes in share price, reinvestment of dividends and distributions, if any, and exclude the effect of applicable sales charges and redemption fees. Had the Adviser not waived fees or absorbed a portion of Fund expenses, total returns would have been lower. |
| (4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
| (7) | Includes 0.01% for the year ended September 30, 2019 attributed to broker margin interest expense on options, which is not subject to waiver by the Adviser. |
| (8) | Includes 0.03% for the six months ended March 31, 2020 attributed to broker margin interest expense and line of credit expense which are not subject to waiver by the Adviser. |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
FINANCIAL HIGHLIGHTS |
|
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |
| | Six Months Ended | | | | | | | | | | |
| | March 31, 2020 | | | Year Ended | | | Year Ended | | | Period Ended | |
Class C | | (Unaudited) | | | September 30, 2019 | | | September 30, 2018 | | | September 30, 2017 (1) | |
Net asset value, beginning of period | | $ | 10.94 | | | $ | 11.23 | | | $ | 11.36 | | | $ | 10.00 | |
Activity from investment operations: | | | | | | | | | | | | | | | | |
Net investment income (2) | | | 0.03 | | | | 0.10 | | | | 0.16 | | | | 0.02 | |
Net realized and unrealized gain (loss) on investments | | | (1.55 | ) | | | 0.15 | | | | 0.25 | | | | 1.54 | |
Total from investment operations | | | (1.52 | ) | | | 0.25 | | | | 0.41 | | | | 1.56 | |
Less distributions from: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.26 | ) | | | (0.35 | ) | | | (0.39 | ) | | | (0.13 | ) |
Return of capital | | | — | | | | (0.19 | ) | | | (0.15 | ) | | | (0.07 | ) |
Total distributions | | | (0.26 | ) | | | (0.54 | ) | | | (0.54 | ) | | | (0.20 | ) |
Net asset value, end of period | | $ | 9.16 | | | $ | 10.94 | | | $ | 11.23 | | | $ | 11.36 | |
Total return (3) | | | (14.00 | )% (6) | | | 2.30 | % | | | 3.67 | % | | | 6.51 | % (6) |
Net assets, at end of period (000s) | | $ | 8,612 | | | $ | 9,046 | | | $ | 4,127 | | | $ | 842 | |
Ratio of gross expenses to average net assets (4) | | | 3.14 | % (5)(8) | | | 3.10 | % (7) | | | 3.08 | % | | | 3.18 | % (5) |
Ratio of net expenses to average net assets | | | 2.97 | % (5)(8) | | | 3.00 | % (7) | | | 2.99 | % | | | 2.99 | % (5) |
Ratio of net investment income to average net assets | | | 0.63 | % (5) | | | 0.95 | % | | | 1.40 | % | | | 0.41 | % (5) |
Portfolio Turnover Rate | | | 11 | % (6) | | | 29 | % | | | 34 | % | | | 10 | % (6) |
| | | | | | | | | | | | | | | | |
| (1) | The Deer Park Total Return Credit Fund Class C shares commenced operations on April 6, 2017. |
| (2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
| (3) | Total returns shown are historical in nature and assume changes in share price, reinvestment of dividends and distributions, if any, and exclude the effect of applicable sales charges and redemption fees. Had the Adviser not waived fees or absorbed a portion of Fund expenses, total returns would have been lower. |
| (4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
| (7) | Includes 0.01% for the year ended September 30, 2019 attributed to broker margin interest expense on options, which is not subject to waiver by the Adviser. |
| (8) | Includes 0.04% for the six months ended March 31, 2020 attributed to broker margin interest expense, interest on reverse repurchase agreements and line of credit expense which are not subject to waiver by the Adviser. |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
FINANCIAL HIGHLIGHTS |
|
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |
| | Six Months Ended | | | | | | | | | | | | | |
| | March 31, 2020 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
Class I | | (Unaudited) | | | September 30, 2019 | | | September 30, 2018 | | | September 30, 2017 | | | September 30, 2016 (1) | |
Net asset value, beginning of period | | $ | 10.99 | | | $ | 11.26 | | | $ | 11.37 | | | $ | 10.65 | | | $ | 10.00 | |
Activity from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (2) | | | 0.10 | | | | 0.23 | | | | 0.28 | | | | 0.29 | | | | 0.49 | |
Net realized and unrealized gain (loss) on investments | | | (1.57 | ) | | | 0.14 | | | | 0.24 | | | | 0.91 | | | | 0.62 | |
Total from investment operations | | | (1.47 | ) | | | 0.37 | | | | 0.52 | | | | 1.20 | | | | 1.11 | |
Less distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.32 | ) | | | (0.42 | ) | | | (0.46 | ) | | | (0.41 | ) | | | (0.35 | ) |
Return of capital | | | — | | | | (0.22 | ) | | | (0.17 | ) | | | (0.07 | ) | | | (0.11 | ) |
Total distributions | | | (0.32 | ) | | | (0.64 | ) | | | (0.63 | ) | | | (0.48 | ) | | | (0.46 | ) |
