PNMAC Mortgage Opportunity Fund N-CSR/A Certified annual shareholder report (management investment company) (amended)

As filed with the Securities and Exchange Commission on October 27, 2017

UNITED STATESSECURITIES AND EXCHANGE COMMISSIONWashington, 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 Townsgate Road

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

Derek W. Stark, Secretary

PNMAC MORTGAGE OPPORTUNITY FUND, LP

3043 Townsgate 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) 746-2046

Registrant’s telephone number, including area code

Date of fiscal year end: December 31

Date of reporting period:  December 31, 2015

EXPLANATORY NOTE

The Registrant is filing this amendment to its Form N-CSR for the fiscal year ended December 31, 2015 originally filed with the Securities and Exchange Commission on March 10, 2016. The purpose of this amendment is to include a detailed Schedule of Investments in Item 6 – Investments as of December 31, 2015 and updated certifications attached as Exhibit 99. Except as set forth above, this amendment does not amend, update or change any other items or disclosures found in the original Form N-CSR filing.

Item 1. Reports to Stockholders.

PNMAC Mortgage Opportunity Fund, LP

and Subsidiaries

Annual Report

As of and for the year ended December 31, 2015

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
Report of Independent Registered Public Accounting Firm	26
Additional Information	27
Directors and Officers	29

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Assets and Liabilities

December 31, 2015

Assets:
Investments at fair value (cost $196,551,238)	$	219,421,315
Receivable from PennyMac Loan Services, LLC		16,321,728
Other assets		3,542,638
Total assets		239,285,681
Liabilities:
Asset-backed financing at fair value (proceeds $87,390,151)		86,629,398
Payable to PennyMac Loan Services, LLC		726,753
Accrued expenses		415,139
Payable to Investment Manager		317,284
Other liabilities		225,845
Total liabilities		88,314,419
Partners’ capital	$	150,971,262
Partners’ capital consists of:
Non-controlling Interest	$	24,920,297
General Partner		41,895,520
Limited Partner		84,155,445
Total partners’ capital	$	150,971,262

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

2

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

December 31, 2015

INVESTMENTS - 145%*
INVESTMENTS IN NONAFFILIATES - 117%*
	Note			Maturity		Principal		Fair
Description	interest rate			date	State	amount		value
Mortgage loans
Mortgage Loan ID#1000043954**		7.25	%	5/1/2037	FL	$	2,250,000	$	1,869,241
Mortgage Loan ID#1000015063**		7.38	%	9/1/2036	FL		1,350,000		1,319,713
Mortgage Loan ID#1000043569**		2.75	%	9/1/2036	CA		1,500,000		950,598
Mortgage Loan ID#1000028984**		2.00	%	12/1/2036	CA		1,364,442		921,936
Mortgage Loan ID#1000043880**		3.00	%	2/1/2035	OR		1,387,425		878,686
Mortgage Loan ID#1000002193		6.88	%	5/1/2037	DC		990,000		876,413
Mortgage Loan ID#1000035099**		6.00	%	7/1/2037	NY		999,000		761,647
Mortgage Loan ID#1000002189		5.13	%	8/1/2055	NY		1,022,097		682,559
Mortgage Loan ID#1000016006**		7.15	%	2/1/2037	NY		641,150		673,207
Mortgage Loan ID#1000043535**		5.34	%	11/1/2044	NY		884,576		665,966
Mortgage Loan ID#1000035161**		7.75	%	9/1/2037	NJ		632,986		650,414
Mortgage Loan ID#1000043772**		5.88	%	7/1/2037	FL		920,218		629,582
Mortgage Loan ID#1000001411		3.00	%	7/1/2047	CA		832,829		627,416
Mortgage Loan ID#1000000557**		6.90	%	3/1/2037	NJ		990,473		604,913
Mortgage Loan ID#1000016663**		6.88	%	5/1/2037	OR		799,863		590,264
Mortgage Loan ID#1000001651		3.00	%	5/1/2055	FL		1,446,090		588,249
Mortgage Loan ID#1000034768**		3.00	%	4/1/2036	NY		655,718		585,357
Mortgage Loan ID#1000043744**		6.38	%	11/1/2036	CA		778,451		577,531
Mortgage Loan ID#1000035343**		6.50	%	12/1/2043	CA		893,840		552,076
Mortgage Loan ID#1000026350**		6.50	%	4/1/2037	NY		719,176		521,125
Mortgage Loan ID#1000015511**		2.00	%	4/1/2052	WI		675,687		503,996
Mortgage Loan ID#1000026843**		5.88	%	9/1/2035	CA		536,000		501,362
Mortgage Loan ID#1000026795**		3.00	%	1/1/2049	CA		570,274		499,561
Mortgage Loan ID#1000015179**		4.25	%	10/1/2043	CT		872,985		499,129
Mortgage Loan ID#1000043559**		2.88	%	8/1/2045	VA		629,568		494,528
Mortgage Loan ID#1000026032**		4.00	%	12/1/2036	HI		420,101		489,106
Mortgage Loan ID#1000043537**		7.38	%	2/1/2038	NY		570,325		488,000
Mortgage Loan ID#1000027182**		7.00	%	10/1/2037	NV		649,095		484,520
Mortgage Loan ID#1000038489		6.13	%	11/1/2036	NY		590,000		484,031
Mortgage Loan ID#1000002404		3.44	%	9/1/2036	NY		755,396		482,811
Mortgage Loan ID#1000016833**		6.50	%	10/1/2037	NY		645,282		479,977
Mortgage Loan ID#1000026305**		5.88	%	10/1/2036	CA		595,536		476,332
Mortgage Loan ID#1000043672**		6.38	%	2/1/2038	NY		551,822		470,006
Mortgage Loan ID#1000043694**		5.50	%	1/1/2043	CT		650,207		465,683
Mortgage Loan ID#1000001628		10.37	%	5/1/2037	NY		451,250		465,197
Mortgage Loan ID#1000026020**		3.00	%	6/1/2037	CA		550,959		463,390
Mortgage Loan ID#1000003907**		6.00	%	7/1/2037	MD		579,090		459,094
Mortgage Loan ID#1000001631		8.88	%	8/1/2037	NY		472,500		459,031
Mortgage Loan ID#1000000560**		6.80	%	1/1/2037	NY		613,522		458,885
Other**							221,926,448		122,669,745
							254,364,381		147,321,277

(Continued)

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

3

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

December 31, 2015

Description				State	Principal amount		Fair value
Real estate acquired in settlement of loans
Property ID#1000043536**				MN	$	860,000	$	879,900
Property ID#1000001643				FL		621,672		700,000
Property ID#1000016499**				NJ		720,000		650,000
Property ID#1000003584				MD		539,160		625,000
Property ID#1000027733**				IL		573,920		625,000
Property ID#1000027525**				NJ		554,549		607,563
Property ID#1000015181**				IL		869,995		590,000
Property ID#1002229087				GA		545,063		500,000
Property ID#1000016184**				NJ		440,000		468,796
Property ID#1000028068**				CA		485,478		465,000
Property ID#1000016154**				FL		472,046		460,000
Other**						29,956,833		22,297,605
						36,638,716		28,868,864
TOTAL INVESTMENTS IN NONAFFILIATES (Cost $153,320,064)						291,003,097		176,190,141
INVESTMENTS IN AFFILIATES - 29%*
Name of Issuer					Shares		Fair value
Short-Term Investment
BlackRock Liquidity Funds: TempFund Institutional Shares ^					$	43,231,174	$	43,231,174
TOTAL INVESTMENTS IN AFFILIATES (Cost $43,231,174)						43,231,174		43,231,174
TOTAL INVESTMENTS (Cost $196,551,238)							$	219,421,315
LIABILITIES - 57%*	Note			Maturity
Description	interest rate			date	Principal amount		Fair value
Asset-backed financing
PNMAC 2015-NPL1 A-1-144A ^		4.00	%	3/25/2055	$	80,921,835	$	80,118,686
PNMAC 2015-NPL1 A-1-REGS ^		4.00	%	3/25/2055		6,575,979		6,510,712
TOTAL LIABILITIES (Proceeds $87,390,151)						87,497,814		86,629,398
Other assets in excess of other liabilities - 12%*								18,179,345
TOTAL PARTNERS’ CAPITAL - 100%*							$	150,971,262

*     Percentages are stated as a percent of partners’ capital

**   Pledged as collateral for asset-backed financing, including $83,152,158 of $122,669,745 other mortgage loans

         and $18,618,377 of $22,297,605 real estate acquired in settlement of loans (See Note 5)

^  Investment represents securities held or issued by related parties

    All investments are in the United States of America.

(Concluded)

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

4

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Operations

For the Year Ended December 31, 2015

Investment income:
Interest from mortgage loans	$	27,208,939
Home Affordable Modification Program incentives		963,434
Dividends from related party-
BlackRock Liquidity Funds: Tempfund Institutional Shares		46,801
Other		36,645
Total investment income		28,255,819
Expenses:
Collection and liquidation expenses		4,124,712
Interest on asset-backed financing		2,897,540
Mortgage loan servicing fees to PennyMac Loan Services, LLC		2,096,459
Investment advisory fees to PennyMac Capital Management, LLC		2,084,407
Asset-backed financing issuance costs		821,257
Professional fees		466,360
Directors’ fees and expenses		281,940
Insurance		250,995
Administration fees		249,882
Collateral valuation		169,557
Trustee fees		58,049
Custodian fees		51,743
Taxes		45,229
Mortgage loan accounting fees		31,310
Investment software licensing		22,536
Registration fees		7,015
Total expenses before mortgage loan servicing fee rebate		13,658,991
Mortgage loan servicing fee rebate from PennyMac Loan Services, LLC		(350,409	)
Net expenses		13,308,582
Net investment income		14,947,237
Net realized gain and change in unrealized gain on investments
and asset-backed financing:
Net realized gain on investments		2,183,473
Net change in unrealized gain on investments		(8,549,813	)
Net change in unrealized gain on asset-backed financing		760,753
Net realized gain and change in unrealized gain on investments
and asset-backed financing		(5,605,587	)
Net income resulting from operations		9,341,650
Less: income attributable to Non-controlling Interest		2,634,100
Net increase in partners’ capital resulting from operations	$	6,707,550

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

5

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statements of Changes in Partners’ Capital

For the Years Ended December 31, 2014 and 2015

	Non-controlling			General			Limited
	Interest			Partner			Partner			Total
Partners’ capital, January 1, 2014	$	45,394,581		$	37,704,608		$	304,323,367		$	387,422,556
Distributions		(34,675,799	)		-			(90,233,804	)		(124,909,603	)
Increase in partners’ capital from operations:
Net investment income		5,123,517			201			28,634,433			33,758,151
Net realized gain on investments		15,006,262			94			15,363,834			30,370,190
Net change in unrealized gain on investments		(4,084,098	)		(165	)		(26,978,460	)		(31,062,723	)
Net change in Carried Interest		-			3,068,235			(3,068,235	)		-
Net increase in partners’ capital from operations		16,045,681			3,068,365			13,951,572			33,065,618
Partners’ capital, December 31, 2014		26,764,463			40,772,973			228,041,135			295,578,571
Distributions		(4,478,266	)		-			(149,470,693	)		(153,948,959	)
Increase in partners’ capital from operations:
Net investment income		5,490,685			140			9,456,412			14,947,237
Net realized (loss) gain on investments		(1,779,226	)		49			3,962,650			2,183,473
Net change in unrealized gain on investments		(1,077,359	)		(92	)		(7,472,362	)		(8,549,813	)
Net change in unrealized gain on asset-backed financing		-			9			760,744			760,753
Net change in Carried Interest		-			1,122,441			(1,122,441	)		-
Net increase in partners’ capital from operations		2,634,100			1,122,547			5,585,003			9,341,650
Partners’ capital, December 31, 2015	$	24,920,297		$	41,895,520		$	84,155,445		$	150,971,262

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

6

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Cash Flows

For the Year Ended December 31, 2015

Cash flows from operating activities:
Net increase in partners’ capital resulting from operations	$	9,341,650
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		(16,918,070	)
Capitalization of interest on mortgage loans		(5,947,139	)
Sales of mortgage loans		47,399,247
Principal repayments on mortgage loans		17,521,206
Net change in short-term investment		(16,076,338	)
Sales of real estate acquired in settlement of loans		18,483,888
Net realized gain on investments		(2,183,473	)
Net change in unrealized gain on investments		8,549,813
Changes in other assets and liabilities:
Decrease in receivable from PennyMac Loan Services, LLC		9,624,067
Increase in other assets		(1,265,861	)
Increase in payable to PennyMac Loan Services, LLC		145,951
Decrease in accrued expenses		(34,875	)
Decrease in payable to Investment Manager		(570,815	)
Decrease in other liabilities		(749,690	)
Net cash provided by operating activities		67,319,561
Cash flows from financing activities:
Issuance of asset-backed financing		110,816,337
Repayment of asset-backed financing		(23,426,186	)
Net change in unrealized gain on asset-backed financing		(760,753	)
Distributions to Non-controlling Interest		(4,478,266	)
Distributions to Limited Partner		(149,470,693	)
Net cash used in financing activities		(67,319,561	)
Net change in cash		-
Cash at beginning of year		-
Cash at end of year	$	-
Supplemental cash flow information:
Cash paid for interest on asset-backed financing	$	2,848,929

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

7

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Years Ended December 31, 2015, 2014, 2013, 2012, 2011

For the year ended December 31, 2015
	General			Limited
	Partner (1)			Partner			Total
Total Return (2)
Before Carried Interest		5.09	%		5.43	%		5.43	%
Carried Interest (3)		2.70	%		-0.89	%		-
After Carried Interest		7.79	%		4.54	%		5.43	%
Internal rate of return (4)		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		-52330.73	%		0.89	%		-
Ratio of expenses and carried interest to weighted average
partners’ capital		-52324.44	%		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			Limited
	Partner (1)			Partner			Total
Total Return (2)
Before Carried Interest		6.67	%		5.39	%		5.39	%
Carried Interest (3)		1.47	%		-0.36	%		-
After Carried Interest		8.14	%		5.03	%		5.39	%
Internal rate of return (4)		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 financial statements.

8

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Years Ended December 31, 2015, 2014, 2013, 2012, 2011

For the year ended December 31, 2013
	General			Limited
	Partner (1)			Partner			Total
Total Return (2)
Before Carried Interest		14.95	%		13.86	%		13.86	%
Carried Interest (3)		11.63	%		-1.40	%		-
After Carried Interest		26.58	%		12.46	%		13.86	%
Internal rate of return (4)		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	%
For the year ended December 31, 2012
	General			Limited
	Partner (1)			Partner			Total
Total Return (2)
Before Carried Interest		9.13	%		7.70	%		7.70	%
Carried Interest (3)		12.58	%		-0.97	%		-
After Carried Interest		21.71	%		6.73	%		7.70	%
Internal rate of return (4)		944.06	%		10.54	%		12.55	%
Ratio of net investment income to weighted average
partners capital		8.44	%		6.57	%		6.57	%
Ratio of expenses to weighted average partners’ capital (1)		0.83	%		2.30	%		2.30	%
Carried Interest		-327,857.36	%		1.39	%		-
Ratio of expenses and carried interest to weighted average
partners’ capital		-327,856.53	%		3.69	%		2.30	%
Partners’ capital, end of year	$	29,786,420		$	331,483,559		$	361,269,979
Portfolio turnover rate								15.00	%

(Continued)

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

9

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Years Ended December 31, 2015, 2014, 2013, 2012, 2011

For the year ended December 31, 2011
	General			Limited
	Partner (1)			Partner			Total
Total Return (2)
Before Carried Interest		8.48	%		6.98	%		6.98	%
Carried Interest (3)		29.87	%		-1.47	%		-
After Carried Interest		38.35	%		5.51	%		6.98	%
Internal rate of return (4)		1,872.29	%		11.80	%		14.16	%
Ratio of net investment income to weighted average
partners capital		7.22	%		5.82	%		5.82	%
Ratio of expenses to weighted average partners’ capital (1)		0.83	%		2.30	%		2.30	%
Carried Interest		-451,547.69	%		1.68	%		-
Ratio of expenses and carried interest to weighted average
partners’ capital		-451,546.86	%		3.98	%		2.30	%
Partners’ capital, end of year	$	24,474,178		$	378,888,045		$	403,362,223
Portfolio turnover rate								7.00	%

(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)  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.

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

(Concluded)

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

10

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 56% of the Master Fund at December 31, 2015 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 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 a Non-controlling Interest in the Master Fund (the “Non-controlling Interest”). The FDIC’s Non-controlling Interest in FNBN is included in the Consolidated Statement of Assets and Liabilities as a component of Partners’ Capital.

The Master Fund owns a 100% interest in 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 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

11

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 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 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 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 invests directly in other mortgage-related investment securities.

The Master Fund began operations on August 11, 2008 and will continue in existence 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 governing the Master Fund.

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.

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.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 (for example, when there is little or no market activity for an asset or liability at the end of the period), 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” financial statement items, the Investment Manager is required to make judgments regarding these items’ 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 financial statement items and their fair values. Likewise, due to the general illiquidity of some of these financial statement items, subsequent transactions may be at values significantly different from those reported.

Short-term Investment

The short-term investment, the BlackRock Liquidity Funds: TempFund 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 financial statement item.

Dividends on the short-term investment are accrued based on the interest earned by the money market fund reduced by its operating expenses as reported by the money market fund for the reporting period.

Interest Income Recognition

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.

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.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 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 results of operations under the caption Net change in unrealized gain on asset-backed financing. Asset-backed secured financing is categorized as a “Level 3” fair value financial statement item.

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, 2015.

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 December 31, 2015, open federal and state income tax years include the tax years ended December 31, 2012 through 2015 and December 31, 2011 through 2015, 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.

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.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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:

1. 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);

2. 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;

3. 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

4. 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.

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 addition, 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

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 December 31, 2015, and expects the risk of loss to be remote.

Note 3—Fair Value

Following is a summary of financial statement items that are measured at fair value on a recurring basis for the year ended December 31, 2015:

	Level 1		Level 2		Level 3		Total
Assets:
Short-term investment	$	43,231,174	$	-	$	-	$	43,231,174
Mortgage loans		-		-		147,321,277		147,321,277
Real estate acquired in settlement of loans		-		-		28,868,864		28,868,864
	$	43,231,174	$	-	$	176,190,141	$	219,421,315
Liabilities:
Asset-backed financing	$	-	$	-	$	86,629,398	$	86,629,398
	$	-	$	-	$	86,629,398	$	86,629,398

There were no transfers of items measured at fair value between fair value hierarchy levels during the year ended December 31, 2015.

The following tables present a roll forward of financial statement items for which Level 3 inputs were used to determine fair value for year ended December 31, 2015.

	Mortgage loans			Real estate acquired in settlement of loans			Total
Assets:
Balance at January 1, 2015	$	212,815,629		$	24,695,810		$	237,511,439
Sales		(47,399,247	)		(18,483,888	)		(65,883,135	)
Repayments		(17,521,206	)		-			(17,521,206	)
Capitalization of interest		5,947,139			-			5,947,139
Accrual of unearned discounts		16,918,070			-			16,918,070
Transfers of mortgage loans and advances to REO		(22,692,633	)		28,276,807			5,584,174
Net gains (losses) on investments:
Realized		7,481,186			(5,297,713	)		2,183,473
Unrealized*		(8,227,661	)		(322,152	)		(8,549,813	)
Balance at December 31, 2015	$	147,321,277		$	28,868,864		$	176,190,141
Changes in fair value recognized during the year
relating to assets still held at December 31, 2015	$	3,109,196		$	(1,472,252	)	$	1,636,944

*Changes in fair value as a result of changes in instrument-specific credit risk relating to mortgage loans resulted in a net gain of $2,702,210 for the year ended December 31, 2015.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

	Asset-backed financing
Liabilities:
Balance at January 1, 2015	$	-
Sales		110,816,337
Repurchases		(23,426,186	)
Net unrealized gain on asset-backed financing		(760,753	)
Balance at December 31, 2015	$	86,629,398

Valuation Techniques and Assumptions

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” financial statement items which require the use of significant unobservable inputs in the estimation of the items’ 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” financial statement items 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” financial statement items 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. The Investment Manager’s valuation committee includes the chief executive, financial, operating, credit, and asset/liability management officers of PNMAC.

The FAV group monitors the models used for valuation of the Master Fund’s “Level 3” financial statement items, including the models’ performance versus actual results and reports those results to the 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 financial statement items:

Mortgage Loans

Mortgage loans held by the Master Fund are generally not saleable into active mortgage loan markets. Therefore the Master Fund classifies these assets as “Level 3” financial statement items, and their fair values are generally estimated using a discounted cash flow valuation model. Inputs to the model include current interest rates, loan amount, payment status and property type, and forecasts of future interest rates, home prices, prepayment speeds, default and loss severities.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

The valuation process includes the computation by stratum of the mortgage loan population and a review for reasonableness of various measures such as weighted average life, projected prepayment and default speeds, and projected default and loss percentages. The Investment Manager’s FAV staff computes the effect on fair value of changes in inputs such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the mortgage loans’ fair values. The results of the estimates of fair value of the Master Fund’s mortgage loans are reported to the Investment Manager’s valuation committee as part of its review and approval of monthly valuation results.

Changes in fair value attributable to investment-specific credit risk are measured by the effect on the mortgage loan’s fair value of changes in the respective mortgage loan’s delinquency status and history at period-end from the later of the beginning of the period or acquisition date.

