PNMAC Mortgage Opportunity Fund NCSRS Certified semi-annual shareholder report (management investment company)

As filed with the Securities and Exchange Commission on September 8, 2017

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

811-22228

Investment Company Act file number

PNMAC Mortgage Opportunity Fund, LP
(Exact name of registrant as specified in charter)

3043 Towngate Road Westlake Village, California 91361
(Address of principal executive offices) (Zip code)

Derek W. Stark, Secretary

PNMAC MORTGAGE OPPORTUNITY FUND, LP

3043 Towngate Road Westlake Village, California 91361
(Name and address of agent for service)

Copies to:

Richard T. Prins, Esq.

Skadden, Arps, Slate, Meagher & Flom LLP

Four Times Square

New York, New York 10036

(818) 224-7050

Registrant's telephone number, including area code

Date of fiscal year end: December 31

Date of reporting period: June 30, 2017

Item 1. Reports to Stockholders.

PNMAC Mortgage Opportunity Fund, LP

and Subsidiaries

Semi-Annual Report

As of and for the six months ended June 30, 2017

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Table of Contents

Financial Statements	Page

Consolidated Statement of Assets and Liabilities	2

Consolidated Summary Schedule of Investments	3

Consolidated Statement of Operations	5

Consolidated Statements of Changes in Partners’ Capital	6

Consolidated Statement of Cash Flows	7

Consolidated Financial Highlights	8

Notes to Consolidated Financial Statements	11

Additional Information	25

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Assets and Liabilities

June 30, 2017 (Unaudited)

Assets:
Investments at fair value (cost $95,669,296)	$	109,489,685
Receivable from PennyMac Loan Services, LLC		10,604,783
Other		1,923,034
Total assets		122,017,502

Liabilities:
Asset-backed financing at fair value (proceeds $27,548,853)		27,824,612
Payable to PennyMac Loan Services, LLC		479,123
Accrued expenses		418,281
Investment advisory fees		173,700
Other		18,437
Total liabilities		28,914,153

Partners’ capital	$	93,103,349

Partners’ capital consists of:
Non-controlling Interest	$	14,512,598
General Partner		42,176,261
Limited Partner		36,414,490
Total partners’ capital	$	93,103,349

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

June 30, 2017 (Unaudited)

INVESTMENTS - 118%*

MORTGAGE INVESTMENTS - 114%*

Description	Note interest rate			Maturity date	State	Principal amount		Fair value
Mortgage loans
Mortgage Loan ID#1000043954**		5.25	%	5/1/2037	FL	$	2,217,760	$	1,657,966
Mortgage Loan ID#1000043569**		3.38	%	2/1/2047	CA		1,509,280		1,460,092
Mortgage Loan ID#1000002193		6.88	%	5/1/2037	DC		990,000		1,022,393
Mortgage Loan ID#1000035099**		3.00	%	11/1/2056	NY		1,618,863		972,395
Mortgage Loan ID#1000035343**		5.63	%	1/1/2057	CA		922,055		888,556
Mortgage Loan ID#1000015179**		5.25	%	10/1/2043	CT		860,025		887,917
Mortgage Loan ID#1000043880**		3.00	%	2/1/2035	OR		1,387,425		836,193
Mortgage Loan ID#1000016833**		3.00	%	1/1/2057	NY		949,618		779,457
Mortgage Loan ID#1000029387**		8.25	%	6/1/2037	NY		600,000		744,709
Mortgage Loan ID#1000028984**		3.00	%	6/1/2056	CA		1,461,901		693,677
Mortgage Loan ID#1000001411		3.00	%	7/1/2047	CA		832,829		689,358
Mortgage Loan ID#1000026305**		2.00	%	3/1/2056	CA		773,956		623,366
Mortgage Loan ID#1000029315**		3.38	%	5/1/2057	CA		621,537		598,288
Mortgage Loan ID#1000002404		3.44	%	9/1/2036	NY		755,396		569,523
Mortgage Loan ID#1000043559**		2.88	%	8/1/2045	VA		608,939		556,618
Mortgage Loan ID#1000034768**		3.50	%	4/1/2036	NY		620,709		541,178
Mortgage Loan ID#1000002180		2.00	%	8/1/2055	NY		758,540		529,600
Mortgage Loan ID#1000025998**		2.00	%	4/1/2057	CA		585,227		494,315
Mortgage Loan ID#1000025942**		2.00	%	2/1/2057	CA		639,023		491,930
Mortgage Loan ID#1000002145		4.00	%	3/1/2057	NY		627,438		490,463
Mortgage Loan ID#1000038435**		5.13	%	5/1/2057	CA		521,717		477,412
Mortgage Loan ID#1000028356**		3.25	%	9/1/2056	CT		578,001		472,601
Mortgage Loan ID#1000028960**		3.00	%	3/1/2057	NY		562,398		468,584
Mortgage Loan ID#1000017201**		3.00	%	1/1/2057	MD		653,047		462,122
Mortgage Loan ID#1000043597**		2.00	%	12/1/2050	NJ		643,548		454,131
Mortgage Loan ID#1000035519**		5.25	%	12/1/2036	MA		464,304		453,440
Mortgage Loan ID#1000000293**		4.25	%	12/1/2054	VT		470,663		443,422
Mortgage Loan ID#1000016663**		6.88	%	5/1/2037	OR		799,862		440,939
Mortgage Loan ID#1000017045**		3.00	%	4/1/2057	MA		351,283		440,740
Mortgage Loan ID#1000035218**		3.00	%	4/1/2057	NY		526,215		440,515
Mortgage Loan ID#1000002167		3.13	%	6/1/2046	NY		554,505		439,555
Mortgage Loan ID#1000000565**		3.38	%	6/1/2056	NY		738,381		432,782
Mortgage Loan ID#1000043537**		3.25	%	9/1/2056	NY		1,024,404		426,812
Mortgage Loan ID#1000026020**		4.87	%	6/1/2037	CA		547,423		423,729
Mortgage Loan ID#1000038468**		6.13	%	5/1/2038	NY		531,936		416,430
Mortgage Loan ID#1000035426		2.00	%	11/1/2039	CA		499,178		409,050
Mortgage Loan ID#1000002214		2.00	%	5/1/2057	CA		697,552		406,044
Mortgage Loan ID#1000001463		4.98	%	8/1/2047	CA		537,666		405,059
Mortgage Loan ID#1000003896**		4.13	%	7/1/2053	MA		430,829		400,219
Mortgage Loan ID#1000043564**		7.00	%	10/1/2037	NY		640,848		397,548
Mortgage Loan ID#1000002075		5.63	%	5/1/2037	FL		539,813		393,629
Mortgage Loan ID#1000002101		2.00	%	11/1/2057	CA		439,214		388,298
Mortgage Loan ID#1000015570		3.00	%	3/1/2057	OR		494,240		387,261
Other**							116,936,589		68,959,746
							149,524,137		94,368,062

(Continued)

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

June 30, 2017 (Unaudited)

		Principal		Fair
Description	State	amount		value
Real estate acquired in settlement of loans
Property ID#1000015063**	FL	$	1,350,000	$	1,399,603
Property ID#1000000557**	NJ		990,473		571,751
Property ID#1000027733**	IL		573,920		526,043
Property ID#1000026981**	MA		777,294		487,284
Property ID#1000016710**	NJ		529,780		475,153
Property ID#1000026032**	HI		420,101		466,927
Property ID#1000026843**	CA		536,000		466,638
Other**			10,568,513		6,833,513
			15,746,081		11,226,912

TOTAL MORTGAGE INVESTMENTS (Cost $91,774,585)			165,270,218		105,594,974

SHORT-TERM INVESTMENT - 4% *

			Fair
Name of Issuer	Shares		value
Short-term investment
Morgan Stanley Liquidity Funds: Government Institutional Shares - yield 0.77% at June 30, 2017	$	3,894,711	$	3,894,711

TOTAL SHORT-TERM INVESTMENT (Cost $3,894,711)		3,894,711		3,894,711

TOTAL INVESTMENTS (Cost $95,669,296)			$	109,489,685

LIABILITIES - 30% *	Note			Maturity	Principal		Fair
Description	interest rate			date	amount		value
Asset-backed financing
PNMAC 2015-NPL1 A-1-144A ^		4.00	%	3/25/2055	$	27,656,516	$	27,824,612

TOTAL LIABILITIES (Proceeds $27,548,853)						27,656,516		27,824,612

Other assets in excess of other liabilities - 12%*								11,438,276

TOTAL PARTNERS’ CAPITAL - 100% *							$	93,103,349

*	Percentages are stated as a percent of partners’ capital.

**	Pledged as collateral for asset-backed financing, total $68,041,096 of mortgage loans and $10,552,506 of real estate acquired in settlement of loans (See Note 5).

^	Investment represents securities issued by related parties. All investments are in the United States of America.

(Concluded)

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Operations

For the Six Months ended June 30, 2017 (Unaudited)

Investment income:
Interest from mortgage loans	$	15,344,955
Home Affordable Modification Program incentives		223,546
Short-term investment dividends		37,540
Other		41,992
Total investment income		15,648,033

Expenses:
Collection and liquidation expenses		1,658,711
Interest on asset-backed financing		843,121
Mortgage loan servicing fees to PennyMac Loan Services, LLC		781,952
Other mortgage loan servicing expenses		522,880
Investment advisory fees to PNMAC Capital Management, LLC		365,150
Professional fees		180,510
Administration fees		114,824
Insurance		86,425
Directors’ fees and expenses		80,922
Collateral valuation		36,062
Taxes		23,658
Custodian fees		21,664
Trustee fees		15,741
Investment software licensing		15,216
Mortgage loan accounting fees		8,382
Registration fees		352
Total expenses before mortgage loan servicing fee rebate		4,755,570
Mortgage loan servicing fee rebate from PennyMac Loan Services, LLC		(99,537	)
Net expenses		4,656,033
Net investment income		10,992,000

Net realized loss and change in unrealized gain (loss) on investments and asset-backed financing:
Net realized loss on investments		(4,767,798	)
Net change in unrealized gain on investments		(4,506,616	)
Net change in unrealized loss on asset-backed financing		(89,654	)
Net realized loss and change in unrealized gain (loss) on investments and asset-backed financing		(9,364,068	)
Net increase in partners’ capital resulting from operations		1,627,932
Less: increase in partners’ capital resulting from operations attributable to Non-controlling Interest		2,668,533
Net decrease in partners’ capital resulting from operations attributable to General and Limited Partners	$	(1,040,601	)

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statements of Changes in Partners’ Capital

For the Six Months ended June 30, 2017 and Year ended December 31, 2016 (Unaudited)

	Non-controlling Interest			General Partner			Limited Partner			Total

Partners’ capital, January 1, 2016	$	24,920,297		$	41,895,520		$	84,155,445		$	150,971,262
Distributions		(9,213,252	)		—			(27,850,000	)		(37,063,252	)
Increase in partners’ capital from operations:
Net investment income		3,422,132			349			14,573,183			17,995,664
Net realized gain (loss) on investments		3,127,541			(215	)		(9,412,835	)		(6,285,509	)
Net change in unrealized gain on investments		(3,559,836	)		(22	)		(983,215	)		(4,543,073	)
Net change in unrealized loss on asset-backed financing		—			(21	)		(946,837	)		(946,858	)
Net change in Carried Interest		—			534,081			(534,081	)		—
Net increase in partners’ capital from operations		2,989,837			534,172			2,696,215			6,220,224

Partners’ capital, January 1, 2017		18,696,882			42,429,692			59,001,660			120,128,234
Distributions		(6,852,817	)		—			(21,800,000	)		(28,652,817	)
Increase (decrease) in partners’ capital from operations:
Net investment income		1,306,881			184			9,684,935			10,992,000
Net realized loss on investments		(892,774	)		(71	)		(3,874,953	)		(4,767,798	)
Net change in unrealized gain on investments		2,254,426			(124	)		(6,760,918	)		(4,506,616	)
Net change in unrealized loss on asset-backed financing		—			(2	)		(89,652	)		(89,654	)
Net change in Carried Interest		—			(253,418	)		253,418			—
Net increase (decrease) in partners’ capital from operations		2,668,533			(253,431	)		(787,170	)		1,627,932

Partners’ capital, June 30, 2017	$	14,512,598		$	42,176,261		$	36,414,490		$	93,103,349

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Cash Flows

For the Six Months ended June 30, 2017 (Unaudited)

Cash flows from operating activities:

Net increase in partners’ capital resulting from operations	$	1,627,932

Adjustments to reconcile net increase in partners’ capital resulting from operations to net cash provided by operating activities:

Accrual of unearned discount on mortgage loans		(10,758,922	)
Capitalization of interest on mortgage loans		(3,891,530	)
Net realized loss on investments		4,767,798
Net change in unrealized gain on investments		4,506,616
Net change in unrealized loss on asset-backed financing		89,654
Principal repayments on mortgage loans		4,283,180
Sale of mortgage loans		13,193,173
Sale of real estate acquired in settlement of loans		9,106,626
Net change in short-term investment		18,107,786
Changes in other assets and liabilities:
Decrease in receivable from PennyMac Loan Services, LLC		757,448
Decrease in mortgage loan sales proceeds receivable		9,284,333
Decrease in other assets		507,609
Decrease in payable to PennyMac Loan Services, LLC		(282,062	)
Increase in accrued expenses		41,803
Decrease in investment advisory fees payable		(46,294	)
Decrease in other liabilities		(79,608	)
Net cash provided by operating activities		51,215,542

Cash flows from financing activities:
Repayment of asset-backed financing		(22,562,725	)
Distributions to Non-controlling Interest		(6,852,817	)
Distributions to Limited Partner		(21,800,000	)
Net cash used in financing activities		(51,215,542	)

Net change in cash		—

Cash at beginning of period		—
Cash at end of period	$	—

Supplemental cash flow information:
Cash paid for interest on asset-backed financing	$	858,163

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Six Months ended June 30, 2017 and Years ended December 31, 2016, 2015, 2014, and 2013 (Unaudited)

For the six months ended June 30, 2017
	General Partner (1)			Limited Partner			Total
Total Return (2)(3)
Before Carried Interest		-0.59	%		-1.75	%		-1.75	%
Carried Interest (4)		-0.60	%		0.57	%		—
After Carried Interest		-1.19	%		-1.18	%		-1.75	%

Internal rate of return (5)		231.31	%		9.62	%		10.93	%

Ratio of net investment income to weighted average partners capital (6)		16.38	%		44.05	%		44.05	%

Ratio of expenses to weighted average partners’ capital (1)(6)		6.67	%		19.91	%		19.91	%
Carried Interest		11,192.56	%		-0.57	%		—
Ratio of expenses and carried interest to weighted average partners’ capital		11,199.23	%		19.34	%		19.91	%

Partners’ capital, end of year	$	42,176,261		$	36,414,490		$	78,590,751
Portfolio turnover rate (3)								0.00	%

For the year ended December 31, 2016
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		4.14	%		5.44	%		5.44	%
Carried Interest (4)		1.26	%		-0.89	%		—
After Carried Interest		5.40	%		5.44	%		5.44	%

Internal rate of return (5)		255.85	%		9.72	%		11.11	%

Ratio of net investment income to weighted average partners capital		15.56	%		24.40	%		24.40	%

Ratio of expenses to weighted average partners’ capital (1)		11.12	%		19.56	%		19.56	%
Carried Interest		-23,806.65	%		0.89	%		—
Ratio of expenses and carried interest to weighted average partners’ capital		-23,795.53	%		20.45	%		19.56	%

Partners’ capital, end of year	$	42,429,692		$	59,001,660		$	101,431,352
Portfolio turnover rate								0.00	%

(Continued)

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Six Months ended June 30, 2017 and Years ended December 31, 2016, 2015, 2014, and 2013 (Unaudited)

For the year ended December 31, 2015
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		5.09	%		5.43	%		5.43	%
Carried Interest (4)		2.70	%		-0.89	%		—
After Carried Interest		7.79	%		4.54	%		5.43	%

Internal rate of return (5)		322.00	%		9.83	%		11.36	%

Ratio of net investment income to weighted average partners capital		6.55	%		7.49	%		7.49	%

Ratio of expenses to weighted average partners’ capital (1)		6.29	%		10.09	%		10.09	%
Carried Interest		-52,330.73	%		0.89	%		—
Ratio of expenses and carried interest to weighted average partners’ capital		-52,324.44	%		10.98	%		10.09	%

Partners’ capital, end of year	$	41,895,520		$	84,155,445		$	126,050,965
Portfolio turnover rate								0.00	%

For the year ended December 31, 2014
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		6.67	%		5.39	%		5.39	%
Carried Interest (4)		1.47	%		-0.36	%		—
After Carried Interest		8.14	%		5.03	%		5.39	%

Internal rate of return (5)		426.38	%		10.15	%		11.85	%


Ratio of net investment income to weighted average partners capital		9.92	%		9.38	%		9.38	%

Ratio of expenses to weighted average partners’ capital (1)		2.81	%		4.41	%		4.41	%
Carried Interest		-151,179.28	%		1.00	%		—
Ratio of expenses and carried interest to weighted average partners’ capital		-151,176.47	%		5.41	%		4.41	%

Partners’ capital, end of year	$	40,772,973		$	228,041,135		$	268,814,108
Portfolio turnover rate								0.00	%

(Continued)

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Six Months ended June 30, 2017 and Years ended December 31, 2016, 2015, 2014, and 2013 (Unaudited)

For the year ended December 31, 2013
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		14.95	%		13.86	%		13.86	%
Carried Interest (4)		11.63	%		-1.40	%		—
After Carried Interest		26.58	%		12.46	%		13.86	%

Internal rate of return (5)		605.95	%		10.79	%		12.72	%

Ratio of net investment income to weighted average partners capital		2.18	%		0.86	%		0.86	%

Ratio of expenses to weighted average partners’ capital (1)		0.31	%		1.68	%		1.68	%
Carried Interest		-430,447.69	%		2.44	%		—
Ratio of expenses and carried interest to weighted average partners’ capital		-430,447.38	%		4.12	%		1.68	%

Partners’ capital, end of year	$	37,704,608		$	304,323,367		$	342,027,975
Portfolio turnover rate								0.00	%

(1)	In accordance with the Limited Partnership Agreement of the Master Fund, not all expenses are allocated to the General Partner (see Note 8).

(2)	Total return is calculated for each partner class taken as a whole. An investor’s return may vary from these returns based on different fee arrangements (as applicable) and the timing of capital transactions.

(3)	Not annualized.

(4)	The Carried Interest is allocated (and subsequently distributed) by the Master Fund to the General Partner as allocable shares of the Master Fund’s gains.

(5)	Internal rate of return is computed based on the actual dates of the cash inflows (capital contributions) and outflows (distributions), with the exception of distributions declared but not paid, net of carried interest on a life-to-date basis.

(6)	Annualized.

(Concluded)

The accompanying notes are an integral part of these consolidated financial statements.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

Note 1—Organization

PNMAC Mortgage Opportunity Fund, LP (the “Master Fund”) is a limited liability partnership organized under the laws of the state of Delaware. The Master Fund is registered under the Investment Company Act of 1940, as amended. Interests in the Master Fund were issued solely in private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Securities Act of 1933, as amended. The investment objective of the Master Fund is to achieve attractive total returns by capitalizing on dislocations in the mortgage market through opportunistic investments primarily in U.S. residential mortgages and related assets, instruments, and entities.

The Master Fund is managed by PNMAC Capital Management, LLC (the “Investment Manager”). The Investment Manager is a registered investment adviser with the Securities and Exchange Commission (“the SEC”). The general partner of the Master Fund is PNMAC Opportunity Fund Associates, LLC (the “General Partner”), a Delaware limited liability company. Both the Investment Manager and General Partner are wholly-owned subsidiaries of Private National Mortgage Acceptance Company, LLC (“PNMAC”).

