DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
AGENCY ASSET BACKED SECURITIES — 1.7% | |||||||
AGENCY CMBS — 0.7% | |||||||
2,537,460 | Freddie Mac Military Housing Bonds Series 2015-R1 C3(a),(b) (i) | 5.9280 | 11/25/52 | $ 2,199,049 | |||
2,743,490 | Government National Mortgage Association Series 2007-15 IO(b),(c) | 1.5960 | 03/16/47 | 23,396 | |||
4,279,474 | Government National Mortgage Association Series 2015-6 IO(b),(c) | 0.4720 | 02/16/51 | 44,716 | |||
2,596,220 | Government National Mortgage Association Series 2013-15 IO(b),(c) | 0.5620 | 08/16/51 | 55,292 | |||
485,085 | Government National Mortgage Association Series 2012-72 IO(b),(c) | 0.4830 | 11/16/52 | 2,259 | |||
252,267 | Government National Mortgage Association Series 2015-122 IO(b),(c) | 0.5840 | 05/16/57 | 282 | |||
2,324,994 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 1.0% | |||||||
1,019,310 | Fannie Mae REMICS Series 2012-90 SA(c),(d) | SOFR30A + 5.936% | 0.5980 | 08/25/42 | 99,287 | ||
4,424,134 | Fannie Mae REMICS Series 2012-144 SH(c),(d) | SOFR30A + 5.986% | 0.6480 | 01/25/43 | 554,587 | ||
3,782,414 | Fannie Mae REMICS Series 2017-16 CS(c),(d) | SOFR30A + 5.936% | 0.5980 | 03/25/47 | 451,352 | ||
2,420,812 | Fannie Mae REMICS Series 2017-14 DS(c),(d) | SOFR30A + 5.936% | 0.5980 | 03/25/47 | 292,830 | ||
2,408,331 | Fannie Mae REMICS Series 2017-68 SN(c),(d) | SOFR30A + 6.036% | 0.6980 | 09/25/47 | 294,860 | ||
1,845,128 | Fannie Mae REMICS Series 2018-64 SE(c),(d) | SOFR30A + 6.086% | 0.7480 | 09/25/48 | 210,415 | ||
610,533 | Freddie Mac REMICS Series 4238 NS(c),(d) | SOFR30A + 6.586% | 1.2470 | 02/15/42 | 64,537 | ||
3,358,266 | Freddie Mac REMICS Series 4416 DS(c),(d) | SOFR30A + 5.986% | 0.6470 | 12/15/44 | 375,021 | ||
196,105 | Freddie Mac REMICS Series 4583 ST(c),(d) | SOFR30A + 5.886% | 0.5470 | 05/15/46 | 20,135 | ||
1,716,216 | Freddie Mac REMICS Series 4685 SA(c),(d) | SOFR30A + 5.986% | 0.6470 | 05/15/47 | 229,820 | ||
3,751,205 | Freddie Mac REMICS Series 4718 SC(c),(d) | SOFR30A + 6.036% | 0.6970 | 09/15/47 | 488,250 | ||
1,225,544 | Freddie Mac REMICS Series 4796 AS(c),(d) | SOFR30A + 6.086% | 0.7470 | 05/15/48 | 152,924 | ||
10,252,676 | Government National Mortgage Association Series 2019-111 SK(c),(d) | TSFR1M + 3.316% | 0.0001 | 09/20/49 | 196,631 | ||
3,430,649 | |||||||
TOTAL AGENCY ASSET BACKED SECURITIES (Cost $18,777,585) | 5,755,643 | ||||||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% | |||||||
36,148 | Adjustable Rate Mortgage Trust 2005-4 Series 2005-4 3A1(b) | 5.2680 | 08/25/35 | 35,316 | |||
1,649,528 | Adjustable Rate Mortgage Trust 2007-1 Series 2007-1 5A1(d) | TSFR1M + 0.414% | 5.7700 | 03/25/37 | 1,918,726 | ||
138,039 | Alternative Loan Trust 2003-4CB Series 2003-4CB B1(b) | 6.1160 | 04/25/33 | 73,980 | |||
92,054 | Alternative Loan Trust 2003-J2 Series 2003-J2 B1 | 6.0000 | 10/25/33 | 81,269 | |||
339,567 | Alternative Loan Trust 2005-22T1 Series 2005-22T1 A2(c),(d) (i) | TSFR1M + 4.956% | 0.0001 | 06/25/35 | 24,512 | ||
558,127 | Alternative Loan Trust 2005-45 Series 2005-45 2A1(d) | 12MTA + 2.050% | 7.0620 | 10/20/35 | 392,742 | ||
1,129,553 | Alternative Loan Trust 2005-50CB Series 2005-50CB 3A1 | 6.0000 | 11/25/35 | 436,751 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% (Continued) | |||||||
332,998 | Alternative Loan Trust 2005-56 Series 2005-56 5A1(d) | TSFR1M + 0.754% | 6.1100 | 11/25/35 | $ 265,880 | ||
594,035 | Alternative Loan Trust 2005-65CB Series 2005-65CB 2A4 | 5.5000 | 12/25/35 | 421,608 | |||
409,167 | Alternative Loan Trust 2005-65CB Series 2005-65CB 1A5(d) | TSFR1M + 0.864% | 5.5000 | 01/25/36 | 256,929 | ||
1,605,849 | Alternative Loan Trust 2006-32CB Series 2006-32CB A8(c),(d) (i) | TSFR1M + 5.156% | 0.0001 | 11/25/36 | 135,973 | ||
462,669 | Alternative Loan Trust 2006-36T2 Series 2006-36T2 1A9(d) | TSFR1M + 1.014% | 6.3700 | 12/25/36 | 166,703 | ||
162,175 | Alternative Loan Trust 2006-HY10 Series 2006-HY10 2A1(b) | 4.3250 | 05/25/36 | 141,654 | |||
294,588 | Alternative Loan Trust 2006-J3 Series 2006-J3 2A1 | 4.7500 | 12/29/24 | 235,178 | |||
158,209 | Alternative Loan Trust 2006-J5 Series 2006-J5 1A4 | 6.5000 | 09/25/36 | 86,207 | |||
21,854,639 | Alternative Loan Trust 2006-OA10 Series 2006-OA10 XBI(c), (e) (i) | 0.0001 | 08/25/46 | 170,313 | |||
5,162,858 | Alternative Loan Trust 2006-OA10 Series 2006-OA10 XAD(c),(e) (i) | 0.0001 | 08/25/46 | 25,315 | |||
1,042,632 | Alternative Loan Trust 2006-OA11 Series 2006-OA11 A1B(d) | TSFR1M + 0.494% | 5.8500 | 09/25/46 | 999,755 | ||
13,423,583 | Alternative Loan Trust 2006-OA14 Series 2006-OA14 X2(b),(c) (i) | 0.0001 | 11/25/46 | 11,642 | |||
5,563,241 | Alternative Loan Trust 2006-OA17 Series 2006-OA17 2X(b),(c) | 1.0210 | 12/20/46 | 393,670 | |||
36,169,231 | Alternative Loan Trust 2006-OA2 Series 2006-OA2 X1P(b),(c) | 0.1130 | 05/20/46 | 290,084 | |||
14 | Alternative Loan Trust 2006-OC6 Series 2006-OC6 2A2A(d) (i) | TSFR1M + 0.434% | 5.7900 | 07/25/36 | — (j) | ||
148,875 | Alternative Loan Trust Resecuritization 2006-22R Series 2006-22R 2A2 | 6.2500 | 05/25/36 | 83,979 | |||
1,184,483 | American Home Mortgage Assets Trust 2005-1 Series 2005-1 3A22(d) | TSFR1M + 0.774% | 6.1300 | 11/25/35 | 1,034,601 | ||
442,137 | American Home Mortgage Assets Trust 2006-1 Series 2006-1 1A2(d) | TSFR1M + 0.304% | 5.6600 | 05/25/46 | 378,803 | ||
186,907 | American Home Mortgage Assets Trust 2006-2 Series 2006-2 1A1(d) | 12MTA + 0.960% | 5.9720 | 09/25/46 | 165,194 | ||
143,842 | American Home Mortgage Assets Trust 2007-5 Series 2007-5 A1(d) | TSFR1M + 0.494% | 5.8500 | 06/25/47 | 126,949 | ||
2,804,535 | American Home Mortgage Investment Trust 2005-4 Series 2005-4 1A2(d) | TSFR1M + 0.874% | 6.2300 | 11/25/45 | 2,808,173 | ||
493,096 | American Home Mortgage Investment Trust 2006-3 Series 2006-3 11A2(d) | TSFR1M + 0.574% | 5.9300 | 12/25/46 | 474,961 | ||
4,107,629 | American Home Mortgage Investment Trust 2007-2 Series 2007-2 12A1(d) | TSFR1M + 0.654% | 6.0100 | 03/25/37 | 1,532,618 | ||
801,439 | Banc of America Alternative Loan Trust 2006-5 Series 2006-5 CBIO(c) | 6.0000 | 06/25/46 | 143,598 | |||
1,398,913 | Banc of America Alternative Loan Trust 2006-6 Series 2006-6 CBIO(c) | 6.0000 | 07/25/46 | 177,300 | |||
168,660 | Banc of America Alternative Loan Trust 2006-8 Series 2006-8 1A5(c),(d) | TSFR1M + 772.262% | 6.0000 | 11/25/36 | 31,100 | ||
339,444 | Banc of America Alternative Loan Trust 2006-8 Series 2006-8 XIO(c) | 6.0000 | 11/25/46 | 69,976 | |||
2,921,975 | Banc of America Funding 2005-C Trust Series 2005-C M2(d) | TSFR1M + 0.764% | 6.1220 | 05/20/35 | 2,248,857 | ||
61,301 | Banc of America Funding 2005-F Trust Series 2005-F 1A1(d) | TSFR1M + 0.734% | 6.0920 | 09/20/35 | 44,321 | ||
1,380,432 | Banc of America Funding 2006-D Trust Series 2006-D 1A2(d) | TSFR1M + 0.674% | 6.0320 | 05/20/36 | 403,230 | ||
466,686 | Banc of America Mortgage 2007-1 Trust Series 2007-1 2IO(c) | 6.0000 | 01/25/37 | 69,055 | |||
566,615 | BCAP, LLC 2008-RR3 Trust Series 2008-RR3 A1B(a),(b) | 6.6950 | 10/25/36 | 173,396 | |||
1,703,858 | BCAP, LLC 2009-RR4 Trust Series 2009-RR4 1A2(a),(b) | 61.4310 | 06/26/37 | 463,493 | |||
80,320 | Bear Stearns ALT-A Trust Series 2004-7 1A1(b) (i) | 2.6250 | 10/25/34 | 52,666 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% (Continued) | |||||||
713,396 | Bear Stearns ALT-A Trust 2003-5 Series 2003-5 M(b) | 5.5690 | 12/25/33 | $ 653,562 | |||
249,578 | Bear Stearns ALT-A Trust 2003-6 Series 2003-6 B1(b) | 5.0470 | 01/25/34 | 147,184 | |||
1,482,616 | Bear Stearns ALT-A Trust 2005-10 Series 2005-10 11A1(d) | TSFR1M + 0.614% | 5.9700 | 01/25/36 | 1,450,146 | ||
967,475 | Bear Stearns ALT-A Trust 2005-3 Series 2005-3 1A1(b) | 3.9070 | 04/25/35 | 841,382 | |||
227,937 | Bear Stearns ALT-A Trust 2005-7 Series 2005-7 25A1(b) | 4.7690 | 09/25/35 | 92,276 | |||
1,258,353 | Bear Stearns ALT-A Trust 2006-4 Series 2006-4 23A4(b) | 4.1290 | 08/25/36 | 842,812 | |||
381,599 | Bear Stearns ALT-A Trust 2007-2 Series 2007-2 1A1(d) | TSFR1M + 0.454% | 5.8100 | 04/25/37 | 334,924 | ||
177,889 | Bear Stearns ARM Trust 2004-6 Series 2004-6 2A2(b) | 3.9800 | 09/25/34 | 131,349 | |||
307,775 | Bear Stearns ARM Trust 2005-12 Series 2005-12 23A1(b) | 4.6370 | 02/25/36 | 277,158 | |||
70,067 | Bear Stearns ARM Trust 2007-4 Series 2007-4 22A1(b) | 4.0670 | 06/25/47 | 62,983 | |||
30,189 | Bear Stearns Asset Backed Securities I Trust Series 2004-AC5 A2(d) | TSFR1M + 0.514% | 5.8700 | 10/25/34 | 26,125 | ||
213,436 | Bear Stearns Asset Backed Securities Trust Series 2003-AC4 M1(e) | 5.6580 | 09/25/33 | 124,234 | |||
41,304 | Bear Stearns Asset Backed Securities Trust Series 2003-AC5 B(d) | TSFR1M + 4.989% | 10.3450 | 10/25/33 | 53,538 | ||
35,348 | Bear Stearns Asset Backed Securities Trust Series 2003-AC6 M2(d) | TSFR1M + 2.764% | 8.1200 | 11/25/33 | 24,771 | ||
1,570,049 | Bear Stearns Mortgage Funding Trust 2006-AR1 Series 2006-AR1 2A2(d) | TSFR1M + 0.634% | 5.9900 | 08/25/36 | 2,055,249 | ||
312,680 | Bear Stearns Mortgage Funding Trust 2006-AR5 Series 2006-AR5 1A1(d) | TSFR1M + 0.274% | 5.6300 | 12/25/46 | 260,904 | ||