The significant unobservable inputs used in the fair value measurement of the Master Fund’s mortgage loans are discount rate, home price projections, voluntary prepayment speeds and default speeds. Significant changes in any of those inputs in isolation could result in a significant change to the mortgage loans’ fair value. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds.

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value:

		Range
Valuation technique	Key inputs	(Weighted average)
Discounted cash flow	Discount rate	2.45% - 27.01%
		(9.63%)
	Twelve-month housing price index change	1.27% - 4.73%
		(3.40%)
	Life Voluntary Constant Repayment Rate	0.03% - 3.29%
		(2.69%)
	Life Total Conditional Prepayment Rate	1.30% - 21.47%
		(16.61%)

Real Estate Acquired in Settlement of Loans

Fair value of real estate acquired in settlement of loans (“REO”) is determined by using a current estimate of fair value from a broker’s price opinion, a full appraisal or the price given in a pending contract of sale. REO fair values are reviewed by the Investment Manager’s staff appraisers when the Master Fund obtains multiple indications of fair value and there are significant differences between the fair values received. The Investment Manager’s staff appraisers will attempt to resolve the differences between the indications of fair value. In circumstances where the appraisers are not able to generate adequate data to support a fair value conclusion, the staff appraisers will order an additional appraisal to resolve the property’s fair value.

REO may be subsequently revalued due to the Master Fund receiving greater access to the property, the property being held for an extended period or the Investment Manager receiving indications that the property’s fair value may not be supported by developing market conditions.

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.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 December 31, 2015:

						Weighted
			% Partners’			average note
Occupancy	Fair value		capital			interest rate
Owner occupied	$	121,620,089		80.56	%		4.31	%
Investment property		24,729,533		16.38	%		5.58	%
Second property		957,563		0.63	%		7.22	%
Unsecured		14,092		0.01	%		0.00	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

						Weighted
			% Partners’			average note
Loan Type	Fair value		capital			interest rate
Adjustable rate / Hybrid	$	50,031,042		33.14	%		5.51	%
Fixed interest rate		61,910,406		41.01	%		5.27	%
Balloon		1,367,284		0.91	%		6.54	%
Step rate		33,960,375		22.49	%		2.17	%
Other		52,170		0.03	%		7.00	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

						Weighted
			% Partners’			average note
Lien Position	Fair value		capital			interest rate
1st Lien	$	145,725,562		96.52	%		4.41	%
2nd Lien		1,581,623		1.05	%		6.28	%
Unsecured		14,092		0.01	%		0.00	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

						Weighted
			% Partners’			average note
Loan Age (1)	Fair value		capital			interest rate
Less than 24 months	$	69,987		0.05	%		4.27	%
24-36 months		138,853		0.09	%		4.49	%
36-48 months		114,454		0.08	%		5.59	%
48-60 months		4,587		0.00	%		5.25	%
60 months or more		146,993,396		97.36	%		4.52	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

¹ Loan Age reflects the age of the loan as of December 31, 2015.

						Weighted
			% Partners’			average note
FICO Distribution (2)	Fair value		capital			interest rate
Less than 600	$	97,784,165		64.78	%		4.34	%
600 - 649		19,675,381		13.03	%		5.05	%
650 - 699		16,957,942		11.23	%		4.78	%
700 - 749		8,231,714		5.45	%		5.49	%
More than 750		4,657,983		3.09	%		3.34	%
Unsecured		14,092		0.01	%		0.00	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

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 trade.

						Weighted
			% Partners’			average note
Current Loan-to-Value (3)	Fair value		capital			interest rate
Less than 80%	$	31,853,238		21.10	%		5.08	%
80% - 99.99%		30,963,215		20.51	%		4.51	%
100% - 119.99%		34,931,234		23.14	%		4.53	%
120% or more		49,559,498		32.83	%		4.34	%
Unsecured		14,092		0.01	%		0.00	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

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 December 31, 2015.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

						Weighted
			% Partners’			average note
Geographic Distribution	Fair value		capital			interest rate
New York	$	35,459,661		23.48	%		5.12	%
California		21,450,809		14.21	%		3.20	%
Florida		19,234,611		12.74	%		5.19	%
New Jersey		10,466,862		6.93	%		5.04	%
Massachusetts		6,862,174		4.55	%		4.22	%
Maryland		5,372,866		3.56	%		3.58	%
Other / Unsecured		48,474,294		32.11	%		4.41	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

						Weighted
			% Partners’			average note
Payment Status	Fair value		capital			interest rate
Current (4)	$	47,824,660		31.68	%		3.44	%
30 days delinquent		13,618,575		9.02	%		3.64	%
60 days delinquent		7,328,201		4.85	%		3.06	%
90 days or more delinquent		32,455,221		21.50	%		5.01	%
In foreclosure		46,094,620		30.53	%		5.75	%
Total portfolio	$	147,321,277		97.58	%		4.52	%

⁴ Current mortgage loans include mortgage loans in and adhering to a forbearance plan as of December 31, 2015.

Following is a summary of the distribution of REO:

			% Partners’
Geographic Distribution	Fair value		capital
Florida	$	8,424,271		5.58	%
New Jersey		4,966,393		3.29	%
Illinois		3,547,944		2.35	%
New York		2,312,444		1.53	%
Minnesota		1,709,900		1.13	%
Other		7,907,912		5.24	%
Total portfolio	$	28,868,864		19.12	%

			% Partners’
Property Type	Fair value		capital
Single family residence	$	16,845,077		11.14	%
2 to 4 dwelling units		3,558,188		2.36	%
Condo		2,712,636		1.80	%
Planned unit development		5,218,963		3.46	%
Townhouse		495,000		0.33	%
Other		39,000		0.03	%
Total portfolio	$	28,868,864		19.12	%

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 real estate acquired in settlement of loans 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 $1,554,858 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 real estate acquired in settlement of loans 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.

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 year ended December 31, 2015 totaled $249,882.

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 year ended December 31, 2015 totaled $31,310.

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 year ended December 31, 2015 totaled $51,743.

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PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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 $64,800 and a fee per meeting of the board of directors or committees of $2,000, subject to a cap 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 year ended December 31, 2015 were $281,940, of which $67,600 was payable at year end.

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.

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 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 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 and waiver for the year ended December 31, 2015 totaled $2,698,019. For the year ended December 31, 2015, PLS reduced mortgage loan servicing fees by providing a rebate of $350,409 and a waiver of $601,560 relating to activity fees for the sale of certain mortgage loans.

As of December 31, 2015, substantially all of the receivable from PLS of $16,321,728 on the Consolidated Statement of Assets and Liabilities represents funds advanced to PLS to fund collection and liquidation costs relating to mortgage loans and REO serviced by PLS on the Master Fund’s behalf as well as principal, interest, and mortgage loan and REO sales proceeds collections receivable.

As of December 31, 2015, substantially all of the payable to PLS of $726,753 on the Consolidated Statement of Assets and Liabilities represents accrued mortgage loan servicing fees and collection and liquidation expenses payable.

23

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

Following is a summary of payments made to the Investment Manager for reimbursable expenses paid on the Master Fund and subsidiaries’ behalf during the year ended December 31, 2015:

Professional fees	$	418,774
Insurance		172,365
Collateral valuation		169,557
Investment software licensing		60,503
Asset-backed financing issuance costs		11,150
Registration fees		7,015
Custodian fees		3,742
Total	$	843,106

The Master Fund incurred investment advisory fees of $2,084,407 during the year ended December 31, 2015, of which $317,284 was payable to the Investment Manager at year end.

As of December 31, 2015, $41,893,330 in Carried Interest has been accrued and reallocated from the Limited Partner’s capital account to the General Partner’s capital account of which $1,122,441 was allocated in the year ended December 31, 2015.

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

The Master Fund’s short-term investment, the BlackRock Liquidity Funds: TempFund Institutional Shares, is managed by BlackRock Institutional Management Corporation, which is a wholly owned subsidiary of BlackRock, Inc. BlackRock Inc. is an affiliate of the Master Fund. The Master Fund had $43,231,174 invested in the short-term investment at December 31, 2015, and for the year ended December 31, 2015, the Master Fund received $46,801 of dividend income from this short-term investment.

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

24

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2015

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.

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, the Master Fund paid distributions to the Fund in the amount of $22,400,000 for the payment of distributions to common shareholders.

****

25

	Deloitte & Touche LLP 555 West 5th Street Suite 2700 Los Angeles, CA 90013-1010 USA
	Tel: +1 213 688 0800
	Fax: +1 213 688 0100

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Directors and Partners of

PNMAC Mortgage Opportunity Fund, LP and subsidiaries:

We have audited the accompanying consolidated statement of assets and liabilities of PNMAC Mortgage Opportunity Fund, LP and subsidiaries (the "Master Fund"), including the consolidated summary  schedule of investments, as of December 31, 2015, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statement of changes in partners' capital for each of the two years in the period then ended, and the consolidated financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility   of the Master Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Fund's internal control over financial reporting. Accordingly, we express no such opinion.  An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of investments owned as  of December 31, 2015, by correspondence with the custodian and brokers; where replies were not received from the custodian, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of PNMAC Mortgage Opportunity Fund, LP and subsidiaries as of December 31, 2015, the results of their operations and their cash flows for the year then ended, the changes in their partners' capital for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

As discussed in Note 3 to the consolidated financial statements, the financial statements include investments in mortgage loans and real estate acquired in settlement of loans, valued at $176,190,141 (80.3% of total assets) and an asset-backed financing liability, valued at $(86,629,398) (98.1% of total liabilities) as of December 31, 2015, whose fair values have been estimated by management in the absence of readily determinable fair values.

February 29, 2016

26

PNMAC Mortgage Opportunity Fund, LP

Additional Information

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 19, 2015, 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.

27

PNMAC Mortgage Opportunity Fund, LP

Additional Information

(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 19, 2015, 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 19, 2015 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.
 

28

PNMAC Mortgage Opportunity Fund, LP

Directors and Officers

Name, Age, and Address	Position(s)  Held with Master Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	Number of Portfolios in Master Fund Complex Overseen by Director and Officers	Other Directorships/ Trusteeships Held
Independent Directors
Nancy Corsiglia (59) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Director; Audit Committee Member; Governance and Nominating Committee Chairman	Indefinite Term. Served since August 25, 2010.	Managing Director of Devonshire Advisory Group since 2009. Engagement Partner at Tatum from 2014 to 2015 and Managing Director-Finance at Strategic Risk Associates, LLC from 2012 to 2014.  Previously, Executive Vice President and Chief Financial Officer of Bank of Virginia from 2010 to 2011. Previously, Executive Vice President and Chief Financial Officer of Federal Agricultural Mortgage Corp.	2	Member of Advisory Board of Apprendis LLC and Member of Board of Directors of Partners for Haitian Children. Previously a member of Board of Trustees of the Stoneleigh-Burnham School and Board of Directors of the National Symphony Orchestra.
Thomas P. Gybel (48) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Director; Audit Committee Chairman; Governance and Nominating Committee Member	Indefinite Term. Served since May 29, 2008.	Senior advisor to financial services companies, Managing Director of White Mountains Capital Inc. from 2008 to 2010, and Managing Director of Global Finance for Deutsche Bank Securities Inc. from 2004 to 2007.	2	Member of Board of Directors and Chairman of the Special Committee of Ambac Assurance Corporation and Member of Board of Directors of Det Danske Suzuki Institut
Peter W. McClean (72) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Director; Audit Committee Member; Governance and Nominating Committee Member	Indefinite Term. Served since May 29, 2008.	Managing Director of Gulfstream Advisors LLC since 2004 and President and Chief Executive Officer of Measurisk LLC from 2001 through 2003.	2	Member of Board of Directors of Northeast Bank, AZL Variable Insurance Products Trust and AZL Fund of Funds Trust (Allianz Funds).

29

PNMAC Mortgage Opportunity Fund, LP

Directors and Officers

Name, Age, and Address	Position(s) Held with Master Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	Number of Portfolios in Master Fund Complex Overseen by Director and Officers	Other Directorships/ Trusteeships Held
Interested Directors
David A. Spector (52) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Director, Executive Managing Director, President, Chief Operating Officer, Authorized Person	Indefinite Term. Served since May 29, 2008.	Chief Investment Officer of the Investment Adviser; formerly, Co-Head of Global Residential Mortgages for Morgan Stanley and Senior Managing Director, Secondary Markets for Countrywide Financial Corporation.	2	Member of the Board of Directors of: PennyMac Financial Services, Inc.; PNMAC Mortgage Co., LLC; PennyMac Loan Services, LLC; PNMAC Opportunity Fund Associates, LLC; Copper Securities Holding, LLC; PennyMac GP OP, Inc.; PennyMac Corp; PennyMac Loan Services, Inc.; PNMAC Capital Management, LLC; PMT NPL Financing, LLC; PNMAC Finance Corporation; and PMT Funding, LLC. Member of the Board of Trustees of PennyMac Mortgage Investment Trust.
Stanford L. Kurland (63) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Chief Executive Officer, Authorized Person	Indefinite Term. Served since May 29, 2008.	Founder, Chairman and Chief Executive Officer of the Investment Adviser; formerly, Chief Financial Officer and Chief Operating Officer of Countrywide Financial Corporation.	2	Member of the Board of Directors of: PennyMac Financial Services, Inc.; PNMAC Mortgage Co., LLC; PennyMac Loan Services, LLC; PNMAC Opportunity Fund Associates, LLC; Copper Securities Holding, LLC; PennyMac GP OP, Inc.; PennyMac Corp; PennyMac Loan Services, Inc.; PNMAC Capital Management, LLC; PMT NPL Financing, LLC; PNMAC Finance Corporation; and PMT Funding, LLC. Member of the Board of Trustees of PennyMac Mortgage Investment Trust.
David M. Walker (60) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Senior Managing Director and Chief Risk Officer (no title with the Master Fund, only with the Investment Adviser)	Indefinite Term. Served since May 29, 2008.	Senior Managing Director and Chief Risk Officer of the Investment Adviser; formerly, Chief Lending Officer, Chief Credit Officer and Executive Vice President of Secondary Marketing for Countrywide Bank, N.A.	2	None

30

PNMAC Mortgage Opportunity Fund, LP

Directors and Officers

Name, Age, and Address	Position(s) Held with Master Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	Number of Portfolios in Master Fund Complex Overseen by Director and Officers	Other Directorships/ Trusteeships Held
Anne D. McCallion (61) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Senior Managing Director and Chief Financial Officer	Indefinite Term. Served since April 27, 2009.	Senior Managing Director and Chief Financial Officer of the Investment Adviser; formerly Senior Managing Director and Deputy Chief Financial Officer for Countrywide Financial Corporation	2	Director of PennyMac Corp.
Derek W. Stark (48) c/o PNMAC Capital Management, LLC,  6101 Condor Drive, Moorpark, CA 93021	Managing Director, Chief Legal Officer and Secretary, Authorized person	Indefinite Term. Served since August 14, 2012.	Managing Director, General Counsel, and Secretary of the Investment Adviser	2	Member of the Board of Managers of Copper Insurance, LLC; Member of the Board of Trustees of West Hills Hospital & Medical Center
Emily Silva  (51) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Chief Compliance Officer	Indefinite Term.	Chief Compliance Officer of the Investment Adviser; Compliance Director, Cipperman Compliance Services, LLC	2	None
Vandad Fartaj (41) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Senior Managing Director and Chief Capital Markets Officer (no title with the Master Fund, only with the Investment Adviser)	Indefinite Term. Served since March 3, 2010	Senior Managing Director and Chief Capital Markets Officer of the Investment Adviser; formerly, Managing Director, Capital Markets for PNMAC Capital Markets, LLC, and Vice President, Whole Loan Trading for Countrywide Securities Corporation	2	None
Andy S. Chang (38) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, CA 93021	Senior Managing Director and Chief Business Development Officer (no title with the Master Fund, only with the Investment Adviser)	Indefinite Term. Served since May 29, 2008	Senior Managing Director and Chief Business Development Officer of the Investment Adviser; formerly, Director at Blackrock and leader of its Advisory Services practice	2	None

31

Item 2. Code of Ethics.

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer.  The registrant has not made any amendments to its code of ethics during the period covered by this report.  The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

The registrant undertakes to provide to any person without charge, upon request, a copy of its code of ethics by mail when they call the registrant at 1-818-746-2046.

Item 3. Audit Committee Financial Expert.

The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee.  Mr. Peter W. McClean is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Form N‑CSR.

Item 4. Principal Accountant Fees and Services.

The registrant has engaged its principal accountant to perform audit services, and tax services during the past two fiscal years.  “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed to the Fund and an affiliated Fund, PNMAC Mortgage Opportunity Fund, LLC for each of the last two fiscal years for audit fees, and tax fees by the principal accountant.

	FYE  12/31/2015	FYE  12/31/2014
Audit Fees	$200,000	$329,237
Audit-Related Fees	$0	$ 0
Tax Fees	$17,800	$17,877
All Other Fees	$0	$0

The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre‑approve all audit and non‑audit services of the registrant, including services provided to any entity affiliated with the registrant.

The percentage of fees billed by Deloitte & Touche LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

	FYE  12/31/2015	FYE  12/31/2014
Audit-Related Fees	0%	0%
Tax Fees	0%	0%
All Other Fees	0%	0%

All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full‑time permanent employees of the principal accountant.  (If more than 50 percent of the accountant’s hours were spent to audit the registrant’s financial statements for the most recent fiscal year, state how many hours were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.)

The following table indicates the non-audit fees billedor expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not including any sub-adviser) for the last two years.  The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.

Non-Audit Related Fees	FYE  12/31/2015	FYE  12/31/2014
Registrant	None	None
Registrant’s Investment Adviser	None	None