The Master Fund operates as a master fund in a master-feeder fund structure. The Master Fund acts as a central investment mechanism for (i) PNMAC Mortgage Opportunity Fund, LLC (the “Fund” or “Limited Partner”) and (ii) the General Partner. The Fund owned 39% of the Master Fund at June 30, 2017 and is the sole limited partner. The General Partner has the exclusive right to conduct the operations of the Master Fund.

The Master Fund conducts its operations through its subsidiaries: PNMAC Mortgage Co. Funding, LLC, PNMAC Mortgage Co., LLC, and PNMAC Mortgage Co (FI), LLC (these companies are referred to collectively as the “Mortgage Investments”).

●	PNMAC Mortgage Co. Funding, LLC is a wholly owned limited liability company that acquires, holds and works out distressed U.S. residential mortgage loans and holds mortgage-backed securities resulting from securitization of such mortgage loans.

●	PNMAC Mortgage Co. LLC is a wholly owned limited liability company that acquires, holds and works out distressed U.S. residential mortgage loans.

●

PNMAC Mortgage Co (FI), LLC is an investment company that was formed to pool investor capital and take an interest in the proceeds of FNBN I, LLC (“FNBN”). FNBN is a limited liability company formed to own a pool of residential mortgage loans acquired in a transaction with the Federal Deposit Insurance Corporation (the “FDIC”).

PNMAC Mortgage Co (FI), LLC is the sole member and manager of FNBN. Accordingly, PNMAC Mortgage Co (FI), LLC consolidates its investment in FNBN. The FDIC owns a substantial participation interest in the proceeds of the mortgage loans held by FNBN that depends on the amount of proceeds collected. The FDIC’s interest in FNBN is shown as the Non-controlling Interest in the Master Fund (the “Non-controlling Interest”) and is included in the Consolidated Statement of Assets and Liabilities as a component of Partners’ Capital.

The Master Fund owns a 100% interest in and consolidates a series of PNMAC Mortgage Co (FI), LLC. The series holds its own assets and recognizes the revenues and expenses attributable to those assets.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

PNMAC Mortgage Co (FI), LLC’s operating agreement with the FDIC governing its investment in FNBN limits PNMAC Mortgage Co (FI), LLC’s ability to transfer any of its rights or interests in FNBN. PNMAC Mortgage Co (FI), LLC may only transfer all or any part of its interest or rights if (i) the transferee is a qualified transferee as defined in the operating agreement and (ii) it first obtains prior written consent of the FDIC. The contract specifies that the consent shall not be unreasonably withheld, delayed or conditioned, if the transferee is a qualified transferee.

Through its mortgage servicing agreement with PennyMac Loan Services, LLC (“PLS”), the Master Fund proactively works with borrowers to perform mortgage loan servicing and loss mitigation activities to maximize returns and minimize credit losses. PLS is a wholly owned subsidiary of PNMAC.

The Master Fund seeks to maximize the fair value of the mortgage loans that it acquires based on whether the acquired mortgage loans are performing or nonperforming:

●

The objective for performing mortgage loans is fair value enhancement through effective “high touch” servicing, which is based on significant levels of borrower outreach and contact, and the ability to implement long-term, sustainable mortgage loan modification and restructuring programs that address borrowers’ ability and willingness to pay their mortgage loans. Once the Master Fund has improved the credit quality of a mortgage loan, the Master Fund may monetize the enhanced fair value through various disposition strategies.

●	When mortgage loan modifications and other efforts are unable to cure distressed loans, the Master Fund’s objective is to effect timely acquisition and liquidation of the property securing the mortgage loan.

As market conditions permit, PNMAC Mortgage Co., LLC may transfer the mortgage loans it owns to the Master Fund to be securitized for financing purposes or sale. The Master Fund may hold interests in pools of such securitized mortgage loans and invest directly in other mortgage-related investment securities.

The Master Fund began operations on August 11, 2008 and the Fund’s limited partnership agreement specified that the Master Fund was to exist through December 31, 2016, subject to three one-year extensions by the Investment Manager at its discretion, in accordance with the terms of the Limited Partnership Agreement. During 2016, the Investment Manager elected to extend the Master Fund’s term by the first of the three one-year extension periods.

During June of 2017, the Master Fund entered into an agreement to sell substantially all of its assets. The fair values of the assets subject to the pending sale reflect the assets’ expected selling prices as of June 30, 2017. The pending sale is subject to continuing due diligence and closing conditions. There can be no assurance that the committed transaction amount will ultimately be realized or that the transaction will be completed at all.

Note 2—Significant Accounting Policies

Basis of Presentation

The Master Fund prepares its consolidated financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”) as codified by the Financial Accounting Standards Board (“FASB”) in its Accounting Standards Codification (the “Codification”). The Master Fund is classified as an investment company and reports its investments in accordance with the Financial Services - Investment Companies topic of the Codification.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

Consolidation

The consolidated financial statements include the accounts of the Master Fund and the Mortgage Investments. Intercompany accounts and transactions have been eliminated upon consolidation.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires the Investment Manager to make estimates and judgments that affect the reported amount of assets and liabilities, recognition of interest income and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results will likely differ from those estimates.

Fair Value

The Master Fund carries its investments at fair value with changes in fair value recognized in current period results of operations. The Master Fund groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. The three levels are described below:

Level 1 – Quoted prices in active market for identical assets or liabilities.

Level 2 – Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Master Fund. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and others.

Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Investment Manager’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances.

As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3“ fair value assets and liabilities, the Investment Manager is required to make judgments regarding these assets and liabilities’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in estimating the fair value of these assets and liabilities and their fair values. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported.

Short-term Investment

The short-term investment, the Morgan Stanley Liquidity Funds: Government Institutional Shares is carried at fair value with changes in fair value recognized in current period results of operations. Fair value is based on the fair value per share published by the manager of the money market fund on the valuation date. The Master Fund’s short-term investment is classified as a “Level 1“ fair value asset.

Interest Income

Interest income on mortgage loans is recognized over the life of the mortgage loan using the interest method. The fund administrator estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on the estimated cash flows and the Master Fund’s purchase price. The fund administrator updates its cash flow estimates monthly.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

Estimating cash flows requires a number of inputs that are subject to uncertainties, including the rate and timing of principal repayments, the mortgage note interest rate, interest rate fluctuations, interest payment shortfalls due to delinquencies on the underlying mortgage loans, the likelihood of modification and the timing of the magnitude of credit losses on the mortgage loans. The Fund Administrator, subject to the oversight of the Investment Manager, applies its judgment in developing such inputs. These uncertainties are difficult to predict and are subject to future events whose outcomes will affect the Master Fund’s interest income.

Home Affordable Modification Program Incentive Fees

The Master Fund receives incentive fees for successful modification of certain mortgage loans that are either delinquent or at risk of default under the U.S. Department of Housing and Urban Development’s Home Affordable Modification Program (“HAMP“). HAMP establishes standard loan modification guidelines for “at risk“ homeowners and provides incentive payments to certain participants for achieving modifications and successfully remaining in the program. HAMP incentive fees are recognized as investment income when the Master Fund receives the incentive payments.

Asset-backed Financing

The Investment Manager has elected to carry asset-backed financing at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the mortgage loans at fair value collateralizing this financing. Changes in the fair value of asset-backed financing are recognized in current period operations under the caption Net change in unrealized loss on asset-backed financing. Asset-backed secured financing is categorized as a “Level 3“ fair value liability.

Expenses

The Master Fund is charged for those expenses that are directly attributable to it, such as, but not limited to, advisory fees, custody fees, and interest. Expenses that are not directly attributable to the Master Fund are generally allocated among the entities in proportion to their assets. All expenses are recognized on the accrual basis of accounting.

Income Taxes

The Master Fund has elected to be treated as a partnership for federal income tax purposes. Each partner is responsible for the tax liability or benefit relating to such partner’s distributive share of taxable income or loss. Accordingly, no provision for federal income taxes is reflected in the accompanying financial statements.

The Investment Manager’s assessment of the requirement to provide for income taxes also includes an assessment of the liability arising from uncertain income tax positions. The Investment Manager has concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions that will be taken on the tax return for the fiscal year ended December 31, 2016.

The Investment Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. In developing its conclusion, the Investment Manager of the Master Fund has analyzed all tax years that are open for examination by the relevant income taxing authority. As of June 30, 2017, open federal and state income tax years include the tax years ended December 31, 2014 through 2016 and December 31, 2013 through 2016, respectively. The Master Fund has no examination in progress.

If applicable, the Master Fund will recognize interest charges related to unrecognized income tax benefits in “interest“ expense and penalties in “other“ expenses on the consolidated statement of operations.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

No distributions will be made by the Master Fund to cover any income taxes due on Limited Partner’s investments in the Master Fund. Investors may not redeem capital from the Master Fund, and they must have other sources of cash available to them to pay such income taxes.

Partners’ Capital and Non-controlling Interest

Net profits or net losses of the Master Fund for each month are allocated to the capital accounts of partners as of the last day of each month in accordance with the partners’ respective investment ownership percentages of the Master Fund. Net profits or net losses are measured as the net change in the fair value of the partners’ capital of the Master Fund during the fiscal period, before giving effect to any repurchases of interests in the Master Fund, and excluding the amount of any items to be allocated to the capital accounts of the partners of the Master Fund other than in accordance with the partners’ respective investment ownership percentages.

The Non-controlling Interest is secured by a first priority security interest in the mortgage loans owned by FNBN. The Non-controlling Interest will terminate upon completion of the final distribution of proceeds from FNBN’s mortgage loans. The Non-controlling Interest has no voting rights. The Non-controlling Interest has a clean-up call right exercisable after 10 years or when the unpaid principal balance of FNBN’s mortgage loans is 10% or less of the unpaid principal balance on the date of commencement of operations.

Distributions are made to the Non-controlling Interest and the Master Fund from cash flows remaining after FNBN is reimbursed for any allowable fees and costs (including management fees payable to FNBN). Initially, the Non-controlling Interest was entitled to receive 80% of proceeds available for distribution until the total distributions were $160 million. This occurred in December 2011 and, as a result, the Non-controlling Interest receives 60% of proceeds available for distribution.

Capital Distributions and Carried Interest

Partner distributions, other than the distributions to the Non-controlling Interest, are made in accordance with the following distribution priorities:

First, 100% to the Limited Partner until the Limited Partner has received 100% of the Limited Partner’s capital contributions (irrespective of whether such capital contributions were used to make investment, pay management fees and expenses or any other purpose);

Second, 100% to the Limited Partner, until the Limited Partner has received a preferred return on the amounts described in (1) above calculated at a rate of 8%, compounded annually;

Third, 100% to the General Partner until the General Partner has received an amount equal to 20% of the sum of (a) the profits distributed to the Limited Partner pursuant to (2) above and (b) the amount paid to the General Partner pursuant to this item (3); and

Thereafter, (i) 80% to the Limited Partner and (ii) 20% to the General Partner.

The amounts relating to items 3 and 4 above relating to the General Partner are referred to as “Carried Interest“. The Carried Interest is allocated (and subsequently distributed) by the Master Fund to the General Partner as allocable shares of the Master Fund’s gains.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

Indemnifications

Under the Master Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Master Fund. In the normal course of business, the Master Fund may enter into contracts that provide general indemnification to other parties. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred, and may not occur. However, the Master Fund has not had prior claims or losses pursuant to these contracts, has not recorded any amounts as of June 30, 2017, and expects the risk of loss to be remote.

Note 3—Fair Value

Following is a summary of assets and liabilities that are measured at fair value on a recurring basis for the six months ended June 30, 2017:

	Level 1		Level 2		Level 3		Total
Assets:
Short-term investment	$	3,894,711	$	—	$	—	$	3,894,711
Mortgage loans		—		—		94,368,062		94,368,062
Real estate acquired in settlement of loans		—		—		11,226,912		11,226,912
	$	3,894,711	$	—	$	105,594,974	$	109,489,685
Liabilities:
Asset-backed financing	$	—	$	—	$	27,824,612	$	27,824,612
	$	—	$	—	$	27,824,612	$	27,824,612

There were no transfers of assets and liabilities measured at fair value between fair value hierarchy levels during the six months ended June 30, 2017.

The following tables present a roll forward of assets and liabilities for which “Level 3“ fair value inputs were used to determine fair value for the six months ended June 30, 2017:

Assets:	Mortgage loans			Real estate acquired in settlement of loans			Total
Balance at January 1, 2017	$	106,836,198		$	18,405,400		$	125,241,598
Sales		(13,193,173	)		(9,106,626	)		(22,299,799	)
Repayments		(4,283,180	)		—			(4,283,180	)
Capitalization of interest		3,891,530			—			3,891,530
Accrual of unearned discounts		10,758,922			—			10,758,922
Transfers of mortgage loans and advances to REO		(4,559,151	)		6,119,468			1,560,317
Net gains (losses) on investments:
Realized		(4,137,631	)		(630,167	)		(4,767,798	)
Unrealized*		(945,453	)		(3,561,163	)		(4,506,616	)
Balance at June 30, 2017	$	94,368,062		$	11,226,912		$	105,594,974
Changes in fair value recognized during the period relating to assets still held at June 30, 2017	$	3,028,982		$	(3,297,215	)	$	(268,233	)

*Changes in fair value as a result of changes in instrument-specific credit risk relating to mortgage loans resulted in a net gain of $827,479 for the six months ended June 30, 2017.

At June 30, 2017, mortgage loans with a fair value totaling $36,238,018 were on non-accrual status.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

	Asset-backed financing
Liabilities:
Balance at January 1, 2017	$	50,297,683
Repayments		(22,562,725	)
Net unrealized loss on borrowings		89,654
Balance at June 30, 2017	$	27,824,612

Valuation Techniques and Inputs

Most of the Master Fund’s assets and liabilities are carried at fair value with changes in fair value recognized in current period operations. A substantial portion of those assets and liabilities are “Level 3” fair value assets and liabilities which require the use of significant unobservable inputs in the estimation of the assets and liabilities’ fair values. Unobservable inputs reflect the Investment Manager’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances.

Because the fair value of “Level 3” fair value assets and liabilities is difficult to estimate, the Investment Manager’s process includes performance of these items’ valuation by a specialized staff and significant executive management oversight. The Investment Manager has assigned the responsibility for estimating the fair values of “Level 3” fair value assets and liabilities to its Financial Analysis and Valuation group (the “FAV group”), which is responsible for estimating the fair value of and monitoring the Master Fund’s investment portfolios and maintenance of its valuation policies and procedures.

The Investment Manager’s FAV group submits the results of its valuations to the Investment Manager’s valuation committee, which oversees and approves the valuations. During the six months ended June 30, 2017, the Investment Manager’s valuation committee included the chief executive, financial, business development, operating, risk, and deputy chief financial officers of PNMAC.

The FAV group monitors the models used for valuation of the Master Fund’s “Level 3” fair value assets and liabilities, including the models’ performance versus actual results and reports those results to the Investment Manager’s valuation committee. The results developed in the FAV group’s monitoring activities are used to calibrate subsequent projections used to estimate fair value.

The FAV group is responsible for reporting to the Investment Manager’s valuation committee on a monthly basis on the changes in the valuation of the portfolio, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of each of the changes to the significant inputs to the models.

The following describes the methods used to estimate the fair values of “Level 3” fair value assets and liabilities:

Mortgage Loans

In June of 2017, the Master Fund entered into an agreement to sell substantially all of its assets, including its investment in mortgage loans at fair value. The pending sale is subject to continuing due diligence and closing conditions. There can be no assurance that the committed transaction amount will ultimately be realized or that the transaction will be completed at all. As a result of this agreement, all mortgage loans’ fair values are carried at their pending sale amounts.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

Real Estate Acquired in Settlement of Loans

In June of 2017, the Master Fund entered into an agreement to sell substantially all of its assets, including its investment in real estate acquired in settlement of loans (“REO”) at fair value. The pending sale is subject to continuing due diligence and closing conditions. There can be no assurance that the committed transaction amount will ultimately be realized or that the transaction will be completed at all. As a result of this agreement, all REO fair values are carried at their pending sale amounts.

Asset-Backed Financing

The fair value of the Master Fund’s asset-backed financing is established based on quoted indications of fair value provided by non-affiliate brokers.

Note 4—Concentration of Credit Risk

The Master Fund has assumed a concentration of credit risk in connection with its investments in mortgage loans and REO.

The following is a summary of the distribution of mortgage loans held by the Master Fund as measured by fair value at June 30, 2017:

						Weighted
			% partners’			average note
Occupancy	Fair value		capital			interest rate
Owner occupied	$	79,274,817		85.2	%		3.86	%
Investment property		14,614,415		15.7	%		4.68	%
Second property		478,830		0.5	%		7.26	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

						Weighted
			% partners’			average note
Loan Type	Fair value		capital			interest rate
Adjustable rate / Hybrid	$	17,525,882		18.8	%		6.13	%
Fixed interest rate		40,658,674		43.8	%		4.19	%
Balloon		620,507		0.7	%		6.77	%
Step rate		35,516,168		38.1	%		2.42	%
Other		46,831		< 0.1	%		7.00	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

						Weighted
			% partners’			average note
Lien Position	Fair value		capital			interest rate
1st Lien	$	91,747,360		98.6	%		3.95	%
2nd Lien		2,620,702		2.8	%		5.48	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

						Weighted
			% partners’			average note
Loan Age (1)	Fair value		capital			interest rate
Less than 24 months	$	13,707	< 0.1		%		3.37	%
24-36 months		10,979	< 0.1		%		3.78	%
36-48 months		135,678		0.1	%		4.64	%
48-60 months		75,831		0.1	%		3.94	%
60 months or more		94,131,867		101.2	%		4.01	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

¹ Loan Age reflects the age of the loan as of June 30, 2017.

						Weighted
			% partners’			average note
FICO Distribution (2)	Fair value		capital			interest rate
Less than 600	$	65,468,923		70.4	%		3.61	%
600 - 649		12,596,642		13.5	%		5.02	%
650 - 699		8,692,686		9.3	%		4.82	%
700 - 749		5,272,132		5.7	%		4.98	%
More than 750		2,337,679		2.5	%		4.20	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

² FICO score data is presented at the date of origination of the mortgage loan or the date of acquisition by the Master Fund, depending on the information available at the time of acquisition.

						Weighted
			% partners’			average note
Current Loan-to-Value (3)	Fair value		capital			interest rate
Less than 80%	$	25,317,005		27.2	%		4.52	%
80% - 99.99%		22,328,917		24.0	%		4.42	%
100% - 119.99%		20,540,582		22.1	%		4.26	%
120% or more		26,181,558		28.1	%		3.39	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

³ Current loan-to-value measures the ratio of the current balance of the loan and all superior liens (“Loan”) to the estimate of the fair value of the property securing the liens as of June 30, 2017.

						Weighted
			% partners’			average note
Geographic Distribution	Fair value		capital			interest rate
New York	$	22,597,670		24.3	%		4.85	%
California		16,536,418		17.8	%		2.77	%
Florida		11,112,821		11.9	%		4.45	%
New Jersey		4,713,121		5.1	%		3.20	%
Massachusetts		4,471,887		4.8	%		4.46	%
Illinois		3,711,437		4.0	%		2.79	%
Other		31,224,708		33.5	%		3.93	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

						Weighted
			% partners’			average note
Payment Status	Fair value		capital			interest rate
Current (4)	$	38,176,588		41.0	%		3.05	%
30 days delinquent		14,740,237		15.8	%		3.37	%
60 days delinquent		5,213,219		5.6	%		2.68	%
90 days or more delinquent		19,051,303		20.5	%		4.29	%
In foreclosure		17,186,715		18.5	%		6.04	%
Total portfolio	$	94,368,062		101.4	%		4.01	%

⁴ Current mortgage loans include mortgage loans in and adhering to a forbearance plan as of June 30, 2017.