Net asset value, end of period | | $ | 9.20 | | | $ | 10.99 | | | $ | 11.26 | | | $ | 11.37 | | | $ | 10.65 | |
Total return (3) | | | (13.58 | )% (6) | | | 3.40 | % | | | 4.70 | % | | | 11.51 | % | | | 11.32 | % (6) |
Net assets, at end of period (000s) | | $ | 403,474 | | | $ | 591,022 | | | $ | 640,110 | | | $ | 307,380 | | | $ | 33,655 | |
Ratio of gross expenses to average net assets (4) | | | 2.13 | % (5)(8) | | | 2.10 | % (7) | | | 2.08 | % | | | 2.18 | % | | | 3.00 | % (5) |
Ratio of net expenses to average net assets | | | 1.97 | % (5)(8) | | | 2.00 | % (7) | | | 1.99 | % | | | 1.99 | % | | | 1.99 | % (5) |
Ratio of net investment income to average net assets | | | 1.63 | % (5) | | | 2.04 | % | | | 2.49 | % | | | 2.64 | % | | | 5.07 | % (5) |
Portfolio Turnover Rate | | | 11 | % (6) | | | 29 | % | | | 34 | % | | | 10 | % | | | 28 | % (6) |
| | | | | | | | | | | | | | | | | | | | |
| (1) | The Deer Park Total Return Credit Fund Class I shares commenced operations on October 16, 2015. |
| (2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
| (3) | Total returns shown are historical in nature and assume changes in share price, reinvestment of dividends and distributions, if any, and exclude the effect of applicable sales charges and redemption fees. Had the Adviser not waived fees or absorbed a portion of Fund expenses, total returns would have been lower. |
| (4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
| (7) | Includes 0.01% for the year ended September 30, 2019 attributed to broker margin interest expense on options, which is not subject to waiver by the Adviser. |
| (8) | Includes 0.04% for the six months ended March 31, 2020 attributed to broker margin interest expense, interest on reverse repurchase agreements and line of credit expense which are not subject to waiver by the Adviser. |
See accompanying notes to financial statements.
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
March 31, 2020 |
The Deer Park Total Return Credit Fund (the “Fund”) is a non-diversified series of shares of beneficial interest of Northern Lights Fund Trust (the “Trust”), a statutory trust organized under the laws of the State of Delaware on January 19, 2005, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund’s investment objective is to seek income and capital appreciation. The Fund commenced operations on October 16, 2015.
The Fund currently offers Class A shares, Class C shares and Class I shares. Class C and Class I shares are offered at net asset value. Class A shares are offered at net asset value plus a maximum sales charge of 5.75%, which can be waived by the Adviser. Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund’s income, expenses (other than class specific distribution fees), and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies followed by the Trust in preparation of the Fund’s financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services Investment Companies” including FASB
Accounting Standards Update (“ASU”) 2013-08.
Securities Valuation –Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. The Fund may fair value a particular bond if the adviser does not believe that the round lot value provided by the
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies may be valued at net asset value.
The Fund may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) adviser and/or sub-adviser. The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to attend valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.
Fair Valuation Process– As noted above, the fair value committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) adviser and/or sub-adviser. The applicable investments are valued collectively via inputs from each of these groups. In accordance with the Trust’s valuation policies and procedures, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the adviser or sub-advisers, the prices or values available do not represent the fair value of the instrument. Factors which may cause the adviser or sub-adviser to make such a judgment include, but are not limited to, the following: only a bid price or an ask price is available; the spread between bid and ask prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to the Fund’s calculation of its net asset value. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the adviser or sub-advisers based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the adviser or sub-advisers are unable to obtain a current bid from such independent dealers or other independent parties, the fair value committee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.