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 - 145%*
INVESTMENTS IN NONAFFILIATES - 117%*
	Note	Maturity			Principal			Fair
Description	interest rate	date	State		amount			value
Mortgage loans
Mortgage Loan ID#1000043954**	7.25%	5/1/2037	FL	$	2,250,000		$	1,869,241
Mortgage Loan ID#1000015063**	7.38%	9/1/2036	FL		1,350,000			1,319,713
Mortgage Loan ID#1000043569**	2.75%	9/1/2036	CA		1,500,000			950,598
Mortgage Loan ID#1000028984**	2.00%	12/1/2036	CA		1,364,442			921,936
Mortgage Loan ID#1000043880**	3.00%	2/1/2035	OR		1,387,425			878,686
Mortgage Loan ID#1000002193	6.88%	5/1/2037	DC		990,000			876,413
Mortgage Loan ID#1000035099**	6.00%	7/1/2037	NY		999,000			761,647
Mortgage Loan ID#1000002189	5.13%	8/1/2055	NY		1,022,097			682,559
Mortgage Loan ID#1000016006**	7.15%	2/1/2037	NY		641,150			673,207
Mortgage Loan ID#1000043535**	5.34%	11/1/2044	NY		884,576			665,966
Mortgage Loan ID#1000035161**	7.75%	9/1/2037	NJ		632,986			650,414
Mortgage Loan ID#1000043772**	5.88%	7/1/2037	FL		920,218			629,582
Mortgage Loan ID#1000001411	3.00%	7/1/2047	CA		832,829			627,416
Mortgage Loan ID#1000000557**	6.90%	3/1/2037	NJ		990,473			604,913
Mortgage Loan ID#1000016663**	6.88%	5/1/2037	OR		799,863			590,264
Mortgage Loan ID#1000001651	3.00%	5/1/2055	FL		1,446,090			588,249
Mortgage Loan ID#1000034768**	3.00%	4/1/2036	NY		655,718			585,357
Mortgage Loan ID#1000043744**	6.38%	11/1/2036	CA		778,451			577,531
Mortgage Loan ID#1000035343**	6.50%	12/1/2043	CA		893,840			552,076
Mortgage Loan ID#1000026350**	6.50%	4/1/2037	NY		719,176			521,125
Mortgage Loan ID#1000015511**	2.00%	4/1/2052	WI		675,687			503,996
Mortgage Loan ID#1000026843**	5.88%	9/1/2035	CA		536,000			501,362
Mortgage Loan ID#1000026795**	3.00%	1/1/2049	CA		570,274			499,561
Mortgage Loan ID#1000015179**	4.25%	10/1/2043	CT		872,985			499,129
Mortgage Loan ID#1000043559**	2.88%	8/1/2045	VA		629,568			494,528
Mortgage Loan ID#1000026032**	4.00%	12/1/2036	HI		420,101			489,106
Mortgage Loan ID#1000043537**	7.38%	2/1/2038	NY		570,325			488,000
Mortgage Loan ID#1000027182**	7.00%	10/1/2037	NV		649,095			484,520
Mortgage Loan ID#1000038489	6.13%	11/1/2036	NY		590,000			484,031
Mortgage Loan ID#1000002404	3.44%	9/1/2036	NY		755,396			482,811
Mortgage Loan ID#1000016833**	6.50%	10/1/2037	NY		645,282			479,977
Mortgage Loan ID#1000026305**	5.88%	10/1/2036	CA		595,536			476,332
Mortgage Loan ID#1000043672**	6.38%	2/1/2038	NY		551,822			470,006
Mortgage Loan ID#1000043694**	5.50%	1/1/2043	CT		650,207			465,683
Mortgage Loan ID#1000001628	10.37%	5/1/2037	NY		451,250			465,197
Mortgage Loan ID#1000026020**	3.00%	6/1/2037	CA		550,959			463,390
Mortgage Loan ID#1000003907**	6.00%	7/1/2037	MD		579,090			459,094
Mortgage Loan ID#1000001631	8.88%	8/1/2037	NY		472,500			459,031
Mortgage Loan ID#1000000560**	6.80%	1/1/2037	NY		613,522			458,885
Mortgage Loan ID#1000002184	2.00%	5/1/2054	NY		810,457			456,296
Mortgage Loan ID#1000035850**	2.00%	4/1/2055	NY		728,241			449,751
Mortgage Loan ID#1000027234**	2.00%	1/1/2050	NY		672,823			440,563
Mortgage Loan ID#1000016710**	5.88%	12/1/2035	NJ		529,780			439,546
Mortgage Loan ID#1000034934**	2.00%	6/1/2054	NY		737,083			438,760
Mortgage Loan ID#1000002384	3.13%	11/1/2045	DC		746,238			436,412
Mortgage Loan ID#1000002164	2.75%	8/1/2037	CA		550,882			429,634
Mortgage Loan ID#1000002180	2.00%	8/1/2055	NY		774,392			424,063
Mortgage Loan ID#1000016011	8.99%	2/1/2037	FL		505,461			417,493
Mortgage Loan ID#1000002379	4.91%	3/1/2047	NY		561,407			413,232
Mortgage Loan ID#1000035426	2.00%	11/1/2039	CA		517,540			413,111
Mortgage Loan ID#1000015520**	8.00%	11/1/2037	GA		1,000,000			408,353
Mortgage Loan ID#1000043885**	5.50%	12/1/2055	MA		520,851			404,335
Mortgage Loan ID#1000026981**	2.00%	2/1/2053	MA		777,294			402,248
Mortgage Loan ID#1000015901	4.00%	3/1/2055	MA		497,764			401,626
Mortgage Loan ID#1000028356**	9.55%	4/1/2049	CT		459,101			398,641
Mortgage Loan ID#1000029087**	2.00%	2/1/2037	CA		374,503			393,228
Mortgage Loan ID#1000001402	5.00%	7/1/2048	CA		541,672			386,962
Mortgage Loan ID#1000027875**	6.20%	1/1/2035	NY		434,148			386,705
Mortgage Loan ID#1000002373	2.00%	12/1/2055	NY		659,562			385,620
Mortgage Loan ID#1000027226**	5.75%	6/1/2037	NY		449,000			385,271
Mortgage Loan ID#1000026575**	6.13%	4/1/2036	AZ		430,024			385,160
Mortgage Loan ID#1000016592**	3.13%	11/1/2035	CA		432,600			384,258
Mortgage Loan ID#1000028896**	2.00%	1/1/2052	NY		490,489			383,543
Mortgage Loan ID#1000002166	2.00%	1/1/2054	NY		575,965			381,708
Mortgage Loan ID#1000017201**	4.88%	4/1/2049	MD		514,078			381,645
Mortgage Loan ID#1000002398	10.00%	8/1/2037	NY		860,000			381,428
Mortgage Loan ID#1000003544	4.75%	10/1/2054	MA		498,368			380,147
Mortgage Loan ID#1000002148	4.00%	7/1/2037	NC		505,609			377,858
Mortgage Loan ID#1000015937**	3.25%	7/1/2055	CO		523,406			377,149
Mortgage Loan ID#1000028071**	6.25%	11/1/2035	NJ		504,420			374,320
Mortgage Loan ID#1000002149	2.75%	3/1/2037	NY		583,216			366,540
Mortgage Loan ID#1000026629**	3.00%	5/1/2037	CA		408,258			364,645
Mortgage Loan ID#1000002169	2.00%	4/1/2051	NY		523,338			363,019
Mortgage Loan ID#1000016028	8.00%	2/1/2037	MA		471,885			360,450
Mortgage Loan ID#1000043914**	6.50%	9/1/2036	NY		525,000			360,369
Mortgage Loan ID#1000000565**	8.40%	1/1/2037	NY		514,155			359,027
Mortgage Loan ID#1000043930**	2.00%	10/1/2052	MI		457,360			355,982
Mortgage Loan ID#1000002055	4.25%	2/1/2055	NY		760,964			355,650
Mortgage Loan ID#1000025942**	3.00%	4/1/2038	CA		619,582			355,422
Mortgage Loan ID#1000002161	2.00%	5/1/2054	NY		627,300			355,053
Mortgage Loan ID#1000043923**	2.75%	4/1/2037	MA		402,866			354,558
Mortgage Loan ID#1000002187	2.00%	3/1/2052	NY		501,767			350,537
Mortgage Loan ID#1000026767**	3.13%	12/1/2034	CA		391,588			347,977
Mortgage Loan ID#1000038487**	6.38%	6/1/2036	NY		444,734			346,387
Mortgage Loan ID#1000035760**	3.31%	11/1/2034	NJ		548,714			346,115
Mortgage Loan ID#1000002394	3.76%	5/1/2037	CT		657,256			346,021
Mortgage Loan ID#1000038435**	6.75%	7/1/2037	CA		486,017			345,418
Mortgage Loan ID#1000001612	4.87%	4/1/2037	AZ		513,766			345,327
Mortgage Loan ID#1000029225	3.00%	4/1/2037	NE		474,824			344,315
Mortgage Loan ID#1000015019**	4.50%	5/1/2035	CA		384,660			341,325
Mortgage Loan ID#1000002319	8.75%	7/1/2037	FL		324,882			341,126
Mortgage Loan ID#1000000562**	6.25%	3/1/2037	NY		415,538			339,609
Mortgage Loan ID#1000029085**	10.20%	2/1/2037	FL		427,283			334,586
Mortgage Loan ID#1000029387**	8.25%	6/1/2037	NY		600,000			333,978
Mortgage Loan ID#1000001463	4.98%	8/1/2047	CA		541,910			333,015
Mortgage Loan ID#1000035519**	5.25%	12/1/2036	MA		464,304			332,020
Mortgage Loan ID#1000002145	7.88%	3/1/2037	NY		412,500			331,351
Mortgage Loan ID#1000016921	6.85%	11/1/2036	NY		454,027			330,466
Mortgage Loan ID#1000029301**	3.00%	11/1/2036	CA		583,124			329,462
Mortgage Loan ID#1000003895**	2.63%	7/1/2037	MD		382,432			328,657
Mortgage Loan ID#1000043564**	7.00%	10/1/2037	NY		640,848			328,613
Mortgage Loan ID#1000015570	4.25%	6/1/2035	OR		457,152			327,839
Mortgage Loan ID#1000027630**	7.00%	12/1/2036	NJ		479,925			327,695
Mortgage Loan ID#1000029315**	3.00%	4/1/2037	CA		620,258			327,249
Mortgage Loan ID#1000002086	5.25%	5/1/2037	AZ		404,999			326,802
Mortgage Loan ID#1000026026**	7.00%	2/1/2037	NY		491,954			323,210
Mortgage Loan ID#1000000603**	2.75%	3/1/2039	UT		382,712			322,150
Mortgage Loan ID#1000002121	3.00%	7/1/2055	NY		564,059			321,382
Mortgage Loan ID#1000028993**	2.00%	11/1/2036	NJ		425,055			318,802
Mortgage Loan ID#1000002087	2.00%	4/1/2048	CA		468,295			318,035
Mortgage Loan ID#1000028933**	7.85%	11/1/2036	FL		398,252			316,942
Mortgage Loan ID#1000017076**	7.63%	12/1/2037	NY		438,280			313,841
Mortgage Loan ID#1000028059**	5.13%	12/1/2053	MD		445,421			313,836
Mortgage Loan ID#1000027464**	6.75%	2/1/2036	FL		502,188			313,167
Mortgage Loan ID#1000002171	3.63%	9/1/2055	NY		936,598			313,032
Mortgage Loan ID#1000038534**	5.75%	2/1/2038	NY		394,272			312,155
Mortgage Loan ID#1000043184**	2.88%	7/1/2045	CA		382,455			311,876
Mortgage Loan ID#1000029411**	10.75%	9/1/2037	FL		389,253			310,718
Mortgage Loan ID#1000016228**	5.75%	9/1/2035	NY		435,120			310,455
Mortgage Loan ID#1000035122**	5.00%	12/1/2043	IL		486,505			310,286
Mortgage Loan ID#1000029184**	9.54%	2/1/2037	NY		533,571			308,989
Mortgage Loan ID#1000002113	6.88%	5/1/2037	NV		374,789			308,964
Mortgage Loan ID#1000016313**	7.00%	10/1/2037	NY		413,491			308,273
Mortgage Loan ID#1000002075	5.63%	5/1/2037	FL		550,131			306,953
Mortgage Loan ID#1000003896**	4.13%	7/1/2053	MA		432,022			306,140
Mortgage Loan ID#1000028289**	4.00%	11/1/2046	MA		484,151			305,982
Mortgage Loan ID#1000043173**	2.00%	11/1/2049	NJ		385,048			305,830
Mortgage Loan ID#1000001626	3.00%	5/1/2055	NY		877,136			300,185
Mortgage Loan ID#1000001398	2.00%	8/1/2053	NY		434,931			299,433
Mortgage Loan ID#1000001047	7.50%	8/1/2037	CA		330,154			298,612
Mortgage Loan ID#1000002089	7.63%	5/1/2037	AZ		403,655			297,853
Mortgage Loan ID#1000035448**	4.00%	1/1/2049	CA		447,298			295,551
Mortgage Loan ID#1000016021**	8.65%	1/1/2037	NY		280,813			294,854
Mortgage Loan ID#1000000797	2.00%	5/1/2054	CA		365,758			294,472
Mortgage Loan ID#1000002341	4.00%	4/1/2047	CA		497,320			293,342
Mortgage Loan ID#1000029181**	3.00%	9/1/2035	MS		281,042			293,321
Mortgage Loan ID#1000044102	2.00%	12/1/2054	MA		583,071			288,675
Mortgage Loan ID#1000002167	3.50%	4/1/2037	NY		499,997			287,890
Mortgage Loan ID#1000002098	2.00%	8/1/2053	WA		420,553			287,288
Mortgage Loan ID#1000043702**	8.15%	5/1/2035	NY		296,197			285,380
Mortgage Loan ID#1000044014**	2.00%	2/1/2048	MD		578,257			285,316
Mortgage Loan ID#1000002117	5.14%	5/1/2037	NJ		465,434			285,257
Mortgage Loan ID#1000035785**	6.00%	1/1/2036	NY		428,000			283,200
Mortgage Loan ID#1000016402**	7.05%	12/1/2036	NY		352,869			279,490
Mortgage Loan ID#1000001994	5.00%	5/1/2037	CA		348,863			278,633
Mortgage Loan ID#1000029127**	4.00%	4/1/2055	CA		415,159			277,118
Mortgage Loan ID#1000034782**	5.88%	1/1/2037	FL		284,120			276,244
Mortgage Loan ID#1000043187	2.88%	3/1/2036	CA		338,788			275,840
Mortgage Loan ID#1000002108	5.00%	3/1/2037	NY		389,604			274,535
Mortgage Loan ID#1000026658**	2.00%	6/1/2042	NY		344,723			274,101
Mortgage Loan ID#1000043949**	2.00%	12/1/2054	MD		353,426			273,333
Mortgage Loan ID#1000043951**	8.90%	7/1/2037	FL		354,555			272,015
Mortgage Loan ID#1000001457	5.00%	9/1/2047	NJ		508,503			270,914
Mortgage Loan ID#1000029111**	3.88%	10/1/2053	CA		364,680			269,368
Mortgage Loan ID#1000029034**	2.00%	5/1/2054	CA		497,578			269,088
Mortgage Loan ID#1000025998**	3.00%	12/1/2053	CA		584,025			268,315
Mortgage Loan ID#1000000544**	6.00%	12/1/2038	NY		693,175			267,762
Mortgage Loan ID#1000016149**	6.13%	7/1/2037	FL		470,151			266,440
Mortgage Loan ID#1000001608	7.88%	3/1/2037	NY		464,000			264,152
Mortgage Loan ID#1000043521**	2.63%	10/1/2034	VA		324,280			262,715
Mortgage Loan ID#1000015922**	2.75%	12/1/2036	MO		490,460			261,499
Mortgage Loan ID#1000002367	4.65%	3/1/2037	NY		469,083			261,425
Mortgage Loan ID#1000026656**	2.00%	10/1/2051	GA		535,859			261,014
Mortgage Loan ID#1000029300**	3.00%	2/1/2037	CA		495,090			260,429
Mortgage Loan ID#1000043597**	7.00%	8/1/2037	NJ		429,998			260,334
Mortgage Loan ID#1000035004**	3.00%	2/1/2045	FL		316,412			260,225
Mortgage Loan ID#1000016786**	7.13%	8/1/2037	NY		384,213			259,112
Mortgage Loan ID#1000002092	4.13%	12/1/2054	NY		413,002			258,878
Mortgage Loan ID#1000026150**	7.75%	9/1/2034	PA		284,148			256,392
Mortgage Loan ID#1000025800	2.88%	3/1/2047	FL		413,372			256,356
Mortgage Loan ID#1000017406**	1.88%	8/1/2044	CA		323,135			255,035
Mortgage Loan ID#1000034816**	7.00%	10/1/2037	NY		441,943			253,556
Mortgage Loan ID#1000035642**	4.80%	9/1/2047	CO		285,377			251,870
Mortgage Loan ID#1000001611	7.24%	5/1/2037	NY		605,000			250,806
Mortgage Loan ID#1000003528	2.00%	9/1/2047	MD		359,494			249,768
Mortgage Loan ID#1000003667	3.50%	10/1/2036	MA		345,251			249,162
Mortgage Loan ID#1000043582**	3.00%	8/1/2035	TX		454,696			248,344
Mortgage Loan ID#1000029331**	2.00%	10/1/2055	NY		564,035			244,685
Mortgage Loan ID#1000000533	2.00%	2/1/2052	NY		316,234			244,436
Mortgage Loan ID#1000016758**	6.80%	8/1/2036	FL		364,363			243,382
Mortgage Loan ID#1000015500**	7.50%	7/1/2037	NY		504,000			242,865
Mortgage Loan ID#1000026051**	4.84%	9/1/2037	CA		271,408			242,282
Mortgage Loan ID#1000017154**	2.00%	6/1/2051	NJ		318,340			240,991
Mortgage Loan ID#1000002120	6.88%	9/1/2037	NJ		478,086			240,738
Mortgage Loan ID#1000016216**	7.00%	6/1/2034	NY		286,852			240,418
Mortgage Loan ID#1000034848**	5.63%	2/1/2038	NY		255,003			239,983
Mortgage Loan ID#1000044114**	5.55%	6/1/2047	CA		332,959			238,966
Mortgage Loan ID#1000026083**	2.00%	6/1/2043	CA		352,349			236,703
Mortgage Loan ID#1000026005**	4.38%	5/1/2037	CA		298,705			235,716
Mortgage Loan ID#1000028856**	2.00%	10/1/2036	NV		471,699			232,497
Mortgage Loan ID#1000003884	2.75%	5/1/2037	MA		277,970			232,221
Mortgage Loan ID#1000028873**	3.00%	10/1/2055	NY		591,147			232,050
Mortgage Loan ID#1000001404	3.00%	10/1/2047	NY		650,565			231,041
Mortgage Loan ID#1000017505**	3.50%	7/1/2026	FL		242,480			230,977
Mortgage Loan ID#1000026348**	6.50%	1/1/2037	NV		366,420			230,527
Mortgage Loan ID#1000035181**	7.13%	11/1/2037	NY		348,909			230,292
Mortgage Loan ID#1000000697**	9.00%	10/1/2037	FL		527,100			227,434
Mortgage Loan ID#1000043261**	8.00%	3/6/2049	NJ		288,028			227,160
Mortgage Loan ID#1000002069	6.13%	4/1/2037	CA		270,000			226,754
Mortgage Loan ID#1000026012	4.88%	8/1/2054	CA		311,211			226,689
Mortgage Loan ID#1000002029	3.25%	3/1/2037	CA		275,513			225,822
Mortgage Loan ID#1000035218**	8.86%	6/26/2024	NY		214,846			225,588
Mortgage Loan ID#1000026196**	9.45%	5/1/2037	MA		253,716			225,554
Mortgage Loan ID#1000001999	8.25%	2/1/2037	NJ		271,085			223,637
Mortgage Loan ID#1000025992**	3.00%	6/1/2050	CA		511,061			221,444
Mortgage Loan ID#1000043164**	2.63%	8/1/2035	AZ		305,838			220,551
Mortgage Loan ID#1000044147**	2.00%	1/1/2036	NY		367,136			219,621
Mortgage Loan ID#1000027243**	2.50%	6/1/2044	CA		380,135			219,504
Mortgage Loan ID#1000035967**	3.50%	1/1/2038	MD		410,507			218,103
Mortgage Loan ID#1000017367**	2.75%	10/1/2036	CO		298,058			217,078
Mortgage Loan ID#1000044110**	7.50%	5/1/2035	NY		215,158			216,598
Mortgage Loan ID#1000017521**	2.00%	1/1/2053	MD		501,029			216,414
Mortgage Loan ID#1000038468**	6.13%	5/1/2038	NY		531,936			216,337
Mortgage Loan ID#1000043641**	6.38%	9/1/2037	NY		504,303			215,127
Mortgage Loan ID#1000002363	3.63%	11/1/2055	NM		340,131			215,111
Mortgage Loan ID#1000043867**	8.64%	8/28/2037	FL		308,070			215,028
Mortgage Loan ID#1000001509	3.00%	4/1/2047	NY		602,954			213,874
Mortgage Loan ID#1000002066	4.00%	5/1/2047	CA		613,575			212,527
Mortgage Loan ID#1000017045**	10.38%	8/1/2035	MA		201,549			211,627
Mortgage Loan ID#1000002153	2.00%	11/1/2053	NV		452,154			209,144
Mortgage Loan ID#1000002320	3.13%	5/1/2037	AZ		401,845			209,076
Mortgage Loan ID#1000043617**	4.88%	12/1/2053	VA		343,541			208,969
Mortgage Loan ID#1000026282**	3.75%	8/1/2047	VA		352,678			207,949
Mortgage Loan ID#1000016081**	2.50%	1/1/2040	FL		434,274			207,699
Mortgage Loan ID#1000002332	7.88%	7/1/2037	NY		360,000			207,307
Mortgage Loan ID#1000027962**	6.00%	12/1/2049	CA		247,532			206,774
Mortgage Loan ID#1000015317**	2.00%	1/1/2052	VA		282,304			206,389
Mortgage Loan ID#1000002116	8.63%	8/1/2037	NY		450,000			206,372
Mortgage Loan ID#1000025961	4.63%	3/1/2054	MO		313,862			206,055
Mortgage Loan ID#1000000896**	7.38%	1/1/2038	CA		260,000			205,377
Mortgage Loan ID#1000003926**	3.88%	4/1/2034	MA		331,155			205,336
Mortgage Loan ID#1000000644**	6.25%	12/1/2036	VA		352,695			205,060
Mortgage Loan ID#1000027181**	6.50%	10/1/2037	FL		562,500			204,800
Mortgage Loan ID#1000026059**	3.00%	11/1/2050	IL		499,267			204,667
Mortgage Loan ID#1000001455	6.00%	8/1/2039	FL		253,478			204,042
Mortgage Loan ID#1000035744**	3.00%	9/1/2033	CA		227,442			203,836
Mortgage Loan ID#1000027997**	5.38%	11/1/2035	VA		222,315			203,472
Mortgage Loan ID#1000029131**	7.39%	8/1/2037	FL		217,567			203,363
Mortgage Loan ID#1000029217**	2.40%	1/1/2037	VA		345,316			202,485
Mortgage Loan ID#1000015919**	3.25%	7/1/2055	FL		404,425			202,311
Mortgage Loan ID#1000043895**	3.25%	10/1/2035	MA		276,553			201,852
Mortgage Loan ID#1000002088	7.63%	4/1/2037	NJ		290,000			201,210
Mortgage Loan ID#1000028864**	2.00%	7/1/2054	CA		445,270			200,568
Mortgage Loan ID#1000000293**	4.25%	12/1/2054	VT		468,473			198,216
Mortgage Loan ID#1000029089**	9.00%	4/1/2037	WA		188,711			198,147
Mortgage Loan ID#1000003614	4.25%	5/1/2055	MA		387,087			197,894
Mortgage Loan ID#1000026006**	7.00%	11/1/2037	WA		199,599			196,479
Mortgage Loan ID#1000002378	4.78%	5/1/2047	NY		367,204			196,116
Mortgage Loan ID#1000002214	3.00%	4/1/2055	CA		696,914			195,811
Mortgage Loan ID#1000002031	2.00%	1/1/2048	CA		416,728			194,817
Mortgage Loan ID#1000029234**	3.51%	3/1/2037	IL		302,490			194,415
Mortgage Loan ID#1000043637**	7.38%	12/1/2037	NY		250,260			194,261
Mortgage Loan ID#1000044249**	7.05%	12/1/2055	CT		296,612			194,117
Mortgage Loan ID#1000002062	4.88%	3/1/2054	NY		368,466			193,237
Mortgage Loan ID#1000029042**	4.88%	12/1/2053	PA		583,352			192,829
Mortgage Loan ID#1000034758**	5.88%	4/1/2052	WA		209,268			192,045