2,618,458 | Bear Stearns Mortgage Funding Trust 2006-AR5 Series 2006-AR5 1A2(d) | TSFR1M + 0.324% | 5.6800 | 12/25/46 | 2,706,951 | ||
2,383,016 | Bear Stearns Mortgage Funding Trust 2007-AR1 Series 2007-AR1 1A2(d) | TSFR1M + 0.324% | 5.6800 | 01/25/37 | 2,335,315 | ||
145,545 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 1A1(d) | TSFR1M + 0.254% | 5.6100 | 03/25/37 | 123,576 | ||
1,909,619 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 1A2(d) | TSFR1M + 0.294% | 5.6500 | 03/25/37 | 1,975,123 | ||
1,640,362 | Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 21A2(d) | TSFR1M + 0.494% | 5.8500 | 04/25/37 | 1,642,923 | ||
21,669 | Bear Stearns Mortgage Funding Trust 2007-SL1 Series 2007-SL1 1A(d) | TSFR1M + 0.434% | 5.7900 | 03/25/37 | 22,786 | ||
368,485 | Chase Mortgage Finance Trust Series 2005-S3 Series 2005-S3 A10 | 5.5000 | 11/25/35 | 269,143 | |||
22,670 | Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 5A2(b) | 5.3030 | 02/25/37 | 20,818 | |||
42,310 | Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 7A1(b) | 5.4600 | 02/25/37 | 41,954 | |||
566,409 | ChaseFlex Trust Multi-Class Mortgage Pass-Through Series 2007-M1 2AV2(d) | TSFR1M + 0.344% | 4.2040 | 08/25/37 | 445,799 | ||
656,588 | Chevy Chase Funding, LLC Mortgage-Backed Series 2003-4A B1(a),(b) | 5.9840 | 10/25/34 | 596,682 | |||
36,042 | Chevy Chase Funding, LLC Mortgage-Backed Series 2004-2A A2(a),(d) | TSFR1M + 0.434% | 5.7900 | 05/25/35 | 34,159 | ||
506,484 | Chevy Chase Funding, LLC Mortgage-Backed Series 2004-4A B1(a),(b) | 4.6330 | 10/25/35 | 377,439 | |||
435,034 | Chevy Chase Funding, LLC Mortgage-Backed Series 2007-2A A2(a),(d) | TSFR1M + 0.294% | 5.6500 | 05/25/48 | 273,513 | ||
484,506 | CHL Mortgage Pass-Through Trust 2003-48 Series 2003-48 B1(b) | 6.0400 | 10/25/33 | 27,290 | |||
234,590 | CHL Mortgage Pass-Through Trust 2003-58 Series 2003-58 M(b) | 6.1580 | 02/19/34 | 210,393 | |||
26,605 | CHL Mortgage Pass-Through Trust 2004-25 Series 2004-25 1A2(d) | TSFR1M + 0.894% | 6.2500 | 02/25/35 | 21,182 | ||
5,230,290 | CHL Mortgage Pass-Through Trust 2004-29 Series 2004-29 2X(b),(c) | 0.0001 | 02/25/35 | 52 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% (Continued) | |||||||
39,652 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 3A3(b) | 3.6890 | 04/25/35 | $ 27,332 | |||
20,260 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A1(d) | TSFR1M + 0.384% | 5.7400 | 04/25/35 | 18,453 | ||
250,487 | CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A2(d) | TSFR1M + 0.434% | 5.7900 | 04/25/35 | 140,106 | ||
211,880 | CHL Mortgage Pass-Through Trust 2005-14 Series 2005-14 A3 | 5.5000 | 07/25/35 | 79,429 | |||
282,270 | CHL Mortgage Pass-Through Trust 2005-2 Series 2005-2 2A3(d) | TSFR1M + 0.794% | 6.1500 | 03/25/35 | 255,749 | ||
73,231 | CHL Mortgage Pass-Through Trust 2006-HYB3 Series 2006-HYB3 2A1A(b) | 4.0390 | 05/20/36 | 67,384 | |||
94,923 | CHL Mortgage Pass-Through Trust 2007-HYB2 Series 2007-HYB2 3A1(b) | 3.9610 | 02/25/47 | 81,080 | |||
258,965 | CHL Mortgage Pass-Through Trust 2007-J3 Series 2007-J3 A9 | 6.0000 | 07/25/37 | 112,041 | |||
63,905 | Citicorp Mortgage Securities Trust Series 2006-4 Series 2006-4 1A12 | 6.0000 | 08/25/36 | 38,481 | |||
33,758 | Citicorp Mortgage Securities Trust Series 2007-7 Series 2007-7 APO(f) | 0.0000 | 08/25/37 | 24,207 | |||
38,373 | Citigroup Mortgage Loan Trust 2004-HYB2 Series 2004-HYB2 1A(b) | 5.3250 | 03/25/34 | 36,222 | |||
131,840 | Citigroup Mortgage Loan Trust 2005-3 Series 2005-3 2A2B(b) | 5.3070 | 08/25/35 | 109,419 | |||
66,087 | Citigroup Mortgage Loan Trust 2006-AR1 Series 2006-AR1 2A1(d) | H15T1Y + 2.400% | 7.8600 | 03/25/36 | 60,883 | ||
64,273 | Citigroup Mortgage Loan Trust 2007-10 Series 2007-10 22AA(b) | 4.5010 | 09/25/37 | 56,788 | |||
39,986 | Citigroup Mortgage Loan Trust 2007-AR8 Series 2007-AR8 2A1A(b) | 4.5050 | 07/25/37 | 34,928 | |||
23,869 | Citigroup Mortgage Loan Trust, Inc. Series 2004-HYB1 A31(b) | 4.1750 | 02/25/34 | 23,754 | |||
429,508 | Citigroup Mortgage Loan Trust, Inc. Series 2005-9 1A1(d) | TSFR1M + 0.374% | 5.7300 | 11/25/35 | 356,745 | ||
60,523 | CitiMortgage Alternative Loan Trust Series 2007-A1 Series 2007-A1 1A1 | 6.0000 | 01/25/37 | 53,423 | |||
2,877,143 | CitiMortgage Alternative Loan Trust Series 2007-A6 Series 2007-A6 1A2(c),(d) (i) | TSFR1M + 5.286% | 0.0001 | 06/25/37 | 200,269 | ||
79,688 | Countrywide Asset-Backed Certificates Series 2005-IM3 A3(d) | TSFR1M + 0.614% | 5.9700 | 03/25/36 | 78,338 | ||
262,890 | Credit Suisse First Boston Mortgage Securities Series 2002-AR21 CB1(b) | 4.0600 | 06/25/32 | 246,817 | |||
975,412 | Credit Suisse First Boston Mortgage Securities Series 2003-1 DB2(b) | 6.6510 | 02/25/33 | 760,541 | |||
85,694 | Credit Suisse First Boston Mortgage Securities Series 2003-AR9 CB1(b) | 5.0840 | 03/25/33 | 81,780 | |||
568,795 | Credit Suisse First Boston Mortgage Securities Series 2004-AR1 6M2(d) | TSFR1M + 2.214% | 7.5700 | 02/25/34 | 602,652 | ||
909,634 | Credit Suisse First Boston Mortgage Securities Series 2004-AR7 CB1(d) | TSFR1M + 1.264% | 6.6200 | 11/25/34 | 867,256 | ||
568,329 | Credit Suisse First Boston Mortgage Securities Series 2005-1 1A4 | 5.5000 | 02/25/35 | 519,940 | |||
539,514 | CSFB Mortgage-Backed Trust Series 2004-7 Series 2004-7 DB1(b) | 5.9860 | 11/25/34 | 290,940 | |||
63,554 | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5 1A3(b) | 5.5000 | 11/25/35 | 94,425 | |||
658,500 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5 23A | 6.0000 | 10/25/24 | 356,597 | |||
1,095,142 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5 A3(d) | TSFR1M + 0.514% | 5.8700 | 08/25/47 | 824,498 | ||
1,004,884 | Deutsche Mortgage Securities Inc REMIC Trust Series 2008-RS1 4A2(a),(d) | US0001M + 0.250% | 5.7200 | 05/28/37 | 512,003 | ||
11,391 | DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B2(d) | TSFR1M + 1.764% | 7.1200 | 08/25/35 | 10,064 | ||
230,443 | DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B3(d) | TSFR1M + 1.989% | 7.3450 | 07/19/44 | 129,994 | ||
3,122,478 | DSLA Mortgage Loan Trust 2007-AR1 Series 2007-AR1 2A1B(d) (h) | TSFR1M + 0.294% | 5.6500 | 04/19/47 | 3,342,646 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% (Continued) | |||||||
120,372 | Fannie Mae REMIC Trust 2003-W1 Series 2003-W1 M(b) | 2.5030 | 12/25/42 | $ 97,835 | |||
1,085,741 | Global Mortgage Securitization Ltd. Series 2005-A B1(a) | 5.2500 | 04/25/32 | 1,081,439 | |||
708 | GreenPoint Mortgage Funding Trust 2006-AR3 Series 2006-AR3 3A1(d) | TSFR1M + 0.574% | 5.9300 | 04/25/36 | 2,815 | ||
30,797 | GreenPoint Mortgage Funding Trust Series 2006-AR8(d) (i) | US0001M + 0.534% | 5.8900 | 01/25/47 | 73 | ||
325,924 | GreenPoint Mortgage Loan Trust 2004-1 Series 2004-1 A(d) | TSFR1M + 1.264% | 6.6200 | 10/25/34 | 257,035 | ||
1,261,007 | GSMPS Mortgage Loan Trust 2003-3 Series 2003-3 B1(a),(b) | 7.0150 | 06/25/43 | 72,277 | |||
195,833 | GSR Mortgage Loan Trust 2003-1 Series 2003-1 A11(d) | H15T1Y + 1.750% | 6.7800 | 03/25/33 | 188,415 | ||
155,788 | GSR Mortgage Loan Trust 2003-2F Series 2003-2F 2A5 | 4.7500 | 03/25/32 | 148,812 | |||
13,164 | GSR Mortgage Loan Trust 2004-7 Series 2004-7 1A2(b) | 4.2410 | 06/25/34 | 12,726 | |||
1,961,338 | GSR Mortgage Loan Trust 2006-4F Series 2006-4F 4A1(d) | TSFR1M + 0.464% | 5.8200 | 05/25/36 | 403,922 | ||
1,043,039 | GSR Mortgage Loan Trust 2006-9F Series 2006-9F 6A1(d) | TSFR1M + 0.464% | 5.8200 | 10/25/36 | 93,990 | ||
15,844 | GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 1B2(d) | TSFR1M + 0.894% | 6.2500 | 12/25/35 | 4,236 | ||
98,404 | GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 2A1(b) | 3.8330 | 04/25/36 | 66,038 | |||
1,210,322 | GSR Mortgage Loan Trust 2006-OA1 Series 2006-OA1 2A2(d) | TSFR1M + 0.634% | 5.9900 | 08/25/46 | 311,742 | ||
458,516 | HarborView Mortgage Loan Trust 2005-12 Series 2005-12 1A1A(d) | 12MTA + 2.000% | 7.0120 | 10/19/35 | 250,675 | ||
3,407,862 | HarborView Mortgage Loan Trust 2005-13 Series 2005-13 2A11(d) | TSFR1M + 0.674% | 6.0300 | 02/19/36 | 1,621,399 | ||
114,729 | HarborView Mortgage Loan Trust 2005-6 Series 2005-6 A1B(d) | TSFR6M + 1.188% | 6.3880 | 07/19/45 | 92,442 | ||
1,275,804 | HarborView Mortgage Loan Trust 2005-6 Series 2005-6 B1(d) | TSFR6M + 1.253% | 6.4530 | 07/19/45 | 941,391 | ||
14,729,616 | HarborView Mortgage Loan Trust 2005-8 Series 2005-8 1X(b),(c) | 0.0001 | 09/19/35 | 147 | |||
11,195,941 | HarborView Mortgage Loan Trust 2006-1 Series 2006-1 X1(b),(c) | 0.0001 | 03/19/36 | 112 | |||
3,637,415 | HarborView Mortgage Loan Trust 2006-10 Series 2006-10 2A1B(d) (h) | TSFR1M + 0.594% | 5.9260 | 11/19/36 | 3,149,969 | ||
1,318,038 | HarborView Mortgage Loan Trust 2006-12 Series 2006-12 2A13(d) | TSFR1M + 0.594% | 5.9500 | 12/19/36 | 1,239,252 | ||
993,809 | HarborView Mortgage Loan Trust 2006-14 Series 2006-14 2A1B(d) | TSFR1M + 0.514% | 5.8700 | 02/19/37 | 1,455,829 | ||
105,094 | HarborView Mortgage Loan Trust 2006-7 Series 2006-7 2A1A(d) | TSFR1M + 0.514% | 5.8700 | 09/19/46 | 92,003 | ||
2,029,162 | HarborView Mortgage Loan Trust 2007-1 Series 2007-1 2A1B(d) | TSFR1M + 0.474% | 5.8300 | 03/19/37 | 3,009,921 | ||