Options Transactions –The Fund is subject to equity price risk, interest rate risk, commodity price risk and foreign currency exchange rate risk in the normal course of pursuing its investment objective and may purchase or sell options to help hedge against this risk. When the Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities. The Fund invests in options which are not traded on an exchange. In doing so, it is assuming a credit risk with regard to the party with which it trades and also bears the risk of settlement default. These risks may differ materially from risks associated with transactions effected on an exchange, which generally are backed by clearing organization guarantees, daily mark-to-market and settlement, segregation and minimum capital requirements applicable to intermediaries. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease. In addition, to the extent the Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund.
The Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of March 31, 2020 for the Fund’s assets and liabilities measured at fair value:
Assets* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Non-Agency Residential Mortgage Backed Securities | | $ | — | | | $ | 424,174,332 | | | $ | 379,600 | | | $ | 424,553,932 | |
Commercial Mortgage Backed Securities | | | — | | | | 51,073,512 | | | | — | | | | 51,073,512 | |
Other Mortgage Backed Securities | | | — | | | | 6,775,860 | | | | — | | | | 6,775,860 | |
Short-Term Investments | | | 62,193,308 | | | | — | | | | — | | | | 62,193,308 | |
Total | | $ | 62,193,308 | | | $ | 482,023,704 | | | $ | 379,600 | | | $ | 544,596,612 | |
| | | | | | | | | | | | | | | | |
Liabilities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Reverse Repurchase Agreements | | $ | — | | | $ | 11,484,000 | | | $ | — | | | $ | 11,484,000 | |
Total | | $ | — | | | $ | 11,484,000 | | | $ | — | | | $ | 11,484,000 | |
| * | See Portfolio of Investments for industry classification. |
The following is a reconciliation of assets in which Level 3 inputs were used in determining value:
| | Non-Agency Residential | |
| | Mortgage Backed | |
| | Securities | |
Beginning Value | | $ | 379,600 | |
Total realized gain (loss) | | | — | |
Appreciation (Depreciation) | | | — | |
Purchases | | | — | |
Proceeds from Sales | | | — | |
Net transfers in/out of level 3 | | | — | |
Ending Value | | $ | 379,600 | |
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
Significant unobservable valuation inputs for Level 3 investments as of March 31, 2020, are as follows:
| | Fair Value at | | | Valuation | | |
| | March 31, 2020 | | | Technique | | Unobservable Inputs |
Deer Park Total Return Credit Fund | | | | | | | | |
| | | | | | | | |
Non-Agency Residential Mortgage Backed Securities | | | | | | | | |
Long Beach Mortgage Loan Trust 2001-2 | | $ | 379,600 | | | Expected bankruptcy settlement proceeds based on recent auction bids | | Expected future cash payments |
Interest Only Securities –The Funds may invest in stripped mortgage-backed securities, which receive differing proportions of the interest and principal payments from the underlying assets, including interest-only (“IO”) and principal-only (“PO”) securities. Stripped securities are created when the issuer separates the interest and principal components of an instrument and sells them as separate securities. In general, one security is entitled to receive the interest payments on underlying assets (the interest only or “IO” security) and the other to receive the principal payments (the principal only or “PO” security). Some stripped securities may receive a combination of interest and principal payments. The yields to maturity on IOs and POs are sensitive to the expected or anticipated rate of principal payments (including prepayments) on the related underlying assets, and principal payments may have a material effect on yield to maturity. If the underlying assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Conversely, if the underlying assets experience less than anticipated prepayments of principal, the yield on POs could be adversely affected. Stripped securities may be highly sensitive to changes in interest rates and rates of prepayment. IO and PO mortgage-backed securities may be illiquid. The market value of such securities generally is more sensitive to changes in prepayment and interest rates than is the case with traditional mortgage-backed securities, and in some cases such market value may be extremely volatile.
Security Transactions and Related Income – Security transactions are accounted for on trade date. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.
Cash –Cash includes cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The assets of the Fund may be placed in deposit accounts at U.S. banks and such deposits generally exceed Federal Deposit Insurance Corporation (FDIC) insurance limits. The FDIC insures deposit accounts up to $250,000 for each accountholder. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Fund places deposits only with those counterparties which are believed to be creditworthy.
Dividends and Distributions to Shareholders– Dividends from net investment income, if any, are declared and paid at least annually. Distributable net realized capital gains, if any, are declared and distributed annually. Dividends from net investment income and distributions from net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
“book/tax” differences are considered either temporary (e.g., deferred losses) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions to shareholders are recorded on the ex-dividend date.