Mortgage Loan ID#1000029065**	3.00%	10/1/2053	CA		394,610			191,689
Mortgage Loan ID#1000043503**	8.49%	5/11/2039	NJ		201,435			191,485
Mortgage Loan ID#1000001588	9.25%	6/1/2047	NY		368,791			191,023
Mortgage Loan ID#1000028224**	6.00%	3/1/2033	NY		209,009			190,131
Mortgage Loan ID#1000001242	2.75%	6/1/2055	NY		276,081			189,710
Mortgage Loan ID#1000029134**	3.00%	7/1/2037	FL		281,736			189,638
Mortgage Loan ID#1000001355	2.50%	9/1/2037	FL		254,740			189,319
Mortgage Loan ID#1000026024**	2.00%	10/1/2052	CA		326,127			188,878
Mortgage Loan ID#1000043399	4.13%	9/1/2053	TX		228,217			188,239
Mortgage Loan ID#1000035357**	4.13%	1/1/2055	NY		238,643			188,034
Mortgage Loan ID#1000029254**	9.50%	2/1/2037	FL		433,287			187,741
Mortgage Loan ID#1000028857**	7.75%	9/1/2036	NY		455,000			187,320
Mortgage Loan ID#1000043574**	8.70%	9/1/2037	NJ		330,421			187,182
Mortgage Loan ID#1000001616	7.38%	12/1/2036	NJ		364,000			186,534
Mortgage Loan ID#1000043832**	4.32%	7/1/2038	MD		308,732			186,179
Mortgage Loan ID#1000000938**	2.63%	3/1/2038	CA		290,549			185,381
Mortgage Loan ID#1000015904**	2.00%	8/1/2051	NJ		370,295			185,099
Mortgage Loan ID#1000025997**	3.00%	12/1/2036	WA		373,645			184,930
Mortgage Loan ID#1000027641**	4.88%	1/1/2035	NJ		240,000			184,639
Mortgage Loan ID#1000001596	8.83%	5/1/2037	NY		408,500			184,427
Mortgage Loan ID#1000001621	8.00%	5/1/2037	NJ		385,884			183,548
Mortgage Loan ID#1000001610	9.38%	8/1/2037	NY		347,672			183,432
Mortgage Loan ID#1000043180**	4.00%	12/1/2049	NJ		239,425			182,687
Mortgage Loan ID#1000001580	3.00%	5/1/2054	FL		494,696			182,635
Mortgage Loan ID#1000028937**	2.00%	11/1/2036	NY		426,650			182,241
Mortgage Loan ID#1000003529	2.00%	11/1/2053	GA		362,451			181,656
Mortgage Loan ID#1000026003**	4.00%	6/1/2037	FL		209,157			180,096
Mortgage Loan ID#1000025940**	4.00%	4/1/2036	NH		263,174			179,762
Mortgage Loan ID#1000029151**	9.35%	12/1/2036	FL		270,872			179,323
Mortgage Loan ID#1000028805	2.00%	11/1/2036	NY		466,883			178,918
Mortgage Loan ID#1000003623	3.13%	12/1/2035	MA		251,222			178,275
Mortgage Loan ID#1000001683	8.33%	5/1/2037	TX		190,666			176,688
Mortgage Loan ID#1000025801**	7.88%	3/1/2047	FL		284,651			176,022
Mortgage Loan ID#1000026149**	7.13%	10/1/2035	NJ		177,901			174,653
Mortgage Loan ID#1000016152**	5.75%	5/1/2032	NY		101,254			174,498
Mortgage Loan ID#1000035314**	2.81%	1/1/2036	MD		218,926			173,971
Mortgage Loan ID#1000002021	3.25%	4/1/2037	NY		218,436			173,937
Mortgage Loan ID#1000034880	3.63%	11/1/2055	NJ		447,171			173,503
Mortgage Loan ID#1000029367**	7.00%	2/1/2037	NY		450,400			173,367
Mortgage Loan ID#1000043875**	3.13%	12/1/2034	NC		193,246			173,203
Mortgage Loan ID#1000001594	5.00%	4/1/2047	FL		474,101			172,203
Mortgage Loan ID#1000029165**	3.25%	7/1/2055	WA		375,265			172,130
Mortgage Loan ID#1000002101	2.00%	6/1/2054	CA		435,318			171,795
Mortgage Loan ID#1000017183**	4.00%	8/1/2037	FL		291,247			170,762
Mortgage Loan ID#1000028891**	3.88%	9/1/2053	VA		258,701			169,974
Mortgage Loan ID#1000044296**	3.63%	11/1/2055	IL		366,492			169,795
Mortgage Loan ID#1000026028**	3.43%	5/1/2041	CA		297,608			168,383
Mortgage Loan ID#1000029356**	2.00%	6/1/2046	CA		388,507			167,860
Mortgage Loan ID#1000038587**	2.00%	8/1/2055	PA		219,093			167,793
Mortgage Loan ID#1000026413**	5.13%	9/1/2035	MA		352,241			167,241
Mortgage Loan ID#1000001247	3.00%	11/1/2050	OH		267,674			166,817
Mortgage Loan ID#1000043516**	4.25%	9/1/2047	NJ		284,755			166,686
Mortgage Loan ID#1000029196**	2.00%	5/1/2052	CA		384,399			166,442
Mortgage Loan ID#1000001066	9.50%	9/1/2037	FL		203,067			165,881
Mortgage Loan ID#1000028998**	8.28%	1/1/2037	FL		227,050			165,241
Mortgage Loan ID#1000026356**	8.10%	1/1/2037	MD		294,756			164,867
Mortgage Loan ID#1000003663	8.25%	12/1/2036	WI		190,337			163,595
Mortgage Loan ID#1000043656**	6.50%	12/1/2036	DC		228,791			162,412
Mortgage Loan ID#1000027040**	2.00%	8/1/2039	AL		213,284			161,948
Mortgage Loan ID#1000000995	5.98%	10/1/2046	VA		275,932			161,434
Mortgage Loan ID#1000001022	8.50%	2/1/2037	FL		202,602			161,035
Mortgage Loan ID#1000027534**	7.13%	6/1/2048	FL		379,243			160,957
Mortgage Loan ID#1000028428**	4.00%	3/1/2055	CT		202,311			159,566
Mortgage Loan ID#1000003527	4.00%	9/1/2047	MD		386,000			158,793
Mortgage Loan ID#1000017341**	2.00%	4/1/2040	WA		222,823			158,066
Mortgage Loan ID#1000028925	7.20%	11/1/2036	FL		245,204			157,468
Mortgage Loan ID#1000028883**	7.00%	11/1/2036	FL		262,400			156,805
Mortgage Loan ID#1000034828**	6.63%	1/1/2038	NJ		184,785			155,157
Mortgage Loan ID#1000000658**	5.00%	7/1/2037	NY		269,313			154,768
Mortgage Loan ID#1000001442	2.00%	1/1/2055	NJ		272,413			154,442
Mortgage Loan ID#1000002369	4.00%	3/1/2037	NY		361,237			154,091
Mortgage Loan ID#1000044253**	7.50%	8/1/2036	PA		206,427			153,795
Mortgage Loan ID#1000044258	4.00%	1/1/2050	MA		388,471			153,753
Mortgage Loan ID#1000034994**	6.63%	5/1/2038	NJ		148,782			153,569
Mortgage Loan ID#1000002377	4.00%	5/1/2037	CA		206,738			153,096
Mortgage Loan ID#1000026597**	5.63%	10/1/2035	AZ		246,886			152,939
Mortgage Loan ID#1000015627**	6.75%	2/1/2037	NY		179,970			151,921
Mortgage Loan ID#1000016797**	6.99%	2/1/2035	NJ		152,794			151,870
Mortgage Loan ID#1000026749**	7.92%	2/25/2034	MI		146,182			151,328
Mortgage Loan ID#1000036021**	2.00%	7/1/2035	NY		312,636			151,314
Mortgage Loan ID#1000043804	5.00%	5/1/2054	NJ		510,446			151,215
Mortgage Loan ID#1000003516	4.13%	10/1/2053	MA		211,853			150,148
Mortgage Loan ID#1000038481	2.00%	12/1/2043	NJ		264,809			149,729
Mortgage Loan ID#1000026017**	2.00%	5/1/2037	CA		319,900			149,390
Mortgage Loan ID#1000043411**	2.00%	12/1/2044	MA		215,064			148,918
Mortgage Loan ID#1000027754**	4.85%	9/1/2038	WA		229,265			147,785
Mortgage Loan ID#1000017171**	6.00%	3/1/2049	GA		145,840			147,655
Mortgage Loan ID#1000017267**	4.00%	6/1/2055	NY		260,012			147,542
Mortgage Loan ID#1000003971**	4.50%	2/1/2037	MI		231,605			146,682
Mortgage Loan ID#1000002200	5.25%	6/1/2042	FL		221,052			146,560
Mortgage Loan ID#1000028957**	3.75%	4/1/2036	CO		171,853			146,424
Mortgage Loan ID#1000029011**	6.00%	8/1/2043	MI		165,828			146,166
Mortgage Loan ID#1000038507**	6.38%	5/1/2037	FL		300,000			146,003
Mortgage Loan ID#1000029329**	5.50%	5/1/2037	KS		204,337			145,091
Mortgage Loan ID#1000043360**	5.75%	1/1/2036	FL		236,383			145,015
Mortgage Loan ID#1000043950**	9.70%	6/1/2037	OR		183,348			144,994
Mortgage Loan ID#1000025949**	3.88%	4/1/2053	CA		337,988			144,855
Mortgage Loan ID#1000002310	6.00%	5/1/2037	ME		223,787			144,664
Mortgage Loan ID#1000044205**	7.60%	3/5/2036	MA		313,690			144,194
Mortgage Loan ID#1000017081**	6.75%	12/1/2033	WA		146,388			143,764
Mortgage Loan ID#1000017474**	3.00%	2/1/2037	IL		279,435			143,530
Mortgage Loan ID#1000043686**	2.00%	2/1/2055	FL		206,995			143,503
Mortgage Loan ID#1000035995**	3.00%	6/1/2039	WA		208,543			143,145
Mortgage Loan ID#1000001064	6.22%	8/1/2037	FL		196,123			142,436
Mortgage Loan ID#1000003647	2.00%	8/1/2043	MI		289,803			142,059
Mortgage Loan ID#1000003953	4.38%	5/1/2036	RI		178,570			142,021
Mortgage Loan ID#1000034960**	7.38%	4/1/2038	UT		140,314			141,962
Mortgage Loan ID#1000017452**	3.83%	4/1/2037	AZ		171,028			141,881
Mortgage Loan ID#1000003668	3.00%	9/1/2046	MD		343,822			141,521
Mortgage Loan ID#1000015875**	2.00%	10/1/2051	NY		195,665			141,068
Mortgage Loan ID#1000027941**	8.75%	1/1/2036	GA		189,174			140,555
Mortgage Loan ID#1000028922**	4.13%	10/1/2053	PA		215,371			139,967
Mortgage Loan ID#1000029345**	2.00%	12/1/2037	ME		226,430			139,496
Mortgage Loan ID#1000029198**	5.13%	11/1/2038	CA		312,355			138,653
Mortgage Loan ID#1000027353**	2.00%	6/1/2051	NY		264,919			138,333
Mortgage Loan ID#1000026022**	3.00%	1/1/2037	NV		370,751			138,119
Mortgage Loan ID#1000000662**	4.13%	1/1/2055	MN		229,469			137,331
Mortgage Loan ID#1000026109**	5.99%	10/1/2034	MA		222,625			137,229
Mortgage Loan ID#1000026229**	2.00%	10/1/2049	RI		319,004			137,176
Mortgage Loan ID#1000028410**	7.85%	6/1/2032	SC		132,934			136,851
Mortgage Loan ID#1000029044**	5.00%	3/1/2037	NJ		277,927			136,338
Mortgage Loan ID#1000002040	4.00%	7/1/2053	NC		197,851			136,002
Mortgage Loan ID#1000025982**	7.50%	1/1/2039	TX		132,281			135,308
Mortgage Loan ID#1000028488**	8.25%	12/1/2036	NY		134,640			134,828
Mortgage Loan ID#1000015280**	4.13%	4/1/2055	PA		255,048			134,528
Mortgage Loan ID#1000001327	4.78%	9/1/2047	CA		267,588			134,466
Mortgage Loan ID#1000027676	2.00%	4/1/2054	PA		181,799			134,085
Mortgage Loan ID#1000029231**	4.13%	5/1/2033	IL		657,024			134,081
Mortgage Loan ID#1000043979**	2.00%	9/1/2052	WA		175,365			133,903
Mortgage Loan ID#1000026019**	2.00%	2/1/2044	MD		179,143			133,863
Mortgage Loan ID#1000043544**	2.50%	6/1/2035	OH		179,019			133,436
Mortgage Loan ID#1000027053**	7.01%	3/12/2038	NJ		259,171			132,972
Mortgage Loan ID#1000016457**	8.00%	4/1/2037	IL		226,931			132,916
Mortgage Loan ID#1000015578**	7.50%	7/1/2041	GA		143,911			132,913
Mortgage Loan ID#1000003858**	2.75%	12/1/2037	GA		155,747			132,789
Mortgage Loan ID#1000026719**	3.00%	7/1/2034	TX		150,018			132,752
Mortgage Loan ID#1000015271**	3.00%	4/1/2047	IN		178,608			131,547
Mortgage Loan ID#1000028832	4.58%	10/1/2036	FL		601,406			131,394
Mortgage Loan ID#1000017411	3.50%	12/1/2055	FL		232,257			131,389
Mortgage Loan ID#1000028317**	8.13%	10/1/2037	MD		124,695			130,086
Mortgage Loan ID#1000026182**	4.75%	11/1/2054	CA		228,313			129,849
Mortgage Loan ID#1000017375**	5.00%	4/1/2054	MO		174,259			129,705
Mortgage Loan ID#1000017230**	4.13%	12/1/2054	NY		263,131			129,441
Mortgage Loan ID#1000001937	7.88%	3/1/2037	TX		139,444			129,028
Mortgage Loan ID#1000017513**	4.13%	8/1/2053	MA		184,622			129,013
Mortgage Loan ID#1000043731**	3.75%	4/1/2036	NJ		206,001			128,925
Mortgage Loan ID#1000025985**	4.78%	1/1/2037	TX		122,657			128,747
Mortgage Loan ID#1000000611	7.25%	3/1/2037	NY		130,475			128,390
Mortgage Loan ID#1000001961	5.00%	4/1/2054	CT		187,784			128,038
Mortgage Loan ID#1000000219**	3.75%	1/1/2037	IL		219,981			127,686
Mortgage Loan ID#1000028949**	3.00%	8/1/2032	FL		190,409			127,620
Mortgage Loan ID#1000026583**	2.00%	3/1/2051	MD		310,177			127,494
Mortgage Loan ID#1000029349**	10.63%	10/1/2037	FL		289,230			126,565
Mortgage Loan ID#1000044160**	5.13%	1/1/2054	OH		169,803			126,528
Mortgage Loan ID#1000026002**	2.00%	1/1/2042	CT		175,309			126,464
Mortgage Loan ID#1000001995	7.00%	4/1/2037	NY		216,015			126,337
Mortgage Loan ID#1000044250	8.65%	7/1/2021	NM		240,464			125,428
Mortgage Loan ID#1000028960**	8.25%	2/1/2037	NY		314,675			124,696
Mortgage Loan ID#1000043304**	9.59%	12/1/2036	IL		121,202			124,571
Mortgage Loan ID#1000043289**	5.50%	3/1/2037	IL		181,366			124,337
Mortgage Loan ID#1000017455**	5.88%	8/1/2037	SC		132,733			124,318
Mortgage Loan ID#1000001912	5.00%	5/1/2054	FL		176,659			124,098
Mortgage Loan ID#1000001449	2.00%	3/1/2052	CA		277,103			124,051
Mortgage Loan ID#1000029206**	11.38%	7/1/2037	NY		188,360			123,870
Mortgage Loan ID#1000043561**	4.13%	8/1/2053	AZ		165,006			123,625
Mortgage Loan ID#1000028793	2.00%	11/1/2053	NC		265,010			123,586
Mortgage Loan ID#1000028848**	2.00%	6/1/2036	RI		325,033			123,525
Mortgage Loan ID#1000027466**	8.40%	3/1/2036	NJ		283,206			123,199
Mortgage Loan ID#1000001346	2.50%	9/1/2037	TX		156,749			122,764
Mortgage Loan ID#1000027844**	2.00%	5/1/2051	MA		330,057			122,736
Mortgage Loan ID#1000028894**	3.88%	10/1/2036	FL		296,228			122,711
Mortgage Loan ID#1000028474	4.88%	4/1/2054	TX		139,761			122,447
Mortgage Loan ID#1000043850**	3.38%	8/1/2055	FL		346,470			122,446
Mortgage Loan ID#1000015930**	8.00%	8/1/2036	AZ		208,872			122,071
Mortgage Loan ID#1000027258**	8.25%	10/1/2037	AL		116,703			121,981
Mortgage Loan ID#1000027349**	3.25%	9/1/2055	CO		163,445			121,970
Mortgage Loan ID#1000026056**	6.00%	9/1/2037	OR		155,322			121,848
Mortgage Loan ID#1000001915	7.75%	8/1/2036	AZ		132,276			121,719
Mortgage Loan ID#1000035869**	4.00%	2/1/2037	MS		151,490			121,624
Mortgage Loan ID#1000027454**	3.88%	3/1/2053	NJ		345,428			121,579
Mortgage Loan ID#1000043469**	4.13%	1/1/2055	PA		154,388			120,704
Mortgage Loan ID#1000027985**	4.88%	3/1/2054	TN		153,719			120,672
Mortgage Loan ID#1000026007**	4.51%	6/1/2037	AZ		137,765			120,664
Mortgage Loan ID#1000043476	8.17%	9/7/2029	NV		161,986			120,231
Mortgage Loan ID#1000043827**	3.25%	7/1/2055	PA		171,834			120,203
Mortgage Loan ID#1000026014**	3.25%	8/1/2038	OR		205,455			120,172
Mortgage Loan ID#1000000399**	5.75%	12/1/2037	NJ		213,495			119,965
Mortgage Loan ID#1000017335**	2.63%	7/1/2049	VA		247,927			119,937
Mortgage Loan ID#1000017068**	4.00%	10/1/2037	MD		197,688			119,919
Mortgage Loan ID#1000002340	4.45%	4/1/2037	DC		213,060			119,897
Mortgage Loan ID#1000001431	4.13%	9/1/2053	NY		185,621			119,837
Mortgage Loan ID#1000026544**	3.25%	7/1/2055	MA		229,358			119,747
Mortgage Loan ID#1000002199	2.00%	12/1/2053	NJ		487,788			119,627
Mortgage Loan ID#1000028216**	6.38%	11/1/2037	NJ		434,011			119,486
Mortgage Loan ID#1000028969**	3.63%	11/1/2055	MD		300,778			119,117
Mortgage Loan ID#1000028995	2.00%	8/1/2051	PA		347,271			118,969
Mortgage Loan ID#1000029147**	2.06%	3/1/2037	FL		216,289			118,952
Mortgage Loan ID#1000029219**	3.50%	9/1/2055	FL		209,957			118,812
Mortgage Loan ID#1000015960**	4.00%	12/1/2049	OR		201,647			118,049
Mortgage Loan ID#1000043594**	7.90%	6/1/2037	IN		135,622			117,713
Mortgage Loan ID#1000026463**	3.63%	11/1/2055	MD		301,901			117,364
Mortgage Loan ID#1000026938**	7.64%	12/1/2036	NY		171,334			117,233
Mortgage Loan ID#1000028173**	5.83%	7/1/2037	WA		162,457			117,175
Mortgage Loan ID#1000025967**	9.25%	10/1/2036	PA		111,667			116,417
Mortgage Loan ID#1000016611**	5.88%	4/1/2034	IL		207,774			116,228
Mortgage Loan ID#1000000439**	4.88%	3/1/2054	AL		316,111			116,077
Mortgage Loan ID#1000002215	7.88%	12/1/2039	NC		204,888			116,050
Mortgage Loan ID#1000001369	6.80%	7/1/2037	IL		309,379			115,840
Mortgage Loan ID#1000017330**	5.02%	1/1/2037	CT		209,804			115,839
Mortgage Loan ID#1000043815**	4.75%	11/1/2054	NY		198,159			115,489
Mortgage Loan ID#1000034988**	2.00%	7/1/2049	FL		185,627			115,489
Mortgage Loan ID#1000028502**	2.00%	6/1/2046	MD		155,891			115,162
Mortgage Loan ID#1000026254**	3.50%	11/1/2037	VA		409,382			115,028
Mortgage Loan ID#1000001966	2.00%	3/1/2046	CT		246,029			115,013
Mortgage Loan ID#1000026016**	2.00%	12/1/2045	NM		246,338			114,932
Mortgage Loan ID#1000043217**	5.13%	9/1/2034	OH		126,671			114,861
Mortgage Loan ID#1000035666**	7.62%	2/1/2032	NY		122,900			114,496
Mortgage Loan ID#1000044020	3.40%	1/1/2038	IL		178,611			114,434
Mortgage Loan ID#1000001259	3.75%	8/1/2037	FL		302,750			114,196
Mortgage Loan ID#1000015336**	8.26%	9/1/2037	MN		111,574			113,937
Mortgage Loan ID#1000001943	5.80%	8/1/2037	MT		148,155			113,828
Mortgage Loan ID#1000002289	6.00%	4/1/2037	AZ		141,921			113,415
Mortgage Loan ID#1000043284**	7.75%	11/1/2035	FL		161,248			113,364
Mortgage Loan ID#1000035724**	2.00%	1/1/2045	CA		195,750			113,332
Mortgage Loan ID#1000026034**	3.00%	3/1/2037	CA		302,093			113,178
Mortgage Loan ID#1000003856**	2.63%	12/1/2037	AR		132,333			112,948
Mortgage Loan ID#1000028865**	7.40%	10/1/2036	FL		161,600			112,799
Mortgage Loan ID#1000026021**	4.00%	9/1/2050	IL		260,324			112,778
Mortgage Loan ID#1000026546**	4.88%	3/1/2035	VA		147,966			112,466
Mortgage Loan ID#1000044215**	4.00%	5/1/2055	TX		135,553			112,424
Mortgage Loan ID#1000017245**	7.89%	11/1/2035	CA		152,130			111,504
Mortgage Loan ID#1000015866**	2.00%	12/1/2046	PA		204,892			111,423
Mortgage Loan ID#1000014966**	3.00%	12/1/2050	MD		180,608			111,388
Mortgage Loan ID#1000001948	7.63%	5/1/2037	VA		120,849			111,252
Mortgage Loan ID#1000003880**	7.38%	12/1/2037	MA		263,504			111,222
Mortgage Loan ID#1000001920	7.13%	7/1/2036	AZ		125,411			110,843
Mortgage Loan ID#1000029143**	4.00%	8/1/2053	PA		139,023			110,691
Mortgage Loan ID#1000044113**	6.90%	12/1/2034	FL		146,698			110,599
Mortgage Loan ID#1000028798**	4.84%	11/1/2036	OH		124,618			110,340
Mortgage Loan ID#1000001904	7.63%	2/1/2037	TX		119,865			110,020
Mortgage Loan ID#1000015257**	3.25%	8/1/2055	PA		161,952			109,716
Mortgage Loan ID#1000015924**	7.51%	8/1/2037	FL		164,700			109,333
Mortgage Loan ID#1000017485**	6.80%	4/1/2033	OH		111,500			109,331
Mortgage Loan ID#1000000677**	5.00%	11/1/2055	FL		148,157			108,989
Mortgage Loan ID#1000029283**	3.25%	11/1/2036	NY		320,436			108,977
Mortgage Loan ID#1000015325**	5.04%	7/1/2047	CT		205,292			108,884
Mortgage Loan ID#1000017418**	3.75%	12/1/2036	FL		211,982			108,522
Mortgage Loan ID#1000035033**	7.00%	10/1/2037	NJ		152,649			108,311
Mortgage Loan ID#1000016520**	2.50%	10/1/2055	FL		137,017			108,208
Mortgage Loan ID#1000034776**	5.00%	9/1/2051	IN		138,541			108,188
Mortgage Loan ID#1000016038**	6.99%	3/1/2037	DE		152,305			107,738
Mortgage Loan ID#1000015963**	2.75%	3/1/2037	FL		166,400			107,529
Mortgage Loan ID#1000029282**	3.38%	10/1/2055	CT		171,523			107,185
Mortgage Loan ID#1000028447**	3.50%	8/1/2043	NC		193,887			106,982
Mortgage Loan ID#1000043414**	4.38%	10/1/2052	NC		131,894			��         106,975
Mortgage Loan ID#1000003489	7.13%	3/1/2037	WI		123,625			106,781
Mortgage Loan ID#1000036067**	6.95%	6/1/2035	MD		106,798			106,576
Mortgage Loan ID#1000001344	2.00%	8/1/2053	FL		219,634			106,553
Mortgage Loan ID#1000026110**	2.00%	6/1/2045	SC		231,336			106,503