1,602,914 | HarborView Mortgage Loan Trust 2007-3 Series 2007-3 2A1B(d) | TSFR1M + 0.574% | 5.9300 | 05/19/47 | 1,362,108 | ||
4,115,869 | HarborView Mortgage Loan Trust 2007-7 Series 2007-7 2A1B(d) | TSFR1M + 2.114% | 6.4700 | 10/25/37 | 3,438,335 | ||
82,156 | HomeBanc Mortgage Trust 2004-2 Series 2004-2 M1(d) | TSFR1M + 1.089% | 6.4450 | 12/25/34 | 76,422 | ||
325,070 | HomeBanc Mortgage Trust 2005-1 Series 2005-1 B1(d) | TSFR1M + 1.989% | 2.1580 | 03/25/35 | 211,931 | ||
42,424 | HomeBanc Mortgage Trust 2005-1 Series 2005-1 B2(d) | TSFR1M + 2.064% | 2.1580 | 03/25/35 | 27,635 | ||
286,374 | Impac CMB Trust Series 2004-11 Series 2004-11 2A2(d) | TSFR1M + 0.854% | 6.2100 | 03/25/35 | 254,172 | ||
34,386 | Impac CMB Trust Series 2004-4 Series 2004-4 1M6(d) | TSFR1M + 2.364% | 7.7200 | 09/25/34 | 33,514 | ||
205,583 | Impac CMB Trust Series 2005-2 Series 2005-2 1M1(d) | TSFR1M + 0.759% | 6.1150 | 04/25/35 | 189,066 | ||
351,498 | Impac CMB Trust Series 2005-2 Series 2005-2 1M3(d) | TSFR1M + 0.879% | 6.2350 | 04/25/35 | 319,797 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% (Continued) | |||||||
52,823 | Impac CMB Trust Series 2005-2 Series 2005-2 2M2(d) | TSFR1M + 1.239% | 6.5950 | 04/25/35 | $ 48,047 | ||
35,215 | Impac CMB Trust Series 2005-2 Series 2005-2 2B(d) | TSFR1M + 2.589% | 7.9450 | 04/25/35 | 33,612 | ||
3,124 | Impac CMB Trust Series 2005-6 Series 2005-6 2B2(d) | TSFR1M + 3.489% | 8.8450 | 10/25/35 | 3,092 | ||
205,311 | Impac Secured Assets CMN Owner Trust Series 2002-2 M1 | 6.5000 | 04/25/33 | 115,518 | |||
900,165 | Impac Secured Assets CMN Owner Trust Series 2004-1 M2(e) | 5.4770 | 03/25/34 | 764,651 | |||
1,499,984 | IndyMac IMJA Mortgage Loan Trust 2007-A1 Series 2007-A1 A4 | 6.0000 | 08/25/37 | 578,613 | |||
1,475,367 | IndyMac IMJA Mortgage Loan Trust 2007-A3 Series 2007-A3 A1 | 6.2500 | 11/25/37 | 666,542 | |||
4,389,101 | IndyMac IMSC Mortgage Loan Trust 2007-HOA1 Series 2007-HOA1 A22(d) | TSFR1M + 0.474% | 5.8300 | 07/25/47 | 3,244,485 | ||
74,234 | IndyMac INDA Mortgage Loan Trust 2006-AR3 Series 2006-AR3 1A1(b) | 4.1600 | 12/25/36 | 58,807 | |||
953,536 | IndyMac INDX Mortgage Loan Trust 2004-AR13 Series 2004-AR13 B1(b) | 3.4720 | 01/25/35 | 752,121 | |||
1,391,007 | IndyMac INDX Mortgage Loan Trust 2004-AR14 Series 2004-AR14 2A1A(d) | TSFR1M + 0.834% | 6.1900 | 01/25/35 | 1,035,775 | ||
92,075 | IndyMac INDX Mortgage Loan Trust 2004-AR5 Series 2004-AR5 2A1B(d) | TSFR1M + 0.914% | 6.2700 | 08/25/34 | 77,695 | ||
901,768 | IndyMac INDX Mortgage Loan Trust 2004-AR9 Series 2004-AR9 5M2(d) | TSFR1M + 1.914% | 7.2700 | 11/25/34 | 674,262 | ||
230,041 | IndyMac INDX Mortgage Loan Trust 2005-AR2 Series 2005-AR2 2A1B(d) | TSFR1M + 0.894% | 6.2500 | 02/25/35 | 162,184 | ||
276,520 | IndyMac INDX Mortgage Loan Trust 2005-AR23 Series 2005-AR23 2A1(b) | 4.3530 | 11/25/35 | 223,273 | |||
297,659 | IndyMac INDX Mortgage Loan Trust 2005-AR4 Series 2005-AR4 2A1A(d) | TSFR1M + 0.674% | 6.0300 | 03/25/35 | 290,677 | ||
222,333 | IndyMac INDX Mortgage Loan Trust 2006-AR21 Series 2006-AR21 A1(d) | TSFR1M + 0.354% | 5.7100 | 08/25/36 | 199,407 | ||
476,754 | IndyMac INDX Mortgage Loan Trust 2006-AR29 Series 2006-AR29 A2(d) | TSFR1M + 0.274% | 5.6300 | 11/25/36 | 467,528 | ||
584,156 | IndyMac INDX Mortgage Loan Trust 2006-AR29 Series 2006-AR29 A3(d) | TSFR1M + 0.454% | 5.8100 | 11/25/36 | 575,359 | ||
38,028 | IndyMac INDX Mortgage Loan Trust 2006-AR5 Series 2006-AR5 2A1(b) | 3.4370 | 05/25/36 | 34,994 | |||
70,778 | IndyMac INDX Mortgage Loan Trust 2006-AR6 Series 2006-AR6 2A1A(d) | TSFR1M + 0.514% | 5.8700 | 06/25/46 | 54,902 | ||
21,285 | IndyMac INDX Mortgage Loan Trust 2006-AR8 Series 2006-AR8 A3A(d) | TSFR1M + 0.574% | 5.9300 | 07/25/46 | 48,947 | ||
1,315,560 | IndyMac INDX Mortgage Loan Trust 2007-FLX3 Series 2007-FLX3 A2(d) | TSFR1M + 0.654% | 6.0100 | 06/25/37 | 1,507,452 | ||
351,715 | JP Morgan Alternative Loan Trust Series 2006-A2 5A1(b) | 4.0410 | 05/25/36 | 194,755 | |||
957,411 | JP Morgan Mortgage Trust 2005-A1 Series 2005-A1 IB2(b) | 5.1870 | 02/25/35 | 877,837 | |||
56,216 | JP Morgan Mortgage Trust 2006-A6 Series 2006-A6 3A2(b) | 4.4070 | 10/25/36 | 40,820 | |||
134,489 | JP Morgan Mortgage Trust 2006-A7 Series 2006-A7 2A2(b) | 4.2430 | 01/25/37 | 109,738 | |||
129,528 | JP Morgan Mortgage Trust 2006-S3 Series 2006-S3 1A12 | 6.5000 | 08/25/36 | 44,375 | |||
1,672,205 | Lehman Mortgage Trust 2005-3 Series 2005-3 1A5 | 5.5000 | 01/25/36 | 845,663 | |||
38,586 | Lehman Mortgage Trust 2005-3 Series 2005-3 2A7 | 6.0000 | 01/25/36 | 32,412 | |||
1,304,347 | Lehman XS Trust Series 2005-5N Series 2005-5N 3A3C(d) | TSFR1M + 0.614% | 5.9700 | 11/25/35 | 826,606 | ||
1,631,355 | Lehman XS Trust Series 2006-18N Series 2006-18N A4(d) | TSFR1M + 0.494% | 5.8500 | 12/25/36 | 1,404,441 | ||
624,819 | Lehman XS Trust Series 2007-12N Series 2007-12N 1A3A(d) | TSFR1M + 0.514% | 5.8700 | 07/25/47 | 602,538 | ||
118,932 | Lehman XS Trust Series 2007-16N Series 2007-16N 2A2(d) | TSFR1M + 1.814% | 7.1700 | 09/25/47 | 103,754 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% (Continued) | |||||||
753,924 | Lehman XS Trust Series 2007-7N Series 2007-7N 1A2(d) | TSFR1M + 0.594% | 5.9500 | 06/25/47 | $ 668,491 | ||
436,305 | MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A3(d) | TSFR1M + 0.464% | 5.8200 | 03/25/36 | 46,415 | ||
283,597 | MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A1(d) | TSFR1M + 0.514% | 5.8700 | 03/25/36 | 30,960 | ||
357,068 | MASTR Asset Securitization Trust 2004-1 Series 2004-1 B1(b) | 5.4930 | 02/25/34 | 289,591 | |||
41,982 | MASTR Asset Securitization Trust 2004-3 Series 2004-3 4A11 | 5.5000 | 03/25/34 | 1,045 | |||
539,660 | Mellon Residential Funding Cor Mor Pas Thr Tr Ser Series 1999-TBC3 A2(b) | 6.0200 | 10/20/29 | 543,991 | |||
574,828 | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR4 A1(d) | TSFR1M + 0.614% | 5.9700 | 08/25/37 | 493,255 | ||
50,863 | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1 M2(b) | 5.0380 | 12/25/32 | 49,183 | |||
3,525,343 | Merrill Lynch Mortgage Investors Trust Series 2005-A6 M2(d) | TSFR1M + 1.089% | 6.4450 | 08/25/35 | 3,341,231 | ||
3,416,407 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2003-G XA2(b),(c) | 0.2130 | 01/25/29 | 12,642 | |||
287,904 | Merrill Lynch Mortgage Investors Trust Series MLCC Series 2007-3 M1(b) | 3.4340 | 09/25/37 | 116,670 | |||
25,859 | Merrill Lynch Mortgage Investors Trust Series MLMI Series 2004-A1 M1(b) | 5.0800 | 02/25/34 | 17,995 | |||
403,280 | Morgan Stanley Mortgage Loan Trust 2004-11AR Series 2004-11AR 1B1(d) | TSFR1M + 0.714% | 6.0700 | 01/25/35 | 325,451 | ||
61,689 | MortgageIT Trust 2005-2 Series 2005-2 1M2(d) | TSFR1M + 0.924% | 6.2800 | 05/25/35 | 59,626 | ||
21,383 | MortgageIT Trust 2005-2 Series 2005-2 2M2(d) | TSFR1M + 1.764% | 7.1070 | 05/25/35 | 19,534 | ||
123,093 | Nomura Asset Acceptance Corp Alternative Loan Series 2004-AR1 5M1(d) | TSFR1M + 1.214% | 6.5700 | 08/25/34 | 134,070 | ||
220,520 | Nomura Asset Acceptance Corp Alternative Loan Series 2006-AF1 2A(b) | 5.5140 | 06/25/36 | 162,287 | |||
240,221 | NovaStar Mortgage Funding Trust Series 2006-MTA1 Series 2006-MTA1 2A1A(d) | TSFR1M + 0.494% | 0.5230 | 09/25/46 | 218,092 | ||
4,175,616 | OPTONE 68402SAC3 DEL TR 2016-1 Series 2016-1A SAC3(a),(b),(c) | 11.8010 | 02/26/38 | 2,529,713 | |||
695,000 | Prime Mortgage Trust 2006-CL1 Series 2006-CL1 M3(d) | TSFR1M + 0.834% | 6.1900 | 02/25/35 | 569,835 | ||
325,067 | RAAC Series 2004-SP3 Trust Series 2004-SP3 MII4(d) | TSFR1M + 2.889% | 8.2450 | 09/25/34 | 226,542 | ||
3,371 | RALI Series 2003-QS9 Trust Series 2003-QS9 A2(d) (i) | TSFR1M + 0.564% | 5.9200 | 05/25/30 | 2,642 | ||
3,172,895 | RALI Series 2005-QO1 Trust Series 2005-QO1 A3(d) | TSFR1M + 0.494% | 5.8500 | 08/25/35 | 1,220,070 | ||
185,887 | RALI Series 2005-QS7 Trust Series 2005-QS7 CB | 5.5000 | 06/25/35 | 165,945 | |||
1,553,129 | RALI Series 2006-QA8 Trust Series 2006-QA8 A1(d) | TSFR1M + 0.494% | 5.8500 | 09/25/36 | 1,474,263 | ||
311,296 | RALI Series 2006-QO8 Trust Series 2006-QO8 1A3A(d) | TSFR1M + 0.514% | 5.8700 | 10/25/46 | 286,685 | ||
32,841,264 | RALI Series 2006-QS12 Trust Series 2006-QS12 AV(b),(c) | 0.4640 | 09/25/36 | 406,375 | |||
260,887 | RALI Series 2006-QS16 Trust Series 2006-QS16 A10 | 6.0000 | 11/25/36 | 199,185 | |||
137,047 | RALI Series 2006-QS7 Trust Series 2006-QS7 A4(d) | TSFR1M + 0.514% | 5.8700 | 06/25/36 | 97,362 | ||
1,712,224 | RALI Series 2007-QH3 Trust Series 2007-QH3 A2(d) | TSFR1M + 0.534% | 5.8900 | 04/25/37 | 3,830,249 | ||
300,561 | RALI Series 2007-QH5 Trust Series 2007-QH5 AI2(d) | TSFR1M + 0.614% | 5.9700 | 06/25/37 | 167,128 | ||
596,137 | RALI Series 2007-QH7 Trust Series 2007-QH7 1A2(d) | TSFR1M + 0.654% | 6.0100 | 08/25/37 | 351,983 | ||
6,258 | RAMP Series 2004-SL1 Trust Series 2004-SL1 MI6(d) | TSFR1M + 2.014% | 8.3200 | 10/25/31 | 5,771 | ||
8,178,801 | Reperforming Loan REMIC Trust 2005-R1 Series 2005-R1 1AS(a),(b),(c) | 0.7890 | 03/25/35 | 405,922 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 35.8% (Continued) | |||||||