Expenses –Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable (as determined by the Board), taking into consideration the nature and type of expense and the relative sizes of the fund in the Trust.
Credit Facility –Effective October 15, 2018, the fund entered into a revolving, uncommitted $120,000,000 line of credit with Union Bank (the “Revolving Credit Agreement”) and is set to expire on September 28, 2020. Borrowings under the Revolving Credit Agreement bore interest at Prime Rate minus 1% per month. There are no fees charged on the unused portion of the line of credit. For the period September 30, 2019 through March 31, 2020, amounts outstanding to the Fund under the credit facility at no time were permitted to exceed in the aggregate the lessor of (a) $120,000,000; (b) 20% of the gross market value of the Fund.
For the six months ended March 31, 2020, the interest expense was $45,125 for the Fund. There was an outstanding balance of $20,000,000 as of March 31, 2020. The average borrowings for the Fund for the period the line was drawn, September 30, 2019 through March 31, 2020, was $15,446,809 at an average borrowing rate of 4.34%. At March 31, 2020, the maximum borrowing interest rate was 4.75%.
Federal Income Taxes – The Fund intends to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on tax returns filed for the open 2016 - 2019 tax years, or expected to be taken in the Fund’s 2020 tax returns. The Fund identified its major tax jurisdictions as U.S. Federal, Ohio (Nebraska in prior years) and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period, the Fund did not incur any interest or penalties. Generally, tax authorities can examine tax returns filed for the last three years.
Market and Geopolitical Risk –The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions you could lose your entire investment.
Credit Risk –Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Counterparty Risk –Counterparty risk is the risk that the counterparty to a financial instrument will cause a financial loss for the Funds by failing to discharge an obligation. A concentration of counterparty risk would exist if that part of the Fund’s cash were held at the broker. The Fund could be unable to recover assets held at the prime broker, including assets directly traceable to the Fund, in the event of the broker’s bankruptcy. The Fund does not anticipate any material losses as a result of this concentration.
Indemnification –The Trust indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
| 3. | INVESTMENT TRANSACTIONS |
For the six months ended March 31, 2020, cost of purchases and proceeds from sales of portfolio securities, other than short sales, short-term investments and U.S. Government securities, amounted to $74,950,800 and $163,945,393, respectively.
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
| 4. | INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES |
Princeton Fund Advisors, LLC, serves as the Fund’s investment adviser (the “Adviser”). The Adviser has engaged Deer Park Road Management Company, LP, Inc. as the primary sub-adviser (the “Sub-Adviser”) to the Fund. The Adviser compensates the Sub-Adviser for its services from the management fees received from the Fund.
Pursuant to an Investment Advisory Agreement with the Trust, on behalf of the Fund, the Adviser, under the oversight of the Board, directs the daily operations of the Fund and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Adviser, the Fund pays the Adviser a management fee, computed and accrued daily and paid monthly, at an annual rate of 1.84% of the Fund’s average daily net assets. For the six months ended March 31, 2020, the Fund incurred $6,276,292 in advisory fees of which $808,850 is payable as of March 31, 2020 and included in the Statement of Assets and Liabilities under the Liabilities section.
Pursuant to a written contract (the “Waiver Agreement”), the Adviser has agreed, at least until January 31, 2021, to waive a portion of its advisory fee and has agreed to reimburse the Fund for other expenses to the extent necessary to ensure that the total expenses incurred by the Fund (excluding front-end or contingent deferred loads, brokerage fees and commissions, acquired fund fees and expenses, borrowing costs (such as interest and dividend expenses on securities sold short), taxes, or extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees or contractual indemnification of Fund service providers (other than the Adviser))), not incurred in the ordinary course of the Fund’s business) do not exceed 2.24% per annum of Class A average daily net assets, 2.99% per annum of Class C average daily net assets, and 1.99% per annum of Class I average daily net assets (the “expense limitation”). Effective December 22, 2019, expenses incurred by the Fund are not allowed to exceed 2.14% per annum of Class A average daily net assets, 2.89% per annum of Class C average daily net assets, and 1.89% per annum of Class I average daily net assets (the “expense limitation”).