Following is a summary of the distribution of REO:

			% partners’
Geographic Distribution	Fair value		capital
New Jersey	$	2,786,736		3.1	%
Florida		2,349,193		2.5	%
California		1,289,976		1.4	%
Maryland		786,594		0.8	%
New York		772,719		0.8	%
Other		3,241,694		3.5	%
Total portfolio	$	11,226,912		12.1	%

			% partners’
Property Type	Fair value		capital
Single family residence	$	9,160,524		9.9	%
2 to 4 dwelling units		659,764		0.7	%
Planned unit development		879,950		0.9	%
Condominium		526,674		0.6	%
Total portfolio	$	11,226,912		12.1	%

Note 5—Asset-backed Financing

On April 9, 2015, the Master Fund entered into a transaction to securitize certain mortgage loans and REO by transferring them into PNMAC 2015-NPL1, LLC (the “NPL Trust”) which then issued Asset-Backed Notes Series 2015-NPL1 (the “Notes”). Deutsche Bank National Trust Company serves as the Indenture Trustee. The Notes have a contractual maturity date of March 25, 2055, and an interest rate of 4%. The amounts of mortgage loans and REO that are pledged as collateral are disclosed in the consolidated summary schedule of investments and may not be re-pledged in other borrowing transactions. The reserve cash account pertaining to the NPL Trust holds $756,974 and is included in Other assets on the consolidated statement of assets and liabilities. There are no other material net assets held in the NPL Trust.

The NPL Trust is determined to be a variable interest entity (“VIE”). The Master Fund is the primary beneficiary as it holds significant variable interests and continues to service all of the mortgage loans, as well as having the power to direct the activities that most significantly impact the economic performance of the NPL Trust and could absorb credit losses that could potentially be significant to the NPL Trust. As the primary beneficiary, the assets and liabilities of the NPL Trust have been reflected in the consolidated financial statements. The securitized mortgage loans and REO continue to be recorded as such and the obligation to remit certain cash flows collected from the borrowers to the holders of the Notes issued was recorded as an asset-backed financing liability.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

Note 6—Investment Advisory, Administration and Custodian Fees

The Master Fund has an Investment Management Agreement with PNMAC Capital Management, LLC. Under the terms of the agreement, the Master Fund pays the Investment Manager a fee equal to an annual rate of 1.5% of the Master Fund’s net asset value so long as the fee does not exceed 1.5% of the aggregate capital contributions to the Master Fund. The investment advisory fee is calculated and accrued monthly based on the partners’ capital balances and is paid to the Investment Manager quarterly after the end of the quarter.

The Master Fund has engaged U.S. Bancorp Fund Services, LLC to serve as the Master Fund’s administrator, fund accountant, transfer agent, and dividend paying agent. The Master Fund pays the administrator a monthly fee computed at an annual rate of 0.04% of the first $1,000,000,000 of the Master Fund’s total monthly net assets, 0.03% on the next $1,000,000,000 of the Master Fund’s total monthly net assets, and 0.02% on the balance of the Master Fund’s total monthly net assets subject to an annual minimum fee of $180,000. Administration fees for the six months ended June 30, 2017 totaled $114,824.

The Master Fund has engaged U.S. Bank, N.A. to provide mortgage loan accounting services for the mortgage loans held in the Mortgage Investments. The Master Fund and subsidiaries pay U.S. Bank, N.A. a monthly fee computed at an annual rate of 0.9 basis points of unpaid principal balance of mortgage loans subject to an annual minimum fee of $20,000 across all funds managed by the Investment Manager. The mortgage loan accounting fees charged to the Master Fund for the six months ended June 30, 2017 totaled $8,382.

U.S. Bank, N.A. serves as the Master Fund’s custodian. The Master Fund pays the custodian a monthly fee computed at an annual rate of one basis point on the Master Fund’s average daily market value of its short-term investment, subject to an annual minimum fee of $28,800 across all funds managed by the Investment Manager. Custodian fees charged to the Master Fund for the six months ended June 30, 2017 totaled $21,664.

Note 7—Directors and Officers

The Fund and Master Fund share the same board of directors. The Master Fund’s board of directors has overall responsibility for monitoring and overseeing the investment program of the Master Fund and its management and operations. All directors’ fees and expenses are paid by the Master Fund. Independent directors receive an annual retainer of $100,000 and a fee per meeting of the board of directors or committees of $3,000, subject to a limit of $15,000 per year for all non-regularly-scheduled meetings. The chairperson of the audit committee receives an annual retainer of $10,000 in addition to the amounts above. Directors are reimbursed by the Master Fund for their travel expenses related to board meetings. The total directors’ fees and expenses incurred for the six months ended June 30, 2017 were $80,922, of which $33,500 was payable at June 30, 2017.

One of the directors is an officer of the Investment Manager and the Master Fund and receives no compensation from the Master Fund for serving as a Director. Certain officers of the Master Fund are affiliated with the Investment Manager. Such officers receive no compensation from the Master Fund for serving in their respective roles.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

Note 8—Transactions with Affiliates

PLS acts as the primary mortgage servicer for all mortgage loans owned by the Master Fund. The servicing agreement between PLS and Master Fund generally provides for servicing fees of 50 to 100 basis points of unpaid principal balance per year, depending on the type and quality of mortgage loans being serviced, plus other specified fees and charges. The servicing agreement also requires that PLS will rebate to the Master Fund an amount equal to the cumulative profit, if any, of the servicing operations attributable to the mortgage loans owned by the Master Fund, and conversely, charge the Master Fund if a loss has been incurred in order to effect overall “at cost” pricing with respect to mortgage loan servicing activities for such assets. Under a separate agreement between the Master Fund and the Investment Manager, the Investment Manager will cause PLS to rebate to the Master Fund an amount equal to 13% of servicing-related fees charged to the Master Fund to approximate overall “at cost” pricing with respect to mortgage loan servicing activities for such assets, and the Investment Manager will represent on an annual basis to the Master Fund’s board of directors whether servicing fees paid net of the rebate have in fact not exceeded the actual cash costs incurred in servicing the mortgage loans owned by the Master Fund. Total mortgage loan servicing fees charged by PLS before the rebate for the six months ended June 30, 2017 totaled $781,952, of which PLS reduced by providing a rebate of $99,537.

Following is a summary of the receivable from PLS on the Consolidated Statement of Assets and Liabilities as of June 30, 2017:

Collection and liquidation advances	$	8,862,842
Principal and interest collections, and REO sales proceeds receivable		1,556,192
Deposits to fund litigation and collection costs		185,749
Total	$	10,604,783

Following is a summary of the payable to PLS on the Consolidated Statement of Assets and Liabilities as of June 30, 2017:

Mortgage loan servicing fee rebate security deposit	$	300,000
Mortgage loan servicing fees payable		157,179
less: mortgage loan servicing fee rebate		(54,382	)
Collection and liquidation expenses payable		54,905
Other mortgage loan servicing expenses payable		21,421
Total	$	479,123

Following is a summary of payments made to the Investment Manager for reimbursable expenses paid on the Master Fund and subsidiaries’ behalf during the six months ended June 30, 2017:

Professional fees and other	$	166,696
Collateral valuation		36,062
Investment software licensing		13,549
Insurance		4,307
Custodian fees		1,283
Total	$	221,897

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

The Master Fund incurred investment advisory fees of $365,150 during the six months ended June 30, 2017, of which $173,700 was payable to the Investment Manager at June 30, 2017.

As of June 30, 2017, $42,173,993 in Carried Interest has been accrued and reallocated from the Limited Partner’s capital account to the General Partner’s capital account of which $253,418 was reversed in the six months ended June 30, 2017.

The General Partner is not charged a management fee. The only expenses charged to the General Partner are those specifically relating to it.

Note 9—Risk Factors

The Master Fund’s investment activities expose it to various types and degrees of risk associated with the assets and markets in which it invests.

Investments in mortgage loans have exposure to risk that includes interest rate risk, market risk, and default risk (the potential non-payment of principal and interest, including default or bankruptcy of the issuer or the intermediary in the case of a mortgage loan participation). Mortgage loans are also subject to prepayment risk, which will affect the maturity of, and yield on, such investments.

Investments in REO are also subject to various risk factors. Generally, REO investments could be adversely affected by a recession, natural disaster or general economic downturn in the area where the properties are located as well as the availability of similar properties in such area. REO investment performance is also subject to the effectiveness of a particular property manager in managing the property.

The Master Fund is indirectly subject to interest rate risk. Interest rate risk is the risk that investments in mortgage loans held by the Master Fund’s subsidiaries will decrease in fair value because of changes in market interest rates. Investments in mortgage loans with long-term maturities may experience significant decreases in fair value if long-term mortgage interest rates increase.

Market risk represents the potential loss in fair value of financial instruments caused by movements in market factors including, but not limited to, market liquidity, investor sentiment, interest rates and foreign exchange rates. The Master Fund’s portfolio includes certain investments that are generally illiquid and have a greater amount of market risk than more liquid investments. These investments may trade in limited markets or have restrictions on resale or transfer and may not be able to be liquidated on demand if needed. The fair value assigned to these investments may differ significantly from the fair values that could be realized upon liquidation or that would have been used had a ready market existed. Such differences could be material to the financial statements.

Adverse changes in economic conditions are more likely to lead to a weakened capacity of borrowers to make principal payments and interest payments. An economic downturn could severely affect the ability of highly leveraged borrowers to service their debt obligations or to repay their obligations. Under adverse market or economic conditions, the secondary market could contract as well, increasing the illiquid nature of the mortgage loans. As a result, the Master Fund and subsidiaries could find it more difficult to sell mortgage loans or may be able to sell only at prices lower than if such investments were widely traded.

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Six Months ended June 30, 2017 (Unaudited)

An investment in the Master Fund is subject to investment risk, including the possible loss of the entire investment. An investment in the Master Fund represents an indirect investment in the mortgage loans and REO held by the Master Fund’s subsidiaries. The fair value of mortgage loans and REO, like other market investments, may move up or down, sometimes rapidly and unpredictably. An investment in the Master Fund at any point in time may be worth less than the original investment. Investment fair values can fluctuate for several reasons including the general condition of the mortgage and real estate markets, or when political or economic events affecting the issuers occur.

As part of its investment strategy, the Master Fund may utilize borrowings. Master Fund investments may also use borrowings in the ordinary course of their operations. The use of borrowings, and the Master Fund’s ability to service the debt and comply with all of the covenants relating to such borrowings, may materially affect the operations of the Master Fund or its investments, and thus its ultimate fair value. Financing may not always be available on acceptable terms, in the necessary amounts, or for the period needed. This could have a material negative effect on the performance of the Master Fund.

The Master Fund clears substantially all of its investment purchases and sales and maintains substantially all of its investments and short-term investment positions at U.S. Bank, N.A. Credit risk is measured by the loss the Master Fund would record if U.S. Bank, N.A. failed to perform pursuant to the terms of its obligations.

Note 10—Subsequent Events

Management has evaluated all events or transactions through the date of issuance of these financial statements. During this period:

● On August 9, 2017, the Master Fund sold substantially all of its assets and settled its asset-backed financing at fair value.

● On August 24, 2017, the Master Fund paid a distribution to the Fund in the amount of $55,400,000 for the payment of distributions to common shareholders and the settlement of Carried Interest to the General Partner.

****

PNMAC Mortgage Opportunity Fund, LP

Additional Information (Unaudited)

Form N-Q

The Master Fund files its complete schedule of portfolio holdings for the first and third quarters of each fiscal year with the SEC on Form N-Q. The Master Fund’s Form N-Q is available without charge by visiting the SEC’s Website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling (800) SEC-0330.

Proxy Voting

A description of the policies and procedures that the Master Fund uses to determine how to vote proxies relating to portfolio securities owned by the Master Fund and information regarding how the Master Fund voted proxies relating to portfolio securities are available to stockholders (i) without charge, upon request, by calling the Master Fund collect at (818) 224-7442; and (ii) on the SEC’s Website at http://www.sec.gov.

Board of Directors

The Master Fund’s Form N-2 includes additional information about the Master Fund’s directors and is available upon request without charge by calling the Master Fund collect at (818) 224-7442 or by visiting the SEC’s Website at www.sec.gov.

Forward-Looking Statements

This report contains “forward-looking statements,” which are based on current management expectations. Actual future results, however, may prove to be different from expectations. You can identify forward-looking statements by words such as “may,” “will,” “believe,” “attempt,” “seem,” “think,” “ought,” “try,” and other similar terms. The Master Fund’s past investment performance and returns are not predictive of its future investment performance and returns. The Master Fund cannot promise future investment performance or returns. Management’s opinions are a reflection of its best judgment at the time this report is compiled, and it disclaims any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise.

Approval of Investment Management Agreement

June 20, 2017, the Board of Directors of the Master Fund and the Fund (collectively, the “Funds”), including the “non-interested” Directors (the “Independent Directors”), met in person and voted to approve the continuance of the Investment Management Agreements (including the portions of the Master Fund’s partnership agreement referred to therein) with the Investment Manager for an additional year.

In considering whether to recommend approval of the Investment Management Agreements, the Independent Directors reviewed materials provided by the Investment Manager and counsel to the Independent Directors. The Independent Directors also met with senior personnel of the Investment Manager and discussed a number of topics affecting their determination, including the following:

(i) The nature, extent, and quality of services expected to be provided by the Investment Manager. The Independent Directors reviewed the services that the Investment Manager provided to the Funds since inception in August 2008 and are expected to continue to provide to the Funds. In addition, the Independent Directors considered the size, education, background, and experience of the Investment Manager’s staff, including the mortgage finance and capital markets experience of the Investment Manager’s senior management team. Lastly, the Independent Directors reviewed the Investment Manager’s ability to attract and retain quality and experienced personnel. The Independent Directors concluded that the scope of services provided since inception and expected to be provided by the Investment Manager to the Funds, and the experience and expertise of the personnel performing such services, was consistent with the nature, extent, and quality expected of an investment adviser of investment vehicles such as the Funds.

PNMAC Mortgage Opportunity Fund, LP

Additional Information (Unaudited)

(ii) The investment performance of the Funds and the Investment Manager. The Independent Directors received information about the performance of the Funds and the Investment Manager in managing the Fund. The Directors also received performance information regarding the Funds compared to certain indexes, benchmarks, and/or registered and non-registered funds managed by other investment advisers that had somewhat comparable investment programs.

(iii) Cost of the services to be provided and profits to be realized by the Investment Manager and its affiliates from the relationship with the Funds. The Independent Directors considered the estimated cost of the services provided by the Investment Manager. As part of their analysis, the Independent Directors gave substantial consideration to the compensation payable to the Investment Manager. The Independent Directors noted that the compensation terms would remain the same. In reviewing the management compensation, the Independent Directors considered the management fees and operating expense ratios of other registered and non-registered funds managed by other investment advisers that had somewhat comparable investment programs. The Independent Directors also reviewed and took into account other relationships between the Funds and the Investment Manager and its related persons, including the shareholder servicing agreement between the Investment Manager and the Fund, the mortgage servicing agreements between the Master Fund and an affiliate of the Investment Manager, and an agreement with BlackRock, which has an investment in the Investment Manager’s parent company, for a portfolio valuation analytic model. The Independent Directors also considered the compensation charged by the Investment Manager to its other clients. Finally, the Independent Directors took those other service agreements into account in the context of evaluating the profitability of the Investment Manager in respect of the overall relationship of the Investment Manager and its related persons to the Funds.

(iv) Economies of Scale. The Independent Directors also considered that possible economies of scale from future growth of the Funds were not relevant inasmuch as the Funds were closed to any new investment and had limited terms.

The Independent Directors had an opportunity to have Executive Session with counsel to the Independent Directors. During the course of their deliberations at the meeting on June 20, 2017, the Independent Directors thoroughly reviewed and evaluated the factors to be considered for approval of the Investment Management Agreements including, but not limited to: the expenses incurred in performance of services by the Investment Manager; the compensation to be received by the Investment Manager under the Investment Management Agreements; the fees charged by the Investment Manager’s peers; the past performance of the Investment Manager; and the range and quality of services provided by the Investment Manager.

The Independent Directors expressed satisfaction with the information provided at the meeting on June 20, 2017 and prior meetings, and acknowledged that they had received sufficient information to consider and approve the continuance of the Investment Management Agreements. No single factor was determinative to the decision of the Independent Directors. Rather, after weighing all of the reasons discussed above, the Independent Directors unanimously approved the continuance of the Investment Management Agreements.

The Independent Directors concluded that the compensation that the Investment Manager would receive under the Investment Management Agreements was reasonable.