Mortgage Loan ID#1000043555**	5.38%	3/1/2038	NC		154,835			106,207
Mortgage Loan ID#1000027397**	2.00%	2/1/2037	CT		260,453			105,800
Mortgage Loan ID#1000016888**	2.00%	1/1/2051	WI		139,337			105,721
Mortgage Loan ID#1000016883**	8.40%	1/1/2036	NJ		151,309			105,720
Mortgage Loan ID#1000043257**	4.00%	8/1/2039	FL		191,030			105,605
Mortgage Loan ID#1000027808**	3.00%	2/1/2034	GA		161,040			105,010
Mortgage Loan ID#1000029109**	7.50%	5/1/2032	IL		116,395			104,969
Mortgage Loan ID#1000029170**	2.00%	1/1/2037	PA		145,702			104,514
Mortgage Loan ID#1000028191**	3.25%	9/1/2055	PA		194,552			104,474
Mortgage Loan ID#1000043416**	5.00%	3/1/2038	CT		256,118			103,961
Mortgage Loan ID#1000026752**	4.75%	10/1/2054	OH		180,382			103,815
Mortgage Loan ID#1000043833**	6.38%	2/1/2034	NY		115,112			103,562
Mortgage Loan ID#1000002359	8.63%	4/1/2037	NY		259,846			102,983
Mortgage Loan ID#1000028440**	3.00%	8/1/2055	NY		131,727			102,796
Mortgage Loan ID#1000001928	6.38%	9/1/2036	CO		120,691			102,758
Mortgage Loan ID#1000029341**	4.00%	2/1/2053	MD		149,103			102,324
Mortgage Loan ID#1000034882**	6.38%	7/1/2036	NJ		202,992			102,253
Mortgage Loan ID#1000001924	5.00%	3/1/2047	WA		231,618			102,059
Mortgage Loan ID#1000028465**	4.80%	2/1/2036	OR		127,615			101,949
Mortgage Loan ID#1000026667**	6.40%	4/1/2036	MI		140,403			101,941
Mortgage Loan ID#1000029137**	2.00%	11/1/2044	FL		233,377			101,834
Mortgage Loan ID#1000029409**	4.84%	9/1/2037	CA		122,194			101,760
Mortgage Loan ID#1000015261**	4.88%	8/1/2054	PA		117,775			100,261
Mortgage Loan ID#1000025973**	3.00%	11/1/2054	PA		297,950			100,232
Mortgage Loan ID#1000043400**	7.99%	7/1/2037	OH		140,107			100,195
Mortgage Loan ID#1000026058**	6.13%	5/1/2034	TX		130,620			99,663
Mortgage Loan ID#1000038567**	6.13%	3/1/2036	ME		112,319			99,613
Mortgage Loan ID#1000043977**	9.79%	11/1/2037	TX		126,368			98,883
Mortgage Loan ID#1000027403**	5.38%	4/1/2036	WI		202,915			98,759
Mortgage Loan ID#1000017468**	2.00%	6/1/2044	NJ		174,175			98,514
Mortgage Loan ID#1000035194**	9.38%	5/1/2037	RI		298,641			98,496
Mortgage Loan ID#1000017460**	7.00%	3/1/2049	FL		234,309			98,437
Mortgage Loan ID#1000001326	3.88%	8/1/2047	FL		134,106			98,392
Mortgage Loan ID#1000035479**	7.95%	3/1/2037	FL		182,472			98,354
Mortgage Loan ID#1000028840**	3.19%	10/1/2055	FL		270,012			98,317
Mortgage Loan ID#1000001983	5.00%	3/1/2037	FL		133,019			98,060
Mortgage Loan ID#1000026334	5.13%	6/1/2054	MD		201,731			97,964
Mortgage Loan ID#1000044209**	4.13%	6/1/2036	LA		104,436			97,692
Mortgage Loan ID#1000001569	2.00%	6/1/2053	FL		227,095			97,673
Mortgage Loan ID#1000027480**	7.84%	6/1/2036	FL		183,257			97,595
Mortgage Loan ID#1000017383**	3.88%	7/1/2037	TX		157,448			97,556
Mortgage Loan ID#1000001840	4.86%	2/1/2047	MN		162,378			97,526
Mortgage Loan ID#1000028156**	5.99%	6/1/2037	NJ		171,886			96,966
Mortgage Loan ID#1000043863**	3.00%	11/1/2034	IL		173,654			96,580
Mortgage Loan ID#1000044087**	6.06%	11/28/2034	MO		175,286			96,516
Mortgage Loan ID#1000001619	2.00%	5/1/2037	CA		181,064			96,253
Mortgage Loan ID#1000044181**	6.75%	6/1/2037	MI		137,066			96,037
Mortgage Loan ID#1000028902**	10.25%	10/1/2021	PA		98,962			95,645
Mortgage Loan ID#1000001225	4.82%	4/1/2031	FL		182,124			95,459
Mortgage Loan ID#1000043320**	4.88%	12/1/2053	WI		207,756			95,423
Mortgage Loan ID#1000027668**	2.63%	1/1/2035	OH		156,450			95,385
Mortgage Loan ID#1000043128	6.86%	5/9/2033	NJ		102,661			95,182
Mortgage Loan ID#1000017321**	5.15%	2/1/2036	MD		175,846			95,005
Mortgage Loan ID#1000002011	2.00%	12/1/2053	FL		484,928			94,928
Mortgage Loan ID#1000015608**	4.00%	4/1/2055	FL		124,704			94,644
Mortgage Loan ID#1000026604**	2.00%	11/1/2051	GA		169,169			94,628
Mortgage Loan ID#1000015566**	2.00%	1/1/2051	FL		166,234			94,256
Mortgage Loan ID#1000025964**	4.13%	12/1/2054	PA		115,650			94,219
Mortgage Loan ID#1000035224**	6.78%	5/1/2033	NY		117,035			94,095
Mortgage Loan ID#1000015314**	3.25%	3/1/2049	IN		125,848			93,952
Mortgage Loan ID#1000029122	4.75%	6/1/2054	FL		167,763			93,895
Mortgage Loan ID#1000015929	6.13%	8/1/2036	NY		114,387			93,759
Mortgage Loan ID#1000027341**	8.55%	7/1/2029	TX		98,697			93,292
Mortgage Loan ID#1000028180**	4.13%	8/1/2053	PA		110,940			93,086
Mortgage Loan ID#1000001827	8.50%	9/1/2037	IN		103,376			92,950
Mortgage Loan ID#1000001128	5.00%	11/1/2036	FL		121,690			92,718
Mortgage Loan ID#1000029115**	2.00%	7/1/2037	CA		370,718			92,700
Mortgage Loan ID#1000003513	2.38%	3/1/2037	GA		133,241			92,363
Mortgage Loan ID#1000029316**	8.45%	5/1/2037	TX		90,910			92,320
Mortgage Loan ID#1000017458**	4.25%	1/1/2055	VA		140,754			91,082
Mortgage Loan ID#1000001921	7.75%	5/1/2037	VA		130,093			91,002
Mortgage Loan ID#1000027869**	3.25%	3/1/2037	LA		183,007			��   90,797
Mortgage Loan ID#1000035535**	3.00%	3/1/2051	LA		118,306			90,566
Mortgage Loan ID#1000028919**	4.13%	3/1/2055	NM		266,617			90,546
Mortgage Loan ID#1000029008	2.00%	2/1/2037	FL		314,834			90,522
Mortgage Loan ID#1000028936**	5.00%	5/1/2054	NY		411,453			89,816
Mortgage Loan ID#1000015452**	4.00%	9/1/2053	MO		212,012			89,612
Mortgage Loan ID#1000001800	7.88%	4/1/2037	NY		102,570			89,571
Mortgage Loan ID#1000027352**	7.88%	5/1/2035	OH		93,281			89,516
Mortgage Loan ID#1000027400**	7.75%	4/1/2036	NY		229,668			89,108
Mortgage Loan ID#1000029135**	7.65%	7/1/2037	IL		149,661			88,806
Mortgage Loan ID#1000035732**	4.13%	8/1/2053	OR		143,726			88,620
Mortgage Loan ID#1000016053**	9.25%	4/1/2037	ME		119,370			88,582
Mortgage Loan ID#1000044104	2.50%	1/1/2035	TX		153,631			88,482
Mortgage Loan ID#1000025959**	2.25%	10/1/2038	KS		154,221			88,478
Mortgage Loan ID#1000028008**	7.13%	12/1/2032	AL		105,851			88,278
Mortgage Loan ID#1000043752**	6.99%	12/1/2036	OK		89,167			88,021
Mortgage Loan ID#1000028202**	9.23%	12/22/2038	MD		186,144			88,011
Mortgage Loan ID#1000026614**	4.88%	7/1/2054	NC		146,162			87,825
Mortgage Loan ID#1000015532**	3.75%	9/1/2055	SC		207,881			87,743
Mortgage Loan ID#1000026136**	10.84%	2/1/2029	GA		91,383			87,344
Mortgage Loan ID#1000029180**	8.60%	2/1/2037	OH		143,347			87,044
Mortgage Loan ID#1000027437**	9.69%	9/22/2036	NY		114,538			86,985
Mortgage Loan ID#1000028441	5.00%	6/1/2043	FL		244,477			86,856
Mortgage Loan ID#1000017410**	4.88%	9/1/2039	MI		137,845			84,998
Mortgage Loan ID#1000029027**	4.63%	8/1/2037	AZ		304,456			84,473
Mortgage Loan ID#1000025987**	7.50%	1/1/2037	WI		178,211			84,348
Mortgage Loan ID#1000029186	3.00%	7/1/2054	FL		209,459			83,920
Mortgage Loan ID#1000017039**	3.00%	12/1/2048	FL		256,484			83,876
Mortgage Loan ID#1000017525**	4.00%	4/1/2055	MD		170,157			83,450
Mortgage Loan ID#1000003508	4.00%	7/1/2053	GA		114,514			83,090
Mortgage Loan ID#1000029172**	3.25%	9/1/2055	FL		119,058			82,856
Mortgage Loan ID#1000001464	3.00%	6/1/2055	IL		266,751			82,574
Mortgage Loan ID#1000003627	3.00%	11/1/2052	WI		161,261			82,249
Mortgage Loan ID#1000034925**	2.00%	5/1/2047	FL		244,566			82,152
Mortgage Loan ID#1000043575**	5.88%	6/1/2036	NY		177,408			81,848
Mortgage Loan ID#1000026553	2.00%	3/1/2038	IL		285,953			81,837
Mortgage Loan ID#1000016194**	6.88%	8/1/2018	NY		89,843			81,688
Mortgage Loan ID#1000001910	3.00%	7/1/2047	NV		244,095			81,323
Mortgage Loan ID#1000026200**	4.00%	5/1/2055	MA		243,102			80,727
Mortgage Loan ID#1000043137**	7.85%	8/5/2034	FL		101,296			80,000
Mortgage Loan ID#1000044193**	4.00%	11/1/2048	NC		176,510			79,873
Mortgage Loan ID#1000035629**	3.00%	8/1/2054	DE		175,543			79,841
Mortgage Loan ID#1000043722**	6.75%	2/1/2037	PA		91,253			79,817
Mortgage Loan ID#1000001793	8.50%	9/1/2037	NY		85,567			79,455
Mortgage Loan ID#1000043946**	2.00%	11/1/2050	MA		160,716			79,245
Mortgage Loan ID#1000035205**	2.75%	6/1/2032	CO		141,119			79,149
Mortgage Loan ID#1000000903**	7.38%	1/1/2038	CA		135,000			79,056
Mortgage Loan ID#1000028931**	2.00%	10/1/2036	CT		226,749			78,950
Mortgage Loan ID#1000027380**	4.00%	5/1/2055	TX		102,011			78,840
Mortgage Loan ID#1000000440**	2.63%	1/1/2038	TX		89,666			78,761
Mortgage Loan ID#1000027358**	7.80%	12/1/2034	IL		118,881			78,213
Mortgage Loan ID#1000027105**	8.75%	9/21/2037	OR		153,228			77,586
Mortgage Loan ID#1000038454**	6.50%	1/1/2038	NJ		127,627			77,076
Mortgage Loan ID#1000043462**	8.96%	3/1/2037	NY		142,563			76,620
Mortgage Loan ID#1000044116**	6.95%	12/1/2034	NJ		152,610			76,547
Mortgage Loan ID#1000027174**	4.25%	2/1/2055	MA		338,430			76,493
Mortgage Loan ID#1000025970**	7.00%	1/1/2037	SD		83,226			76,375
Mortgage Loan ID#1000026256**	8.75%	8/1/2035	FL		143,301			76,369
Mortgage Loan ID#1000035041**	6.25%	1/1/2038	NJ		242,563			76,253
Mortgage Loan ID#1000026986**	3.25%	9/1/2055	AL		162,326			76,114
Mortgage Loan ID#1000001265	3.00%	6/1/2047	FL		266,995			75,729
Mortgage Loan ID#1000028487**	5.13%	5/1/2038	TN		122,266			75,604
Mortgage Loan ID#1000035363	2.75%	12/1/2024	CA		83,808			75,543
Mortgage Loan ID#1000043746**	4.88%	8/1/2044	CT		169,089			75,525
Mortgage Loan ID#1000000365**	11.75%	10/1/2037	VA		111,200			75,237
Mortgage Loan ID#1000029422**	7.30%	10/1/2036	FL		191,565			75,189
Mortgage Loan ID#1000043928**	7.99%	7/1/2036	TX		105,562			74,998
Mortgage Loan ID#1000001822	2.00%	1/1/2051	FL		158,835			74,711
Mortgage Loan ID#1000017518**	3.38%	8/1/2055	NJ		172,626			74,420
Mortgage Loan ID#1000003477	2.00%	1/1/2052	MS		124,601			74,222
Mortgage Loan ID#1000028909**	2.00%	9/1/2054	CA		224,723			73,707
Mortgage Loan ID#1000025968**	7.50%	10/1/2036	CA		182,347			73,335
Mortgage Loan ID#1000015282**	2.00%	3/1/2051	LA		127,695			72,905
Mortgage Loan ID#1000028235**	2.00%	8/1/2051	MN		145,764			72,866
Mortgage Loan ID#1000026384**	4.00%	9/1/2053	MN		134,820			72,435
Mortgage Loan ID#1000044235**	6.85%	1/26/2036	NJ		90,853			72,420
Mortgage Loan ID#1000027365**	2.00%	8/1/2027	GA		132,719			72,069
Mortgage Loan ID#1000029060**	2.00%	6/1/2054	LA		100,386			71,518
Mortgage Loan ID#1000015277**	4.88%	12/1/2053	MD		89,268			71,153
Mortgage Loan ID#1000027381**	11.50%	10/1/2035	NC		68,181			70,977
Mortgage Loan ID#1000026712**	4.88%	1/1/2036	TX		83,244			70,739
Mortgage Loan ID#1000015565**	8.70%	12/1/2034	NY		67,138			70,495
Mortgage Loan ID#1000038442**	4.13%	10/1/2053	OK		147,888			70,479
Mortgage Loan ID#1000043409**	5.15%	11/1/2042	VA		107,222			70,385
Mortgage Loan ID#1000014981**	4.82%	6/1/2044	IL		116,837			70,219
Mortgage Loan ID#1000029423**	3.40%	6/1/2044	TX		92,784			70,072
Mortgage Loan ID#1000002009	3.00%	7/1/2054	NJ		347,290			69,752
Mortgage Loan ID#1000017362**	5.25%	3/1/2036	NY		115,528			69,366
Mortgage Loan ID#1000029163**	5.40%	2/1/2037	PA		99,381			69,349
Mortgage Loan ID#1000002006	7.75%	3/1/2037	FL		74,985			68,678
Mortgage Loan ID#1000000706**	2.75%	8/1/2037	FL		231,992			68,552
Mortgage Loan ID#1000028406**	7.50%	5/1/2035	NY		90,270			68,546
Mortgage Loan ID#1000001271	2.25%	6/1/2037	NJ		365,079			68,230
Mortgage Loan ID#1000015637**	4.25%	12/1/2054	AL		122,701			67,550
Mortgage Loan ID#1000001853	4.00%	4/1/2047	FL		121,089			67,230
Mortgage Loan ID#1000000621**	4.50%	11/1/2053	KY		96,755			67,203
Mortgage Loan ID#1000001546	4.88%	5/1/2054	NC		97,956			67,124
Mortgage Loan ID#1000015272**	7.83%	2/1/2037	TX		63,849			67,041
Mortgage Loan ID#1000025934**	6.50%	10/1/2043	TN		118,938			66,799
Mortgage Loan ID#1000015651**	8.70%	6/1/2036	TX		63,391			66,022
Mortgage Loan ID#1000001521	2.00%	10/1/2041	NE		117,600			65,824
Mortgage Loan ID#1000038580**	6.75%	9/1/2037	CO		96,436			65,261
Mortgage Loan ID#1000000563**	8.99%	2/1/2037	AZ		82,151			65,184
Mortgage Loan ID#1000028837**	7.13%	10/1/2028	OH		66,402			64,721
Mortgage Loan ID#1000025927**	3.61%	5/1/2036	ID		61,612			64,513
Mortgage Loan ID#1000026506**	4.13%	2/1/2055	FL		118,148			64,391
Mortgage Loan ID#1000000426**	2.63%	1/1/2038	CO		145,574			64,362
Mortgage Loan ID#1000014997**	7.88%	6/1/2024	NY		61,049			64,102
Mortgage Loan ID#1000027209**	4.63%	3/1/2054	IL		178,734			64,010
Mortgage Loan ID#1000003506	5.00%	5/1/2037	MI		107,448			63,889
Mortgage Loan ID#1000044092**	6.99%	7/1/2024	PA		64,494			63,741
Mortgage Loan ID#1000015276**	6.93%	4/1/2044	PA		129,727			62,334
Mortgage Loan ID#1000035844**	5.75%	4/1/2047	SC		231,898			62,188
Mortgage Loan ID#1000044075**	11.99%	10/1/2029	PA		61,243			61,927
Mortgage Loan ID#1000028177**	4.13%	2/1/2055	PA		134,811			61,081
Mortgage Loan ID#1000026464**	7.50%	8/1/2035	WI		58,432			60,988
Mortgage Loan ID#1000001830	3.00%	3/1/2047	NV		161,021			60,617
Mortgage Loan ID#1000027625**	4.88%	2/1/2054	WI		170,894			60,257
Mortgage Loan ID#1000043981**	2.00%	9/1/2042	NC		122,242			60,049
Mortgage Loan ID#1000043995**	2.00%	1/1/2045	IL		306,860			59,938
Mortgage Loan ID#1000001233	2.00%	1/1/2047	IL		132,743			59,724
Mortgage Loan ID#1000003504	4.00%	5/1/2055	AR		89,098			59,701
Mortgage Loan ID#1002229098	8.00%	12/1/2025	GA		56,503			59,328
Mortgage Loan ID#1000003418	2.00%	3/1/2037	NY		103,994			59,290
Mortgage Loan ID#1000035249**	9.00%	6/1/2027	NY		57,244			59,268
Mortgage Loan ID#1000016784**	8.25%	5/1/2037	FL		197,654			59,070
Mortgage Loan ID#1000017401**	2.00%	1/1/2051	IN		109,427			59,040
Mortgage Loan ID#1000002002	2.00%	4/1/2051	IL		257,675			58,898
Mortgage Loan ID#1000027126**	3.75%	4/1/2034	IL		158,133			58,609
Mortgage Loan ID#1000028943**	2.00%	6/1/2053	FL		296,806			57,926
Mortgage Loan ID#1000035990**	2.00%	2/1/2052	LA		145,981			57,875
Mortgage Loan ID#1000016084	5.13%	1/1/2054	LA		72,235			57,205
Mortgage Loan ID#1000015229**	4.78%	7/1/2044	IA		123,451			57,018
Mortgage Loan ID#1000015268**	4.85%	10/1/2050	FL		159,583			56,869
Mortgage Loan ID#1000027318**	3.38%	9/1/2055	OH		85,143			56,500
Mortgage Loan ID#1000015563**	4.00%	10/1/2053	LA		68,346			56,389
Mortgage Loan ID#1000001792	2.00%	6/1/2054	SC		98,541			56,138
Mortgage Loan ID#1000025947**	4.25%	3/1/2055	KS		72,008			56,086
Mortgage Loan ID#1000000376**	11.13%	10/1/2037	NY		53,400			55,575
Mortgage Loan ID#1000044196**	7.99%	1/1/2036	MD		148,017			55,429
Mortgage Loan ID#1000036109**	6.74%	2/21/2034	NY		80,087			55,416
Mortgage Loan ID#1000001834	8.75%	5/1/2037	NV		169,526			55,311
Mortgage Loan ID#1000025935**	4.13%	8/1/2053	PA		210,627			55,163
Mortgage Loan ID#1000015260**	4.00%	12/1/2036	GA		92,675			55,125
Mortgage Loan ID#1000017447**	8.15%	2/1/2036	AL		66,816			54,832
Mortgage Loan ID#1000025958**	4.13%	11/1/2053	WI		129,504			54,816
Mortgage Loan ID#1000026454**	2.00%	6/1/2051	IA		74,993			54,486
Mortgage Loan ID#7000014317	5.25%	3/1/2042	VA		132,032			54,319
Mortgage Loan ID#1000027361**	7.45%	12/1/2025	LA		55,488			54,236
Mortgage Loan ID#1000001589	2.63%	3/1/2037	NJ		273,606			54,205
Mortgage Loan ID#1000026230**	7.25%	12/1/2035	FL		76,965			54,160
Mortgage Loan ID#1000003512	3.13%	11/1/2034	GA		101,445			53,878
Mortgage Loan ID#1000043563**	3.88%	2/1/2037	FL		225,734			53,818
Mortgage Loan ID#1000016068**	10.18%	2/1/2037	FL		288,111			53,577
Mortgage Loan ID#1000015971	2.00%	2/1/2038	IL		74,830			53,391
Mortgage Loan ID#1000034773**	5.13%	5/1/2050	PA		70,166			53,344
Mortgage Loan ID#1000043682**	2.00%	9/1/2052	IL		109,307			53,243
Mortgage Loan ID#1000043222**	3.44%	5/1/2025	CA		57,971			53,087
Mortgage Loan ID#1000029244**	6.47%	8/1/2036	TX		54,894			53,043
Mortgage Loan ID#1000015558**	4.88%	7/1/2054	NY		65,696			52,864
Mortgage Loan ID#1000025925**	5.36%	12/1/2035	NY		85,175			52,642
Mortgage Loan ID#1000017351**	2.88%	4/1/2036	KS		87,565			52,369
Mortgage Loan ID#1000026554**	10.68%	11/6/2027	GA		49,574			52,050
Mortgage Loan ID#1000029162**	7.50%	8/1/2035	LA		119,545			51,968
Mortgage Loan ID#1000027169**	8.75%	2/1/2038	NJ		96,090			51,879
Mortgage Loan ID#1000015932	6.13%	10/1/2036	NY		63,311			51,669
Mortgage Loan ID#1000003679	4.88%	5/1/2054	MI		135,753			51,386
Mortgage Loan ID#1000044098**	6.00%	4/1/2048	MI		170,522			51,232
Mortgage Loan ID#1000034867	4.00%	8/1/2053	WI		71,300			51,224
Mortgage Loan ID#1000016159**	6.75%	11/1/2036	NY		169,119			50,981
Mortgage Loan ID#1000001795	5.00%	8/1/2037	VA		78,939			50,907
Mortgage Loan ID#1000035030**	7.00%	8/1/2037	FL		173,095			50,902
Mortgage Loan ID#1000015614**	2.63%	8/1/2036	FL		113,982			50,670
Mortgage Loan ID#1000035573**	4.13%	8/1/2053	FL		134,452			50,251
Mortgage Loan ID#1000044171**	4.00%	9/1/2053	IL		269,596			50,107
Mortgage Loan ID#1000044151	4.00%	9/1/2053	PA		148,328			49,395
Mortgage Loan ID#1000015939**	4.00%	9/1/2053	AZ		76,908			48,754
Mortgage Loan ID#1000044291**	3.25%	9/1/2048	TN		84,345			48,600
Mortgage Loan ID#7000044223	4.25%	2/1/2044	CA		184,041			48,539
Mortgage Loan ID#1000029010**	3.00%	9/1/2044	FL		122,780			48,509
Mortgage Loan ID#1000026763**	11.75%	4/1/2020	NY		52,577			48,441
Mortgage Loan ID#1000034979**	3.13%	5/1/2038	IL		197,429			48,242
Mortgage Loan ID#1000016908**	5.00%	2/1/2019	CA		63,300			48,062
Mortgage Loan ID#1000000663**	9.85%	1/1/2037	NY		59,525			47,933
Mortgage Loan ID#1000043618**	6.88%	5/1/2035	NY		275,173			47,854
Mortgage Loan ID#1000000412**	2.63%	12/1/2037	DE		136,687			47,835
Mortgage Loan ID#1000029201**	3.00%	5/1/2052	WI		160,692			47,328
Mortgage Loan ID#1000044279**	6.70%	7/1/2026	TX		69,188			47,317
Mortgage Loan ID#1000043371**	9.00%	8/1/2038	OH		69,791			47,255
Mortgage Loan ID#1000015972**	6.98%	4/1/2037	FL		96,044			46,638
Mortgage Loan ID#1000027348**	5.15%	10/1/2034	KY		79,325			46,467
Mortgage Loan ID#1000015597**	7.39%	1/1/2036	OH		95,102			46,291
Mortgage Loan ID#1000015553**	10.99%	4/1/2015	NY		44,036			46,238