If the Adviser waives any fee or reimburses any expense pursuant to the Waiver Agreement, and the Fund’s Operating Expenses are subsequently less than the expense limitation, the Adviser shall be entitled to reimbursement by the Fund for such waived fees or reimbursed expenses provided that such reimbursement does not cause the Fund’s expenses to exceed the expense limitation. If the Operating Expenses subsequently exceed the expense limitation, the reimbursements shall be suspended. The Adviser may seek reimbursement only for expenses waived or paid by it during the three fiscal years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). The Board may terminate the Waiver Agreement at any time.
For the six months ended March 31, 2020, the Adviser waived fees of $556,323 pursuant to the Waiver Agreement.
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
The following amounts previously waived or reimbursed by the Adviser are subject to recapture by the following dates:
| 9/30/2020 | | | 9/30/2021 | | | 9/30/2022 | |
| $ | 353,690 | | | $ | 480,246 | | | $ | 756,882 | |
Distributor – The Trust, with respect to the Fund, has adopted the Trust’s Master Distribution and
Shareholder Servicing Plans pursuant to Rule 12b-1 under the 1940 Act for each of its Class A and Class C shares (the “Plans”). The Plans provide that a monthly service and/or distribution fee is calculated by the Fund at annual rates of 0.25% and 1.00% of the average daily net assets attributable to Class A shares and Class C shares, respectively, and is paid to Northern Lights Distributors, LLC (“NLD” or the “Distributor”), to provide compensation for ongoing distribution-related activities or services and/or maintenance of the Fund’s shareholder accounts, not otherwise required to be provided by the Co-Advisers. Class I shares do not incur a 12b-1 fee. The Plans are compensation plans, which mean that compensation is provided regardless of 12b-1 expenses incurred. For the six months ended March 31, 2020, the Fund paid $150,153 and $47,391 to the Distributor for Class A and Class C shares, respectively.
The Distributor acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s shares. On sales of Class A shares for the six months ended March 31, 2020, the Distributor received $116,807 from front-end sales charges of which $20,969 was retained by the principal underwriter or other affiliated broker-dealers.
In addition, certain affiliates of the Distributor provide ancillary services to the Fund as follows:
Gemini Fund Services, LLC(“GFS”)– GFS, an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with GFS, the Fund pays GFS customary fees for providing administration, fund accounting and transfer agency services to the Fund. Certain officers of the Trust are also officers of GFS, and are not paid any fees directly by the Fund for serving in such capacities.
Northern Lights Compliance Services, LLC(“NLCS”)– NLCS, an affiliate of GFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Fund.
Blu Giant, LLC(“Blu Giant”)– Blu Giant, an affiliate of GFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Fund on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Fund.
Effective February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of GFS and its affiliated companies including NLD, NLCS and Blu Giant (collectively, the “Gemini Companies”), sold its interest in the Gemini Companies to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent mutual fund administration firm) and its affiliates (collectively, the “Ultimus Companies”). As a result of these separate transactions, the Gemini
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
Companies and the Ultimus Companies are now indirectly owned through a common parent entity, The Ultimus Group, LLC.
| 5. | REVERSE REPURCHASE AGREEMENTS |
The Fund is subject to ASC 860, Transfers and Servicing, which requires that all involvements of a transferor with the transferred financial asset be considered in analyzing whether the transferor has surrendered control over the transferred financial asset.
Transaction involving securities repurchase agreements are treated as collateralized borrowings and are recorded at their contracted amounts which approximated fair value. In addition, interest is included in interest payable. As of March 31, 2020, 100% of reverse repurchase agreements had Société Générale as the counterparty.
Further, as of March 31, 2020, securities with a fair value of approximately $11,338,711 are pledged to collateralize reverse repurchase agreements. Of this, 32.5% are Private CMO- Whole Loan’s, and 67.5% are Asset Backed Securities.
For the six months ended March 31, 2020, the Fund entered into several repurchase financing transactions contemporaneously with the initial purchase of a security from the same counterparty, which are considered to be secured borrowings. The following table summarizes Deer Park’s borrowings classified as reverse repurchase agreements.