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

INVESTMENTS - 118%*
MORTGAGE INVESTMENTS - 114%*

	Note	Maturity		Principal	Fair
Description	interest rate	date	State	amount	value
Mortgage loans
Mortgage Loan ID#1000043954**……………………………………………………………………………………….	5.25%	5/1/2037	FL	$ 2,217,760	$ 1,657,966
Mortgage Loan ID#1000043569**……………………………………………………………………………………….	3.38%	2/1/2047	CA	$ 1,509,280	$ 1,460,092
Mortgage Loan ID#1000002193……………………………………………………………………………………….	6.88%	5/1/2037	DC	$ 990,000	$ 1,022,393
Mortgage Loan ID#1000035099**……………………………………………………………………………………….	3.00%	11/1/2056	NY	$ 1,618,863	$ 972,395
Mortgage Loan ID#1000035343**……………………………………………………………………………………….	5.63%	1/1/2057	CA	$ 922,055	$ 888,556
Mortgage Loan ID#1000015179**……………………………………………………………………………………….	5.25%	10/1/2043	CT	$ 860,025	$ 887,917
Mortgage Loan ID#1000043880**……………………………………………………………………………………….	3.00%	2/1/2035	OR	$ 1,387,425	$ 836,193
Mortgage Loan ID#1000016833**……………………………………………………………………………………….	3.00%	1/1/2057	NY	$ 949,618	$ 779,457
Mortgage Loan ID#1000029387**……………………………………………………………………………………….	8.25%	6/1/2037	NY	$ 600,000	$ 744,709
Mortgage Loan ID#1000028984**……………………………………………………………………………………….	3.00%	6/1/2056	CA	$ 1,461,901	$ 693,677
Mortgage Loan ID#1000001411……………………………………………………………………………………….	3.00%	7/1/2047	CA	$ 832,829	$ 689,358
Mortgage Loan ID#1000026305**……………………………………………………………………………………….	2.00%	3/1/2056	CA	$ 773,956	$ 623,366
Mortgage Loan ID#1000029315**……………………………………………………………………………………….	3.38%	5/1/2057	CA	$ 621,537	$ 598,288
Mortgage Loan ID#1000002404……………………………………………………………………………………….	3.44%	9/1/2036	NY	$ 755,396	$ 569,523
Mortgage Loan ID#1000043559**……………………………………………………………………………………….	2.88%	8/1/2045	VA	$ 608,939	$ 556,618
Mortgage Loan ID#1000034768**……………………………………………………………………………………….	3.50%	4/1/2036	NY	$ 620,709	$ 541,178
Mortgage Loan ID#1000002180……………………………………………………………………………………….	2.00%	8/1/2055	NY	$ 758,540	$ 529,600
Mortgage Loan ID#1000025998**……………………………………………………………………………………….	2.00%	4/1/2057	CA	$ 585,227	$ 494,315
Mortgage Loan ID#1000025942**……………………………………………………………………………………….	2.00%	2/1/2057	CA	$ 639,023	$ 491,930
Mortgage Loan ID#1000002145……………………………………………………………………………………….	4.00%	3/1/2057	NY	$ 627,438	$ 490,463
Mortgage Loan ID#1000038435**……………………………………………………………………………………….	5.13%	5/1/2057	CA	$ 521,717	$ 477,412
Mortgage Loan ID#1000028356**……………………………………………………………………………………….	3.25%	9/1/2056	CT	$ 578,001	$ 472,601
Mortgage Loan ID#1000028960**……………………………………………………………………………………….	3.00%	3/1/2057	NY	$ 562,398	$ 468,584
Mortgage Loan ID#1000017201**……………………………………………………………………………………….	3.00%	1/1/2057	MD	$ 653,047	$ 462,122
Mortgage Loan ID#1000043597**……………………………………………………………………………………….	2.00%	12/1/2050	NJ	$ 643,548	$ 454,131
Mortgage Loan ID#1000035519**……………………………………………………………………………………….	5.25%	12/1/2036	MA	$ 464,304	$ 453,440
Mortgage Loan ID#1000000293**……………………………………………………………………………………….	4.25%	12/1/2054	VT	$ 470,663	$ 443,422
Mortgage Loan ID#1000016663**……………………………………………………………………………………….	6.88%	5/1/2037	OR	$ 799,862	$ 440,939
Mortgage Loan ID#1000017045**……………………………………………………………………………………….	3.00%	4/1/2057	MA	$ 351,283	$ 440,740
Mortgage Loan ID#1000035218**……………………………………………………………………………………….	3.00%	4/1/2057	NY	$ 526,215	$ 440,515
Mortgage Loan ID#1000002167……………………………………………………………………………………….	3.13%	6/1/2046	NY	$ 554,505	$ 439,555
Mortgage Loan ID#1000000565**……………………………………………………………………………………….	3.38%	6/1/2056	NY	$ 738,381	$ 432,782
Mortgage Loan ID#1000043537**……………………………………………………………………………………….	3.25%	9/1/2056	NY	$ 1,024,404	$ 426,812
Mortgage Loan ID#1000026020**……………………………………………………………………………………….	4.87%	6/1/2037	CA	$ 547,423	$ 423,729
Mortgage Loan ID#1000038468**……………………………………………………………………………………….	6.13%	5/1/2038	NY	$ 531,936	$ 416,430
Mortgage Loan ID#1000035426……………………………………………………………………………………….	2.00%	11/1/2039	CA	$ 499,178	$ 409,050
Mortgage Loan ID#1000002214……………………………………………………………………………………….	2.00%	5/1/2057	CA	$ 697,552	$ 406,044
Mortgage Loan ID#1000001463……………………………………………………………………………………….	4.98%	8/1/2047	CA	$ 537,666	$ 405,059
Mortgage Loan ID#1000003896**……………………………………………………………………………………….	4.13%	8/1/2053	MA	$ 430,829	$ 400,219
Mortgage Loan ID#1000043564**……………………………………………………………………………………….	7.00%	10/1/2037	NY	$ 640,848	$ 397,548
Mortgage Loan ID#1000002075……………………………………………………………………………………….	5.63%	5/1/2037	FL	$ 539,813	$ 393,629
Mortgage Loan ID#1000002101……………………………………………………………………………………….	2.00%	11/1/2057	CA	$ 439,214	$ 388,298
Mortgage Loan ID#1000015570……………………………………………………………………………………….	3.00%	3/1/2057	OR	$ 494,240	$ 387,261
Mortgage Loan ID#1000002089……………………………………………………………………………………….	7.63%	5/1/2037	AZ	$ 379,743	$ 384,606
Mortgage Loan ID#1000029034**……………………………………………………………………………………….	2.00%	5/1/2054	CA	$ 486,358	$ 380,163
Mortgage Loan ID#1000029300**……………………………………………………………………………………….	2.00%	5/1/2057	CA	$ 515,964	$ 378,233
Mortgage Loan ID#1000016592**……………………………………………………………………………………….	3.75%	11/1/2035	CA	$ 409,181	$ 377,532
Mortgage Loan ID#1000028059**……………………………………………………………………………………….	3.63%	3/1/2057	MD	$ 407,752	$ 376,806
Mortgage Loan ID#1000043672**……………………………………………………………………………………….	6.38%	2/1/2038	NY	$ 551,821	$ 376,543

Mortgage Loan ID#1000026656**……………………………………………………………………………………….	3.00%	10/1/2051	GA	$ 522,007	$ 375,906
Mortgage Loan ID#1000015019**……………………………………………………………………………………….	4.50%	5/1/2035	CA	$ 373,478	$ 373,751
Mortgage Loan ID#1000028896**……………………………………………………………………………………….	3.00%	1/1/2052	NY	$ 484,484	$ 370,296
Mortgage Loan ID#1000025992**……………………………………………………………………………………….	4.00%	5/1/2051	CA	$ 520,445	$ 369,203
Mortgage Loan ID#1000029231**……………………………………………………………………………………….	3.50%	6/1/2056	IL	$ 655,940	$ 362,033
Mortgage Loan ID#1000016006**……………………………………………………………………………………….	7.15%	2/1/2037	NY	$ 641,150	$ 360,692
Mortgage Loan ID#1000001626……………………………………………………………………………………….	3.00%	5/1/2055	NY	$ 870,855	$ 360,459
Mortgage Loan ID#1000002169……………………………………………………………………………………….	4.00%	4/1/2051	NY	$ 515,473	$ 358,723
Mortgage Loan ID#1000043923**……………………………………………………………………………………….	3.88%	4/1/2037	MA	$ 398,285	$ 357,736
Mortgage Loan ID#1000002108……………………………………………………………………………………….	3.00%	3/1/2057	NY	$ 516,009	$ 354,569
Mortgage Loan ID#1000001404……………………………………………………………………………………….	4.00%	10/1/2047	NY	$ 645,465	$ 353,574
Mortgage Loan ID#1000043173**……………………………………………………………………………………….	2.00%	11/1/2049	NJ	$ 374,134	$ 340,749
Mortgage Loan ID#1000035967**……………………………………………………………………………………….	3.25%	7/1/2056	MD	$ 421,003	$ 337,406
Mortgage Loan ID#1000026413**……………………………………………………………………………………….	5.13%	9/1/2035	MA	$ 352,241	$ 336,605
Mortgage Loan ID#1000000644**……………………………………………………………………………………….	6.25%	12/1/2036	VA	$ 338,709	$ 334,143
Mortgage Loan ID#1000029127**……………………………………………………………………………………….	2.50%	12/1/2056	CA	$ 431,381	$ 333,657
Mortgage Loan ID#1000016313**……………………………………………………………………………………….	7.00%	10/1/2037	NY	$ 398,129	$ 331,813
Mortgage Loan ID#1000026767**……………………………………………………………………………………….	3.75%	12/1/2034	CA	$ 369,649	$ 330,834
Mortgage Loan ID#1000029085**……………………………………………………………………………………….	10.20%	9/1/2056	FL	$ 842,099	$ 324,774
Mortgage Loan ID#1000002378……………………………………………………………………………………….	3.00%	3/1/2057	NY	$ 401,800	$ 324,175
Mortgage Loan ID#1000002092……………………………………………………………………………………….	4.13%	12/1/2054	NY	$ 388,338	$ 321,725
Mortgage Loan ID#1000029087**……………………………………………………………………………………….	2.00%	3/1/2056	CA	$ 445,159	$ 316,581
Mortgage Loan ID#1000000560**……………………………………………………………………………………….	6.80%	1/1/2037	NY	$ 613,522	$ 316,309
Mortgage Loan ID#1000028856**……………………………………………………………………………………….	3.50%	4/1/2056	NV	$ 564,174	$ 311,480
Mortgage Loan ID#1000002320……………………………………………………………………………………….	3.13%	4/1/2046	AZ	$ 406,201	$ 310,610
Mortgage Loan ID#1000002199……………………………………………………………………………………….	2.00%	4/1/2057	NJ	$ 496,663	$ 309,594
Mortgage Loan ID#1000002062……………………………………………………………………………………….	3.00%	4/1/2056	NY	$ 415,929	$ 308,318
Mortgage Loan ID#1000002031……………………………………………………………………………………….	2.00%	1/1/2048	CA	$ 404,321	$ 306,140
Mortgage Loan ID#1000003926**……………………………………………………………………………………….	3.88%	10/1/2046	MA	$ 323,968	$ 305,391
Mortgage Loan ID#1000026083**……………………………………………………………………………………….	3.00%	3/1/2057	CA	$ 351,362	$ 302,265
Mortgage Loan ID#1000043804……………………………………………………………………………………….	3.25%	7/1/2056	NJ	$ 497,989	$ 302,098
Mortgage Loan ID#1000025997**……………………………………………………………………………………….	4.92%	12/1/2036	WA	$ 369,393	$ 299,507
Mortgage Loan ID#1000002066……………………………………………………………………………………….	4.39%	5/1/2047	CA	$ 607,893	$ 297,255
Mortgage Loan ID#1000026024**……………………………………………………………………………………….	2.00%	10/1/2052	CA	$ 323,104	$ 297,059
Mortgage Loan ID#1000003528…………………………��………………………………………………………….	3.00%	9/1/2047	MD	$ 349,476	$ 292,909
Mortgage Loan ID#1000029283**……………………………………………………………………………………….	3.25%	10/1/2046	NY	$ 326,631	$ 292,054
Mortgage Loan ID#1000017474**……………………………………………………………………………………….	3.00%	10/1/2056	IL	$ 357,385	$ 284,135
Mortgage Loan ID#1000026350**……………………………………………………………………………………….	6.50%	4/1/2037	NY	$ 719,176	$ 282,700
Mortgage Loan ID#1000016081**……………………………………………………………………………………….	2.50%	3/1/2057	FL	$ 456,352	$ 281,901
Mortgage Loan ID#1000026005**……………………………………………………………………………………….	4.87%	5/1/2037	CA	$ 286,543	$ 276,692
Mortgage Loan ID#1000001628……………………………………………………………………………………….	10.37%	5/1/2037	NY	$ 451,250	$ 274,758
Mortgage Loan ID#1000044258……………………………………………………………………………………….	3.25%	7/1/2056	MA	$ 376,609	$ 273,110
Mortgage Loan ID#1000002367……………………………………………………………………………………….	4.65%	3/1/2037	NY	$ 469,083	$ 271,879
Mortgage Loan ID#1000003907**……………………………………………………………………………………….	6.00%	7/1/2037	MD	$ 579,090	$ 271,605
Mortgage Loan ID#1000029356**……………………………………………………………………………………….	2.00%	12/1/2056	CA	$ 395,782	$ 271,303
Mortgage Loan ID#1000001457……………………………………………………………………………………….	5.04%	9/1/2047	NJ	$ 506,977	$ 271,252
Mortgage Loan ID#1000028864**……………………………………………………………………………………….	2.00%	2/1/2057	CA	$ 360,521	$ 270,794
Mortgage Loan ID#1000028857**……………………………………………………………………………………….	7.75%	9/1/2036	NY	$ 455,000	$ 268,578
Mortgage Loan ID#1000035642**……………………………………………………………………………………….	4.80%	9/1/2047	CO	$ 281,069	$ 268,457
Mortgage Loan ID#1000001509……………………………………………………………………………………….	3.00%	4/1/2047	NY	$ 602,954	$ 267,597
Mortgage Loan ID#1000000896**……………………………………………………………………………………….	7.38%	1/1/2038	CA	$ 260,000	$ 267,488
Mortgage Loan ID#1000026012……………………………………………………………………………………….	4.88%	8/1/2054	CA	$ 286,904	$ 263,209
Mortgage Loan ID#1000029065**……………………………………………………………………………………….	3.00%	4/1/2057	CA	$ 396,162	$ 261,978
Mortgage Loan ID#1000017367**……………………………………………………………………………………….	3.75%	10/1/2036	CO	$ 276,486	$ 261,249
Mortgage Loan ID#1000016921……………………………………………………………………………………….	6.85%	11/1/2036	NY	$ 454,027	$ 259,449

Mortgage Loan ID#1000029217**……………………………………………………………………………………….	2.00%	1/1/2040	VA	$ 338,679	$ 258,591
Mortgage Loan ID#1000001611……………………………………………………………………………………….	7.24%	5/1/2037	NY	$ 605,000	$ 254,513
Mortgage Loan ID#1000017076**……………………………………………………………………………………….	7.63%	12/1/2037	NY	$ 438,280	$ 251,474
Mortgage Loan ID#1000028832……………………………………………………………………………………….	3.88%	4/1/2057	FL	$ 703,331	$ 249,495
Mortgage Loan ID#1000026028**……………………………………………………………………………………….	4.87%	5/1/2041	CA	$ 284,765	$ 248,918
Mortgage Loan ID#1000043832**……………………………………………………………………………………….	3.25%	10/1/2056	MD	$ 312,270	$ 246,140
Mortgage Loan ID#1000029165**……………………………………………………………………………………….	3.00%	1/1/2057	WA	$ 387,679	$ 245,845
Mortgage Loan ID#1000043850**……………………………………………………………………………………….	3.38%	8/1/2055	FL	$ 340,609	$ 245,829
Mortgage Loan ID#1000035785**……………………………………………………………………………………….	6.00%	1/1/2036	NY	$ 428,000	$ 241,817
Mortgage Loan ID#1000029254**……………………………………………………………………………………….	9.50%	2/1/2037	FL	$ 433,287	$ 240,307
Mortgage Loan ID#1000027630**……………………………………………………………………………………….	7.00%	12/1/2036	NJ	$ 479,925	$ 240,111
Mortgage Loan ID#1000016216**……………………………………………………………………………………….	3.13%	9/1/2056	NY	$ 548,834	$ 239,914
Mortgage Loan ID#1000038481……………………………………………………………………………………….	3.25%	9/1/2056	NJ	$ 272,050	$ 239,815
Mortgage Loan ID#1000043951**……………………………………………………………………………………….	5.38%	5/1/2056	FL	$ 526,946	$ 237,402
Mortgage Loan ID#1000029181**……………………………………………………………………………………….	4.00%	6/1/2057	MS	$ 279,306	$ 236,201
Mortgage Loan ID#1000026034**……………………………………………………………………………………….	3.75%	5/1/2057	CA	$ 302,515	$ 235,170
Mortgage Loan ID#1000002011……………………………………………………………………………………….	2.00%	8/1/2056	FL	$ 490,553	$ 233,443
Mortgage Loan ID#1000028793……………………………………………………………………………………….	2.00%	11/1/2053	NC	$ 260,549	$ 233,273
Mortgage Loan ID#1000015317**……………………………………………………………………………………….	2.00%	1/1/2052	VA	$ 275,879	$ 233,264
Mortgage Loan ID#1000029196**……………………………………………………………………………………….	2.00%	5/1/2052	CA	$ 380,485	$ 232,949
Mortgage Loan ID#1000015904**……………………………………………………………………………………….	2.00%	8/1/2051	NJ	$ 370,295	$ 231,489
Mortgage Loan ID#1000026229**……………………………………………………………………………………….	2.00%	3/1/2057	RI	$ 313,502	$ 230,115
Mortgage Loan ID#1000028925……………………………………………………………………………………….	3.00%	3/1/2057	FL	$ 546,679	$ 229,887
Mortgage Loan ID#1000002009……………………………………………………………………………………….	3.00%	7/1/2057	NJ	$ 346,275	$ 228,643
Mortgage Loan ID#1000028289**……………………………………………………………………………………….	4.00%	11/1/2046	MA	$ 484,151	$ 224,084
Mortgage Loan ID#1000001449……………………………………………………………………………………….	3.00%	3/1/2052	CA	$ 268,649	$ 223,799
Mortgage Loan ID#1000017230**……………………………………………………………………………………….	3.00%	4/1/2057	NY	$ 284,075	$ 222,942
Mortgage Loan ID#1000015280**……………………………………………………………………………………….	4.13%	4/1/2055	PA	$ 248,736	$ 222,256
Mortgage Loan ID#1000028937**……………………………………………………………………………………….	2.00%	11/1/2056	NY	$ 539,319	$ 220,645
Mortgage Loan ID#1000001247……………………………………………………………………………………….	3.00%	11/1/2054	OH	$ 275,300	$ 218,543
Mortgage Loan ID#1000017335**……………………………………………………………………………………….	3.13%	12/1/2056	VA	$ 264,233	$ 218,460
Mortgage Loan ID#1000026026**……………………………………………………………………………………….	7.00%	2/1/2037	NY	$ 491,954	$ 217,679
Mortgage Loan ID#1000026059**……………………………………………………………………………………….	3.13%	10/1/2056	IL	$ 509,097	$ 217,474
Mortgage Loan ID#1000002359……………………………………………………………………………………….	3.00%	3/1/2057	NY	$ 397,071	$ 215,766
Mortgage Loan ID#1000044110**……………………………………………………………………………………….	7.50%	5/1/2035	NY	$ 209,617	$ 215,258
Mortgage Loan ID#1000026182**……………………………………………………………………………………….	4.75%	11/1/2054	CA	$ 224,547	$ 215,242
Mortgage Loan ID#1000034816**……………………………………………………………………………………….	7.00%	10/1/2037	NY	$ 441,943	$ 215,114
Mortgage Loan ID#1000003614……………………………………………………………………………………….	4.25%	5/1/2055	MA	$ 348,826	$ 213,988
Mortgage Loan ID#1000003647……………………………………………………………………………………….	3.00%	8/1/2043	MI	$ 279,132	$ 213,406
Mortgage Loan ID#1000043656**……………………………………………………………………………………….	3.13%	2/1/2057	DC	$ 310,393	$ 213,399
Mortgage Loan ID#1000000544**……………………………………………………………………………………….	6.00%	12/1/2038	NY	$ 693,175	$ 209,752
Mortgage Loan ID#1000000658**……………………………………………………………………………………….	3.00%	3/1/2057	NY	$ 307,823	$ 208,868
Mortgage Loan ID#1000003668……………………………………………………………………………………….	5.00%	9/1/2046	MD	$ 341,666	$ 208,477
Mortgage Loan ID#1000001369……………………………………………………………………………………….	3.25%	8/1/2056	IL	$ 364,947	$ 208,087
Mortgage Loan ID#1000001683……………………………………………………………………………………….	8.33%	5/1/2037	TX	$ 187,393	$ 204,922
Mortgage Loan ID#1000043815**……………………………………………………………………………………….	3.00%	5/1/2057	NY	$ 214,222	$ 204,474
Mortgage Loan ID#1000002340……………………………………………………………………………………….	5.22%	6/1/2056	DC	$ 257,555	$ 202,486
Mortgage Loan ID#1000027875**……………………………………………………………………………………….	6.20%	1/1/2035	NY	$ 434,148	$ 202,093
Mortgage Loan ID#1000035161**……………………………………………………………………………………….	7.75%	9/1/2037	NJ	$ 632,986	$ 201,629
Mortgage Loan ID#1000027962**……………………………………………………………………………………….	6.00%	8/1/2057	CA	$ 245,690	$ 200,677
Mortgage Loan ID#1000028919**……………………………………………………………………………………….	3.00%	12/1/2056	NM	$ 268,851	$ 199,928
Mortgage Loan ID#1000028894**……………………………………………………………………………………….	3.13%	9/1/2056	FL	$ 317,190	$ 199,861
Mortgage Loan ID#1000002200……………………………………………………………………………………….	5.25%	6/1/2042	FL	$ 217,654	$ 199,474
Mortgage Loan ID#1000027174**……………………………………………………………………………………….	4.25%	1/1/2056	MA	$ 345,873	$ 199,282
Mortgage Loan ID#1000043516**……………………………………………………………………………………….	4.50%	4/1/2057	NJ	$ 298,104	$ 197,960