7,923,723 | Reperforming Loan REMIC Trust 2005-R2 Series 2005-R2 1AS(a),(b),(c) | 0.3910 | 06/25/35 | $ 348,810 | |||
8,938,189 | Reperforming Loan REMIC Trust 2006-R1 Series 2006-R1 AS(b),(c) | 0.2700 | 01/25/36 | 365,033 | |||
844,218 | Residential Asset Securitization Trust 2003-A4 Series 2003-A4 B1 | 5.7500 | 05/25/33 | 594,198 | |||
14,544,119 | Residential Asset Securitization Trust 2005-A11CB Series 2005-A11 1AX(b),(c) | 0.3660 | 10/25/35 | 170,858 | |||
265,324 | Residential Asset Securitization Trust 2005-A16 Series 2005-A16 A3 | 6.0000 | 02/25/36 | 122,077 | |||
2,112,409 | Residential Asset Securitization Trust 2007-A9 Series 2007-A9 AX(b),(c) | 7.0000 | 09/25/37 | 643,512 | |||
1,110,680 | RFMSI Series 2007-S6 Trust Series 2007-S6 2A5(d) | TSFR1M + 0.614% | 5.9700 | 06/25/37 | 705,175 | ||
156,074 | SACO I, Inc. Series 1999-3 1B1(a), (b) (i) | 4.9620 | 04/25/39 | 148,100 | |||
75,589 | Sequoia Mortgage Trust 9 Series 9 B1(d) | TSFR1M + 1.239% | 6.5970 | 09/20/32 | 64,879 | ||
2,800,136 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-10 M1(d) | TSFR1M + 0.789% | 6.1450 | 06/25/35 | 2,804,241 | ||
1,068,287 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 4A1(b) | 4.1600 | 09/25/35 | 698,992 | |||
1,819,890 | Structured Asset Mortgage Investments II Trust Series 2005-AR5 X2(b),(c) | 0.5710 | 07/19/35 | 26,853 | |||
176,647 | Structured Asset Mortgage Investments II Trust Series 2006-AR3 11A1(d) | TSFR1M + 0.534% | 5.8900 | 04/25/36 | 156,556 | ||
2,901,136 | Structured Asset Mortgage Investments II Trust Series 2006-AR3 12A3(d) (h) | TSFR1M + 0.654% | 6.0100 | 05/25/36 | 2,274,224 | ||
34,845,917 | Structured Asset Mortgage Investments II Trust Series 2006-AR7 X(c) | 0.9000 | 08/25/36 | 914,078 | |||
9,529 | Structured Asset Mortgage Investments II Trust Series AR7 A10(d) (i) | TSFR1M + 0.514% | 5.8700 | 08/25/36 | 10,054 | ||
1,780,462 | Structured Asset Mortgage Investments II Trust Series 2005-AR2 1A1(d) | TSFR1M + 0.574% | 5.9300 | 05/25/45 | 1,621,729 | ||
894,555 | Structured Asset Mortgage Investments II Trust Series 2007-AR7 2A1(b) | 3.7330 | 05/25/47 | 714,295 | |||
31,852,847 | Structured Asset Mortgage Investments II Trust Series 2007-AR6 X2(c) | 0.5000 | 08/25/47 | 577,798 | |||
2,456,221 | Structured Asset Mortgage Investments II Trust Series AR6 A2(d) | 12MTA + 1.730% | 6.6590 | 08/25/47 | 2,720,002 | ||
360,330 | Structured Asset Securities Corp Assistance Loan Series 2003-AL1 B1(a) | 3.3560 | 04/25/31 | 356,294 | |||
183,292 | Structured Asset Securities Corp Mortgage Series 2003-9A B1II(b) | 6.6000 | 03/25/33 | 168,699 | |||
447,942 | Structured Asset Securities Corporation Series 2005-RF4 B1(a),(b) | 4.3730 | 07/25/35 | 324,257 | |||
446,460 | SunTrust Alternative Loan Trust 2006-1F Series 2006-1F 1A4 | 6.0000 | 04/25/36 | 184,869 | |||
23,702,081 | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 X(b),(c) | 0.0001 | 11/25/45 | 15,492 | |||
438,861 | WaMu Mortgage Pass-Through Certificates Series 2006-AR4 2A1A(d) | 12MTA + 1.048% | 4.8040 | 05/25/46 | 367,491 | ||
368,468 | Washington Mutual Mortgage Pass-Through Series 2006-5 1A2 | 6.0000 | 07/25/36 | 284,513 | |||
1,092,828 | Washington Mutual Mortgage Pass-Through Series 2007-1 1A3(d) | TSFR1M + 0.484% | 5.8400 | 02/25/37 | 732,637 | ||
321,684 | Washington Mutual Mortgage Pass-Through Series 2007-OA1 1A(d) | 12MTA + 0.710% | 5.6390 | 12/25/46 | 263,562 | ||
120,103,190 | |||||||
DEER PARK TOTAL RETURN CREDIT FUND | |||||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||||
December 31, 2023 | |||||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||||
HOME EQUITY — 17.0% | |||||||||
176,034 | ABFC 2004-OPT1 Trust Series 2004-OPT1 M6(d) | TSFR1M + 5.364% | 10.7200 | 12/25/32 | $ 170,040 | ||||
280,639 | ABFC 2004-OPT3 Trust Series 2004-OPT3 M1(d) | TSFR1M + 0.864% | 6.2200 | 09/25/33 | 277,053 | ||||
481,733 | ABFC 2004-OPT4 Trust Series 2004-OPT4 M3(d) | TSFR1M + 2.289% | 7.6450 | 08/25/33 | 430,064 | ||||
562,272 | Accredited Mortgage Loan Trust 2005-3 Series 2005-3 M6(d) | TSFR1M + 1.164% | 6.5200 | 09/25/35 | 377,856 | ||||
114,000 | Accredited Mortgage Loan Trust 2005-4 Series 2005-4 M3(d) | TSFR1M + 0.574% | 5.9300 | 12/25/35 | 83,978 | ||||
338,700 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-FM1 M6(d) | TSFR1M + 5.364% | 10.7200 | 11/25/32 | 279,426 | ||||
141,259 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-NC1 M4(d) | TSFR1M + 5.364% | 10.7200 | 07/25/33 | 117,104 | ||||
460,914 | ACE Securities Corp Home Equity Loan Trust Series Series 2003-HE1 M5(d) | TSFR1M + 5.364% | 10.7200 | 11/25/33 | 443,980 | ||||
31,411 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M2(d) | TSFR1M + 1.689% | 7.0450 | 04/25/34 | 27,908 | ||||
80,583 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M4(d) | TSFR1M + 3.114% | 8.4700 | 04/25/34 | 66,720 | ||||
245,351 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-OP1 M5(d) | TSFR1M + 3.489% | 8.8450 | 04/25/34 | 197,987 | ||||
1,418,184 | ACE Securities Corp Home Equity Loan Trust Series Series 2004-RM2 M5(d) | TSFR1M + 1.509% | 6.8650 | 01/25/35 | 1,075,995 | ||||
372,476 | Aegis Asset Backed Securities Trust Mortgage Series 2004-1 M3(d) | TSFR1M + 2.444% | 7.8000 | 04/25/34 | 183,777 | ||||
191,874 | Aegis Asset Backed Securities Trust Mortgage Series 2004-1 B1(d) | TSFR1M + 2.894% | 8.2500 | 04/25/34 | 16,748 | ||||
606,660 | AFC Home Equity Loan Trust Series 1999-2 1A(d) | TSFR1M + 0.924% | 6.2800 | 06/25/29 | 351,092 | ||||
3,157,162 | Ameriquest Mortgage Securities Asset-Backed Series 2002-3 M4(d) | TSFR1M + 3.339% | 8.6950 | 08/25/32 | 2,863,776 | ||||
288,216 | Argent Securities Inc Asset-Backed Pass-Through Series 2003-W10 M3(d) | TSFR1M + 2.889% | 3.6830 | 01/25/34 | 232,637 | ||||
284,521 | Argent Securities Inc Asset-Backed Pass-Through Series 2006-M2 A2C(d) | TSFR1M + 0.264% | 5.6200 | 09/25/36 | 91,444 | ||||
77,387 | Asset Backed Securities Corp Home Equity Loan Series 2004-HE3 M6(d) | TSFR1M + 4.239% | 9.5950 | 06/25/34 | 73,471 | ||||
316,893 | Asset Backed Securities Corp Home Equity Loan Series 2004-HE9 M2(d) | TSFR1M + 1.914% | 7.2700 | 12/25/34 | 246,062 | ||||
199,370 | Asset Backed Securities Corp Home Equity Loan Series 2005-HE2 M4(d) | TSFR1M + 1.344% | 6.7000 | 02/25/35 | 182,007 | ||||
790,274 | Asset Backed Securities Corp Home Equity Loan Series 2005-HE2 M5(d) | TSFR1M + 1.989% | 7.3450 | 02/25/35 | 814,294 | ||||
2,430,000 | Bayview Financial Mortgage Pass-Through Trust Series 2005-C B2(d) | TSFR1M + 2.139% | 6.8210 | 06/28/44 | 2,272,174 | ||||
293,321 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR2 M6(d) | TSFR1M + 2.964% | 5.2880 | 06/25/34 | 264,327 | ||||
112,763 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE6 M5(d) | TSFR1M + 4.239% | 5.6390 | 08/25/34 | 106,693 | ||||
182,516 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE7 M6(d) | TSFR1M + 5.739% | 11.0950 | 08/25/34 | 167,485 | ||||
912,695 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR3 M5(d) | TSFR1M + 2.964% | 5.6120 | 09/25/34 | 788,506 | ||||
450,745 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE8 M3(d) | TSFR1M + 2.214% | 7.5700 | 09/25/34 | 442,397 | ||||
618,958 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE8 M4(d) | TSFR1M + 2.739% | 8.0950 | 09/25/34 | 643,275 | ||||
376,533 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE9 M4(d) | TSFR1M + 2.739% | 5.7800 | 11/25/34 | 384,667 | ||||
188,378 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE10 M5(d) | TSFR1M + 2.814% | 6.0510 | 12/25/34 | 202,465 | ||||
684,547 | Bear Stearns Asset Backed Securities I Trust Series 2006-HE10 23A(d) | TSFR1M + 0.254% | 5.0360 | 12/25/36 | 919,901 | ||||
153,724 | Bear Stearns Asset Backed Securities Trust Series 1999-2 MF1(e) | 8.2200 | 10/25/29 | 208,545 | |||||
33,821 | Bear Stearns Asset Backed Securities Trust Series 1999-2 AF2(e) | 8.4100 | 10/25/29 | 33,685 | |||||
DEER PARK TOTAL RETURN CREDIT FUND | ||||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | ||||||||
December 31, 2023 | ||||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | ||||||||
HOME EQUITY — 17.0% (Continued) | ||||||||
73,148 | Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M5(d) | TSFR1M + 3.489% | 5.9910 | 01/25/34 | $ 81,080 | |||
86,246 | Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M4(d) | TSFR1M + 2.964% | 5.9910 | 01/25/34 | 82,634 | |||
112,358 | Bear Stearns Asset Backed Securities Trust Series 2004-HE1 M6(d) | TSFR1M + 6.114% | 6.1680 | 02/25/34 | 121,437 | |||
514,705 | Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M6(d) | TSFR1M + 4.989% | 5.6820 | 03/25/34 | 497,860 | |||
9,927 | Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M4(d) | TSFR1M + 2.739% | 5.6820 | 03/25/34 | 10,009 | |||
65,306 | Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M2(d) | TSFR1M + 1.989% | 7.3450 | 07/25/34 | 56,799 | |||
51,739 | Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M6(d) | TSFR1M + 5.739% | 11.0950 | 07/25/34 | 42,653 | |||
923,475 | CDC Mortgage Capital Trust 2003-HE2 Series 2003-HE2 M2(d) | TSFR1M + 2.964% | 8.3200 | 10/25/33 | 941,366 | |||