Mortgage Loan ID#1000000363**	11.63%	10/1/2037	NY		44,083			45,860
Mortgage Loan ID#1000017526**	2.00%	1/1/2042	IA		88,382			45,849
Mortgage Loan ID#1000029399**	2.00%	7/1/2037	MD		111,375			45,666
Mortgage Loan ID#1000026461**	8.60%	7/1/2034	TX		55,070			45,509
Mortgage Loan ID#1000027992**	3.13%	9/1/2035	IL		79,292			45,402
Mortgage Loan ID#7000003524	4.75%	7/1/2040	CA		164,321			45,300
Mortgage Loan ID#1000028449**	9.00%	5/1/2031	AL		43,758			45,229
Mortgage Loan ID#1000029385**	8.50%	5/1/2037	FL		178,830			44,935
Mortgage Loan ID#1000015564**	8.00%	3/1/2024	MS		45,333			43,579
Mortgage Loan ID#1000028413**	4.88%	12/1/2053	TX		72,001			42,491
Mortgage Loan ID#1000015573**	4.13%	1/1/2055	NC		92,570			42,368
Mortgage Loan ID#1000025939**	4.00%	4/1/2054	KY		87,810			41,964
Mortgage Loan ID#1000015906**	8.00%	6/1/2029	TX		54,255			41,899
Mortgage Loan ID#1000044152**	5.00%	4/1/2054	MO		72,222			41,402
Mortgage Loan ID#1000038508**	4.50%	6/1/2047	NJ		234,727			41,393
Mortgage Loan ID#1000029391**	7.61%	8/1/2040	FL		242,367			41,081
Mortgage Loan ID#1000015945**	2.75%	2/1/2037	IL		78,720			40,834
Mortgage Loan ID#1000029247**	2.00%	6/1/2053	TX		60,219			40,626
Mortgage Loan ID#1000026730**	7.83%	4/1/2048	FL		96,268			40,147
Mortgage Loan ID#1000028377**	9.13%	4/1/2034	IN		48,235			39,930
Mortgage Loan ID#1000043664**	7.00%	10/1/2043	WI		147,573			39,817
Mortgage Loan ID#1000044266**	8.95%	10/1/2036	NY		57,785			39,711
Mortgage Loan ID#1000026516**	5.25%	1/1/2049	CT		194,993			39,599
Mortgage Loan ID#1000025922**	4.13%	8/1/2053	OK		61,898			39,541
Mortgage Loan ID#1000027952**	4.88%	2/1/2037	IN		136,617			39,043
Mortgage Loan ID#1000027343**	5.25%	9/1/2053	WI		147,587			38,655
Mortgage Loan ID#1000027252**	4.50%	11/1/2053	WI		126,538			38,585
Mortgage Loan ID#1000029308**	5.88%	2/1/2022	MI		59,660			38,526
Mortgage Loan ID#1000043424**	7.38%	6/1/2026	AL		51,262			38,214
Mortgage Loan ID#1000017252**	7.00%	9/1/2028	NY		52,390			38,078
Mortgage Loan ID#1000026052**	2.00%	9/1/2053	CA		203,171			37,891
Mortgage Loan ID#1000029211**	6.47%	6/1/2032	PA		60,640			37,835
Mortgage Loan ID#1000044088**	8.35%	9/1/2034	AR		60,791			37,165
Mortgage Loan ID#1000034873**	7.38%	10/1/2034	NJ		63,813			36,837
Mortgage Loan ID#1000029401**	9.25%	8/1/2037	OH		88,569			��          36,595
Mortgage Loan ID#7000004746	4.75%	10/1/2040	CA		93,132			36,240
Mortgage Loan ID#1000017233**	8.00%	10/1/2019	TN		36,105			36,067
Mortgage Loan ID#1000025928**	7.00%	1/1/2039	MI		44,102			36,016
Mortgage Loan ID#1000017142**	3.52%	3/1/2017	NY		42,139			35,423
Mortgage Loan ID#1000043847**	8.95%	3/7/2037	UT		46,206			35,282
Mortgage Loan ID#1000025920**	3.75%	11/1/2055	MI		56,630			35,045
Mortgage Loan ID#1000026584**	7.38%	9/1/2046	FL		117,539			34,660
Mortgage Loan ID#1000028966**	4.38%	7/1/2037	ME		149,718			34,209
Mortgage Loan ID#7000034626	4.88%	8/1/2043	CA		45,512			34,151
Mortgage Loan ID#1000014995**	3.00%	7/1/2018	CT		36,381			34,016
Mortgage Loan ID#1000001753	8.38%	6/1/2036	NY		36,858			33,331
Mortgage Loan ID#1000028818**	2.00%	12/1/2035	WI		196,751			33,213
Mortgage Loan ID#1000043557**	3.38%	1/1/2019	NY		44,528			33,193
Mortgage Loan ID#1000003941	7.65%	1/1/2037	TN		75,443			32,949
Mortgage Loan ID#1000044142**	5.00%	12/1/2053	OH		125,478			32,352
Mortgage Loan ID#1000001759	6.38%	12/1/2036	OK		40,888			32,132
Mortgage Loan ID#1000001968	5.00%	9/1/2037	IL		132,695			32,112
Mortgage Loan ID#1000043264**	6.00%	10/1/2042	OH		90,993			32,102
Mortgage Loan ID#1000043727**	5.63%	2/1/2055	IN		169,401			31,714
Mortgage Loan ID#1000025991**	2.00%	6/1/2031	NM		149,410			31,480
Mortgage Loan ID#1000026055**	2.60%	9/1/2037	FL		183,162			31,259
Mortgage Loan ID#1000000380**	12.50%	11/1/2037	MO		29,441			30,913
Mortgage Loan ID#1000029080**	4.38%	12/1/2053	IA		82,612			30,585
Mortgage Loan ID#1000002951	4.00%	3/1/2037	NY		128,053			30,396
Mortgage Loan ID#1000028161**	4.00%	7/1/2053	IL		209,118			30,139
Mortgage Loan ID#1000026187**	4.50%	10/1/2054	PA		113,828			29,885
Mortgage Loan ID#1000001762	6.63%	12/1/2036	OK		37,852			29,640
Mortgage Loan ID#1000043768**	4.88%	4/1/2047	MD		57,229			29,354
Mortgage Loan ID#1000015907**	7.50%	2/1/2037	TX		41,376			29,034
Mortgage Loan ID#1000016645**	3.13%	11/1/2019	FL		32,609			28,973
Mortgage Loan ID#1000043985**	8.60%	4/1/2039	IL		98,871			28,414
Mortgage Loan ID#1000036023**	6.65%	9/1/2034	OH		87,180			28,010
Mortgage Loan ID#1000029277**	4.63%	10/1/2054	IN		83,816			27,098
Mortgage Loan ID#1000027130**	4.00%	8/1/2053	LA		100,809			26,029
Mortgage Loan ID#7000000337	5.00%	9/1/2039	NM		106,000			25,937
Mortgage Loan ID#7000030265	4.88%	3/1/2043	OR		79,786			25,528
Mortgage Loan ID#1000015867**	7.63%	10/1/2046	OH		70,098			25,323
Mortgage Loan ID#1000029039**	3.88%	2/1/2037	PA		�� 79,599			25,287
Mortgage Loan ID#1000003417	1.00%	3/1/2022	NY		110,774			25,195
Mortgage Loan ID#1000036019**	8.75%	1/1/2019	SC		25,626			25,037
Mortgage Loan ID#1000003366	10.75%	3/1/2022	NY		24,638			24,638
Mortgage Loan ID#1000003396	6.00%	9/1/2022	CA		55,410			24,181
Mortgage Loan ID#1000025995**	4.13%	8/1/2053	AL		77,881			24,011
Mortgage Loan ID#1000000641**	8.00%	1/1/2037	TX		48,941			23,707
Mortgage Loan ID#1000003601	7.00%	10/1/2035	MD		185,250			23,552
Mortgage Loan ID#1000015320**	4.00%	7/1/2039	DE		139,406			23,379
Mortgage Loan ID#1000002907	3.00%	8/1/2032	FL		122,517			22,454
Mortgage Loan ID#7000018838	6.75%	7/1/2042	MD		53,015			22,397
Mortgage Loan ID#1000016696**	6.54%	5/1/2018	NY		24,092			22,373
Mortgage Loan ID#7000036752	5.50%	8/1/2028	MN		64,534			22,312
Mortgage Loan ID#1000043439	8.99%	5/1/2032	IN		65,340			22,159
Mortgage Loan ID#1000001308	8.38%	7/1/2037	NJ		160,615			21,780
Mortgage Loan ID#1000043793**	8.50%	1/1/2019	NY		21,227			21,483
Mortgage Loan ID#1000017087**	8.00%	8/1/2025	IL		63,304			21,071
Mortgage Loan ID#1000029006**	5.46%	1/1/2037	NJ		95,825			20,913
Mortgage Loan ID#1000002535	2.00%	3/1/2037	CA		200,129			20,662
Mortgage Loan ID#1000001120	7.50%	5/1/2020	NY		47,436			20,386
Mortgage Loan ID#1000003981	1.00%	5/1/2039	NY		36,435			20,118
Mortgage Loan ID#1000016586**	3.00%	4/1/2018	CT		25,432			19,805
Mortgage Loan ID#1000029105**	3.88%	9/1/2053	OH		128,792			19,275
Mortgage Loan ID#1000043709**	4.13%	9/1/2053	MI		160,601			19,009
Mortgage Loan ID#1000003201	5.38%	4/15/2032	RI		59,795			18,775
Mortgage Loan ID#1000003336	3.00%	3/1/2022	NJ		71,625			18,618
Mortgage Loan ID#7000020155	5.50%	8/1/2027	CA		25,287			18,559
Mortgage Loan ID#1000002521	14.13%	5/1/2022	TX		74,285			18,172
Mortgage Loan ID#7000000429	5.00%	9/1/2039	CA		51,263			17,612
Mortgage Loan ID#1000017061**	2.00%	3/1/2041	IL		221,259			17,515
Mortgage Loan ID#1000003131	4.00%	3/1/2022	NV		17,483			17,368
Mortgage Loan ID#1000001756	3.00%	3/1/2047	NY		59,417			17,179
Mortgage Loan ID#1000001774	8.75%	5/1/2037	NY		64,688			17,120
Mortgage Loan ID#1000043430**	11.25%	1/1/2018	NJ		19,200			16,309
Mortgage Loan ID#1000003757	12.50%	1/1/2037	MD		36,235			16,203
Mortgage Loan ID#1000003265	12.75%	2/1/2022	TX		47,829			16,127
Mortgage Loan ID#1000003269	8.63%	3/1/2032	AZ		48,195			16,038
Mortgage Loan ID#1000035248**	3.38%	8/1/2018	PA		17,108			15,743
Mortgage Loan ID#1000002467	6.75%	3/9/2028	AZ		56,926			15,602
Mortgage Loan ID#1000003409	3.00%	4/1/2037	NY		99,738			15,530
Mortgage Loan ID#7000003226	3.00%	6/1/2040	CA		81,528			14,972
Mortgage Loan ID#1000003266	10.63%	1/1/2037	NC		43,745			14,536
Mortgage Loan ID#1000002916	1.00%	9/1/2049	CA		78,265			14,367
Mortgage Loan ID#1000003386	10.38%	8/1/2022	FL		65,404			14,037
Mortgage Loan ID#1000003793	10.75%	4/1/2032	MI		42,187			13,857
Mortgage Loan ID#1000043210**	9.00%	10/1/2039	VA		88,891			13,827
Mortgage Loan ID#1000003288	6.13%	4/15/2032	NY		50,021			13,574
Mortgage Loan ID#1000003284	10.50%	3/1/2037	NC		49,959			13,287
Mortgage Loan ID#1000003379	5.50%	5/1/2037	IL		79,185			12,561
Mortgage Loan ID#1000028827**	5.38%	10/1/2036	IL		301,644			12,222
Mortgage Loan ID#1000003393	3.00%	4/1/2037	VA		79,947			12,164
Mortgage Loan ID#1000017143**	3.25%	10/1/2013	CA		15,594			12,107
Mortgage Loan ID#1000003375	6.00%	2/1/2022	CA		63,103			12,014
Mortgage Loan ID#1000003961	4.81%	1/1/2037	NJ		30,356			11,868
Mortgage Loan ID#1000003330	10.88%	3/1/2022	NY		61,787			11,776
Mortgage Loan ID#1000003380	4.23%	9/1/2037	CA		80,479			11,772
Mortgage Loan ID#1000029287**	3.00%	7/1/2037	FL		231,532			11,677
Mortgage Loan ID#1000003048	3.75%	8/15/2032	NY		42,520			11,495
Mortgage Loan ID#1000003936**	4.88%	3/1/2054	WI		84,066			11,412
Mortgage Loan ID#1000003295	10.75%	2/1/2022	IL		34,755			11,315
Mortgage Loan ID#1000043745**	3.25%	8/1/2016	NJ		14,229			11,263
Mortgage Loan ID#1000002985	10.88%	2/1/2022	CA		51,256			11,220
Mortgage Loan ID#1000003338	9.13%	4/1/2037	NY		67,694			10,958
Mortgage Loan ID#1000002455	5.64%	9/1/2037	AZ		62,820			10,601
Mortgage Loan ID#1000003203	9.50%	3/1/2022	VA		23,924			10,520
Mortgage Loan ID#1000003373	7.41%	4/1/2037	NY		61,994			10,429
Mortgage Loan ID#5000003989	0.00%	11/1/2024	NV		21,324			10,279
Mortgage Loan ID#1000003425	6.15%	3/1/2037	CA		59,986			10,148
Mortgage Loan ID#1000003079	6.13%	4/20/2031	HI		16,567			9,737
Mortgage Loan ID#1000003006	6.38%	4/15/2032	NY		31,939			9,560
Mortgage Loan ID#1000003215	12.50%	3/1/2022	TX		17,865			9,401
Mortgage Loan ID#1000001724	7.88%	2/1/2037	NY		35,451			9,178
Mortgage Loan ID#1000002439	5.50%	4/1/2038	AZ		64,931			9,053
Mortgage Loan ID#1000003314	10.25%	4/1/2022	UT		42,165			8,962
Mortgage Loan ID#1000043353**	9.64%	2/1/2047	OH		107,055			8,958
Mortgage Loan ID#1000003819	6.00%	4/1/2037	GA		82,596			8,912
Mortgage Loan ID#1000002931	11.63%	4/1/2022	NY		111,295			8,763
Mortgage Loan ID#1000003298	10.50%	7/1/2022	TX		35,694			8,615
Mortgage Loan ID#1000002468	7.25%	2/5/2028	AZ		16,299			8,395
Mortgage Loan ID#1000003331	9.25%	4/1/2022	IL		37,123			8,360
Mortgage Loan ID#7000001895	5.25%	3/1/2040	CA		24,091			8,261
Mortgage Loan ID#1000003029	8.25%	3/1/2022	FL		34,341			8,078
Mortgage Loan ID#1000003155	10.63%	3/1/2032	FL		41,068			8,027
Mortgage Loan ID#1000003212	13.25%	4/1/2022	PA		29,314			8,023
Mortgage Loan ID#1000002434	8.00%	3/30/2028	AZ		26,522			7,869
Mortgage Loan ID#1000003808	9.50%	4/1/2037	NH		33,914			7,819
Mortgage Loan ID#1000003752	1.00%	12/1/2040	MD		80,130			7,608
Mortgage Loan ID#1000025933**	7.00%	4/1/2039	AL		52,236			7,597
Mortgage Loan ID#1000003980	5.38%	4/1/2039	CT		31,450			7,451
Mortgage Loan ID#1000003208	8.84%	10/1/2036	PA		45,180			7,428
Mortgage Loan ID#1000003794	11.25%	4/1/2037	WI		44,139			7,362
Mortgage Loan ID#1000015928**	10.25%	9/1/2019	GA		8,524			7,272
Mortgage Loan ID#1000003329	6.93%	3/1/2037	VA		27,317			7,256
Mortgage Loan ID#7000000222	2.88%	4/1/2039	MO		31,797			7,213
Mortgage Loan ID#1000029342**	2.00%	8/1/2037	IA		66,994			7,174
Mortgage Loan ID#7000021621	5.50%	1/1/2028	CA		11,693			7,039
Mortgage Loan ID#1000003277	5.50%	4/1/2037	NV		47,752			6,964
Mortgage Loan ID#7000036678	5.00%	8/1/2028	FL		18,405			6,935
Mortgage Loan ID#1000003042	9.63%	4/1/2022	VA		63,956			6,914
Mortgage Loan ID#1000002475	7.25%	3/24/2028	AZ		24,300			6,904
Mortgage Loan ID#1000003044	12.38%	3/1/2022	FL		31,658			6,833
Mortgage Loan ID#1000002452	5.99%	9/4/2023	AZ		21,348			6,820
Mortgage Loan ID#1000002442	7.50%	5/22/2026	AZ		21,852			6,813
Mortgage Loan ID#7000016846	5.38%	4/1/2027	FL		14,210			6,729
Mortgage Loan ID#1000002238	2.00%	7/1/2053	FL		83,697			6,597
Mortgage Loan ID#1000003274	7.45%	4/1/2037	NV		37,426			6,578
Mortgage Loan ID#1000002474	7.25%	2/8/2028	AZ		23,549			6,540
Mortgage Loan ID#1000002453	7.50%	1/7/2028	AZ		21,280			6,306
Mortgage Loan ID#1000003789	12.63%	12/1/2036	WI		25,034			6,178
Mortgage Loan ID#1000003318	4.00%	9/1/2037	CA		45,667			6,171
Mortgage Loan ID#1000003227	6.00%	8/1/2022	OR		24,338			6,170
Mortgage Loan ID#7000032686	0.50%	5/1/2043	VA		46,929			6,159
Mortgage Loan ID#1000017272**	3.00%	1/1/2018	NY		8,058			6,142
Mortgage Loan ID#1000003591	8.13%	4/15/2032	GA		18,294	��		6,098
Mortgage Loan ID#1000003186	13.63%	2/1/2022	VA		17,752			6,044
Mortgage Loan ID#1000003280	1.00%	10/1/2037	AZ		63,813			5,951
Mortgage Loan ID#7000038883	5.00%	9/1/2028	MI		17,894			5,888
Mortgage Loan ID#1000003407	2.00%	5/1/2037	CA		57,389			5,869
Mortgage Loan ID#1000003011	4.00%	4/1/2037	CA		40,869			5,697
Mortgage Loan ID#1000003224	8.75%	2/1/2022	PA		22,137			5,677
Mortgage Loan ID#1000002445	8.50%	4/9/2028	AZ		18,495			5,637
Mortgage Loan ID#1000003106	9.38%	4/1/2022	TX		19,304			5,557
Mortgage Loan ID#7000524032	5.00%	7/1/2045	CA		24,004			5,549
Mortgage Loan ID#1000003077	13.25%	3/1/2022	NM		20,237			5,465
Mortgage Loan ID#7000016879	5.38%	4/1/2027	CA		11,514			5,411
Mortgage Loan ID#1000002462	7.00%	4/24/2026	AZ		17,928			5,399
Mortgage Loan ID#7000001886	5.25%	3/1/2040	FL		20,570			5,355
Mortgage Loan ID#1000003007	6.58%	4/1/2037	NJ		29,001			5,262
Mortgage Loan ID#1000002459	6.01%	4/1/2028	AZ		16,699			5,242
Mortgage Loan ID#1000003200	5.65%	4/1/2037	FL		39,576			5,195
Mortgage Loan ID#1000003413	4.60%	3/1/2037	NY		58,989			5,161
Mortgage Loan ID#7000044724	4.50%	9/1/2028	IL		14,881			5,148
Mortgage Loan ID#1000003003	9.63%	3/1/2022	IL		20,734			4,976
Mortgage Loan ID#1000002427	7.01%	5/1/2038	AZ		27,821			4,860
Mortgage Loan ID#1000003363	3.00%	2/1/2037	NY		54,506			4,827
Mortgage Loan ID#7000037380	3.38%	8/1/2028	DE		15,017			4,765
Mortgage Loan ID#7000014197	5.25%	1/1/2042	FL		17,032			4,587
Mortgage Loan ID#7000034325	5.00%	5/1/2028	AL		10,948			4,551
Mortgage Loan ID#1000002983	4.82%	4/1/2039	AZ		32,971			4,541
Mortgage Loan ID#1000003420	1.00%	6/1/2051	NY		98,631			4,390
Mortgage Loan ID#1000002425	8.75%	1/22/2028	AZ		7,053			4,291
Mortgage Loan ID#1000003104	13.38%	8/1/2021	OH		22,473			4,264
Mortgage Loan ID#1000003430	1.00%	11/1/2050	VA		66,208			4,243
Mortgage Loan ID#1000002530	6.00%	2/1/2039	PA		62,312			4,174
Mortgage Loan ID#1000029236**	10.90%	3/1/2037	FL		60,948			4,171
Mortgage Loan ID#7000029305	5.00%	5/1/2028	PA		11,616			4,161
Mortgage Loan ID#1000003189	1.00%	3/1/2037	FL		40,050			4,118
Mortgage Loan ID#1000003146	12.13%	3/1/2037	NC		14,215			4,110
Mortgage Loan ID#1000003272	2.38%	3/1/2037	AZ		39,877			3,927
Mortgage Loan ID#7000040113	5.50%	9/1/2028	FL		10,059			3,908
Mortgage Loan ID#1000003065	2.00%	5/1/2036	PA		32,460			3,898
Mortgage Loan ID#1000003347	1.00%	2/1/2038	NY		51,889			3,889
Mortgage Loan ID#5000004012	0.00%	11/1/2020	FL		181,852			3,813
Mortgage Loan ID#1000003303	9.63%	3/1/2022	VA		18,551			3,772
Mortgage Loan ID#1000003387	5.50%	4/1/2037	NY		61,880			3,759
Mortgage Loan ID#1000002998	3.00%	2/1/2037	OH		71,697			3,635
Mortgage Loan ID#1000002426	8.50%	3/30/2028	AZ		18,623			3,629
Mortgage Loan ID#1000003378	1.00%	11/1/2051	CA		112,950			3,533
Mortgage Loan ID#1000003067	1.00%	4/1/2038	UT		48,477			3,528
Mortgage Loan ID#7000049512	5.00%	10/1/2028	FL		8,517			3,462
Mortgage Loan ID#1000003802	11.50%	4/1/2037	MA		57,266			3,408
Mortgage Loan ID#1000002972	12.88%	1/1/2022	PA		19,045			3,228
Mortgage Loan ID#1000003102	13.00%	4/1/2022	NY		13,391			3,199
Mortgage Loan ID#1000003775	10.00%	4/1/2037	MI		12,777			3,174
Mortgage Loan ID#1000029182**	5.98%	2/1/2037	FL		192,866			3,164
Mortgage Loan ID#1000003983	4.75%	6/1/2039	CT		11,796			3,116
Mortgage Loan ID#7000056207	5.13%	10/1/2028	AZ		8,075			3,112
Mortgage Loan ID#7000144524	4.00%	3/1/2044	NV		16,355			3,083
Mortgage Loan ID#7000227562	4.00%	6/1/2044	CA		13,777			3,051
Mortgage Loan ID#1000000614	6.00%	12/1/2039	IN		10,208			2,969
Mortgage Loan ID#1000003356	1.00%	6/1/2052	NY		82,908			2,922
Mortgage Loan ID#1000003392	1.00%	11/1/2039	NY		39,200			2,884
Mortgage Loan ID#7000037510	5.00%	9/1/2028	CT		4,619			2,674
Mortgage Loan ID#1000003073	8.00%	3/1/2027	NV		8,872			2,649
Mortgage Loan ID#1000003218	5.00%	4/1/2037	VA		50,376			2,645
Mortgage Loan ID#1000002531	1.00%	2/1/2044	NY		52,250			2,455
Mortgage Loan ID#7000098633	4.50%	2/1/2044	FL		7,161			2,412
Mortgage Loan ID#1000002987	10.13%	7/1/2021	CA		60,049			2,390
Mortgage Loan ID#1000003768	6.88%	3/1/2037	TN		16,960			2,354
Mortgage Loan ID#7000242451	3.75%	7/1/2044	FL		11,982			2,353
Mortgage Loan ID#7000036539	4.88%	7/1/2028	IL		6,668			2,332
Mortgage Loan ID#7000036523	6.00%	9/1/2043	IL		4,474			2,209
Mortgage Loan ID#1000002992	9.88%	1/1/2022	WY		8,715			2,166
Mortgage Loan ID#1000003255	12.13%	3/1/2022	MN		4,460			2,084
Mortgage Loan ID#7000275218	4.00%	8/1/2044	IN		12,079			2,082
Mortgage Loan ID#1000002569	4.00%	5/1/2037	FL		62,949			1,853
Mortgage Loan ID#1000003115	1.00%	5/1/2038	NJ		27,802			1,751
Mortgage Loan ID#1000003767	3.00%	12/1/2036	TN		17,044			1,721
Mortgage Loan ID#7000001222	5.00%	2/1/2040	TX		10,909			1,715
Mortgage Loan ID#1000003811	1.00%	10/1/2049	GA		62,376			1,710
Mortgage Loan ID#1000003059	1.00%	7/1/2038	AZ		18,395			1,686
Mortgage Loan ID#1000003090	11.63%	3/1/2022	TX		7,201			1,615
Mortgage Loan ID#7000362626	3.00%	11/1/2044	FL		9,930			1,565
Mortgage Loan ID#7000032678	4.00%	5/1/2028	OH		4,873			1,556
Mortgage Loan ID#1000002905	4.00%	4/1/2037	MN		75,520			1,534
Mortgage Loan ID#1000003956	8.50%	12/1/2036	AL		52,170			1,453
Mortgage Loan ID#1000003372	2.00%	3/1/2037	VA		74,770			1,424
Mortgage Loan ID#1000003088	8.90%	3/1/2037	TX		12,951			1,265
Mortgage Loan ID#1000003815	1.00%	12/1/2048	MD		19,686			1,211
Mortgage Loan ID#1000003317	6.50%	2/1/2037	NJ		54,698			1,175