Mortgage Loan ID#1000027040**……………………………………………………………………………………….	4.00%	8/1/2039	AL	$ 205,465	$ 195,912
Mortgage Loan ID#1000028969**……………………………………………………………………………………….	3.63%	11/1/2055	MD	$ 268,502	$ 195,643
Mortgage Loan ID#1000001631……………………………………………………………………………………….	8.88%	8/1/2037	NY	$ 472,500	$ 195,526
Mortgage Loan ID#1000017039**……………………………………………………………………………………….	3.00%	4/1/2056	FL	$ 336,076	$ 195,103
Mortgage Loan ID#1000043702**……………………………………………………………………………………….	8.15%	5/1/2035	NY	$ 296,197	$ 193,435
Mortgage Loan ID#1000043320**……………………………………………………………………………………….	4.00%	9/1/2056	WI	$ 211,452	$ 192,055
Mortgage Loan ID#1000038534**……………………………………………………………………………………….	5.75%	2/1/2038	NY	$ 394,272	$ 190,435
Mortgage Loan ID#1000029042**……………………………………………………………………………………….	4.88%	12/1/2053	PA	$ 583,072	$ 190,383
Mortgage Loan ID#1000043995**……………………………………………………………………………………….	2.00%	12/1/2056	IL	$ 329,631	$ 189,967
Mortgage Loan ID#1000017341**……………………………………………………………………………………….	2.00%	10/1/2056	WA	$ 234,237	$ 189,496
Mortgage Loan ID#1000028216**……………………………………………………………………………………….	3.00%	5/1/2057	NJ	$ 495,189	$ 189,336
Mortgage Loan ID#1000002310……………………………………………………………………………………….	6.00%	5/1/2037	ME	$ 223,429	$ 188,921
Mortgage Loan ID#1000027844**……………………………………………………………………………………….	3.00%	5/1/2051	MA	$ 323,543	$ 186,208
Mortgage Loan ID#1000029367**……………………………………………………………………………………….	7.00%	2/1/2037	NY	$ 450,400	$ 185,778
Mortgage Loan ID#1000001619……………………………………………………………………………………….	3.00%	5/1/2047	CA	$ 194,078	$ 185,625
Mortgage Loan ID#1000029147**……………………………………………………………………………………….	4.06%	3/1/2037	FL	$ 203,987	$ 183,779
Mortgage Loan ID#1000026583**……………………………………………………………………………………….	3.00%	3/1/2051	MD	$ 305,207	$ 182,321
Mortgage Loan ID#1000026006**……………………………………………………………………………………….	7.00%	4/1/2057	WA	$ 201,570	$ 181,991
Mortgage Loan ID#1000028840**……………………………………………………………………………………….	3.19%	10/1/2055	FL	$ 245,321	$ 181,752
Mortgage Loan ID#1000015960**……………………………………………………………………………………….	4.00%	12/1/2049	OR	$ 199,784	$ 181,142
Mortgage Loan ID#1000002002……………………………………………………………………………………….	4.00%	4/1/2051	IL	$ 255,102	$ 181,092
Mortgage Loan ID#1000036021**……………………………………………………………………………………….	2.00%	7/1/2035	NY	$ 311,625	$ 180,208
Mortgage Loan ID#1000001022……………………………………………………………………………………….	8.50%	2/1/2037	FL	$ 189,056	$ 180,010
Mortgage Loan ID#1000015452**……………………………………………………………………………………….	4.00%	5/1/2054	MO	$ 214,265	$ 179,136
Mortgage Loan ID#1000029186……………………………………………………………………………………….	3.00%	11/1/2056	FL	$ 213,757	$ 177,292
Mortgage Loan ID#1000028891**……………………………………………………………………………………….	3.88%	12/1/2053	VA	$ 259,027	$ 175,040
Mortgage Loan ID#1000034882**……………………………………………………………………………………….	3.25%	2/1/2057	NJ	$ 354,319	$ 174,478
Mortgage Loan ID#1000026014**……………………………………………………………………………………….	3.25%	7/1/2056	OR	$ 210,370	$ 172,896
Mortgage Loan ID#1000003623……………………………………………………………………………………….	3.13%	12/1/2035	MA	$ 251,221	$ 172,677
Mortgage Loan ID#1000028936**……………………………………………………………………………………….	5.00%	7/1/2057	NY	$ 412,442	$ 171,052
Mortgage Loan ID#1000001271……………………………………………………………………………………….	3.25%	9/1/2056	NJ	$ 366,306	$ 169,564
Mortgage Loan ID#1000026196**……………………………………………………………………………………….	9.45%	5/1/2037	MA	$ 253,432	$ 169,544
Mortgage Loan ID#1000015500**……………………………………………………………………………………….	7.50%	7/1/2037	NY	$ 504,000	$ 166,595
Mortgage Loan ID#1000029411**……………………………………………………………………………………….	10.75%	9/1/2037	FL	$ 379,141	$ 165,731
Mortgage Loan ID#1000035194**……………………………………………………………………………………….	3.00%	1/1/2057	RI	$ 615,088	$ 165,630
Mortgage Loan ID#1000035314**……………………………………………………………………………………….	3.75%	6/1/2057	MD	$ 231,180	$ 165,490
Mortgage Loan ID#1000034925**……………………………………………………………………………………….	3.63%	12/1/2055	FL	$ 247,818	$ 165,117
Mortgage Loan ID#1000001225……………………………………………………………………………………….	4.82%	4/1/2031	FL	$ 171,075	$ 164,948
Mortgage Loan ID#1000003880**……………………………………………………………………………………….	5.00%	3/1/2046	MA	$ 169,299	$ 164,850
Mortgage Loan ID#1000000399**……………………………………………………………………………………….	5.75%	12/1/2037	NJ	$ 209,774	$ 163,794
Mortgage Loan ID#1000002215……………………………………………………………………………………….	3.13%	10/1/2056	NC	$ 217,516	$ 161,592
Mortgage Loan ID#1000001589……………………………………………………………………………………….	3.00%	10/1/2056	NJ	$ 303,884	$ 161,437
Mortgage Loan ID#1000001912……………………………………………………………………………………….	5.00%	5/1/2054	FL	$ 174,229	$ 160,656
Mortgage Loan ID#1000001961……………………………………………………………………………………….	5.00%	4/1/2054	CT	$ 187,060	$ 160,650
Mortgage Loan ID#1000026016**……………………………………………………………………………………….	3.13%	10/1/2056	NM	$ 256,569	$ 160,493
Mortgage Loan ID#1000017468**……………………………………………………………………………………….	2.00%	2/1/2045	NJ	$ 178,712	$ 159,687
Mortgage Loan ID#1000029044**……………………………………………………………………………………….	3.00%	12/1/2056	NJ	$ 420,857	$ 157,943
Mortgage Loan ID#1000029115**……………………………………………………………………………………….	4.00%	7/1/2037	CA	$ 369,290	$ 157,596
Mortgage Loan ID#1000043257**……………………………………………………………………………………….	4.00%	10/1/2056	FL	$ 199,640	$ 156,382
Mortgage Loan ID#1000029329**……………………………………………………………………………………….	3.00%	3/1/2057	KS	$ 225,960	$ 155,516
Mortgage Loan ID#1000026022**……………………………………………………………………………………….	2.00%	7/1/2038	NV	$ 375,879	$ 154,593
Mortgage Loan ID#1000027181**……………………………………………………………………………………….	6.50%	10/1/2037	FL	$ 562,500	$ 153,761
Mortgage Loan ID#1000000219**……………………………………………………………………………………….	2.00%	4/1/2057	IL	$ 225,549	$ 153,504
Mortgage Loan ID#1000001464……………………………………………………………………………………….	3.00%	6/1/2055	IL	$ 266,557	$ 152,983
Mortgage Loan ID#1000027209**……………………………………………………………………………………….	4.63%	8/1/2054	IL	$ 190,804	$ 150,798

Mortgage Loan ID#1000044160**……………………………………………………………………………………….	3.50%	2/1/2057		OH	$ 162,210	$ 149,392
Mortgage Loan ID#1000028441……………………………………………………………………………………….	5.00%	6/1/2043		FL	$ 242,076	$ 148,911
Mortgage Loan ID#1000016786**……………………………………………………………………………………….	7.13%	8/1/2037		NY	$ 384,213	$ 148,889
Mortgage Loan ID#1000016611**……………………………………………………………………………………….	3.25%	6/1/2056		IL	$ 238,012	$ 148,096
Mortgage Loan ID#1000043914**……………………………………………………………………………………….	6.50%	9/1/2036		NY	$ 525,000	$ 148,090
Mortgage Loan ID#1000043641**……………………………………………………………………………………….	6.38%	9/1/2037		NY	$ 504,303	$ 148,039
Mortgage Loan ID#1000027403**……………………………………………………………………………………….	3.00%	12/1/2056	��	WI	$ 240,500	$ 147,666
Mortgage Loan ID#1000002398……………………………………………………………………………………….	10.00%	8/1/2037		NY	$ 860,000	$ 147,425
Mortgage Loan ID#1000001937……………………………………………………………………………………….	7.88%	3/1/2037		TX	$ 137,450	$ 146,777
Mortgage Loan ID#1000001943……………………………………………………………………………………….	5.80%	8/1/2037		MT	$ 142,515	$ 146,775
Mortgage Loan ID#1000043946**……………………………………………………………………………………….	2.63%	7/1/2056		MA	$ 173,318	$ 146,432
Mortgage Loan ID#1000001588……………………………………………………………………………………….	9.25%	6/1/2047		NY	$ 368,791	$ 145,284
Mortgage Loan ID#1000001431……………………………………………………………………………………….	4.13%	9/1/2053		NY	$ 165,958	$ 144,999
Mortgage Loan ID#1000028922**……………………………………………………………………………………….	3.00%	4/1/2057		PA	$ 219,890	$ 144,984
Mortgage Loan ID#1000034960**……………………………………………………………………………………….	7.38%	4/1/2038		UT	$ 137,299	$ 144,883
Mortgage Loan ID#1000043867**……………………………………………………………………………………….	8.64%	8/28/2037		FL	$ 308,070	$ 144,587
Mortgage Loan ID#1000026110**……………………………………………………………………………………….	3.13%	10/1/2056		SC	$ 250,178	$ 144,454
Mortgage Loan ID#1000015875**……………………………………………………………………………………….	3.00%	10/1/2051		NY	$ 185,561	$ 144,280
Mortgage Loan ID#1000017171**……………………………………………………………………………………….	6.00%	3/1/2049		GA	$ 143,971	$ 144,215
Mortgage Loan ID#1000017081**……………………………………………………………………………………….	6.75%	12/1/2033		WA	$ 146,388	$ 143,598
Mortgage Loan ID#1000002116……………………………………………………………………………………….	8.63%	8/1/2037		NY	$ 450,000	$ 143,577
Mortgage Loan ID#1000044171**……………………………………………………………………………………….	4.00%	11/1/2056		IL	$ 269,997	$ 143,563
Mortgage Loan ID#1000027941**……………………………………………………………………………………….	3.13%	10/1/2056		GA	$ 273,804	$ 143,454
Mortgage Loan ID#1000017375**……………………………………………………………………………………….	3.75%	6/1/2057		MO	$ 164,481	$ 143,386
Mortgage Loan ID#1000044113**……………………………………………………………………………………….	6.90%	12/1/2034		FL	$ 147,524	$ 142,782
Mortgage Loan ID#1000016068**……………………………………………………………………………………….	3.25%	9/1/2056		FL	$ 568,002	$ 142,663
Mortgage Loan ID#1000028949**……………………………………………………………………………………….	3.00%	8/1/2032		FL	$ 178,644	$ 142,030
Mortgage Loan ID#1000014997**……………………………………………………………………………………….	3.00%	12/1/2054		NY	$ 147,471	$ 141,365
Mortgage Loan ID#1000026003**……………………………………………………………………………………….	5.00%	6/1/2037		FL	$ 206,647	$ 141,161
Mortgage Loan ID#1000027985**……………………………………………………………………………………….	4.88%	3/1/2054		TN	$ 149,796	$ 139,527
Mortgage Loan ID#1000043977**……………………………………………………………………………………….	9.79%	11/1/2037		TX	$ 122,134	$ 138,582
Mortgage Loan ID#1000035629**……………………………………………………………………………………….	2.00%	6/1/2057		DE	$ 180,860	$ 138,414
Mortgage Loan ID#1000029137**……………………………………………………………………………………….	2.00%	1/1/2046		FL	$ 229,623	$ 137,990
Mortgage Loan ID#1000026553……………………………………………………………………………………….	2.00%	3/1/2038		IL	$ 285,953	$ 137,791
Mortgage Loan ID#1000017513**……………………………………………………………………………………….	4.13%	8/1/2053		MA	$ 181,568	$ 137,499
Mortgage Loan ID#1000016028……………………………………………………………………………………….	8.00%	2/1/2037		MA	$ 471,885	$ 137,397
Mortgage Loan ID#1000029219**……………………………………………………………………………………….	3.50%	9/1/2055		FL	$ 203,809	$ 136,799
Mortgage Loan ID#1000026604**……………………………………………………………………………………….	3.00%	11/1/2051		GA	$ 164,425	$ 136,649
Mortgage Loan ID#1000035732**……………………………………………………………………………………….	4.13%	8/1/2053		OR	$ 141,217	$ 136,045
Mortgage Loan ID#1000017068**……………………………………………………………………………………….	3.13%	9/1/2056		MD	$ 262,136	$ 135,479
Mortgage Loan ID#1000035556……………………………………………………………………………………….	3.38%	6/1/2056		FL	$ 182,235	$ 135,309
Mortgage Loan ID#1000043563**……………………………………………………………………………………….	3.88%	12/1/2037		FL	$ 225,945	$ 135,119
Mortgage Loan ID#1000001608……………………………………………………………………………………….	7.88%	3/1/2037		NY	$ 464,000	$ 134,873
Mortgage Loan ID#1000026007**……………………………………………………………………………………….	4.51%	11/1/2048		AZ	$ 135,235	$ 134,751
Mortgage Loan ID#1000001265……………………………………………………………………………………….	4.00%	6/1/2047		FL	$ 263,421	$ 134,149
Mortgage Loan ID#1000029391**……………………………………………………………………………………….	3.00%	1/1/2057		FL	$ 304,706	$ 133,994
Mortgage Loan ID#1000028474……………………………………………………………………………………….	4.88%	4/1/2054		TX	$ 137,803	$ 132,948
Mortgage Loan ID#1000015566**……………………………………………………………………………………….	4.00%	1/1/2051		FL	$ 164,187	$ 132,560
Mortgage Loan ID#1000026052**……………………………………………………………………………………….	2.00%	9/1/2053		CA	$ 200,832	$ 132,325
Mortgage Loan ID#1000026546**……………………………………………………………………………………….	5.25%	3/1/2035		VA	$ 134,440	$ 132,143
Mortgage Loan ID#1000003858**……………………………………………………………………………………….	3.63%	12/1/2037		GA	$ 156,441	$ 130,934
Mortgage Loan ID#1000034782**……………………………………………………………………………………….	5.88%	1/1/2037		FL	$ 284,120	$ 130,515
Mortgage Loan ID#1000029027**……………………………………………………………………………………….	3.25%	9/1/2056		AZ	$ 311,216	$ 130,454
Mortgage Loan ID#1000035205**……………………………………………………………………………………….	3.00%	3/1/2047		CO	$ 137,148	$ 129,660
Mortgage Loan ID#1000035844**……………………………………………………………………………………….	3.25%	9/1/2056		SC	$ 242,257	$ 128,887