398,417 | CDC Mortgage Capital Trust 2004-HE1 Series 2004-HE1 M1(d) | TSFR1M + 0.969% | 6.3250 | 06/25/34 | 518,094 | |||
581,470 | CDC Mortgage Capital Trust 2004-HE1 Series 2004-HE1 M2(d) | TSFR1M + 1.914% | 7.2700 | 06/25/34 | 580,965 | |||
358,357 | CDC Mortgage Capital Trust 2004-HE3 Series 2004-HE3 M2(d) | TSFR1M + 1.914% | 6.6840 | 11/25/34 | 347,728 | |||
274,869 | Centex Home Equity Loan Trust 2001-b Series 2001-B A5(e) | 7.3300 | 07/25/32 | 210,936 | ||||
48,684 | Centex Home Equity Loan Trust 2003-A Series 2003-A M2(d) | TSFR1M + 1.844% | 7.2000 | 03/25/33 | 46,550 | |||
658,373 | Centex Home Equity Loan Trust 2004-B Series 2004-B M5(d) | TSFR1M + 1.689% | 7.0450 | 03/25/34 | 628,832 | |||
50,210 | Centex Home Equity Loan Trust 2004-D Series 2004-D MV2(d) | TSFR1M + 1.149% | 6.5050 | 09/25/34 | 48,468 | |||
165,770 | Citigroup Global Markets Mortgage Securities VII, Series 2002-WMC1 M1(d) | TSFR1M + 1.464% | 6.3700 | 01/25/32 | 177,616 | |||
75,670 | Citigroup Mortgage Loan Trust 2007-AMC2 Series 2007-AMC2 A3A(d) | TSFR1M + 0.194% | 5.5500 | 01/25/37 | 52,479 | |||
320,827 | Citigroup Mortgage Loan Trust 2007-OPX1 Series 2007-OPX1 A4B(e) | 6.3330 | 01/25/37 | 96,750 | ||||
4,439,605 | Citigroup Mortgage Loan Trust, Inc. Series 2005-HE4 M5(d) | TSFR1M + 1.089% | 6.4450 | 10/25/35 | 2,418,395 | |||
62,778 | Conseco Finance Corporation/Old Series 2002-A B1(d) | TSFR1M + 5.364% | 10.7260 | 04/15/32 | 62,909 | |||
132,363 | Conseco Finance Home Equity Loan Trust 2002-B Series 2002-B B1(d) | TSFR1M + 5.364% | 10.7260 | 05/15/33 | 132,961 | |||
78,867 | Credit Suisse First Boston Mortgage Securities Series 2002-HE16 M2(d) | TSFR1M + 2.114% | 7.4700 | 10/25/32 | 78,654 | |||
114,483 | Credit Suisse First Boston Mortgage Securities Series 2004-FRE1 B3(d) | TSFR1M + 3.364% | 4.1930 | 04/25/34 | 104,325 | |||
448,774 | CWHEQ Revolving Home Equity Loan Trust Series Series 2005-B 2A(a),(d) | TSFR1M + 0.294% | 5.6560 | 05/15/35 | 447,093 | |||
122,158 | Delta Funding Home Equity Loan Trust 1999-3 Series 1999-3 M1(e) | 8.1000 | 01/15/30 | 81,768 | ||||
744,832 | EMC Mortgage Loan Trust 2002-A Series 2002-AA M2(a),(d) | TSFR1M + 2.664% | 8.0070 | 05/25/39 | 718,520 | |||
441,101 | EquiFirst Mortgage Loan Trust 2004-3 Series 2004-3 M9(d) | TSFR1M + 4.014% | 9.3700 | 12/25/34 | 388,916 | |||
3,832,290 | First NLC Trust 2005-1 Series 2005-1 M2(d) | TSFR1M + 0.759% | 2.8420 | 05/25/35 | 2,975,006 | |||
287,072 | GE Capital Mortgage Funding Corp 1999-HE3 Trust Series 1999-HE3 M(b) | 7.7750 | 10/25/29 | 288,793 | ||||
51,595 | GE Capital Mortgage Services Inc 1999-HE2 Trust Series 1999-HE2 B1(b) | 7.9050 | 07/25/29 | 30,641 | ||||
51,491 | GSAA Home Equity Trust 2006-3 Series 2006-3 A1(d) | TSFR1M + 0.274% | 5.6300 | 03/25/36 | 18,029 | |||
229,667 | Home Equity Asset Trust Series 2002-4 M2(d) | TSFR1M + 2.664% | 8.0200 | 03/25/33 | 217,065 | |||
135,035 | Home Equity Asset Trust Series 2003-8 M3(d) | TSFR1M + 2.464% | 7.8200 | 04/25/34 | 132,636 | |||
296,287 | Home Equity Asset Trust Series 2003-8 B1(d) | TSFR1M + 2.614% | 7.9700 | 04/25/34 | 289,202 | |||
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
HOME EQUITY — 17.0% (Continued) | |||||||
189,978 | Home Equity Asset Trust Series 2004-3 B1(d) | TSFR1M + 2.714% | 8.0700 | 08/25/34 | $ 615,796 | ||
175,135 | Home Equity Asset Trust 2002-2 Series 2002-2 M2(d) | TSFR1M + 1.964% | 7.3070 | 06/25/32 | 160,906 | ||
215,407 | Home Equity Asset Trust 2004-6 Series 2004-6 M5(d) | TSFR1M + 1.764% | 7.1200 | 12/25/34 | 209,995 | ||
1,144,874 | Home Equity Asset Trust 2005-4 Series 2005-4 M7(d) | TSFR1M + 1.794% | 4.7870 | 10/25/35 | 1,237,241 | ||
3,076,799 | Home Equity Asset Trust 2005-7 Series 2005-7 M3(d) | TSFR1M + 0.864% | 6.2200 | 01/25/36 | 2,543,976 | ||
463,858 | Home Equity Mortgage Loan Asset-Backed Trust Series 2001-C M2(d) | TSFR1M + 2.289% | 7.6450 | 12/25/32 | 472,610 | ||
105,693 | Home Equity Mortgage Loan Asset-Backed Trust Series 2003-A MF1(e) | 5.0520 | 04/25/33 | 162,735 | |||
344,441 | Home Equity Mortgage Loan Asset-Backed Trust Series 2004-C M5(d) | TSFR1M + 1.689% | 4.6520 | 03/25/35 | 282,957 | ||
293,558 | Home Equity Mortgage Loan Asset-Backed Trust Series 2004-C M6(d) | TSFR1M + 1.989% | 4.6520 | 03/25/35 | 236,888 | ||
453,975 | IMC Home Equity Loan Trust 1998-1 Series 1998-1 M1(e) | 7.5300 | 06/20/29 | 445,474 | |||
561 | IMC Home Equity Loan Trust 1998-5 Series 1998-5 A6(e) | 6.5600 | 03/15/37 | 558 | |||
133,609 | Mastr Asset Backed Securities Trust 2004-FRE1 Series 2004-FRE1 M6(d) | TSFR1M + 2.214% | 7.5700 | 07/25/34 | 114,090 | ||
89,176 | Mastr Asset Backed Securities Trust 2004-HE1 Series 2004-HE1 M8(d) | TSFR1M + 3.864% | 9.2200 | 09/25/34 | 74,546 | ||
24,381 | Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M4(d) | TSFR1M + 1.614% | 6.9700 | 09/25/34 | 25,849 | ||
662,362 | Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M8(d) | TSFR1M + 2.964% | 8.3200 | 09/25/34 | 499,467 | ||
42,449 | Mastr Asset Backed Securities Trust 2005-NC1 Series 2005-NC1 M5(d) | TSFR1M + 1.314% | 6.6700 | 12/25/34 | 42,731 | ||
1,088,197 | Merrill Lynch Mortgage Investors Trust Series 2003-HE1 M2(d) | TSFR1M + 2.589% | 7.9450 | 07/25/34 | 1,052,804 | ||
710,158 | Merrill Lynch Mortgage Investors Trust Series 2004-HE2 B3(d) | TSFR1M + 5.364% | 10.7200 | 08/25/35 | 668,715 | ||
122,683 | Merrill Lynch Mortgage Investors Trust Series 2005-NC1 B2(d) | TSFR1M + 2.064% | 7.4200 | 10/25/35 | 121,598 | ||
732,187 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC10 Series 2003-NC10 B2(d) | TSFR1M + 5.739% | 11.0950 | 10/25/33 | 795,991 | ||
420,215 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8 Series 2003-NC8 B1(d) | TSFR1M + 5.514% | 10.8700 | 09/25/33 | 413,163 | ||
568,546 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8 Series 2003-NC8 B2(d) | TSFR1M + 5.739% | 11.0950 | 09/25/33 | 533,141 | ||
492,840 | Morgan Stanley A.B.S Capital I Inc Trust 2005-HE2 Series 2005-HE2 M5(d) | TSFR1M + 1.134% | 6.4900 | 01/25/35 | 418,385 | ||
261,493 | Morgan Stanley A.B.S Capital I Inc Trust 2007-HE3 Series 2007-HE3 A2A(d) | TSFR1M + 0.174% | 5.5300 | 12/25/36 | 132,959 | ||
20,949,213 | Morgan Stanley Mortgage Loan Trust 2007-7AX Series 2007-7AX 2A4(d) | TSFR1M + 0.754% | 6.1100 | 04/25/37 | 780,863 | ||
5,261,451 | Morgan Stanley Mortgage Loan Trust 2007-7AX Series 2007-7AX 2A6(d) | TSFR1M + 0.754% | 6.1100 | 04/25/37 | 196,116 | ||
1,605 | New Century Home Equity Loan Trust 2004-1 Series 2004-1 M2(d) | TSFR1M + 2.139% | 7.4950 | 05/25/34 | 1,914 | ||
351,277 | New Century Home Equity Loan Trust 2004-4 Series 4 M4(d) | TSFR1M + 1.389% | 6.7450 | 02/25/35 | 362,119 | ||
884,802 | New Century Home Equity Loan Trust Series 2003-2 Series 2003-2 M2(d) | TSFR1M + 3.114% | 8.4700 | 01/25/33 | 751,551 | ||
174,454 | New Century Home Equity Loan Trust Series 2003-3 Series 2003-3 M6(d) | TSFR1M + 5.739% | 11.0950 | 07/25/33 | 179,952 | ||
1,579,466 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 B(a),(e) | 4.8550 | 11/25/33 | 1,702,932 | |||
29,202 | New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 M5(e) | 4.8550 | 11/25/33 | 23,567 | |||
1,281,027 | NovaStar Mortgage Funding Trust Series 2004-1 Series 2004-1 B1(d) | TSFR1M + 2.664% | 8.0200 | 06/25/34 | 1,282,771 | ||
329,739 | NovaStar Mortgage Funding Trust Series 2004-3 Series 2004-3 B1(d) | TSFR1M + 2.889% | 8.2450 | 12/25/34 | 251,519 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
HOME EQUITY — 17.0% (Continued) | |||||||
223,344 | Option One Mortgage Loan Trust 2004-1 Series 2004-1 M3(d) | TSFR1M + 2.139% | 7.4950 | 01/25/34 | $ 187,815 | ||
298,286 | Option One Mortgage Loan Trust 2004-1 Series 2004-1 M4(d) | TSFR1M + 2.589% | 7.9450 | 01/25/34 | 248,411 | ||
16,547 | Option One Mortgage Loan Trust 2004-2 Series 2004-2 M2(d) | TSFR1M + 1.689% | 7.0450 | 05/25/34 | 17,097 | ||
554,137 | Option One Mortgage Loan Trust 2004-2 Series 2004-2 M4(d) | TSFR1M + 2.814% | 8.1700 | 05/25/34 | 491,268 | ||
404,000 | Provident Bank Home Equity Loan Trust 1998-4 Series 1998-4 A9(d) | TSFR1M + 3.614% | 8.9700 | 01/25/30 | 389,443 | ||
460,344 | Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 A3(d) | TSFR1M + 0.894% | 5.8600 | 01/25/31 | 388,873 | ||
162,534 | Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 A2(d) | TSFR1M + 0.954% | 5.8900 | 01/25/31 | 137,640 | ||
321,391 | RASC Series 2003-KS4 Trust Series 2003-KS4 AIII(d) | TSFR1M + 0.404% | 6.0500 | 06/25/33 | 316,300 | ||
1,272,870 | RASC Series 2005-KS12 Trust Series 2005-KS12 M5(d) | TSFR1M + 0.784% | 6.4750 | 01/25/36 | 1,152,731 | ||
3,089,318 | RASC Series 2006-KS8 Trust(d) | TSFR1M + 0.404% | 5.7600 | 10/25/36 | 2,451,728 | ||
361,600 | Renaissance Home Equity Loan Trust 2002-3 Series 2002-3 B(d) | TSFR1M + 5.364% | 10.7200 | 12/25/32 | 235,490 | ||
350,464 | Renaissance Home Equity Loan Trust 2003-2 Series 2003-2 M2A(d) | TSFR1M + 3.114% | 4.1560 | 08/25/33 | 298,534 | ||
719,805 | SASCO Mortgage Loan Trust 2004-GEL2 Series 2004-GEL2 M4(e) | 5.5000 | 05/25/34 | 641,616 | |||
30,746 | Securitized Asset Backed Receivables, LLC Trust Series 2004-NC1 B2(d) | TSFR1M + 3.114% | 8.4700 | 02/25/34 | 29,892 | ||