Mortgage Loan ID#1000003220	1.00%	6/1/2052	IL		39,122			1,157
Mortgage Loan ID#1000003151	13.75%	3/1/2022	MN		30,043			1,104
Mortgage Loan ID#1000003807	1.00%	5/1/2044	MD		24,221			1,075
Mortgage Loan ID#7000314799	5.00%	10/1/2029	OH		4,876			763
Mortgage Loan ID#7000106608	5.00%	2/1/2029	CA		13,318			590
Mortgage Loan ID#1000003096	11.25%	2/1/2022	TX		11,653			468
Mortgage Loan ID#1000027712**	7.75%	4/5/2021	TX		202			191
Mortgage Loan ID#1000002484	1.00%	1/1/2052	IL		37,527			168
Mortgage Loan ID#1000003019	1.00%	6/1/2054	FL		32,059			159
Mortgage Loan ID#1000003783	6.00%	3/1/2037	AR		11,878			62
Mortgage Loan ID#1000003217	5.50%	3/1/2037	NV		23,337			1
Mortgage Loan ID#7000030263	5.00%	8/1/2028	WI		5,430			-
Mortgage Loan ID#5000004018	0.00%	9/1/2016	FL		2,250			-
Mortgage Loan ID#7000057184	4.50%	10/1/2028	AZ		19,461			-
Mortgage Loan ID#7000063645	5.00%	9/1/2028	VA		11,882			-
Mortgage Loan ID#5000003985	0.00%	4/1/2016	ME		4,375			-
Mortgage Loan ID#5000003997	0.00%	12/1/2016	ID		710			-
Mortgage Loan ID#5000004007	0.00%	8/1/2017	CA		5,800			-
Mortgage Loan ID#7000038874	6.00%	8/1/2028	OH		10,848			-
Mortgage Loan ID#1000000581	5.50%	8/1/2039	WA		49,291			-
Mortgage Loan ID#1000026128	5.88%	6/1/2036	IN		79,168			-
Mortgage Loan ID#7000033764	5.00%	7/1/2028	IL		13,675			-
Mortgage Loan ID#6000000582	1.00%	11/1/2038	NY		58,398			-
Mortgage Loan ID#7000004323	2.00%	8/1/2040	FL		121,631			-
Mortgage Loan ID#7000026184	5.00%	12/1/2027	TN		12,619			-
Mortgage Loan ID#1000025930**	3.00%	8/1/2038	MS		40,111			��                   -
Mortgage Loan ID#1000025950**	4.63%	9/1/2054	IL		102,393			-
Mortgage Loan ID#1000001468	0.00%	12/1/2023	NY		10,000			-
Mortgage Loan ID#1000002406	10.25%	11/1/2020	IL		49,062			-
Mortgage Loan ID#1000002417	6.50%	11/1/2037	AZ		50,399			-
Mortgage Loan ID#1000002422	10.25%	5/12/2028	AZ		13,386			-
Mortgage Loan ID#1000002432	9.75%	5/1/2028	AZ		18,012			-
Mortgage Loan ID#1000002435	5.18%	4/1/2028	AZ		26,991			-
Mortgage Loan ID#1000002513	8.37%	10/1/2036	NJ		74,519			-
Mortgage Loan ID#1000002517	1.00%	4/1/2037	DC		29,170			-
Mortgage Loan ID#1000002519	13.38%	3/1/2022	NJ		85,620			-
Mortgage Loan ID#1000002526	9.50%	7/1/2031	NJ		50,000			-
Mortgage Loan ID#1000002527	2.00%	12/1/2036	NJ		20,463			-
Mortgage Loan ID#1000002528	2.00%	3/1/2037	NJ		132,028			-
Mortgage Loan ID#1000002533	12.75%	3/1/2022	NY		179,088			-
Mortgage Loan ID#1000002534	2.00%	9/1/2022	NJ		108,500			-
Mortgage Loan ID#1000002538	2.00%	6/1/2036	NY		89,391			-
Mortgage Loan ID#1000002553	1.00%	5/1/2054	NV		46,085			-
Mortgage Loan ID#1000002564	5.68%	9/1/2037	FL		48,996			-
Mortgage Loan ID#1000002567	11.50%	2/1/2022	VA		58,649			-
Mortgage Loan ID#1000002568	10.75%	4/1/2022	IL		52,139			-
Mortgage Loan ID#1000002571	2.00%	7/1/2036	NJ		85,612			-
Mortgage Loan ID#1000002575	4.63%	11/1/2036	NY		85,801			-
Mortgage Loan ID#1000002580	3.10%	3/1/2036	NY		86,665			-
Mortgage Loan ID#1000002582	12.75%	4/1/2021	NY		103,510			-
Mortgage Loan ID#1000002594	12.25%	11/1/2021	IL		13,368			-
Mortgage Loan ID#1000002619	2.00%	11/1/2036	FL		19,395			-
Mortgage Loan ID#1000002649	13.00%	1/1/2022	FL		40,803			-
Mortgage Loan ID#1000002681	14.00%	3/1/2022	FL		67,464			-
Mortgage Loan ID#1000002723	6.00%	3/1/2022	AZ		34,151			-
Mortgage Loan ID#1000002726	13.50%	4/15/2032	FL		41,392			-
Mortgage Loan ID#1000002737	2.00%	2/1/2022	TX		19,418			-
Mortgage Loan ID#1000002758	11.00%	4/1/2022	FL		25,564			-
Mortgage Loan ID#1000002768	11.38%	2/1/2022	AZ		21,809			-
Mortgage Loan ID#1000002770	12.25%	6/1/2031	FL		39,977			-
Mortgage Loan ID#1000002771	11.88%	10/1/2031	FL		19,620			-
Mortgage Loan ID#1000002784	12.63%	2/1/2022	FL		83,881			-
Mortgage Loan ID#1000002785	14.25%	5/1/2022	FL		28,347			-
Mortgage Loan ID#1000002791	11.38%	4/1/2022	FL		41,930			-
Mortgage Loan ID#1000002796	11.25%	4/1/2022	IL		48,863			-
Mortgage Loan ID#1000002797	12.75%	1/1/2022	FL		30,544			-
Mortgage Loan ID#1000002803	10.88%	3/1/2022	IL		55,217			-
Mortgage Loan ID#1000002835	10.50%	5/1/2022	NJ		58,382			-
Mortgage Loan ID#1000002848	14.25%	9/1/2021	NJ		75,905			-
Mortgage Loan ID#1000002869	1.00%	3/1/2037	CA		81,693			-
Mortgage Loan ID#1000002874	12.50%	3/1/2022	NY		86,796			-
Mortgage Loan ID#1000002877	2.00%	9/1/2036	NY		90,125			-
Mortgage Loan ID#1000002904	6.00%	3/1/2022	NY		48,338			-
Mortgage Loan ID#1000002909	2.00%	7/1/2036	FL		79,315			-
Mortgage Loan ID#1000002915	1.00%	2/1/2022	NY		135,226			-
Mortgage Loan ID#1000002919	12.25%	2/1/2022	NY		108,421			-
Mortgage Loan ID#1000002934	11.75%	3/1/2022	CA		63,761			-
Mortgage Loan ID#1000002970	9.63%	1/1/2022	CA		55,487			-
Mortgage Loan ID#1000002978	9.38%	3/1/2022	FL		20,302			-
Mortgage Loan ID#1000002981	10.50%	1/1/2022	OH		22,827			-
Mortgage Loan ID#1000002997	5.13%	4/1/2037	NY		55,559			-
Mortgage Loan ID#1000002999	10.75%	2/1/2022	TX		25,151			-
Mortgage Loan ID#1000003000	1.00%	3/1/2037	AZ		57,563			-
Mortgage Loan ID#1000003027	10.50%	3/1/2022	FL		50,213			-
Mortgage Loan ID#1000003038	4.13%	1/1/2037	IL		46,985			-
Mortgage Loan ID#1000003041	11.63%	3/1/2022	IL		63,587			-
Mortgage Loan ID#1000003049	10.13%	8/1/2022	CA		28,818			-
Mortgage Loan ID#1000003068	9.01%	1/1/2037	FL		18,958			-
Mortgage Loan ID#1000003071	4.71%	5/1/2032	FL		25,139			-
Mortgage Loan ID#1000003092	12.13%	2/1/2022	PA		6,657			-
Mortgage Loan ID#1000003094	7.30%	3/1/2037	TX		20,355			-
Mortgage Loan ID#1000003101	5.50%	2/1/2037	FL		50,730			-
Mortgage Loan ID#1000003109	2.00%	2/1/2037	FL		35,207			-
Mortgage Loan ID#1000003111	9.88%	8/1/2022	AZ		36,273			-
Mortgage Loan ID#1000003147	3.00%	4/1/2037	FL		45,801			-
Mortgage Loan ID#1000003164	12.50%	3/1/2022	FL		51,085			-
Mortgage Loan ID#1000003179	9.50%	3/1/2022	AZ		30,304			-
Mortgage Loan ID#1000003192	2.00%	9/1/2036	CA		39,923			-
Mortgage Loan ID#1000003207	1.00%	3/1/2022	WA		39,095			-
Mortgage Loan ID#1000003210	6.00%	8/1/2022	FL		��         46,595			-
Mortgage Loan ID#1000003213	10.25%	3/1/2022	TX		43,985			-
Mortgage Loan ID#1000003226	5.50%	2/1/2037	FL		24,637			-
Mortgage Loan ID#1000003229	1.00%	5/1/2038	PA		35,144			-
Mortgage Loan ID#1000003243	1.00%	3/1/2037	CA		63,487			-
Mortgage Loan ID#1000003246	10.75%	3/1/2022	NJ		46,826			-
Mortgage Loan ID#1000003251	6.50%	5/1/2037	CA		88,732			-
Mortgage Loan ID#1000003253	10.25%	1/1/2022	NJ		28,508			-
Mortgage Loan ID#1000003262	6.25%	4/1/2022	VA		47,636			-
Mortgage Loan ID#1000003273	4.00%	1/1/2037	IL		7,481			-
Mortgage Loan ID#1000003278	7.21%	4/1/2032	NY		68,010			-
Mortgage Loan ID#1000003291	5.50%	11/1/2036	NY		56,869			-
Mortgage Loan ID#1000003304	10.50%	5/1/2022	CA		102,443			-
Mortgage Loan ID#1000003305	11.50%	4/1/2022	CA		79,314			-
Mortgage Loan ID#1000003308	11.63%	5/1/2032	FL		73,798			-
Mortgage Loan ID#1000003313	8.19%	2/1/2037	NJ		47,344			-
Mortgage Loan ID#1000003334	6.50%	3/1/2037	CA		88,322			-
Mortgage Loan ID#1000003348	3.00%	8/1/2036	NJ		58,809			-
Mortgage Loan ID#1000003351	2.00%	5/1/2037	NY		42,305			-
Mortgage Loan ID#1000003355	3.00%	2/1/2037	VA		133,857			-
Mortgage Loan ID#1000003357	3.00%	5/1/2037	CA		76,518			-
Mortgage Loan ID#1000003364	3.00%	8/1/2037	CA		105,953			-
Mortgage Loan ID#1000003367	2.00%	4/1/2037	NY		82,587			-
Mortgage Loan ID#1000003381	11.13%	8/1/2022	NY		29,621			-
Mortgage Loan ID#1000003385	12.88%	10/1/2021	NY		44,885			-
Mortgage Loan ID#1000003388	11.00%	5/1/2022	NJ		71,597			-
Mortgage Loan ID#1000003391	2.00%	5/1/2037	NJ		52,193			-
Mortgage Loan ID#1000003395	10.50%	4/1/2022	NY		81,055			-
Mortgage Loan ID#1000003398	2.00%	2/1/2037	NJ		101,770			-
Mortgage Loan ID#1000003431	15.00%	5/1/2022	AZ		149,277			-
Mortgage Loan ID#1000003688	13.63%	2/1/2022	MI		18,734			-
Mortgage Loan ID#1000003693	9.63%	8/1/2036	GA		36,042			-
Mortgage Loan ID#1000003727	12.50%	2/1/2037	MA		29,062			-
Mortgage Loan ID#1000003741	12.38%	7/1/2036	GA		62,331			-
Mortgage Loan ID#1000003744	2.00%	7/1/2036	MA		42,622			-
Mortgage Loan ID#1000003753	12.50%	3/1/2022	MI		99,974			-
Mortgage Loan ID#1000003760	9.50%	2/1/2037	MA		42,788			-
Mortgage Loan ID#1000003780	11.38%	4/1/2037	GA		26,077			-
Mortgage Loan ID#1000003784	10.50%	4/1/2037	GA		181,824			-
Mortgage Loan ID#1000003792	13.00%	2/1/2037	MI		51,564			-
Mortgage Loan ID#1000003801	2.00%	4/1/2022	MD		32,712			-
Mortgage Loan ID#1000003805	9.75%	3/1/2037	GA		33,754			-
Mortgage Loan ID#1000003816	12.00%	4/1/2037	GA		38,482			-
Mortgage Loan ID#1000003818	11.63%	3/1/2032	MD		76,468			-
Mortgage Loan ID#5000003993	0.00%	6/1/2012	OH		500			-
Mortgage Loan ID#1000002511	2.00%	3/15/2032	NJ		297,970			-
Mortgage Loan ID#1000002556	6.38%	4/15/2032	NV		59,406			-
Mortgage Loan ID#1000002572	7.63%	8/15/2032	CA		80,047			-
Mortgage Loan ID#1000002618	1.00%	12/1/2051	NY		54,971			-
Mortgage Loan ID#1000002890	9.75%	3/15/2032	NY		24,250			-
Mortgage Loan ID#1000002921	8.13%	4/15/2032	IL		80,000			-
Mortgage Loan ID#1000002966	7.63%	3/15/2032	FL		36,270			-
Mortgage Loan ID#1000002984	5.63%	4/15/2032	AZ		61,619			-
Mortgage Loan ID#1000003014	5.63%	8/15/2032	MT		41,616			-
Mortgage Loan ID#1000003085	8.13%	10/15/2031	OH		9,882			-
Mortgage Loan ID#1000003086	8.13%	10/15/2031	OH		9,874			-
Mortgage Loan ID#1000003268	7.38%	4/15/2032	FL		8,817			-
Mortgage Loan ID#1000003275	5.38%	3/15/2032	FL		44,818			-
Mortgage Loan ID#1000003327	2.00%	4/1/2037	MN		101,592			-
Mortgage Loan ID#1000003353	1.00%	8/1/2050	WA		85,689			-
Mortgage Loan ID#1000003394	6.50%	1/15/2033	AZ		137,659			-
Mortgage Loan ID#1000003426	6.38%	4/15/2032	IL		86,603			-
Mortgage Loan ID#1000003588	5.63%	3/15/2032	GA		116,000			-
Mortgage Loan ID#1000001993	7.13%	4/1/2037	IL		100,888			(2,895)
					254,364,381			147,321,277
Description			State		Principal amount			Fair value
Real estate acquired in settlement of loans
Property ID#1000043536**			MN	$	860,000		$	879,900
Property ID#1000001643			FL		621,672			700,000
Property ID#1000016499**			NJ		720,000			650,000
Property ID#1000027733**			IL		573,920			625,000
Property ID#1000003584			MD		539,160			625,000
Property ID#1000027525**			NJ		554,549			607,563
Property ID#1000015181**			IL		869,995			590,000
Property ID#1002229087			GA		545,063			500,000
Property ID#1000016184**			NJ		440,000			468,796
Property ID#1000028068**			CA		485,478			465,000
Property ID#1000016154**			FL		472,046			460,000
Property ID#1000043755**			MN		478,089			449,999
Property ID#1000015537**			FL		460,000			450,000
Property ID#1000017149**			FL		637,000			445,000
Property ID#1000001655			NY		648,000			426,429
Property ID#1000029171			FL		509,600			419,900
Property ID#1000016181			FL		770,245			419,000
Property ID#1000027887**			FL		381,340			408,000
Property ID#1000015506**			FL		917,000			400,000
Property ID#1000038427**			NY		351,415			395,000
Property ID#1000028903**			CA		488,632			388,706
Property ID#1000043886**			NJ		344,509			380,955
Property ID#1000026303**			MN		487,764			380,000
Property ID#1000016162**			FL		379,778			375,000
Property ID#1000035163**			OR		689,500			370,000
Property ID#1000015110**			VA		404,288			365,000
Property ID#1000026872**			FL		537,720			350,000
Property ID#1000029097**			NJ		364,148			350,000
Property ID#1000029054**			FL		323,982			348,000
Property ID#1000017338**			PA		282,904			330,000
Property ID#1000026659**			IL		587,418			330,000
Property ID#1000043155**			FL		307,146			328,316
Property ID#1000029380**			NJ		400,000			321,535
Property ID#1000029207**			FL		354,830			315,000
Property ID#1000035172**			NY		415,887			311,781
Property ID#1000001636			FL		564,000			310,000
Property ID#1000029252**			CA		375,530			290,000
Property ID#1000027210**			NJ		339,999			285,000
Property ID#1000027288**			IL		391,812			272,500
Property ID#1000001614			NY		328,000			270,000
Property ID#1000027283**			NY		434,198			257,534
Property ID#1000044101**			PA		181,868			255,391
Property ID#1000000381			NJ		255,000			250,000
Property ID#1000027008**			MD		274,502			250,000
Property ID#1000001996			PA		191,225			250,000
Property ID#1000043590**			NM		236,339			248,000
Property ID#1000034959**			FL		414,474			240,000
Property ID#1000016110**			FL		286,771			240,000
Property ID#1000017415**			PA		245,135			240,000
Property ID#1000001933			FL		228,125			240,000
Property ID#1000043129**			FL		122,549			235,000
Property ID#1000043429**			IL		260,332			230,000
Property ID#1000001490			NY		285,000			230,000
Property ID#1000043611**			FL		236,250			225,000
Property ID#1000000538**			IL		299,999			220,000
Property ID#1000026049**			FL		234,564			215,000
Property ID#1000026640**			CO		186,865			210,000
Property ID#1000044265**			OR		180,439			205,000
Property ID#1000001949			NJ		195,145			200,000
Property ID#1000043996**			PA		240,000			198,719
Property ID#1000038451**			IL		184,189			194,900
Property ID#1000027736**			NJ		215,996			188,443
Property ID#1000028953**			FL		233,596			180,000
Property ID#1000025971**			CA		176,406			176,406
Property ID#1000029296**			FL		333,511			175,000
Property ID#1000026688**			MO		162,816			172,304
Property ID#1000044136**			MD		296,082			171,500
Property ID#1000035646**			OR		207,000			170,000
Property ID#1000028801**			FL		187,200			165,000
Property ID#1000028807**			NJ		368,033			163,000
Property ID#1000034760**			NY		192,490			160,000
Property ID#1000028830			NJ		283,816			155,000
Property ID#1000044233**			NJ		179,134			155,000
Property ID#1000016347**			OH		141,559			153,520
Property ID#1000015617**			FL		187,903			151,755
Property ID#1000017433**			SC		116,079			150,000
Property ID#1000002039			NJ		262,475			147,764
Property ID#1000000226**			AZ		163,669			145,000
Property ID#1000016328**			NJ		138,797			145,000
Property ID#1000027991**			GA		166,641			134,000
Property ID#1000028824**			TX		157,939			132,000
Property ID#1000029250**			IL		402,528			129,900
Property ID#1000000379**			TX		209,970			128,000
Property ID#1000026336**			PA		139,002			128,000
Property ID#1000043380**			TN		121,441			125,000
Property ID#1000035556**			FL		141,777			118,716
Property ID#1000043550**			NJ		193,444			113,000
Property ID#1000029233**			FL		87,615			110,000
Property ID#1000000591			NJ		317,267			105,000
Property ID#1000015132**			IL		267,660			104,544
Property ID#1000029258**			PA		115,263			100,000
Property ID#1000035002**			IL		178,595			100,000
Property ID#1000027607**			IL		107,449			95,000
Property ID#1000028175**			IL		160,813			95,000
Property ID#1000016574**			IL		160,406			94,000
Property ID#1002229033			NC		77,510			93,000
Property ID#1000027095**			FL		92,799			92,799
Property ID#1000016871**			RI		206,663			90,000
Property ID#1000016437**			IL		133,766			86,700
Property ID#1000026556**			FL		135,516			85,000
Property ID#1000016047**			MA		196,772			79,000
Property ID#1000044133**			MD		126,711			78,000
Property ID#1000034755**			OR		53,656			76,900
Property ID#1000038414**			FL		110,871			76,500
Property ID#1000029417**			FL		173,000			76,449
Property ID#1000026994**			NC		82,596			75,000
Property ID#1000044201**			IL		175,641			75,000
Property ID#1000035080**			NJ		155,369			70,477
Property ID#1000034972**			NJ		283,530			70,000
Property ID#1000028256**			IL		179,064			65,000
Property ID#1000044223**			OK		82,868			65,000
Property ID#1000016867**			NY		113,903			63,000
Property ID#1000043627**			LA		130,145			62,000
Property ID#1000038554**			IL		124,813			60,000
Property ID#1000016091**			NY		75,372			59,900
Property ID#1000038533**			IL		138,251			59,900
Property ID#1000001686			NY		85,384			59,900
Property ID#1000027505**			NY		123,383			59,000
Property ID#1000043920**			NC		92,276			55,000
Property ID#1000028485**			IL		132,559			55,000
Property ID#1000043088**			NJ		82,226			52,900
Property ID#1000038532**			IL		111,378			52,000
Property ID#1000002239			FL		141,470			50,000
Property ID#1000027308**			ID		80,863			49,900
Property ID#1000043736**			NJ		114,827			47,960
Property ID#1000025919**			OH		47,400			40,303
Property ID#1000034766**			NJ		58,017			39,000
Property ID#1000043710**			PA		136,830			35,000
Property ID#1000016929**			ME		114,583			21,348
Property ID#1000001766			NY		38,544			19,900
Property ID#1000000764			FL		69,868			19,836
Property ID#1000001669			IL		199,616			13,500
Property ID#1000043879**			WI		10,916			10,916
					36,638,716			28,868,864
TOTAL INVESTMENTS IN NONAFFILIATES (Cost $153,320,064)					291,003,097			176,190,141
INVESTMENTS IN AFFILIATES - 29%*
Name of Issuer					Shares			Fair value
Short-Term Investment
BlackRock Liquidity Funds: TempFund Institutional Shares ^				$	43,231,174		$	43,231,174
TOTAL INVESTMENTS IN AFFILIATES (Cost $43,231,174)					43,231,174			43,231,174
TOTAL INVESTMENTS (Cost $196,551,238)							$	219,421,315
LIABILITIES - 57%*		Note	Maturity
Description		interest rate	date		Principal amount			Fair value
Asset-backed financing
PNMAC 2015-NPL1 A-1-144A ^		4.00%	3/25/2055	$	80,921,835		$	80,118,686
PNMAC 2015-NPL1 A-1-REGS ^		4.00%	3/25/2055		6,575,979			6,510,712
TOTAL LIABILITIES (Proceeds $87,390,151)					87,497,814			86,629,398
Other assets in excess of other liabilities - 12%*								18,179,345
TOTAL PARTNERS’ CAPITAL - 100%*							$	150,971,262
*     Percentages are stated as a percent of partners’ capital
**   Pledged as collateral for asset-backed financing (See Note 5)
^      Investment represents securities held or issued by related parties
All investments are in the United States of America.