Mortgage Loan ID#1000026109**……………………………………………………………………………………….	5.99%	10/1/2034	MA	$ 222,625	$ 128,219
Mortgage Loan ID#1000044104……………………………………………………………………………………….	2.50%	1/1/2035	TX	$ 144,025	$ 127,750
Mortgage Loan ID#1000028943**……………………………………………………………………………………….	3.00%	4/1/2057	FL	$ 324,468	$ 127,624
Mortgage Loan ID#1000017460**……………………………………………………………………………………….	2.00%	5/1/2053	FL	$ 319,464	$ 127,103
Mortgage Loan ID#1000003971**……………………………………………………………………………………….	4.50%	2/1/2037	MI	$ 227,302	$ 126,897
Mortgage Loan ID#1000017455**……………………………………………………………………………………….	3.50%	4/1/2057	SC	$ 139,247	$ 126,804
Mortgage Loan ID#1000001920……………………………………………………………………………………….	8.00%	7/1/2036	AZ	$ 122,366	$ 125,981
Mortgage Loan ID#1000026938**……………………………………………………………………………………….	3.00%	4/1/2037	NY	$ 187,648	$ 125,853
Mortgage Loan ID#1000027668**……………………………………………………………………………………….	2.75%	1/1/2035	OH	$ 149,491	$ 125,690
Mortgage Loan ID#1000028848**……………………………………………………………………………………….	2.00%	6/1/2057	RI	$ 357,552	$ 124,523
Mortgage Loan ID#1000001346……………………………………………………………………………………….	3.00%	9/1/2037	TX	$ 147,530	$ 124,500
Mortgage Loan ID#1000029287**……………………………………………………………………………………….	4.87%	7/1/2037	FL	$ 230,217	$ 124,392
Mortgage Loan ID#1000029011**……………………………………………………………………………………….	3.00%	4/1/2057	MI	$ 175,621	$ 122,525
Mortgage Loan ID#1000035666**……………………………………………………………………………………….	7.62%	2/1/2032	NY	$ 122,900	$ 122,119
Mortgage Loan ID#1000001910……………………………………………………………………………………….	3.00%	7/1/2047	NV	$ 241,893	$ 120,930
Mortgage Loan ID#1000002332……………………………………………………………………………………….	2.00%	7/1/2056	NY	$ 525,234	$ 120,765
Mortgage Loan ID#1000043863**……………………………………………………………………………………….	3.13%	9/1/2056	IL	$ 251,649	$ 120,751
Mortgage Loan ID#1000027258**……………………………………………………………………………………….	6.50%	11/1/2037	AL	$ 119,265	$ 120,546
Mortgage Loan ID#1000035030**……………………………………………………………………………………….	3.50%	4/1/2056	FL	$ 196,383	$ 120,482
Mortgage Loan ID#1000017321**……………………………………………………………………………………….	3.13%	7/1/2056	MD	$ 186,613	$ 120,175
Mortgage Loan ID#1000016228**……………………………………………………………………………………….	5.75%	9/1/2035	NY	$ 435,120	$ 119,196
Mortgage Loan ID#1000035224**……………………………………………………………………………………….	6.78%	5/1/2033	NY	$ 114,292	$ 118,622
Mortgage Loan ID#1000001968……………………………………………………………………………………….	5.00%	9/1/2037	IL	$ 132,764	$ 117,924
Mortgage Loan ID#1000027353**……………………………………………………………………………………….	2.00%	6/1/2051	NY	$ 264,919	$ 117,922
Mortgage Loan ID#1000016888**……………………………………………………………………………………….	4.00%	1/1/2051	WI	$ 137,784	$ 117,793
Mortgage Loan ID#1000026002**……………………………………………………………………………………….	2.00%	1/1/2042	CT	$ 170,399	$ 117,517
Mortgage Loan ID#1000028931**……………………………………………………………………………………….	3.13%	7/1/2056	CT	$ 242,626	$ 117,134
Mortgage Loan ID#1000035041**……………………………………………………………………………………….	3.00%	11/1/2056	NJ	$ 391,995	$ 116,761
Mortgage Loan ID#1000029143**……………………………………………………………………………………….	4.00%	8/1/2053	PA	$ 136,711	$ 116,704
Mortgage Loan ID#1000001924……………………………………………………………………………………….	2.00%	2/1/2056	WA	$ 233,087	$ 115,923
Mortgage Loan ID#1000002319……………………………………………………………………………………….	8.75%	7/1/2037	FL	$ 324,882	$ 114,615
Mortgage Loan ID#1000043709**……………………………………………………………………………………….	2.50%	10/1/2056	MI	$ 168,861	$ 114,562
Mortgage Loan ID#1000028487**……………………………………………………………………………………….	5.13%	1/1/2056	TN	$ 126,038	$ 114,536
Mortgage Loan ID#1000029409**……………………………………………………………………………………….	4.84%	9/1/2037	CA	$ 118,230	$ 114,158
Mortgage Loan ID#1000029316**……………………………………………………………………………………….	4.00%	8/1/2056	TX	$ 174,858	$ 114,084
Mortgage Loan ID#1000001128……………………………………………………………………………………….	5.00%	11/1/2036	FL	$ 121,198	$ 112,869
Mortgage Loan ID#1000044181**……………………………………………………………………………………….	3.75%	5/1/2057	MI	$ 141,773	$ 112,634
Mortgage Loan ID#1000015261**……………………………………………………………………………………….	4.88%	8/1/2054	PA	$ 116,441	$ 112,441
Mortgage Loan ID#1000028798**……………………………………………………………………………………….	4.84%	11/1/2036	OH	$ 120,415	$ 112,329
Mortgage Loan ID#1000029122……………………………………………………………………………………….	4.75%	6/1/2054	FL	$ 167,763	$ 111,963
Mortgage Loan ID#1000029341**……………………………………………………………………………………….	4.00%	2/1/2053	MD	$ 146,534	$ 111,879
Mortgage Loan ID#1000028177**……………………………………………………………………………………….	4.13%	2/1/2055	PA	$ 132,569	$ 111,793
Mortgage Loan ID#1000015929……………………………………………………………………………………….	6.13%	8/1/2036	NY	$ 110,056	$ 111,279
Mortgage Loan ID#1000044101**……………………………………………………………………………………….	7.35%	9/1/2034	PA	$ 181,868	$ 111,138
Mortgage Loan ID#1000043462**……………………………………………………………………………………….	3.50%	4/1/2056	NY	$ 149,803	$ 110,240
Mortgage Loan ID#1000043409**……………………………………………………………………………………….	5.13%	12/1/2054	VA	$ 115,339	$ 109,929
Mortgage Loan ID#1000003856**……………………………………………………………………………………….	3.50%	12/1/2037	AR	$ 126,517	$ 109,230
Mortgage Loan ID#1000043594**……………………………………………………………………………………….	3.13%	7/1/2057	IN	$ 218,842	$ 107,826
Mortgage Loan ID#1000036067**……………………………………………………………………………………….	6.95%	6/1/2035	MD	$ 102,711	$ 107,176
Mortgage Loan ID#1000043618**……………………………………………………………………………………….	3.50%	8/1/2057	NY	$ 258,872	$ 107,083
Mortgage Loan ID#1000001521……………………………………………………………………………………….	3.00%	7/1/2051	NE	$ 122,259	$ 105,821
Mortgage Loan ID#1000003513……………………………………………………………………………………….	2.38%	3/1/2037	GA	$ 125,452	$ 105,544
Mortgage Loan ID#1000016402**……………………………………………………………………………………….	7.05%	12/1/2036	NY	$ 352,869	$ 105,439
Mortgage Loan ID#1000001800……………………………………………………………………………………….	7.88%	4/1/2037	NY	$ 100,869	$ 105,130
Mortgage Loan ID#1000015614**……………………………………………………………………………………….	3.50%	4/1/2057	FL	$ 122,515	$ 104,807

Mortgage Loan ID#1000017525**……………………………………………………………………………………….	3.88%	2/1/2057	MD	$ 134,826	$ 104,643
Mortgage Loan ID#1000029349**……………………………………………………………………………………….	2.00%	10/1/2042	FL	$ 443,714	$ 104,467
Mortgage Loan ID#1000028440**……………………………………………………………………………………….	3.00%	8/1/2055	NY	$ 121,346	$ 104,177
Mortgage Loan ID#1000026384**……………………………………………………………………………………….	4.00%	9/1/2053	MN	$ 115,565	$ 103,840
Mortgage Loan ID#1000000697**……………………………………………………………………………………….	9.00%	10/1/2037	FL	$ 527,100	$ 103,333
Mortgage Loan ID#1000001596……………………………………………………………………………………….	8.83%	5/1/2037	NY	$ 408,500	$ 103,301
Mortgage Loan ID#1000044296**……………………………………………………………………………………….	3.63%	11/1/2055	IL	$ 327,106	$ 103,142
Mortgage Loan ID#1000027343**……………………………………………………………………………………….	5.25%	9/1/2053	WI	$ 146,452	$ 102,753
Mortgage Loan ID#1000015532**……………………………………………………………………………………….	2.63%	5/1/2057	SC	$ 214,222	$ 102,298
Mortgage Loan ID#1000043746**……………………………………………………………………………………….	3.13%	9/1/2056	CT	$ 181,977	$ 101,650
Mortgage Loan ID#1000026614**……………………………………………………………………………………….	4.88%	7/1/2054	NC	$ 145,316	$ 100,432
Mortgage Loan ID#1000017362**……………………………………………………………………………………….	3.00%	2/1/2057	NY	$ 122,639	$ 100,014
Mortgage Loan ID#1000000706**……………………………………………………………………………………….	3.63%	8/1/2037	FL	$ 231,992	$ 99,705
Mortgage Loan ID#1000028180**……………………………………………………………………………………….	4.13%	8/1/2053	PA	$ 109,742	$ 98,806
Mortgage Loan ID#1000029010**……………………………………………………………………………………….	4.00%	6/1/2057	FL	$ 118,631	$ 98,402
Mortgage Loan ID#1000028933**……………………………………………………………………………………….	7.85%	11/1/2036	FL	$ 391,767	$ 98,205
Mortgage Loan ID#1000026516**……………………………………………………………………………………….	5.25%	1/1/2049	CT	$ 193,718	$ 98,010
Mortgage Loan ID#1000017485**……………………………………………………………………………………….	6.80%	4/1/2033	OH	$ 106,762	$ 97,418
Mortgage Loan ID#1000043476……………………………………………………………………………………….	8.17%	9/7/2029	NV	$ 161,986	$ 97,104
Mortgage Loan ID#1000043928**……………………………………………………………………………………….	3.38%	1/1/2056	TX	$ 111,779	$ 96,998
Mortgage Loan ID#1000044151……………………………………………………………………………………….	4.00%	9/1/2053	PA	$ 149,325	$ 96,930
Mortgage Loan ID#1000029182**……………………………………………………………………………………….	3.25%	8/1/2056	FL	$ 199,913	$ 96,908
Mortgage Loan ID#1000014981**……………………………………………………………………………………….	3.50%	5/1/2056	IL	$ 119,956	$ 96,543
Mortgage Loan ID#1000015314**……………………………………………………………………………………….	3.25%	3/1/2049	IN	$ 123,576	$ 96,502
Mortgage Loan ID#1000002369……………………………………………………………………………………….	4.00%	3/1/2037	NY	$ 361,237	$ 96,497
Mortgage Loan ID#1000028008**……………………………………………………………………………………….	7.13%	12/1/2032	AL	$ 100,608	$ 95,307
Mortgage Loan ID#1000027952**……………………………………………………………………………………….	4.88%	2/1/2037	IN	$ 134,739	$ 94,503
Mortgage Loan ID#1000029201**……………………………………………………………………………………….	3.13%	8/1/2056	WI	$ 171,565	$ 94,491
Mortgage Loan ID#1000035535**……………………………………………………………………………………….	3.00%	3/1/2051	LA	$ 116,128	$ 93,685
Mortgage Loan ID#1000026055**……………………………………………………………………………………….	4.60%	7/1/2056	FL	$ 232,897	$ 93,305
Mortgage Loan ID#1000027380**……………………………………………………………………………………….	3.00%	4/1/2057	TX	$ 107,284	$ 92,894
Mortgage Loan ID#1000017401**……………………………………………………………………………………….	4.00%	1/1/2051	IN	$ 107,521	$ 92,433
Mortgage Loan ID#1000034979**……………………………………………………………………………………….	3.25%	8/1/2056	IL	$ 209,216	$ 91,394
Mortgage Loan ID#1000003506……………………………………………………………………………………….	3.38%	3/1/2056	MI	$ 112,540	$ 90,524
Mortgage Loan ID#1000001546……………………………………………………………………………………….	4.88%	5/1/2054	NC	$ 95,684	$ 89,445
Mortgage Loan ID#1000035479**……………………………………………………………………………………….	7.95%	3/1/2037	FL	$ 169,474	$ 89,310
Mortgage Loan ID#1000043833**……………………………………………………………………………………….	6.38%	2/1/2034	NY	$ 115,112	$ 89,149
Mortgage Loan ID#1000043503**……………………………………………………………………………………….	5.50%	3/1/2056	NJ	$ 281,364	$ 88,885
Mortgage Loan ID#1000027358**……………………………………………………………………………………….	6.88%	8/1/2056	IL	$ 175,896	$ 88,336
Mortgage Loan ID#1000043752**……………………………………………………………………………………….	6.99%	12/1/2036	OK	$ 87,001	$ 87,923
Mortgage Loan ID#1000003512……………………………………………………………………………………….	4.13%	11/1/2034	GA	$ 95,912	$ 87,730
Mortgage Loan ID#1000028998**……………………………………………………………………………………….	6.50%	1/1/2037	FL	$ 223,317	$ 86,403
Mortgage Loan ID#1000028161**……………………………………………………………………………………….	3.00%	2/1/2056	IL	$ 268,491	$ 86,382
Mortgage Loan ID#1000026506**……………………………………………………………………………………….	4.13%	2/1/2055	FL	$ 106,151	$ 86,260
Mortgage Loan ID#1000029423**……………………………………………………………………………………….	3.40%	7/1/2044	TX	$ 91,707	$ 86,237
Mortgage Loan ID#1000015924**……………………………………………………………………………………….	7.51%	8/1/2037	FL	$ 164,700	$ 86,157
Mortgage Loan ID#1000015282**……………………………………………………………………………………….	3.00%	3/1/2051	LA	$ 123,748	$ 85,926
Mortgage Loan ID#1000025967**……………………………………………………………………………………….	9.25%	10/1/2036	PA	$ 111,564	$ 85,458
Mortgage Loan ID#1000043557**……………………………………………………………………………………….	3.38%	4/1/2037	NY	$ 66,454	$ 84,872
Mortgage Loan ID#1000043727**……………………………………………………………………………………….	3.25%	9/1/2056	IN	$ 168,922	$ 84,196
Mortgage Loan ID#1000016152**……………………………………………………………………………………….	5.75%	5/1/2032	NY	$ 93,495	$ 83,420
Mortgage Loan ID#1000028191**……………………………………………………………………………………….	3.25%	9/1/2055	PA	$ 172,555	$ 83,360
Mortgage Loan ID#1000043745**……………………………………………………………………………………….	3.63%	5/1/2057	NJ	$ 65,313	$ 83,230
Mortgage Loan ID#1000015268**……………………………………………………………………………………….	3.00%	1/1/2057	FL	$ 194,314	$ 82,989
Mortgage Loan ID#1000026986**……………………………………………………………………………………….	3.00%	1/1/2057	AL	$ 167,614	$ 82,530

Mortgage Loan ID#1000001233……………………………………………………………………………………….	2.00%	1/1/2047	IL	$ 98,318	$ 82,309
Mortgage Loan ID#1000003627……………………………………………………………………………………….	3.00%	11/1/2052	WI	$ 159,980	$ 82,249
Mortgage Loan ID#1000027381**……………………………………………………………………………………….	11.50%	10/1/2035	NC	$ 67,141	$ 82,074
Mortgage Loan ID#1000044291**……………………………………………………………………………………….	3.25%	9/1/2048	TN	$ 86,007	$ 82,051
Mortgage Loan ID#1000025935**……………………………………………………………………………………….	4.13%	8/1/2053	PA	$ 210,627	$ 81,134
Mortgage Loan ID#1000027437**……………………………………………………………………………………….	9.69%	9/22/2036	NY	$ 114,538	$ 80,675
Mortgage Loan ID#1000027130**……………………………………………………………………………………….	3.00%	9/1/2056	LA	$ 120,061	$ 80,115
Mortgage Loan ID#1000029206**……………………………………………………………………………………….	11.38%	7/1/2037	NY	$ 188,339	$ 80,069
Mortgage Loan ID#1000028805……………………………………………………………………………………….	2.00%	11/1/2036	NY	$ 466,883	$ 79,861
Mortgage Loan ID#1000027252**……………………………………………………………………………………….	4.50%	11/1/2053	WI	$ 126,186	$ 79,344
Mortgage Loan ID#1000025991**……………………………………………………………………………………….	3.13%	7/1/2056	NM	$ 181,087	$ 77,465
Mortgage Loan ID#1000017351**……………………………………………………………………………………….	2.88%	6/1/2047	KS	$ 84,132	$ 76,872
Mortgage Loan ID#1000029105**……………………………………………………………………………………….	3.88%	9/1/2053	OH	$ 126,666	$ 76,790
Mortgage Loan ID#7000044223……………………………………………………………………………………….	4.25%	2/1/2044	CA	$ 178,792	$ 76,638
Mortgage Loan ID#1000044152**……………………………………………………………………………………….	3.75%	1/1/2057	MO	$ 72,908	$ 76,564
Mortgage Loan ID#1000025958**……………………………………………………………………………………….	4.13%	11/1/2053	WI	$ 127,449	$ 76,491
Mortgage Loan ID#1000028865**……………………………………………………………………………………….	7.40%	10/1/2036	FL	$ 161,059	$ 76,481
Mortgage Loan ID#1000025925**……………………………………………………………………………………….	3.00%	3/1/2057	NY	$ 119,298	$ 76,354
Mortgage Loan ID#7000003524……………………………………………………………………………………….	4.75%	7/1/2040	CA	$ 158,381	$ 76,281
Mortgage Loan ID#1000026187**……………………………………………………………………………………….	3.00%	4/1/2057	PA	$ 119,465	$ 75,097
Mortgage Loan ID#1000015573**……………………………………………………………………………………….	3.00%	12/1/2056	NC	$ 96,556	$ 74,645
Mortgage Loan ID#1000003417……………………………………………………………………………………….	1.00%	3/1/2022	NY	$ 103,703	$ 74,510
Mortgage Loan ID#1000015257**……………………………………………………………………………………….	3.25%	8/1/2055	PA	$ 161,615	$ 74,469
Mortgage Loan ID#1000001066……………………………………………………………………………………….	9.50%	9/1/2037	FL	$ 202,349	$ 74,204
Mortgage Loan ID#1000015637**……………………………………………………………………………………….	4.25%	12/1/2054	AL	$ 96,586	$ 73,656
Mortgage Loan ID#1000044235**……………………………………………………………………………………….	6.85%	1/26/2036	NJ	$ 90,853	$ 72,120
Mortgage Loan ID#1000001795……………………………………………………………………………………….	5.00%	8/1/2037	VA	$ 77,404	$ 72,114
Mortgage Loan ID#1000029236**……………………………………………………………………………………….	10.90%	3/1/2037	FL	$ 58,761	$ 71,960
Mortgage Loan ID#1000044142**……………………………………………………………………………………….	3.88%	10/1/2054	OH	$ 127,256	$ 71,300
Mortgage Loan ID#1000029401**……………………………………………………………………………………….	5.50%	9/1/2037	OH	$ 90,158	$ 70,959
Mortgage Loan ID#1000017526**……………………………………………………………………………………….	2.00%	1/1/2042	IA	$ 86,563	$ 70,417
Mortgage Loan ID#1000029170**……………………………………………………………………………………….	2.00%	11/1/2055	PA	$ 142,853	$ 69,254
Mortgage Loan ID#1000027348**……………………………………………………………………………………….	3.75%	6/1/2057	KY	$ 84,182	$ 68,412
Mortgage Loan ID#1000028966**……………………………………………………………………………………….	3.25%	8/1/2056	ME	$ 141,876	$ 67,128
Mortgage Loan ID#1000016159**……………………………………………………………………………………….	6.75%	11/1/2036	NY	$ 169,119	$ 67,097
Mortgage Loan ID#1000001792……………………………………………………………………………………….	2.00%	6/1/2054	SC	$ 97,149	$ 66,451
Mortgage Loan ID#1000002907……………………………………………………………………………………….	4.00%	8/1/2032	FL	$ 114,171	$ 65,453
Mortgage Loan ID#1000015971……………………………………………………………………………………….	2.00%	8/1/2057	IL	$ 71,704	$ 64,489
Mortgage Loan ID#1000016457**……………………………………………………………………………………….	8.00%	4/1/2037	IL	$ 226,931	$ 64,253
Mortgage Loan ID#1000038454**……………………………………………………………………………………….	6.50%	1/1/2038	NJ	$ 127,627	$ 64,209
Mortgage Loan ID#1000001610……………………………………………………………………………………….	9.38%	8/1/2037	NY	$ 347,302	$ 63,649
Mortgage Loan ID#7000014317……………………………………………………………………………………….	5.25%	3/1/2042	VA	$ 128,380	$ 63,283
Mortgage Loan ID#1000044279**……………………………………………………………………………………….	6.70%	7/1/2026	TX	$ 62,133	$ 63,281
Mortgage Loan ID#1000003355……………………………………………………………………………………….	4.00%	2/1/2037	VA	$ 128,014	$ 62,757
Mortgage Loan ID#1000027341**……………………………………………………………………………………….	8.55%	7/1/2029	TX	$ 98,697	$ 62,715
Mortgage Loan ID#1000001834……………………………………………………………………………………….	8.75%	5/1/2037	NV	$ 169,526	$ 62,509
Mortgage Loan ID#1000043439……………………………………………………………………………………….	8.99%	2/1/2054	IN	$ 64,126	$ 62,110
Mortgage Loan ID#1000027992**……………………………………………………………………………………….	3.75%	9/1/2035	IL	$ 73,524	$ 62,059	��
Mortgage Loan ID#1000029233**……………………………………………………………………………………….	9.60%	8/1/2034	FL	$ 87,615	$ 62,004
Mortgage Loan ID#1000028837**……………………………………………………………………………………….	7.13%	10/1/2028	OH	$ 60,792	$ 61,122
Mortgage Loan ID#1000015276**……………………………………………………………………………………….	5.50%	8/1/2057	PA	$ 143,109	$ 60,535
Mortgage Loan ID#1000028827**……………………………………………………………………………………….	5.38%	10/1/2036	IL	$ 301,644	$ 60,467
Mortgage Loan ID#1000044092**……………………………………………………………………………………….	6.99%	7/1/2024	PA	$ 56,440	$ 60,027
Mortgage Loan ID#1000015932……………………………………………………………………………………….	6.13%	10/1/2036	NY	$ 60,759	$ 59,513
Mortgage Loan ID#1000015558**……………………………………………………………………………………….	4.88%	7/1/2054	NY	$ 64,699	$ 59,194