1,752,575 | Soundview Home Loan Trust 2006-2 Series 2006-2 M4(d) | TSFR1M + 0.819% | 6.1750 | 03/25/36 | 1,621,004 | ||
236,088 | Soundview Home Loan Trust 2007-OPT2 Series 2007-OPT2 2A3(d) | TSFR1M + 0.294% | 5.6500 | 07/25/37 | 203,858 | ||
516,718 | Specialty Underwriting & Residential Finance Trust Series 2004-BC1 B1(d) | TSFR1M + 2.664% | 8.0200 | 02/25/35 | 534,822 | ||
14,757,000 | Structured Asset Securities Corp 2005-S1(d) (i) | US0001M + 1.050% | 1.1410 | 03/25/35 | 411,255 | ||
16,826 | Structured Asset Securities Corp Mortgage Pass Series 2001-SB1 A5 | 3.3750 | 08/25/31 | 14,704 | |||
40,010 | Structured Asset Securities Corp Pass-Through Series 2002-AL1 A2 | 3.4500 | 02/25/32 | 35,286 | |||
24,368 | Terwin Mortgage Trust Series 2004-7HE M1(a),(d) | TSFR1M + 1.389% | 6.7450 | 07/25/34 | 23,106 | ||
51,176 | Terwin Mortgage Trust 2003-7SL Series 2003-7SL B3(a),(b) | 8.0000 | 12/25/33 | 49,798 | |||
501,903 | Terwin Mortgage Trust 2004-18SL Series 2004-18SL 1B4(a),(b) | 8.0000 | 10/25/34 | 474,730 | |||
3,000,000 | Terwin Mortgage Trust 2006-HF-1 Series 2006-HF1 M1(a),(b) (i) | 4.5600 | 02/25/37 | 206,256 | |||
177,562 | Terwin Mortgage Trust Series TMTS 2003-2HE Series 2003-2HE B(b) | 6.0000 | 07/25/34 | 183,596 | |||
12,065 | Terwin Mortgage Trust Series TMTS 2003-5SL Series 2003-5SL B3(a),(b) | 8.0000 | 10/25/34 | 12,263 | |||
1,373,640 | UCFC Home Equity Loan Trust 1998-D Series 1998-D MF2(b) | 7.7500 | 04/15/30 | 1,322,853 | |||
155,501 | Wells Fargo Home Equity Asset-Backed Securities Series 2004-2 M6(d) | TSFR1M + 2.934% | 8.2900 | 10/25/34 | 153,482 | ||
183,023 | Yale Mortgage Loan Trust 2007-1 Series 2007-1 A(a),(d) | TSFR1M + 0.514% | 5.8700 | 06/25/37 | 59,700 | ||
57,054,138 | |||||||
DEER PARK TOTAL RETURN CREDIT FUND | ||||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | ||||||||
December 31, 2023 | ||||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | ||||||||
MANUFACTURED HOUSING — 0.7% | ||||||||
1,726,063 | Conseco Finance Corporation Series 1996-8 B1(b) | 7.9500 | 11/15/26 | $ 1,626,068 | ||||
116,556 | Conseco Finance Corporation Series 1997-2 M1(b) | 7.5400 | 06/15/28 | 115,693 | ||||
596,953 | Conseco Finance Securitizations Corporation Series 2002-1 B1(b) | 9.7900 | 12/01/33 | 16,334 | ||||
769,044 | MERIT Securities Corporation Series 1-Dec 1M2(e) | 8.3500 | 07/28/33 | 702,708 | ||||
2,460,803 | ||||||||
NON AGENCY CMBS — 25.8% | ||||||||
18,729,314 | BANK 2017-BNK6 Series 2017-BNK6 XG(a),(b),(c) | 1.5000 | 07/15/60 | 737,795 | ||||
73,365 | Bayview Commercial Asset Trust 2003-2 Series 2003-2 M2(a),(d) | TSFR1M + 3.339% | 8.6950 | 12/25/33 | 73,941 | |||
384,644 | Bayview Commercial Asset Trust 2005-2 Series 2005-2A M4(a),(d) | TSFR1M + 1.029% | 6.3850 | 08/25/35 | 361,061 | |||
477,023 | Bayview Commercial Asset Trust 2005-3 Series 2005-3A M1(a),(d) | TSFR1M + 0.774% | 6.1300 | 11/25/35 | 445,015 | |||
675,422 | Bayview Commercial Asset Trust 2005-3 Series 2005-3A B1(a),(d) | TSFR1M + 1.764% | 7.1200 | 11/25/35 | 662,372 | |||
247,628 | Bayview Commercial Asset Trust 2005-4 Series 2005-4A M3(a),(d) | TSFR1M + 0.864% | 6.2200 | 01/25/36 | 229,210 | |||
126,832 | Bayview Commercial Asset Trust 2005-4 Series 2005-4A M4(a),(d) | TSFR1M + 1.029% | 6.3850 | 01/25/36 | 119,259 | |||
18,185 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M1(a),(d) | TSFR1M + 0.684% | 6.0400 | 04/25/36 | 16,674 | |||
19,214 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M2(a),(d) | TSFR1M + 0.714% | 6.0700 | 04/25/36 | 17,607 | |||
9,368 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M4(a),(d) | TSFR1M + 0.894% | 6.2500 | 04/25/36 | 8,451 | |||
9,093 | Bayview Commercial Asset Trust 2006-1 Series 2006-1A M5(a),(d) | TSFR1M + 0.954% | 6.3100 | 04/25/36 | 8,099 | |||
120,539 | Bayview Commercial Asset Trust 2006-2 Series 2006-2A M1(a),(d) | TSFR1M + 0.579% | 5.9350 | 07/25/36 | 112,240 | |||
35,126 | Bayview Commercial Asset Trust 2006-2 Series 2006-2A M3(a),(d) | TSFR1M + 0.639% | 5.9950 | 07/25/36 | 32,608 | |||
740,328 | Bayview Commercial Asset Trust 2006-4 Series 2006-4A M1(a),(d) | TSFR1M + 0.549% | 5.9050 | 12/25/36 | 687,289 | |||
4,000,000 | Bayview Commercial Asset Trust 2006-SP1 Series 2006-SP1 B2(a),(d) | TSFR1M + 3.489% | 8.8450 | 04/25/36 | 3,720,991 | |||
758,963 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M1(a),(d) | TSFR1M + 0.609% | 5.9650 | 01/25/37 | 709,201 | |||
1,165,312 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M4(a),(d) | TSFR1M + 0.819% | 6.1750 | 01/25/37 | 1,145,563 | |||
361,666 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M5(a),(d) | TSFR1M + 0.849% | 6.2050 | 01/25/37 | 347,582 | |||
388,529 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M6(a),(d) | TSFR1M + 0.954% | 6.3100 | 01/25/37 | 376,773 | |||
908,423 | Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 B1(a),(d) | TSFR1M + 1.914% | 7.2700 | 01/25/37 | 1,591,546 | |||
249,340 | Bayview Commercial Asset Trust 2007-1 Series 2007-1 M2(a),(d) | TSFR1M + 0.549% | 5.9050 | 03/25/37 | 230,175 | |||
191,160 | Bayview Commercial Asset Trust 2007-1 Series 2007-1 M3(a),(d) | TSFR1M + 0.594% | 5.9500 | 03/25/37 | 174,585 | |||
1,038,355 | Bayview Commercial Asset Trust 2007-2 Series 2007-2A A2(a),(d) | TSFR1M + 0.434% | 5.7900 | 07/25/37 | 915,241 | |||
602,710 | CBA Commercial Small Balance Commercial Mortgage Series 2006-2A A(a),(e) | 6.0400 | 01/25/39 | 574,308 | ||||
2,500,000 | CFCRE Commercial Mortgage Trust 2016-C6 Series 2016-C6 D(a),(b) | 4.1760 | 11/10/49 | 1,514,138 | ||||
3,050,000 | CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7 D(a),(b) | 4.3680 | 12/10/54 | 2,203,271 | ||||
3,500,000 | Citigroup Commercial Mortgage Trust 2014-GC21 Series 2014-GC21 E(a),(b) | 3.5880 | 05/10/47 | 2,444,456 | ||||
19,454,918 | Citigroup Commercial Mortgage Trust 2015-GC27 Series 2015-GC27 XH(a),(b),(c) | 1.4190 | 02/10/48 | 224,751 | ||||
DEER PARK TOTAL RETURN CREDIT FUND | ||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | ||||||
December 31, 2023 | ||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | ||||||
NON AGENCY CMBS — 25.8% (Continued) | ||||||
3,150,000 | Citigroup Commercial Mortgage Trust 2015-GC35 Series 2015-GC35 D | 3.2360 | 11/10/48 | $ 2,134,843 | ||
918,000 | COMM 2013-CCRE7 Mortgage Trust Series 2013-CR7 E(a),(b) | 4.2430 | 03/10/46 | 697,684 | ||
1,300,000 | COMM 2014-LC17 Mortgage Trust Series 2014-LC17 E(a) | 3.1140 | 10/10/47 | 1,102,440 | ||
1,000,000 | Csail 2015-C2 Commercial Mortgage Trust Series 2015-C2 D(b) | 4.1750 | 06/15/57 | 654,314 | ||
6,278,131 | GS Mortgage Securities Corporation II Series 2018-SRP5 A(a),(d) | TSFR1M + 1.914% | 7.2760 | 09/15/31 | 4,660,764 | |
994,050 | GS Mortgage Securities Trust 2007-GG10 Series 2007-GG10 AJ(b) | 5.6300 | 08/10/45 | 213,966 | ||
3,500,000 | GS Mortgage Securities Trust 2014-GC22 Series 2014-GC22 D(a),(b) | 4.6850 | 06/10/47 | 2,486,012 | ||
3,790,000 | GS Mortgage Securities Trust 2014-GC26 Series 2014-GC26 D(a),(b) | 4.5990 | 11/10/47 | 2,790,820 | ||
3,000,000 | GS Mortgage Securities Trust 2016-GS4 Series 2016-GS4 D(a),(b) | 3.2330 | 11/10/49 | 2,080,137 | ||
8,113,000 | HMH Trust Series 2017-NSS E(a) | 6.2920 | 07/05/31 | 5,783,408 | ||
850,000 | HMH Trust 2017-NSS Series 2017-NSS A(a) | 3.0620 | 07/05/31 | 743,303 | ||
4,000,000 | HMH Trust 2017-NSS Series 2017-NSS F(a) | 8.4800 | 07/05/31 | 1,879,192 | ||
1,846,000 | Hudsons Bay Simon JV Trust 2015-HBS Series 2015-HB10 A10(a) | 4.1540 | 08/05/34 | 1,645,870 | ||
64,000 | JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC C(a),(d) | TSFR1M + 2.597% | 7.9590 | 04/15/31 | 35,866 | |
27,000 | JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC D(a),(d) | TSFR1M + 3.417% | 8.7790 | 04/15/31 | 13,798 | |
1,821,000 | JP Morgan Chase Commercial Mortgage Securities Series 2013-LC11 D(b) | 4.1600 | 04/15/46 | 859,552 | ||
3,070,317 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2012-WLDN A(a) | 3.9100 | 05/05/30 | 2,444,292 | ||
1,000,000 | JPMBB Commercial Mortgage Securities Trust Series 2015-C28 E(a),(b) | 3.6340 | 10/15/48 | 764,606 | ||
3,302,000 | JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1 E(a),(b) | 4.7020 | 03/15/49 | 2,424,966 | ||
2,500,000 | JPMDB Commercial Mortgage Securities Trust 2016-C2 Series 2016-C2 D(a),(b) | 3.3270 | 06/15/49 | 1,435,353 | ||
5,000,000 | Lehman Brothers Small Balance Commercial Mortgage Series 2007-2A M2(a),(d) | TSFR1M + 0.714% | 6.0700 | 06/25/37 | 3,995,099 | |
2,667,000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7 D(a),(b) | 4.1800 | 02/15/46 | 1,956,557 | ||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10 C(b) | 3.9970 | 07/15/46 | 79,114 | ||
1,666,666 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 E(a) | 2.8770 | 05/15/49 | 1,141,308 | ||
3,976,000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 E(a),(b) | 3.0000 | 09/15/49 | 1,535,965 | ||
4,566,000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 D(a),(b) | 3.0000 | 11/15/49 | 2,679,425 | ||
750,000 | Morgan Stanley Capital I Trust 2019-BPR Series 2019-BPR D(a),(d) | TSFR1M + 4.592% | 9.9350 | 05/15/36 | 709,989 | |