| | As of March 31, 2020 | |
| | | | | | | | | | | | |
| | Less than 1 | | | 1 to 2 | | | 2 Months | | | | |
| | Month | | | Months | | | or Greater | | | Total | |
| | | | | | | | | | | | |
Reverse Repurchase Agreements | | | | | | | | | | | | | | | | |
Asset Backed Securities | | $ | 7,655,831 | | | | — | | | | — | | | $ | 7,655,831 | |
Private CMO - Whole Loan | | $ | 3,682,880 | | | | — | | | | — | | | $ | 3,682,880 | |
Total | | $ | 11,338,711 | | | $ | — | | | $ | — | | | $ | 11,338,711 | |
| 6. | OFFSETTING ASSETS AND LIABILITIES |
The Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allows the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
As of March 31, 2020, the Fund held the following instruments that were subject to offsetting on the Statement of Assets and Liabilities:
Liabilities: | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Gross Amounts not offset in the | | | | |
| | | | | Gross Amounts | | | Net Amounts | | | Statement of Assets and Liabilities | | | | |
| | Gross | | | Offset in the | | | presented in the | | | | | | | | | | |
| | Amounts of | | | Statement of | | | Statement of | | | | | | Cash | | | | |
| | Recognized | | | Assets and | | | Assets and | | | Financial | | | Collateral | | | Net | |
Description | | Liabilities | | | Liabilities | | | Liabilities | | | Instruments | | | Pledged | | | Amount | |
Reverse Repurchase Agreements | | $ | 11,484,000 | | | $ | — | | | $ | 11,484,000 | | | $ | 11,484,000 | | | $ | — | | | $ | — | |
| 7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of distributions paid during the fiscal years ended September 30, 2019 and September 30, 2018 was as follows:
| | Fiscal Year Ended | | | Fiscal Year Ended | |
| | September 30, 2019 | | | September 30, 2018 | |
Ordinary Income | | $ | 27,454,256 | | | $ | 20,073,310 | |
Long-Term Capital Gain | | | — | | | | — | |
Return of Capital | | | 14,129,369 | | | | 10,361,391 | |
| | $ | 41,583,625 | | | $ | 30,434,701 | |
As of September 30, 2019, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed | | | Undistributed | | | Post October Loss | | | Capital Loss | | | Other | | | Unrealized | | | Total | |
Ordinary | | | Long-Term | | | and | | | Carry | | | Book/Tax | | | Appreciation/ | | | Accumulated | |
Income | | | Gains | | | Late Year Loss | | | Forwards | | | Differences | | | (Depreciation) | | | Earnings/(Deficits) | |
$ | — | | | $ | — | | | $ | (14,673,189 | ) | | $ | (35,105,375 | ) | | $ | — | | | $ | 39,769,437 | | | $ | (10,009,127 | ) |
The difference between book basis and tax basis unrealized depreciation and accumulated net realized loss from investments is primarily attributable to the tax deferral of losses on wash sales.
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Fund incurred and elected to defer such capital losses of $14,129,369.
At September 30, 2019, the Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:
| | | | | | | | | Capital Loss | |
Non-Expiring | | | Non-Expiring | | | | | | Carryforward | |
Short-Term | | | Long-Term | | | Total | | | Limitation | |
$ | 7,257,392 | | | $ | 1,896,877 | | | $ | 9,154,269 | | | $ | 25,951,106 | |
Deer Park Total Return Credit Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
March 31, 2020 |
As a result of the acquisition of another Fund, $8,428,186 and $17,522,920 of short-term and long-term capital loss carryover, respectively, remains to be recognized in future years. This amount is subject to an annual limitation of $112,216 under tax rules.
| 8. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
| | | Gross Unrealized | | | Gross Unrealized | | | | |
Tax Cost | | | Appreciation | | | Depreciation | | | Net Unrealized Depreciation | |
$ | 573,521,415 | | | $ | 35,109,604 | | | $ | (64,034,407 | ) | | $ | (28,924,803 | ) |
Subsequent events after the date of the Statement of Assets and Liabilities have been evaluated through the date the financial statements were issued.
Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.
Deer Park Total Return Credit Fund |
EXPENSE EXAMPLES (Unaudited) |
March 31, 2020 |
As a shareholder of the Deer Park Total Return Credit Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases of Class A shares; (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 1, 2019 through March 31, 2020.