Mortgage Loan ID#1000015906**……………………………………………………………………………………….	2.38%	1/1/2057	TX	$ 63,568	$ 58,568
Mortgage Loan ID#1000044088**……………………………………………………………………………………….	8.35%	9/1/2034	AR	$ 57,588	$ 58,382
Mortgage Loan ID#1000043371**……………………………………………………………………………………….	6.63%	10/1/2056	OH	$ 77,722	$ 57,597
Mortgage Loan ID#1000027105**……………………………………………………………………………………….	8.75%	9/21/2037	OR	$ 153,228	$ 57,404
Mortgage Loan ID#1000034773**……………………………………………………………………………………….	5.13%	5/1/2050	PA	$ 69,192	$ 57,187
Mortgage Loan ID#1000025939**……………………………………………………………………………………….	4.00%	8/1/2057	KY	$ 87,053	$ 56,898
Mortgage Loan ID#1000029162**……………………………………………………………………………………….	7.50%	8/1/2035	LA	$ 114,368	$ 56,863
Mortgage Loan ID#1000028465**……………………………………………………………………………………….	4.80%	2/1/2036	OR	$ 127,615	$ 56,779
Mortgage Loan ID#1000043664**……………………………………………………………………………………….	3.75%	6/1/2057	WI	$ 168,043	$ 56,175
Mortgage Loan ID#1000025927**……………………………………………………………………………………….	4.94%	5/1/2036	ID	$ 59,161	$ 55,117
Mortgage Loan ID#1000043768**……………………………………………………………………………………….	4.88%	4/1/2047	MD	$ 57,574	$ 55,088
Mortgage Loan ID#1000026454**……………………………………………………………………………………….	3.00%	6/1/2051	IA	$ 73,351	$ 54,938
Mortgage Loan ID#1000015972**……………………………………………………………………………………….	6.98%	7/1/2057	FL	$ 95,976	$ 54,544
Mortgage Loan ID#1000029244**……………………………………………………………………………………….	6.47%	8/1/2036	TX	$ 52,754	$ 52,795
Mortgage Loan ID#1000043682**……………………………………………………………………………………….	2.00%	9/1/2052	IL	$ 110,147	$ 52,281
Mortgage Loan ID#1000029080**……………………………………………………………………………………….	4.38%	12/1/2053	IA	$ 81,475	$ 51,839
Mortgage Loan ID#1000028818**……………………………………………………………………………………….	2.00%	12/1/2035	WI	$ 195,443	$ 51,360
Mortgage Loan ID#1000003336……………………………………………………………………………………….	3.00%	3/1/2022	NJ	$ 67,683	$ 51,331
Mortgage Loan ID#1000029247**……………………………………………………………………………………….	2.00%	6/1/2053	TX	$ 59,469	$ 51,053
Mortgage Loan ID#1000002521……………………………………………………………………………………….	14.13%	5/1/2022	TX	$ 72,967	$ 50,614
Mortgage Loan ID#1000015597**……………………………………………………………………………………….	7.38%	9/1/2036	OH	$ 107,626	$ 50,594
Mortgage Loan ID#1000026056**……………………………………………………………………………………….	6.00%	9/1/2037	OR	$ 155,322	$ 50,347
Mortgage Loan ID#7000000337……………………………………………………………………………………….	5.00%	9/1/2039	NM	$ 106,000	$ 50,280
Mortgage Loan ID#1000003409……………………………………………………………………………………….	5.00%	4/1/2037	NY	$ 95,098	$ 49,799
Mortgage Loan ID#1000027361**……………………………………………………………………………………….	7.45%	12/1/2025	LA	$ 50,673	$ 49,134
Mortgage Loan ID#1000015272**……………………………………………………………………………………….	7.83%	2/1/2037	TX	$ 62,298	$ 48,878
Mortgage Loan ID#1000027126**……………………………………………………………………………………….	3.75%	4/1/2034	IL	$ 158,133	$ �� 48,390
Mortgage Loan ID#1000025922**……………………………………………………………………………………….	5.75%	4/1/2057	OK	$ 62,494	$ 47,291
Mortgage Loan ID#1000029277**……………………………………………………………………………………….	4.63%	10/1/2054	IN	$ 83,709	$ 47,178
Mortgage Loan ID#1000036023**……………………………………………………………………………………….	3.13%	10/1/2056	OH	$ 96,505	$ 46,966
Mortgage Loan ID#1000017252**……………………………………………………………………………………….	7.00%	9/1/2028	NY	$ 47,315	$ 46,831
Mortgage Loan ID#1000017087**……………………………………………………………………………………….	8.00%	8/1/2025	IL	$ 54,844	$ 46,751
Mortgage Loan ID#1000029151**……………………………………………………………………………………….	9.35%	12/1/2036	FL	$ 270,872	$ 46,707
Mortgage Loan ID#1000043222**……………………………………………………………………………………….	3.38%	5/1/2025	CA	$ 50,240	$ 46,586
Mortgage Loan ID#1000003936**……………………………………………………………………………………….	3.63%	6/1/2057	WI	$ 95,836	$ 45,381
Mortgage Loan ID#1000043424**……………………………………………………………………………………….	7.38%	6/1/2026	AL	$ 46,869	$ 44,568
Mortgage Loan ID#1000000563**……………………………………………………………………………………….	8.99%	2/1/2037	AZ	$ 80,077	$ 44,314
Mortgage Loan ID#1000043985**……………………………………………………………………………………….	3.25%	7/1/2056	IL	$ 90,078	$ 42,433
Mortgage Loan ID#1000025920**……………………………………………………………………………………….	2.38%	5/1/2057	MI	$ 55,098	$ 41,935
Mortgage Loan ID#1000026730**……………………………………………………………………………………….	7.83%	4/1/2048	FL	$ 96,268	$ 41,906
Mortgage Loan ID#1000028377**……………………………………………………………………………………….	10.00%	4/1/2034	IN	$ 46,408	$ 41,883
Mortgage Loan ID#1000003379……………………………………………………………………………………….	5.50%	5/1/2037	IL	$ 76,147	$ 41,223
Mortgage Loan ID#1000003386……………………………………………………………………………………….	10.38%	8/1/2022	FL	$ 64,080	$ 40,221
Mortgage Loan ID#1000003380……………………………………………………………………………………….	5.07%	9/1/2037	CA	$ 77,138	$ 39,994
Mortgage Loan ID#1000003042……………………………………………………………………………………….	9.63%	4/1/2022	VA	$ 62,457	$ 39,732
Mortgage Loan ID#1000003330……………………………………………………………………………………….	10.88%	3/1/2022	NY	$ 60,574	$ 39,595
Mortgage Loan ID#1000003393……………………………………………………………………………………….	4.93%	4/1/2037	VA	$ 76,307	$ 39,396
Mortgage Loan ID#1000015564**……………………………………………………………………………………….	8.00%	3/1/2024	MS	$ 39,584	$ 38,956
Mortgage Loan ID#1000015907**……………………………………………………………………………………….	7.50%	2/1/2037	TX	$ 40,524	$ 37,667
Mortgage Loan ID#1000002998……………………………………………………………………………………….	4.00%	2/1/2037	OH	$ 68,214	$ 36,306
Mortgage Loan ID#1000003378……………………………………………………………………………………….	2.00%	11/1/2051	CA	$ 109,615	$ 36,246
Mortgage Loan ID#7000030265……………………………………………………………………………………….	4.88%	3/1/2043	OR	$ 77,602	$ 35,956
Mortgage Loan ID#1000029422**……………………………………………………………………………………….	7.30%	10/1/2036	FL	$ 191,565	$ 35,852
Mortgage Loan ID#1000043847**……………………………………………………………………………………….	8.95%	3/7/2037	UT	$ 31,283	$ 35,053
Mortgage Loan ID#1000002905……………………………………………………………………………………….	4.19%	4/1/2037	MN	$ 71,786	$ 34,722

Mortgage Loan ID#1000001756……………………………………………………………………………………….	3.00%	2/1/2057	NY	$ 86,809	$ 34,412
Mortgage Loan ID#1000026763**……………………………………………………………………………………….	11.75%	4/1/2020	NY	$ 36,972	$ 34,069
Mortgage Loan ID#1000028449**……………………………………………………………………………………….	9.00%	6/1/2046	AL	$ 43,161	$ 33,619
Mortgage Loan ID#1000002439……………………………………………………………………………………….	5.50%	4/1/2038	AZ	$ 62,557	$ 33,338
Mortgage Loan ID#1000002530……………………………………………………………………………………….	6.00%	2/1/2039	PA	$ 60,348	$ 33,223
Mortgage Loan ID#1000003420……………………………………………………………………………………….	3.00%	6/1/2051	NY	$ 95,515	$ 33,188
Mortgage Loan ID#1000016053**……………………………………………………………………………………….	9.25%	4/1/2037	ME	$ 119,370	$ 33,096
Mortgage Loan ID#1000003265……………………………………………………………………………………….	12.75%	2/1/2022	TX	$ 46,984	$ 32,327
Mortgage Loan ID#1000002455……………………………………………………………………………………….	5.64%	9/1/2037	AZ	$ 59,119	$ 32,206
Mortgage Loan ID#1000003387……………………………………………………………………………………….	5.50%	4/1/2037	NY	$ 59,344	$ 32,174
Mortgage Loan ID#1000002985……………………………………………………………………………………….	10.88%	2/1/2022	CA	$ 48,443	$ 32,055
Mortgage Loan ID#1000028406**……………………………………………………………………………………….	7.50%	5/1/2035	NY	$ 90,270	$ 31,961
Mortgage Loan ID#1000002569……………………………………………………………………………………….	5.00%	5/1/2037	FL	$ 60,268	$ 31,607
Mortgage Loan ID#7000003226……………………………………………………………………………………….	3.00%	6/1/2040	CA	$ 78,066	$ 31,196
Mortgage Loan ID#1000015565**……………………………………………………………………………………….	8.70%	12/1/2034	NY	$ 66,953	$ 29,000
Mortgage Loan ID#1000003280……………………………………………………………………………………….	3.00%	10/1/2037	AZ	$ 59,856	$ 28,669
Mortgage Loan ID#1000029163**……………………………………………………………………………………….	5.04%	2/1/2037	PA	$ 99,074	$ 26,604
Mortgage Loan ID#1000003356……………………………………………………………………………………….	2.00%	6/1/2052	NY	$ 79,819	$ 26,530
Mortgage Loan ID#1000003314……………………………………………………………………………………….	10.25%	4/1/2022	UT	$ 41,200	$ 26,405
Mortgage Loan ID#1000043353**……………………………………………………………………………………….	9.64%	2/1/2047	OH	$ 107,055	$ 26,244
Mortgage Loan ID#1000017233**……………………………………………………………………………………….	8.00%	10/1/2019	TN	$ 25,927	$ 26,071
Mortgage Loan ID#1000028156**……………………………………………………………………………………….	8.49%	6/1/2037	NJ	$ 160,622	$ 25,797
Mortgage Loan ID#1000003218……………………………………………………………………………………….	5.20%	4/1/2037	VA	$ 48,460	$ 25,609
Mortgage Loan ID#1000003363……………………………………………………………………………………….	4.00%	2/1/2037	NY	$ 51,793	$ 25,186
Mortgage Loan ID#1000026554**……………………………………………………………………………………….	10.68%	11/6/2027	GA	$ 49,475	$ 25,015
Mortgage Loan ID#7000000429……………………………………………………………………………………….	5.00%	9/1/2039	CA	$ 49,428	$ 24,559
Mortgage Loan ID#1000025933**……………………………………………………………………………………….	7.00%	4/1/2039	AL	$ 52,163	$ 24,541
Mortgage Loan ID#1000003802……………………………………………………………………………………….	11.50%	4/1/2037	MA	$ 56,243	$ 24,464
Mortgage Loan ID#1000003430……………………………………………………………………………………….	3.00%	11/1/2050	VA	$ 62,951	$ 24,451
Mortgage Loan ID#1000003277……………………………………………………………………………………….	5.50%	4/1/2037	NV	$ 44,218	$ 24,009
Mortgage Loan ID#1000025995**……………………………………………………………………………………….	3.75%	6/1/2057	AL	$ 79,444	$ 24,002
Mortgage Loan ID#1000003048……………………………………………………………………………………….	4.50%	8/15/2032	NY	$ 42,236	$ 23,060
Mortgage Loan ID#1000003331……………………………………………………………………………………….	9.25%	4/1/2022	IL	$ 36,218	$ 22,852
Mortgage Loan ID#1000003298……………………………………………………………………………………….	10.50%	7/1/2022	TX	$ 34,918	$ 22,107
Mortgage Loan ID#1000003318……………………………………………………………………………………….	4.78%	9/1/2037	CA	$ 43,598	$ 22,033
Mortgage Loan ID#1000003407……………………………………………………………………………………….	2.00%	5/1/2037	CA	$ 53,931	$ 21,200
Mortgage Loan ID#1000003200……………………………………………………………………………………….	5.65%	4/1/2037	FL	$ 38,076	$ 20,902
Mortgage Loan ID#1000003201……………………………………………………………………………………….	6.13%	4/15/2032	RI	$ 59,323	$ 20,604
Mortgage Loan ID#1000003029……………………………………………………………………………………….	8.25%	3/1/2022	FL	$ 33,337	$ 20,576
Mortgage Loan ID#1000003151……………………………………………………………………………………….	13.75%	3/1/2022	MN	$ 29,382	$ 20,528
Mortgage Loan ID#1000025950**……………………………………………………………………………………….	4.63%	9/1/2054	IL	$ 101,412	$ 20,148
Mortgage Loan ID#1000003347……………………………………………………………………………………….	1.00%	2/1/2038	NY	$ 48,727	$ 20,106
Mortgage Loan ID#1000003011……………………………………………………………………………………….	4.87%	4/1/2037	CA	$ 39,118	$ 20,091
Mortgage Loan ID#1000003373……………………………………………………………………………………….	7.41%	4/1/2037	NY	$ 60,101	$ 20,071
Mortgage Loan ID#1000003338……………………………………………………………………………………….	9.13%	4/1/2037	NY	$ 52,858	$ 19,957
Mortgage Loan ID#1000003284……………………………………………………………………………………….	10.50%	3/1/2037	NC	$ 48,418	$ 19,850
Mortgage Loan ID#1000003212……………………………………………………………………………………….	13.25%	4/1/2022	PA	$ 28,868	$ 19,750
Mortgage Loan ID#1000002531……………………………………………………………………………………….	1.00%	2/1/2044	NY	$ 49,655	$ 18,908
Mortgage Loan ID#1000003794……………………………………………………………………………………….	11.25%	4/1/2037	WI	$ 43,306	$ 18,555
Mortgage Loan ID#6000000582……………………………………………………………………………………….	1.00%	11/1/2038	NY	$ 54,784	$ 18,463
Mortgage Loan ID#1000003269……………………………………………………………………………………….	8.63%	3/1/2032	AZ	$ 45,831	$ 18,407
Mortgage Loan ID#1000002238……………………………………………………………………………………….	2.00%	1/1/2057	FL	$ 23,058	$ 18,124
Mortgage Loan ID#1000003288……………………………………………………………………………………….	6.88%	4/15/2032	NY	$ 49,100	$ 17,807
Mortgage Loan ID#1000003272……………………………………………………………………………………….	3.38%	3/1/2037	AZ	$ 37,720	$ 17,796
Mortgage Loan ID#1000029211**……………………………………………………………………………………….	6.47%	6/1/2032	PA	$ 57,468	$ 17,777

Mortgage Loan ID#1000003155……………………………………………………………………………………….	10.63%	3/1/2032	FL	$ 39,525	$ 17,619
Mortgage Loan ID#1000025930**……………………………………………………………………………………….	3.00%	2/1/2056	MS	$ 41,054	$ 17,495
Mortgage Loan ID#1000003317……………………………………………………………………………………….	6.50%	2/1/2037	NJ	$ 52,012	$ 16,349
Mortgage Loan ID#1000003067……………………………………………………………………………………….	1.00%	4/1/2038	UT	$ 45,637	$ 16,250
Mortgage Loan ID#1000003793……………………………………………………………………………………….	10.75%	4/1/2032	MI	$ 36,000	$ 16,152
Mortgage Loan ID#1000003104……………………………………………………………………………………….	13.38%	8/1/2021	OH	$ 22,126	$ 15,863
Mortgage Loan ID#1000003980……………………………………………………………………………………….	5.38%	4/1/2039	CT	$ 30,245	$ 15,654
Mortgage Loan ID#1000002983……………………………………………………………………………………….	4.82%	4/1/2039	AZ	$ 31,546	$ 15,524
Mortgage Loan ID#7000018838……………………………………………………………………………………….	6.75%	7/1/2042	MD	$ 51,885	$ 15,199
Mortgage Loan ID#1000027712**……………………………………………………………………………………….	5.00%	5/1/2032	TX	$ 37,103	$ 14,828
Mortgage Loan ID#1000003392……………………………………………………………………………………….	1.00%	11/1/2039	NY	$ 36,592	$ 14,805
Mortgage Loan ID#1000015945**……………………………………………………………………………………….	3.13%	2/1/2037	IL	$ 76,793	$ 14,462
Mortgage Loan ID#1000003065……………………………………………………………………………………….	3.00%	5/1/2036	PA	$ 30,510	$ 14,332
Mortgage Loan ID#7000000222……………………………………………………………………………………….	4.00%	4/1/2039	MO	$ 30,394	$ 13,848
Mortgage Loan ID#1000002452……………………………………………………………………………………….	5.99%	9/4/2023	AZ	$ 17,877	$ 13,749
Mortgage Loan ID#1000003014……………………………………………………………………………………….	6.38%	8/15/2032	MT	$ 41,415	$ 13,003
Mortgage Loan ID#1000002972……………………………………………………………………………………….	12.88%	1/1/2022	PA	$ 18,755	$ 12,937
Mortgage Loan ID#1000003003……………………………………………………………………………………….	9.63%	3/1/2022	IL	$ 19,321	$ 12,291
Mortgage Loan ID#1000003224……………………………………………………………………………………….	8.75%	2/1/2022	PA	$ 19,324	$ 12,224
Mortgage Loan ID#1000003186……………………………………………………………………………………….	13.63%	2/1/2022	VA	$ 17,488	$ 12,186
Mortgage Loan ID#1000043575**……………………………………………………………………………………….	5.88%	6/1/2036	NY	$ 177,408	$ 12,152
Mortgage Loan ID#7000032686……………………………………………………………………………………….	0.50%	5/1/2043	VA	$ 44,625	$ 12,065
Mortgage Loan ID#1000003274……………………………………………………………………………………….	7.45%	4/1/2037	NV	$ 35,766	$ 12,015
Mortgage Loan ID#1000003220……………………………………………………………………………………….	2.00%	6/1/2052	IL	$ 37,666	$ 11,976
Mortgage Loan ID#1000003106……………………………………………………………………………………….	9.38%	4/1/2022	TX	$ 18,845	$ 11,846
Mortgage Loan ID#1000003006……………………………………………………………………………………….	7.13%	4/15/2032	NY	$ 31,410	$ 11,555
Mortgage Loan ID#1000003789……………………………………………………………………………………….	12.63%	12/1/2036	WI	$ 24,578	$ 11,457
Mortgage Loan ID#1000003981……………………………………………………………………………………….	1.00%	5/1/2039	NY	$ 33,756	$ 11,178
Mortgage Loan ID#7000001895……………………………………………………………………………………….	5.25%	3/1/2040	CA	$ 21,895	$ 11,063
Mortgage Loan ID#1000002484……………………………………………………………………………………….	2.00%	1/1/2052	IL	$ 35,811	$ 10,912
Mortgage Loan ID#7000524032……………………………………………………………………………………….	5.00%	7/1/2045	CA	$ 23,451	$ 10,654
Mortgage Loan ID#1000002434……………………………………………………………………………………….	8.00%	3/30/2028	AZ	$ 24,140	$ 10,619
Mortgage Loan ID#1000003115……………………………………………………………………………………….	1.00%	5/1/2038	NJ	$ 26,182	$ 10,566
Mortgage Loan ID#1000016784**……………………………………………………………………………………….	8.25%	5/1/2037	FL	$ 192,210	$ 10,475
Mortgage Loan ID#1000002475……………………………………………………………………………………….	7.25%	3/24/2028	AZ	$ 22,333	$ 9,506
Mortgage Loan ID#1000002442……………………………………………………………………………………….	7.50%	5/22/2026	AZ	$ 19,572	$ 9,091
Mortgage Loan ID#1000002474……………………………………………………………………………………….	7.25%	2/8/2028	AZ	$ 21,232	$ 9,068
Mortgage Loan ID#1000003007……………………………………………………………………………………….	6.58%	4/1/2037	NJ	$ 27,965	$ 8,812
Mortgage Loan ID#7000016846……………………………………………………………………………………….	5.38%	4/1/2027	FL	$ 12,786	$ 8,610
Mortgage Loan ID#1000003102……………………………………………………………………………………….	13.00%	4/1/2022	NY	$ 12,892	$ 8,605
Mortgage Loan ID#7000044724……………………………………………………………………………………….	4.50%	9/1/2028	IL	$ 13,710	$ 8,442
Mortgage Loan ID#1000002453……………………………………………………………………………………….	7.50%	1/7/2028	AZ	$ 19,080	$ 8,295
Mortgage Loan ID#1000003767……………………………………………………………………………………….	4.00%	12/1/2036	TN	$ 16,254	$ 8,158
Mortgage Loan ID#1000016929**……………………………………………………………………………………….	8.75%	10/1/2037	ME	$ 114,583	$ 8,143
Mortgage Loan ID#1000003019……………………………………………………………………………………….	1.00%	6/1/2054	FL	$ 31,104	$ 8,129
Mortgage Loan ID#7000014197……………………………………………………………………………………….	5.25%	1/1/2042	FL	$ 16,555	$ 8,119
Mortgage Loan ID#1000003059……………………………………………………………………………………….	2.00%	7/1/2038	AZ	$ 16,975	$ 7,980
Mortgage Loan ID#7000037380……………………………………………………………………………………….	3.38%	8/1/2028	DE	$ 13,555	$ 7,908
Mortgage Loan ID#7000033764……………………………………………………………………………………….	5.00%	7/1/2028	IL	$ 12,362	$ 7,887
Mortgage Loan ID#1000016586**……………………………………………………………………………………….	3.13%	4/1/2018	CT	$ 19,787	$ 7,836
Mortgage Loan ID#1000003815……………………………………………………………………………………….	3.00%	12/1/2048	MD	$ 18,831	$ 7,658
Mortgage Loan ID#1000003329……………………………………………………………………………………….	6.93%	3/1/2037	VA	$ 23,503	$ 7,602
Mortgage Loan ID#1000000363**……………………………………………………………………………………….	11.63%	10/1/2037	NY	$ 44,013	$ 7,549
Mortgage Loan ID#1000016645**……………………………………………………………………………………….	3.13%	11/1/2019	FL	$ 31,997	$ 7,458
Mortgage Loan ID#1000002462……………………………………………………………………………………….	7.00%	4/24/2026	AZ	$ 16,158	$ 7,425