109,000 | Morgan Stanley Capital I Trust 2019-MEAD Series 2019-MEAD B(a),(b) | 3.1770 | 11/10/36 | 97,244 | ||
4,387,000 | Palisades Center Trust Series 2016-PLSD A(a) | 2.7130 | 04/13/33 | 2,469,350 | ||
4,727,952 | Starwood Retail Property Trust Series 2014-STAR A(a),(d) | PRIME - 0% | 8.5000 | 11/15/27 | 3,633,709 | |
939,641 | Velocity Commercial Capital Loan Trust 2017-2 Series 2017-2 M5(a),(b) | 6.4200 | 11/25/47 | 754,112 | ||
256,761 | Velocity Commercial Capital Loan Trust 2017-2 Series 2017-2 M6(a),(b) | 7.7500 | 11/25/47 | 185,816 | ||
1,035,000 | Wells Fargo Commercial Mortgage Trust Series 2013-LC12 C(b) | 3.9540 | 07/15/46 | 699,008 | ||
4,892,000 | Wells Fargo Commercial Mortgage Trust 2013-LC12 Series 2013-LC12 D(a),(b) | 3.9540 | 07/15/46 | 1,967,655 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
NON AGENCY CMBS — 25.8% (Continued) | |||||||
1,666,666 | Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 E(a) | 2.8690 | 02/15/48 | $ 858,945 | |||
1,631,000 | Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 D(a) | 3.7680 | 02/15/48 | 1,311,011 | |||
2,500,000 | Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31 D | 3.8520 | 11/15/48 | 1,766,593 | |||
15,153,000 | Wells Fargo Commercial Mortgage Trust 2016-C34 Series 2016-C34 XFG(a),(b),(c) | 2.0610 | 06/15/49 | 592,293 | |||
967,758 | Wells Fargo Commercial Mortgage Trust 2016-C34 Series 2016-C34 C(b) | 5.0610 | 06/15/49 | 790,743 | |||
2,500,000 | Wells Fargo Commercial Mortgage Trust 2016-C36 Series 2016-C36 D(a) | 2.9420 | 11/15/59 | 1,634,158 | |||
2,000,000 | Wells Fargo Commercial Mortgage Trust 2017-C40 Series 2017-C40 D(a) | 2.7000 | 10/15/50 | 1,431,240 | |||
1,600,000 | WFRBS Commercial Mortgage Trust Series 2013-C14 D(a),(b) | 3.8360 | 06/15/46 | 700,341 | |||
3,000,000 | WFRBS Commercial Mortgage Trust 2013-C14 Series 2013-C14 E(a) | 3.2500 | 06/15/46 | 1,104,774 | |||
86,629,837 | |||||||
OTHER ABS — 1.0% | |||||||
1,313,857 | Bayview Commercial Asset Trust 2007-4 Series 2007-4A A2(a),(d) | TSFR1M + 0.939% | 6.2950 | 09/25/37 | 1,910,983 | ||
272,042 | BCMSC Trust 2001-A Series 2001-A M2(b) | 8.2650 | 12/15/30 | 157,330 | |||
972,661 | Conseco Finance Securitizations Corporation Series 2001-2 M1(b) | 7.6900 | 03/01/31 | 997,148 | |||
157,284 | Origen Manufactured Housing Contract Trust 2001-A Series 2001-A M1(b) | 7.8200 | 03/15/32 | 153,350 | |||
3,218,811 | |||||||
RESIDENTIAL MORTGAGE — 30.0% | |||||||
3,611,962 | Ameriquest Mortgage Securities Inc Asset Backed Series 2005-R11 M6(d) | TSFR1M + 1.269% | 6.6250 | 01/25/36 | 3,754,519 | ||
164,361 | Amortizing Residential Collateral Trust Series 2001-BC5 M1(d) | TSFR1M + 0.939% | 6.2950 | 08/25/31 | 168,614 | ||
257,549 | Amortizing Residential Collateral Trust 2001-BC6 Series 2001-BC6 M2(d) | TSFR1M + 2.139% | 7.4950 | 10/25/31 | 200,194 | ||
112,643 | Amortizing Residential Collateral Trust 2002-BC5 Series 2002-BC5 M2(d) | TSFR1M + 1.914% | 7.2700 | 07/25/32 | 113,082 | ||
37,632 | Bear Stearns Asset Backed Securities Trust Series 2004-SD1 M3(e) | 6.0000 | 12/25/42 | 10,857 | |||
70,859 | Bear Stearns Asset Backed Securities Trust Series 2007-SD2 1A2A | 6.0000 | 09/25/46 | 67,648 | |||
5,404,076 | Carrington Mortgage Loan Trust Series 2005-FRE1 Series 2005-FRE1 M4(d) | TSFR1M + 1.044% | 6.4000 | 12/25/35 | 3,875,204 | ||
801,196 | C-BASS 2007-CB1 TRUST Series 2007-CB1 AF2(e) | 5.7210 | 01/25/37 | 249,771 | |||
130,235 | Chase Funding Trust Series 2003-1 Series 2003-1 2A2(d) | TSFR1M + 0.774% | 6.1300 | 11/25/32 | 128,777 | ||
109,783 | Chase Funding Trust Series 2003-3 Series 2003-3 1M2 | 4.8850 | 05/25/32 | 83,473 | |||
4,057,969 | Citicorp Residential Mortgage Trust Series 2006-1 Series 2006-1 M3(e) | 4.6180 | 07/25/36 | 2,596,293 | |||
1,328,652 | Citicorp Residential Mortgage Trust Series 2006-2 Series 2006-2 M3(e) | 5.9960 | 09/25/36 | 701,773 | |||
147,303 | Citigroup Global Markets Mortgage Securities VII, Series 1997-LB6 B2 | 7.0000 | 12/25/27 | 49,523 | |||
221,741 | Citigroup Mortgage Loan Trust 2007-AHL3 Series 2007-AHL3 A1(a),(d) | TSFR1M + 0.284% | 5.6400 | 05/25/37 | 191,403 | ||
28,350 | Citigroup Mortgage Loan Trust, Inc. Series 2005-OPT1 M5(d) | TSFR1M + 1.209% | 6.5650 | 02/25/35 | 26,920 | ||
1,342,486 | Citigroup Mortgage Loan Trust, Inc. Series 2005-WF2 MV6(d) | TSFR1M + 1.989% | 7.3450 | 08/25/35 | 1,546,823 | ||
1,084,194 | Countrywide Asset-Backed Certificates Series 2002-BC3 M1(d) | TSFR1M + 1.014% | 6.3700 | 05/25/32 | 1,084,761 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
RESIDENTIAL MORTGAGE — 30.0% (Continued) | |||||||
543,629 | Countrywide Asset-Backed Certificates Series 2003-4 M1(d) | TSFR1M + 1.134% | 6.4900 | 09/25/33 | $ 484,046 | ||
200,272 | Countrywide Asset-Backed Certificates Series 2004-BC3 M5(d) | TSFR1M + 1.989% | 7.3450 | 04/25/34 | 188,264 | ||
506,367 | Countrywide Asset-Backed Certificates Series 2004-8 M4(d) | TSFR1M + 1.989% | 7.3450 | 10/25/34 | 395,687 | ||
3,281,737 | Countrywide Asset-Backed Certificates Series 2006-BC1 M4(d) | TSFR1M + 1.089% | 6.4450 | 04/25/36 | 2,591,489 | ||
1,829,600 | Countrywide Asset-Backed Certificates Series 2006-1 MV2(d) | TSFR1M + 0.729% | 4.3430 | 07/25/36 | 1,753,800 | ||
104,405 | Countrywide Asset-Backed Certificates Series 2006-23 1A(d) | TSFR1M + 0.394% | 5.7500 | 05/25/37 | 96,345 | ||
227,380 | Countrywide Asset-Backed Certificates Series 2006-21 M1(d) | TSFR1M + 0.459% | 5.8150 | 05/25/37 | 149,598 | ||
827,002 | Countrywide Asset-Backed Certificates Series 2007-SD1 A1(a),(d) | TSFR1M + 1.014% | 6.3700 | 03/25/47 | 632,323 | ||
459,473 | Credit-Based Asset Servicing and Securitization, Series 2002-CB5 M2(d) | TSFR1M + 3.114% | 4.5920 | 05/25/32 | 478,953 | ||
247,675 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B4(a),(d) | TSFR1M + 3.864% | 3.5800 | 03/25/34 | 272,232 | ||
145,075 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B3(d) | TSFR1M + 4.989% | 3.5800 | 03/25/34 | 225,899 | ||
108,178 | Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B2(d) | TSFR1M + 3.114% | 3.5800 | 03/25/34 | 114,410 | ||
80,568 | Credit-Based Asset Servicing and Securitization, Series 2004-CB6 B1(d) | TSFR1M + 2.814% | 5.1240 | 07/25/35 | 68,397 | ||
17,780 | Credit-Based Asset Servicing and Securitization, Series 2004-CB8 M1(d) | TSFR1M + 0.909% | 3.7860 | 12/25/35 | 17,402 | ||
806,907 | Credit-Based Asset Servicing and Securitization, Series 2006-RP2 M1(a),(d) | TSFR1M + 1.164% | 6.5200 | 07/25/36 | 795,591 | ||
445,000 | Credit-Based Asset Servicing and Securitization, Series 2007-CB4 A2C(e) | 6.1140 | 04/25/37 | 268,077 | |||
132,574 | CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1 MF4(b) | 5.6540 | 07/25/35 | 100,418 | |||
1,883,000 | CWABS Asset-Backed Certificates Trust 2005-4 Series 2005-4 MF3(b) | 5.2360 | 07/25/35 | 1,419,727 | |||
17,685 | CWABS Inc Asset-Backed Certificates Trust 2004-5 Series 2004-5 M1(d) | TSFR1M + 0.969% | 6.3250 | 08/25/34 | 17,744 | ||
4,291,204 | Equifirst Loan Securitization Trust 2007-1 Series 2007-1 M1(d) (h) | TSFR1M + 0.394% | 5.7500 | 04/25/37 | 3,929,546 | ||
457,005 | Equity One Mortgage Pass-Through Trust 2004-3 Series 2004-3 M3(e) | 3.8840 | 07/25/34 | 367,637 | |||
395,425 | Finance America Mortgage Loan Trust 2004-1 Series 2004-1 M6(d) | TSFR1M + 2.289% | 7.6450 | 06/25/34 | 337,179 | ||
191,682 | Finance America Mortgage Loan Trust 2004-2 Series 2004-2 M2(d) | TSFR1M + 1.014% | 6.3700 | 08/25/34 | 182,029 | ||
640,958 | First Franklin Mortgage Loan Trust 2002-FF4 Series 2002-FF4 M1(d) | TSFR1M + 1.689% | 7.0450 | 02/25/33 | 514,021 | ||
281,233 | First Franklin Mortgage Loan Trust 2003-FF4 Series 2003-FF4 M2(d) | TSFR1M + 2.589% | 7.9450 | 10/25/33 | 239,295 | ||
883,103 | First Franklin Mortgage Loan Trust 2003-FFH1 Series 2003-FFH1 M2(d) | TSFR1M + 2.739% | 8.0950 | 09/25/33 | 781,173 | ||
2,878,729 | First Franklin Mortgage Loan Trust 2003-FFH2 Series 2003-FFH2 M2(d) (h) | TSFR1M + 2.484% | 7.8400 | 02/25/34 | 2,748,161 | ||
2,605,994 | First Franklin Mortgage Loan Trust 2004-FF10 Series 2004-FF10 M2(d) | TSFR1M + 2.439% | 7.7950 | 05/25/34 | 2,093,760 | ||
357,281 | First Franklin Mortgage Loan Trust 2004-FF5 Series 2004-FF5 M6(d) | TSFR1M + 2.514% | 7.8700 | 08/25/34 | 323,827 | ||
1,148,388 | First Franklin Mortgage Loan Trust 2004-FF7 Series 2004-FF7 M5(d) | TSFR1M + 2.289% | 7.6450 | 09/25/34 | 1,311,201 | ||
4,626,965 | First Franklin Mortgage Loan Trust 2006-FF10 Series 2006-FF10 M1(d) (h) | TSFR1M + 0.384% | 5.7400 | 07/25/36 | 5,944,308 | ||
4,376,104 | First Franklin Mortgage Loan Trust 2006-FF11 Series 2006-FF11 M1(d) (h) | TSFR1M + 0.489% | 5.8450 | 08/25/36 | 4,087,373 | ||
54,487 | Fremont Home Loan Trust 2004-B Series 2004-B M6(d) | TSFR1M + 2.439% | 7.7950 | 05/25/34 | 40,652 | ||
325 | Fremont Home Loan Trust 2004-C Series 2004-C M3(d) | TSFR1M + 1.839% | 7.1950 | 08/25/34 | 266 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
RESIDENTIAL MORTGAGE — 30.0% (Continued) | |||||||
166,297 | GSAMP Trust 2004-OPT Series 2004-OPT B2(d) | TSFR1M + 2.664% | 3.6890 | 11/25/34 | $ 121,215 | ||