Actual Expenses
The “Actual” Expenses in the table below provides information about actual account values and actual expenses. You may use the information below; together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The “Hypothetical” in the table below provides information about hypothetical account values and hypothetical expenses based on the Deer Park Total Return Credit Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning | | Ending | | Expenses Paid | | Expense Ratio |
| | Account Value | | Account Value | | During Period* | | During Period** |
Actual | | 10/1/19 | | 3/31/20 | | 10/1/19 – 3/31/20 | | 10/1/19 – 3/31/20 |
Class A | | $1,000.00 | | $862.90 | | $10.34 | | 2.22% |
Class C | | 1,000.00 | | 860.00 | | 13.81 | | 2.97 |
Class I | | 1,000.00 | | 864.20 | | 9.18 | | 1.97 |
| | | | | | | | |
| | Beginning | | Ending | | Expenses Paid | | Expense Ratio |
Hypothetical | | Account Value | | Account Value | | During Period* | | During Period** |
(5% return before expenses) | | 10/1/19 | | 3/31/20 | | 10/1/19 – 3/31/20 | | 10/1/19 – 3/31/20 |
Class A | | $1,000.00 | | $1,013.90 | | $11.18 | | 2.22% |
Class C | | 1,000.00 | | 1,010.15 | | 14.93 | | 2.97 |
Class I | | 1,000.00 | | 1,015.15 | | 9.92 | | 1.97 |
| * | Expenses are equal to the average account value over the period, multiplied by each Fund’s annualized expense ratio, multiplied by the number of days in the period (183) divided by the number of days in the fiscal year (366). |
Deer Park Total Return Credit Fund |
Additional Information (Unaudited) |
March 31, 2020 |
LIQUIDITY RISK MANAGEMENT PROGRAM
The Fund has adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage the Fund’s liquidity risk, taking into consideration, among other factors, the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.
During the six months March 31, 2020, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Fund’s investments and determined that the Fund held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Fund’s liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Fund’s liquidity risk management program has been effectively implemented.
PRIVACY NOTICE
Northern Lights Fund Trust
Rev. February 2014
FACTS | WHAT DOES NORTHERN LIGHTS FUND TRUST DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include: ● Social Security number and wire transfer instructions ● account transactions and transaction history ● investment experience and purchase history When you areno longerour customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights Fund Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your personalinformation: | Does Northern Lights Fund Trust share information? | Can you limit this sharing? |
For our everyday business purposes -such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes -to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes -information about your transactions and records. | NO | We don’t share |
For our affiliates’ everyday business purposes -information about your credit worthiness. | NO | We don’t share |
For nonaffiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-402-493-4603 |
PRIVACY NOTICE
Northern Lights Fund Trust
What we do: |
How does Northern Lights Fund Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does Northern Lights Fund Trust collect my personal information? | We collect your personal information, for example, when you ● open an account or deposit money ● direct us to buy securities or direct us to sell your securities ● seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: ● sharing for affiliates’ everyday business purposes – information about your creditworthiness. ● affiliates from using your information to market to you. ● sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Definitions |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. ● Northern Lights Fund Trust does not share with its affiliates. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ● Northern Lights Fund Trust does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ● Northern Lights Fund Trust doesn’t jointly market. |
PROXY VOTING POLICY
Information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies is available without charge, upon request, by calling 1-888-868-9501 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-PORT may be obtained by calling 1-800-SEC-0330.
INVESTMENT ADVISERS |
Princeton Fund Advisors, LLC |
1580 Lincoln Street, Suite 680 |
Denver, CO 80203 |
|
INVESTMENT SUB-ADVISERS |
Deer Park Road Management Company, LP |
1195 Bangtail Way |
Steamboat Springs, CO 80487 |
|
ADMINISTRATOR |
Gemini Fund Services, LLC |
4221 North 203rd Street, Suite 100 |
Elkhorn, Nebraska 68022-3474 |
Item 2. Code of Ethics.Not applicable.
Item 3. Audit Committee Financial Expert.Not applicable.
Item 4. Principal Accountant Fees and Services.Not applicable.
Item 5. Audit Committee of Listed Companies.Not applicable to open-end investment companies.
Item 6. Schedule of Investments.Schedule of investments in securities of unaffiliated issuers is included under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders. None
Item 11. Controls and Procedures.
(a) Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.
(a)(3) Not applicable for open-end investment companies.
(b) Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant)Northern Lights Fund Trust
By (Signature and Title)
/s/ Kevin E. Wolf
Kevin E. Wolf, Principal Executive Officer/ President
Date 6/8/20
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)
/s/ Kevin E. Wolf
Kevin E. Wolf, Principal Executive Officer/ President
Date 6/8/20
By (Signature and Title)
/s/ Jim Colantino
Jim Colantino, Principal Financial Officer/ Treasurer
Date 6/8/20