Mortgage Loan ID#1000003215……………………………………………………………………………………….	12.50%	3/1/2022	TX	$ 15,533	$ 7,339
Mortgage Loan ID#1000002445……………………………………………………………………………………….	8.50%	4/9/2028	AZ	$ 16,221	$ 7,270
Mortgage Loan ID#7000016879……………………………………………………………………………………….	5.38%	4/1/2027	CA	$ 10,361	$ 6,977
Mortgage Loan ID#7000029305……………………………………………………………………………………….	5.00%	5/1/2028	PA	$ 10,463	$ 6,707
Mortgage Loan ID#7000144524……………………………………………………………………………………….	4.00%	3/1/2044	NV	$ 15,897	$ 6,570
Mortgage Loan ID#7000034325……………………………………………………………………………………….	5.00%	5/1/2028	AL	$ 9,956	$ 6,382
Mortgage Loan ID#7000021621……………………………………………………………………………………….	5.50%	1/1/2028	CA	$ 9,555	$ 6,354
Mortgage Loan ID#1000003146……………………………………………………………………………………….	12.13%	3/1/2037	NC	$ 13,979	$ 6,316
Mortgage Loan ID#7000040113……………………………………………………………………………………….	5.50%	9/1/2028	FL	$ 9,197	$ 5,995
Mortgage Loan ID#1000002459……………………………………………………………………………………….	6.01%	4/1/2028	AZ	$ 14,694	$ 5,897
Mortgage Loan ID#7000026184……………………………………………………………………………………….	4.38%	1/1/2046	TN	$ 13,666	$ 5,730
Mortgage Loan ID#1000003783……………………………………………………………………………………….	6.00%	3/1/2037	AR	$ 10,071	$ 5,618
Mortgage Loan ID#7000227562……………………………………………………………………………………….	4.00%	6/1/2044	CA	$ 13,376	$ 5,504
Mortgage Loan ID#1000003983……………………………………………………………………………………….	4.75%	6/1/2039	CT	$ 11,288	$ 5,502
Mortgage Loan ID#1000002992……………………………………………………………………………………….	9.88%	1/1/2022	WY	$ 8,260	$ 5,423
Mortgage Loan ID#1000000614……………………………………………………………………………………….	6.00%	12/1/2039	IN	$ 9,907	$ 5,383
Mortgage Loan ID#1000003768……………………………………………………………………………………….	6.88%	3/1/2037	TN	$ 16,454	$ 5,311
Mortgage Loan ID#1000003775……………………………………………………………………………………….	10.00%	4/1/2037	MI	$ 12,481	$ 4,954
Mortgage Loan ID#7000275218……………………………………………………………………………………….	4.00%	8/1/2044	IN	$ 11,731	$ 4,813
Mortgage Loan ID#7000049512……………………………………………………………………………………….	5.00%	10/1/2028	FL	$ 7,406	$ 4,692
Mortgage Loan ID#7000056207……………………………………………………………………………………….	5.13%	10/1/2028	AZ	$ 7,306	$ 4,659
Mortgage Loan ID#1000003088……………………………………………………………………………………….	8.90%	3/1/2037	TX	$ 12,578	$ 4,652
Mortgage Loan ID#1000002468……………………………………………………………………………………….	7.25%	2/5/2028	AZ	$ 9,883	$ 4,221
Mortgage Loan ID#1000003090……………………………………………………………………………………….	11.63%	3/1/2022	TX	$ 6,086	$ 4,091
Mortgage Loan ID#7000036539……………………………………………………………………………………….	4.88%	7/1/2028	IL	$ 6,022	$ 3,817
Mortgage Loan ID#1000003073……………………………………………………………………………………….	8.00%	3/1/2027	NV	$ 8,096	$ 3,708
Mortgage Loan ID#7000362626……………………………………………………………………………………….	3.00%	11/1/2044	FL	$ 9,599	$ 3,470
Mortgage Loan ID#7001021768**……………………………………………………………………………………….	0.50%	8/1/2046	DE	$ 13,276	$ 3,053
Mortgage Loan ID#7000098633……………………………………………………………………………………….	4.50%	2/1/2044	FL	$ 6,696	$ 2,935
Mortgage Loan ID#7000314799……………………………………………………………………………………….	5.00%	10/1/2029	OH	$ 4,364	$ 2,696
Mortgage Loan ID#7000032678……………………………………………………………………………………….	4.00%	5/1/2028	OH	$ 4,335	$ 2,638
Mortgage Loan ID#7000037510……………………………………………………………………………………….	5.00%	9/1/2028	CT	$ 4,090	$ 2,609
Mortgage Loan ID#1000002425……………………………………………………………………………………….	8.75%	1/22/2028	AZ	$ 3,532	$ 1,610
Mortgage Loan ID#1000003207……………………………………………………………………………………….	1.00%	3/1/2022	WA	$ 39,095	$ 10
Mortgage Loan ID#7000036523……………………………………………………………………………………….	6.00%	9/1/2043	IL	$ 4,417	$ -
Mortgage Loan ID#7000038883……………………………………………………………………………………….	5.00%	6/1/2032	MI	$ 16,833	$ -
Mortgage Loan ID#7000020155……………………………………………………………………………………….	5.50%	8/1/2027	CA	$ 24,102	$ -
Mortgage Loan ID#5000004007……………………………………………………………………………………….	0.00%	8/1/2017	N/A	$ 400	$ -
Mortgage Loan ID#7000038874……………………………………………………………………………………….	6.00%	6/1/2032	OH	$ 12,047	$ -
Mortgage Loan ID#7000106608……………………………………………………………………………………….	5.00%	2/1/2029	CA	$ 12,549	$ -
Mortgage Loan ID#7000242451……………………………………………………………………………………….	3.75%	7/1/2044	FL	$ 11,597	$ -
Mortgage Loan ID#7000004323……………………………………………………………………………………….	2.00%	8/1/2040	FL	$ 121,631	$ -
Mortgage Loan ID#5000003989……………………………………………………………………………………….	0.00%	11/1/2024	N/A	$ 16,574	$ -
Mortgage Loan ID#1000003357……………………………………………………………………………………….	2.00%	5/1/2047	CA	$ 84,953	$ -
Mortgage Loan ID#7000036752……………………………………………………………………………………….	5.50%	8/1/2028	MN	$ 63,358	$ (14)
Mortgage Loan ID#1000002784……………………………………………………………………………………….	12.63%	2/1/2022	FL	$ 83,881	$ (27)
Mortgage Loan ID#1000003395……………………………………………………………………………………….	10.50%	4/1/2022	NY	$ 79,282	$ (27)
Mortgage Loan ID#1000002723……………………………………………………………………………………….	6.00%	8/1/2047	AZ	$ 33,169	$ (163)
Mortgage Loan ID#7000030263……………………………………………………………………………………….	5.00%	8/1/2028	WI	$ 5,430	$ (250)
Mortgage Loan ID#1000003351……………………………………………………………………………………….	2.00%	5/1/2037	NY	$ 40,463	$ (702)
Mortgage Loan ID#1000044266**……………………………………………………………………………………….	8.95%	10/1/2036	NY	$ 57,785	$ (722)
Mortgage Loan ID#1000002916……………………………………………………………………………………….	1.00%	9/1/2049	CA	$ 78,264	$ (780)
Mortgage Loan ID#1000003275……………………………………………………………………………………….	5.38%	3/15/2032	FL	$ 44,230	$ (1,006)
Mortgage Loan ID#1000002758……………………………………………………………………………………….	11.00%	4/1/2022	FL	$ 24,345	$ (1,070)
Mortgage Loan ID#1000003372……………………………………………………………………………………….	2.00%	3/1/2037	VA	$ 74,770	$ (1,306)

Mortgage Loan ID#7000057184……………………………………………………………………………………….	4.50%	10/1/2028	AZ	$ 19,461	$ (1,715)
Mortgage Loan ID#1000015928**……………………………………………………………………………………….	10.25%	9/1/2019	GA	$ 6,985	$ (3,065)
Mortgage Loan ID#1000002564……………………………………………………………………………………….	5.68%	9/1/2037	FL	$ 48,061	$ (4,403)
Mortgage Loan ID#1000002909……………………………………………………………………………………….	2.00%	7/1/2036	FL	$ 78,310	$ (5,084)
Mortgage Loan ID#1000001308……………………………………………………………………………………….	8.38%	7/1/2037	NJ	$ 160,615	$ (18,650)
Mortgage Loan ID#1000016194**……………………………………………………………………………………….	6.88%	8/1/2018	NY	$ 89,843	$ (21,820)
Mortgage Loan ID#1000017142**……………………………………………………………………………………….	3.52%	3/1/2017	NY	$ 42,139	$ (24,830)
Mortgage Loan ID#1000016696**……………………………………………………………………………………….	6.54%	5/1/2018	NY	$ 24,092	$ (61,107)

				149,524,137	94,368,062


		Principal	Fair
Description	State	amount	value
Real estate acquired in settlement of loans
Property ID#1000015063**……………………………………………………………………………………….	FL	$ 1,350,000	$ 1,399,603
Property ID#1000000557**……………………………………………………………………………………….	NJ	$ 990,473	$ 571,751
Property ID#1000026981**……………………………………………………………………………………….	MA	$ 777,294	$ 487,284
Property ID#1000044014**……………………………………………………………………………………….	MD	$ 578,257	$ 320,332
Property ID#1000027733**……………………………………………………………………………………….	IL	$ 573,920	$ 526,043
Property ID#1000026843**……………………………………………………………………………………….	CA	$ 536,000	$ 466,638
Property ID#1000016710**……………………………………………………………………………………….	NJ	$ 529,780	$ 475,153
Property ID#1000027464**……………………………………………………………………………………….	FL	$ 502,188	$ 339,222
Property ID#1000017521**……………………………………………………………………………………….	MD	$ 501,029	$ 322,225
Property ID#1000043755**……………………………………………………………………………………….	MN	$ 478,088	$ 309,532
Property ID#1000015537**……………………………………………………………………………………….	FL	$ 460,000	$ 278,978
Property ID#1000028993**……………………………………………………………………………………….	NJ	$ 421,038	$ 241,177
Property ID#1000026032**……………………………………………………………………………………….	HI	$ 420,101	$ 466,927
Property ID#1000029380**……………………………………………………………………………………….	NJ	$ 400,000	$ 339,478
Property ID#1000027243**……………………………………………………………………………………….	CA	$ 380,135	$ 305,527
Property ID#1000026348**……………………………………………………………………………………….	NV	$ 366,420	$ 254,562
Property ID#1000027454**……………………………………………………………………………………….	NJ	$ 345,428	$ 152,614
Property ID#1000025949**……………………………………………………………………………………….	CA	$ 337,698	$ 254,633
Property ID#1000001614……………………………………………………………………………………….	NY	$ 328,000	$ 232,930
Property ID#1000026017**……………………………………………………………………………………….	CA	$ 319,900	$ 263,178
Property ID#1000000591……………………………………………………………………………………….	NJ	$ 317,266	$ 54,934
Property ID#1000043261**……………………………………………………………………………………….	NJ	$ 288,028	$ 144,258
Property ID#1000016110**……………………………………………………………………………………….	FL	$ 286,771	$ 195,261
Property ID#1000026150**……………………………………………………………………………………….	PA	$ 284,148	$ 173,562
Property ID#1000043895**……………………………………………………………………………………….	MA	$ 276,553	$ 246,286
Property ID#1000027641**……………………………………………………………………………………….	NJ	$ 240,000	$ 203,878
Property ID#1000043996**……………………………………………………………………………………….	PA	$ 240,000	$ 135,878
Property ID#1000038508**……………………………………………………………………………………….	NJ	$ 234,727	$ 63,641
Property ID#1000027400**……………………………………………………………………………………….	NY	$ 229,667	$ 110,403
Property ID#1000043164**……………………………………………………………………………………….	AZ	$ 224,353	$ 224,353
Property ID#1000017330**……………………………………………………………………………………….	CT	$ 209,804	$ 80,703
Property ID#1000043731**……………………………………………………………………………………….	NJ	$ 206,001	$ 152,963
Property ID#1000003601……………………………………………………………………………………….	MD	$ 185,250	$ 144,037
Property ID#1000035181**……………………………………………………………………………………….	NY	$ 181,877	$ 148,773
Property ID#1000015627**……………………………………………………………………………………….	NY	$ 179,970	$ 144,528
Property ID#1000035080**……………………………………………………………………………………….	NJ	$ 155,368	$ 16,612
Property ID#1000035033**……………………………………………………………………………………….	NJ	$ 152,649	$ 51,096
Property ID#1000016038**……………………………………………………………………………………….	DE	$ 152,305	$ 85,097
Property ID#1000016883**……………………………………………………………………………………….	NJ	$ 151,309	$ 57,029
Property ID#1000034988**……………………………………………………………………………………….	FL	$ 139,220	$ 136,130

Property ID#1000026336**……………………………………………………………………………………….	PA	$ 139,002	$ 52,830
Property ID#1000016328**……………………………………………………………………………………….	NJ	$ 138,797	$ 125,931
Property ID#1000001948……………………………………………………………………………………….	VA	$ 120,849	$ 29,448
Property ID#1000043128……………………………………………………………………………………….	NJ	$ 102,661	$ 136,221
Property ID#1000000663**……………………………………………………………………………………….	NY	$ 59,525	$ 55,579
Property ID#1002229098……………………………………………………………………………………….	GA	$ 56,503	$ 76,836
Property ID#1000000376**……………………………………………………………………………………….	NY	$ 53,400	$ 38,117
Property ID#1000027625**……………………………………………………………………………………….	WI	$ 52,893	$ 52,893
Property ID#1000025919**……………………………………………………………………………………….	OH	$ 47,400	$ 39,458
Property ID#1000015553**……………………………………………………………………………………….	NY	$ 44,036	$ 42,390
		15,746,081	11,226,912

TOTAL MORTGAGE INVESTMENTS (Cost $91,774,585)……………………………………………………………………………………….		165,270,218	105,594,974

SHORT-TERM INVESTMENT - 4%*

Fair

Name of Issuer

value

Short-term investment

Morgan Stanley Liquidity Funds: Government Institutional Shares

- yield 0.77% at June 30, 2017…………………………………………………………..…………………………….

$ 3,894,711

TOTAL SHORT-TERM INVESTMENT (Cost $3,894,711)……………………………………………………………………………………….

3,894,711

TOTAL INVESTMENTS (Cost $95,669,296)……………………………………………………………………………………….

$ 109,489,685

LIABILITIES - 30%*

Note

Maturity

Principal

Fair

Description

interest rate

date

amount

value

Asset-backed financing

PNMAC 2015-NPL1 A-1-144A ^……………..……………………………

4.00%

3/25/2055

$ 27,656,516

$ 27,824,612

TOTAL LIABILITIES (Proceeds $27,548,85)…………………………………………………………………………………….

27,656,516

27,824,612

Other assets in excess of other liabilities - 12%*………………………………………………………………………………………………….………………….………………………………………………………….

11,438,276

TOTAL PARTNERS' CAPITAL - 100%*……………………………………………………….…………..…………….

$ 93,103,349

* Percentages are stated as a percent of partners' capital

** Pledged as collateral for asset-backed financing (See Note 5).

^ Investment represents securities issued by related parties

All investments are in the United States of America.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable for semi-annual reports.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable for semi-annual reports.

Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant's nominating committee charter does not contain any changes to procedures by which shareholders may recommend nominees to the registrant's board of directors.

Item 11. Controls and Procedures.

(a)

The Registrant's Chief Executive Officer and Chief Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant's service provider.

(b)

There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Exhibits.

(a)	(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable during this period.

(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable during this period.

(b)	Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished 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) PNMAC Mortgage Opportunity Fund, LP

By (Signature and Title) /s/ David A. Spector

David A. Spector, CEO

Date September 8, 2017

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/ David A. Spector

David A. Spector, CEO

Date September 8, 2017

By (Signature and Title) /s/ Andrew S. Chang

Andrew S. Chang, CFO

Date September 8, 2017

PNMAC Mortgage Opportunity Fund Inactive N-CSRSCertified semi-annual shareholder report (management investment company)