89,597 | GSAMP Trust 2004-WF Series 2004-WF B1(d) | TSFR1M + 2.589% | 7.9450 | 10/25/34 | 92,754 | ||
750,444 | GSAMP Trust 2006-NC1 Series 2006-NC1 M2(d) | TSFR1M + 0.684% | 6.0400 | 02/25/36 | 785,376 | ||
2,000,000 | GSAMP Trust 2007-SEA1 Series 2007-SEA1 M1(a),(e) | 5.5000 | 12/25/36 | 1,968,228 | |||
9,288,753 | Home Equity Loan Trust Series 2007-FRE1 M1(d) (h) | TSFR1M + 0.614% | 5.9700 | 04/25/37 | 9,183,931 | ||
137,000 | Home Equity Mortgage Loan Asset-Backed Trust Series 2005-D M1(d) | TSFR1M + 0.774% | 6.1300 | 03/25/36 | 124,844 | ||
155,865 | Home Equity Mortgage Loan Asset-Backed Trust Series 2006-E 2A2(d) | TSFR1M + 0.234% | 5.5900 | 04/25/37 | 107,355 | ||
5,074,885 | HSI Asset Securitization Corp Trust 2007-WF1 Series 2007-WF1 M2(d) (h) | TSFR1M + 0.519% | 5.8750 | 05/25/37 | 5,553,832 | ||
138,387 | Lehman XS Trust 2007-1 Series 2007-1 1A4(d) | TSFR1M + 0.574% | 5.9300 | 02/25/37 | 103,136 | ||
875,556 | Lehman XS Trust 2007-6 Series 2007-6 2A1(d) | TSFR1M + 0.534% | 5.8900 | 05/25/37 | 734,795 | ||
332,556 | Mastr Specialized Loan Trust Series 2005-2 B(a),(e) | 6.2500 | 07/25/35 | 321,717 | |||
49,135 | Merrill Lynch Mortgage Investors Trust Series Series 2005-WMC1 M2(d) | TSFR1M + 0.909% | 6.2650 | 09/25/35 | 48,897 | ||
1,092,952 | Merrill Lynch Mortgage Investors Trust Series Series 2005-WMC1 B5(a),(d) | TSFR1M + 5.739% | 11.0950 | 09/25/35 | 948,186 | ||
20,775 | Morgan Stanley A.B.S Capital I Inc Trust 2004-NC7 Series 2004-NC7 M4(d) | TSFR1M + 1.839% | 7.1950 | 07/25/34 | 20,981 | ||
164,951 | Morgan Stanley A.B.S Capital I Inc Trust 2005-WMC4 Series 2005-WMC4 M6(d) | TSFR1M + 1.164% | 6.5200 | 04/25/35 | 156,378 | ||
1,033,293 | Newcastle Mortgage Securities Trust 2007-1 Series 2007-1 M2(d) | TSFR1M + 0.764% | 6.1200 | 04/25/37 | 1,645,678 | ||
931,166 | Ownit Mortgage Loan Trust Series 2004-1 Series 2004-1 B2(d) | TSFR1M + 2.889% | 8.2450 | 07/25/35 | 1,203,484 | ||
2,305,080 | Ownit Mortgage Loan Trust Series 2006-3 Series 2006-3 M1(d) | TSFR1M + 0.609% | 5.9650 | 03/25/37 | 2,164,221 | ||
1,341,025 | Park Place Securities Inc Asset-Backed Series 2004-WHQ1 M7(d) | TSFR1M + 2.889% | 8.2450 | 09/25/34 | 1,215,155 | ||
3,287,229 | Park Place Securities Inc Asset-Backed Series 2005-WCW1 M5(d) | TSFR1M + 1.104% | 6.4600 | 09/25/35 | 2,907,882 | ||
189,648 | People's Choice Home Loan Securities Trust Series Series 2004-2 M3(d) | TSFR1M + 1.839% | 7.1950 | 10/25/34 | 166,665 | ||
1,325,384 | People's Choice Home Loan Securities Trust Series Series 2004-2 M5(d) | TSFR1M + 2.814% | 8.1700 | 10/25/34 | 863,049 | ||
9,833 | Popular A.B.S Mortgage Pass-Through Trust 2005-5 Series 2005-5 AF4(e) | 3.4370 | 11/25/35 | 9,716 | |||
2,377,214 | Popular A.B.S Mortgage Pass-Through Trust 2006-C Series 2006-C M2(d) (h) | TSFR1M + 0.759% | 6.1150 | 07/25/36 | 2,285,739 | ||
1,325,723 | Quest Trust Series 2003-X4A M2(a),(d) | TSFR1M + 5.364% | 3.7600 | 12/25/33 | 1,134,356 | ||
1,072,653 | Quest Trust Series 2004-X2 M3(a),(d) | TSFR1M + 3.339% | 8.6950 | 06/25/34 | 990,522 | ||
432,326 | RAAC Series 2005-SP2 Trust Series 2005-SP2 2A(d) | TSFR1M + 0.714% | 6.0700 | 06/25/44 | 363,900 | ||
200,749 | RAAC Series 2006-SP1 Trust Series 2006-SP1 M2(d) | TSFR1M + 0.939% | 6.2950 | 09/25/45 | 142,923 | ||
410,945 | RAAC Series 2007-RP4 Trust Series 2007-RP4 A(a),(d) | TSFR1M + 0.464% | 6.1700 | 11/25/46 | 384,949 | ||
358,780 | RAMP Series 2003-RS7 Trust Series 2003-RS7 MII3(d) | TSFR1M + 3.714% | 5.1140 | 08/25/33 | 296,591 | ||
386,390 | RAMP Series 2003-RS9 Trust Series 2003-RS9 MII2(d) | TSFR1M + 1.914% | 5.5880 | 10/25/33 | 378,710 | ||
222,106 | RAMP Series 2005-RS8 Trust Series 2005-RS8 M2(d) | TSFR1M + 0.614% | 6.2200 | 09/25/35 | 217,494 | ||
898,548 | RAMP Series 2006-RS1 Trust Series 2006-RS1 M1(d) | TSFR1M + 0.524% | 6.0850 | 01/25/36 | 673,571 | ||
2,423,994 | RAMP Series 2006-RZ2 Trust Series 2006-RZ2 M2(d) | TSFR1M + 0.454% | 5.9800 | 05/25/36 | 2,848,508 |
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||
NON-AGENCY ASSET BACKED SECURITIES — 110.4% (Continued) | |||||||
RESIDENTIAL MORTGAGE — 30.0% (Continued) | |||||||
202,462 | RAMP Series 2007-RS2 Trust Series 2007-RS2 A3(d) | TSFR1M + 0.854% | 6.2100 | 05/25/37 | $ 180,445 | ||
113,335 | SACO I Trust 2006-3 Series 2006-3 A1(d) | TSFR1M + 0.474% | 5.8300 | 04/25/36 | 197,967 | ||
29,996 | SACO I Trust 2006-6 Series 2006-6 A(d) | TSFR1M + 0.374% | 5.7300 | 06/25/36 | 48,095 | ||
52,691 | Saxon Asset Securities Trust 2004-2 Series 2004-2 MV3(d) | TSFR1M + 2.019% | 4.1290 | 08/25/35 | 51,418 | ||
948,250 | Saxon Asset Securities Trust 2005-1 Series 2005-1 B3(d) | TSFR1M + 3.639% | 2.0110 | 05/25/35 | 83,798 | ||
4,500,000 | Saxon Asset Securities Trust 2007-4 Series 2007-4 M1(a),(d) | TSFR1M + 3.114% | 8.4700 | 12/25/37 | 2,579,900 | ||
142,039 | Securitized Asset Backed Receivables, LLC Trust Series 2004-NC3 M2(d) | TSFR1M + 1.794% | 7.1500 | 09/25/34 | 133,980 | ||
111,572 | SG Mortgage Securities Trust 2006-OPT2 Series 2006-OPT2 A3C(d) | TSFR1M + 0.264% | 5.6200 | 10/25/36 | 101,203 | ||
28,188 | Soundview Home Loan Trust 2004-WMC1 Series 2004-WMC1 M4(d) | TSFR1M + 1.314% | 6.6700 | 01/25/35 | 22,158 | ||
166,394 | Specialty Underwriting & Residential Finance Trust Series 2003-BC2 B1(d) | TSFR1M + 4.614% | 9.9700 | 06/25/34 | 173,063 | ||
55,282 | Structured Asset Investment Loan Trust 2003-BC2 Series 2003-BC2 A2(d) | TSFR1M + 0.834% | 6.1900 | 04/25/33 | 55,203 | ||
260,149 | Structured Asset Investment Loan Trust 2003-BC2 Series 2003-BC2 M1(d) | TSFR1M + 1.494% | 6.8500 | 04/25/33 | 257,751 | ||
145,759 | Structured Asset Investment Loan Trust 2003-BC4 Series 2003-BC4 M4(d) | TSFR1M + 4.989% | 10.3450 | 06/25/33 | 169,217 | ||
68,262 | Structured Asset Investment Loan Trust 2003-BC8 Series 2003-BC8 M2(d) | TSFR1M + 2.739% | 8.0950 | 08/25/33 | 61,237 | ||
508,601 | Structured Asset Investment Loan Trust 2004-5 Series 2004-5 M7(d) | TSFR1M + 3.114% | 8.4700 | 05/25/34 | 427,160 | ||
71,562 | Structured Asset Investment Loan Trust 2004-9 Series 2004-9 M6(d) | TSFR1M + 2.889% | 8.2450 | 10/25/34 | 74,198 | ||
512,216 | Structured Asset Investment Loan Trust 2004-BNC2 Series 2004-BNC2 M1(d) | TSFR1M + 1.389% | 6.7450 | 12/25/34 | 493,835 | ||
3,761,545 | Structured Asset Investment Loan Trust 2005-9 Series 2005-9 M2(d) (h) | TSFR1M + 0.789% | 6.1450 | 11/25/35 | 3,430,894 | ||
230,347 | Structured Asset Securities Corp Mortgage Series 2003-36XS M1(e) | 5.2320 | 11/25/33 | 184,504 | |||
273,448 | Structured Asset Securities Corp Mortgage Series 2004-6XS M1(e) | 5.6700 | 03/25/34 | 259,894 | |||
3,629,532 | Structured Asset Securities Corp Mortgage Loan Series 2006-BC6 M1(d) (h) | TSFR1M + 0.384% | 5.7400 | 01/25/37 | 3,475,963 | ||
33,588 | Wilshire Mortgage Loan Trust Series 1997-2 A7(b) | 6.8350 | 03/25/28 | 33,417 | |||
33,355 | Wilshire Mortgage Loan Trust Series 1997-2 M2(b) | 7.4250 | 05/25/28 | 33,198 | |||
100,513,701 | |||||||
WHOLE BUSINESS — 0.1% | |||||||
405,888 | Business Loan Express Business Loan Trust 2007-A Series 2007-AA B(a),(d) | TSFR1M + 1.214% | 6.5720 | 10/20/40 | 340,288 | ||
TOTAL NON-AGENCY ASSET BACKED SECURITIES (Cost $393,003,701) | 370,320,768 | ||||||
DEER PARK TOTAL RETURN CREDIT FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Shares | Fair Value | ||||||
SHORT-TERM INVESTMENT — 0.3% | |||||||
MONEY MARKET FUND - 0.3% | |||||||
1,081,517 | First American Government Obligations Fund, Class X, 5.28% (Cost $1,081,517)(g) | $ 1,081,517 | |||||
TOTAL INVESTMENTS - 112.4% (Cost $412,862,803) | $ 377,157,928 | ||||||
REVERSE REPURCHASE AGREEMENTS - (8.2)% | (27,628,000) | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.2)% | (14,041,528) | ||||||
NET ASSETS - 100.0% | $ 335,488,400 | ||||||
ABS | - Asset Backed Securities |
CMBS | - Commercial Mortgage Backed Securities |
LLC | - Limited Liability Company |
LTD | - Limited Company |
REMIC | - Real Estate Mortgage Investment Conduit |
12MTA | - 12-Month Treasury Average |
H15T1Y | - US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
PRIME | - Prime Rate by Country United States |
SOFR30A | - United States Secured Overnight Financing Rate (SOFR) Over A Rolling 30-Day Period |
TSFR1M | - Term Secured Overnight Financing Rate (SOFR) 1 month |
TSFR6M | - Term Secured Overnight Financing Rate (SOFR) 6 month |
US0001M | - Intercontinental Exchange London Interbank Offered Rate (ICE LIBOR) USD 1 Month |
(a) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of December 31, 2023 the total market value of 144A securities is $105,493,326 or 31.4% of net assets. |
(b) | Variable rate security; the rate shown represents the rate on December 31, 2023. |
(c) | Interest only securities. |
(d) | 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. |
(e) | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at December 31, 2023. |
(f) | Zero coupon bond. |
(g) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
(h) | All or a portion of the security is pledged as collateral for open reverse repurchase agreements. |
(i) | Illiquid security. Total illiquid securities represent 1.1% of net assets as of December 31, 2023. |
(j) | Less than $1 US Dollar. |