	Deloitte & Touche LLP 555 West 5th Street Suite 2700 Los Angeles, CA 90013-1010 USA
	Tel: +1 213 688 0800
	Fax: +1 213 688 0100
	www.deloitte.com

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF INVESTMENTS

To the Board of Directors and Partners of

PNMAC Mortgage Opportunity Fund, LP and subsidiaries:

We have audited the accompanying schedule of investments (the “schedule”) of PNMAC Mortgage Opportunity Fund, LP and subsidiaries (the “Master Fund”) as of December 31, 2015 (included in Item 6 of this Form N-CSR). The schedule is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on this schedule based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the schedule is free of material misstatement. The Master Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting as it relates to the schedule. Our audit included consideration of internal control over financial reporting as it relates to the schedule as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Fund’s internal control over financial reporting as it relates to the schedule. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the schedule, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall schedule presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the schedule of investments referred to above presents fairly, in all material respects, the investments of PNMAC Mortgage Opportunity Fund, LP and subsidiaries as of December 31, 2015, in conformity with accounting principles generally accepted in the United States of America.

October 27, 2017

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

Not applicable.

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

(a) (1) The Five persons with the most significant responsibility for the day-to-day management of the Registrant’s portfolio are Stanford L. Kurland, David A. Spector, David M. Walker, Andy S. Chang, and Vandad Fartaj. The titles, business experience, and length of service of Messrs. Kurland, Spector, Walker, Chang, and Fartaj are included in the following table:

Name	Title	Length of Service	Business Experience During Past 5 Years	Role of Portfolio Manager
Stanford L. Kurland (63) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, California 93021	Founder, Chairman and Chief Executive Officer of the Investment Adviser	Served since May 29, 2008	Founder, Chairman and Chief Executive Officer of the Investment Adviser; formerly, Chief Financial Officer and Chief Operating Officer of Countrywide Financial Corporation.	Chairman and Chief Executive Officer of the Investment Adviser
David A. Spector (52) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, California 93021	Executive Managing Director and Chief Investment Officer of the Investment Adviser	Served since May 29, 2008	Executive Managing Director and Chief Investment Officer of the Investment Adviser; formerly, Co-Head of Global Residential Mortgages for Morgan Stanley and Senior Managing Director, Secondary Markets for Countrywide Financial Corporation.	As Executive Managing Director and Chief Investment Officer, is responsible for oversight of all activities pertaining to investments, and directs the activities of portfolio management, capital markets, and credit as each relates to mortgage credit and company credit risk
David M. Walker (60) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, California 93021	Senior Managing Director and Chief Risk Officer of the Investment Adviser	Served since May 29, 2008	Senior Managing Director and Chief Risk Officer of the Investment Adviser; formerly, Chief Lending Officer, Chief Credit Officer and Executive Vice President of Secondary Marketing for Countrywide Bank, N.A.	As Senior Managing Director and Chief Risk Officer, is responsible for developing and maintaining the loan grading system, default curves, the loan loss severity matrix, new loan underwriting and modification standards, overseeing representation and warranty claims.
Andy S. Chang (38) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, California 93021	Senior Managing Director and Chief Business Development Officer of the Investment Adviser	Served since May 29, 2008	Senior Managing Director and Chief Business Development Officer of the Investment Adviser; formerly, Director at Blackrock and leader of its Advisory Services practice	As Senior Managing Director and Chief Business Development Officer, is responsible for establishing relationships with sellers, negotiating purchase/sales agreements, and coordinating transaction details.
Vandad Fartaj (44) c/o PNMAC Capital Management, LLC, 6101 Condor Drive, Moorpark, California 93021	Senior Managing Director and Chief Capital Markets Officer of the Investment Adviser	Served since March 3, 2010	Senior Managing Director and Chief Capital Markets Officer of the Investment Adviser; formerly, Managing Director, Capital Markets for PNMAC Capital Markets, LLC, and Vice President, Whole Loan Trading for Countrywide Securities Corporation	As Senior Managing Director and Chief Capital Markets Officer, is responsible for all capital markets activities including asset valuation, trading, hedging and research.

(2) The following table provides information about the other accounts managed on a day-to-day basis by each of the portfolio managers as of December 31, 2015:

Name of Manager	Total Number of Accounts Managed	Total Assets in Accounts Managed	Number of Accounts for Which Advisory Fee is Based on Performance	Assets in Accounts for Which Advisory Fee is Based on Performance
Stanford L. Kurland
Registered investment  companies	2	$344,364,570	2	$344,364,570
Other pooled investment vehicles	3	$5,990,689,286	2	$5,945,551,950
Other accounts				$0
David A. Spector
Registered investment companies	2	$344,364,570	2	$344,364,570
Other pooled investment vehicles	3	$5,990,689,286	2	$5,945,551,950
Other accounts				$0
Vandad Fartaj
Registered investment companies	2	$344,364,570	2	$344,364,570
Other pooled investment vehicles	3	$5,990,689,286	2	$5,945,551,950
Other accounts				$0

Name of Manager	Total Number of Accounts Managed	Total Assets in Accounts Managed	Number of Accounts for Which Advisory Fee is Based on Performance	Assets in Accounts for Which Advisory Fee is Based on Performance
David M. Walker
Registered investment companies	2	$344,364,570	2	$344,364,570
Other pooled investment vehicles	3	$5,990,689,286	2	$5,945,551,950
Other accounts				$0
Andy S. Chang
Registered investment companies	2	$344,364,570	2	$344,364,570
Other pooled investment vehicles	3	$5,990,689,286	2	$5,945,551,950
Other accounts				$0

 Potential Material Conflicts of Interests:

The Investment Adviser and its respective affiliates, members and employees may manage or advise other clients, including other investment vehicles and entities (“Other Accounts”). Investment opportunities will be apportioned among the Fund and Other Accounts pursuant to an allocation methodology that assesses the risk/expected return of loans in a given population such that each Fund and Other Accounts receive a pro-rata share based on capital available for investment. There is no assurance that the Fund will be offered any specific investment opportunities that come to the attention of the Investment Adviser or that the Fund will be permitted to invest the full amount it desires to invest in any such opportunity that is made available.

(3) Compensation:

Messrs. Kurland, Spector, Walker, Chang, and Fartaj receive a fixed salary and a discretionary bonusfrom Private National Mortgage Acceptance Company, LLC (“PennyMac”), the parent company of the Investment Adviser. Additionally, each of the managers will receive pro rata distributions of the profits of PennyMac based on his equity interest therein. During the year ended December 31, 2014, Messrs. Kurland, Spector, Walker, Chang, and Fartaj received from one of the managed accounts, restricted stock units which vest over a four year period.None of Messrs. Kurland, Spector, Walker, Chang and Fartaj receive any direct compensation from the Registrant.

(4) The following table provides information about the dollar range of equity securities in the registrant beneficially owned by each of the portfolio managers as of December 31, 2015:

Name of Manager	Aggregate Dollar Range of Holdings in the Registrant
Stanford L. Kurland	None
David A. Spector	None
David M. Walker	None
Andy S. Chang	None
Vandad Fartaj	None

(b) Not applicable.

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.  Furnished 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        October 27, 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        October 27, 2017                                                              

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

Andrew S. Chang, CFO

Date        October 27, 2017