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) 224-7050

Registrant’s telephone number, including area code

Date of fiscal year end: December 31

Date of reporting period:  December 31, 2016

EXPLANATORY NOTE

The Registrant is filing this amendment to its Form N-CSR for the fiscal year ended December 31, 2016, originally filed with the Securities and Exchange Commission on March 10, 2017. The purpose of this amendment is to include an audited Schedule of Investments in Item 6 – Investments as of December 31, 2016 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, 2016

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, 2016

Assets:
Investments at fair value (cost $128,917,090)	$	147,244,095
Receivable from PennyMac Loan Services, LLC		12,922,548
Mortgage loan sales proceeds receivable		9,284,333
Other		2,430,643
Total assets		171,881,619
Liabilities:
Asset-backed financing at fair value (proceeds $50,111,578)		50,297,683
Payable to PennyMac Loan Services, LLC		761,185
Accrued expenses		376,478
Investment advisory fees		219,994
Other		98,045
Total liabilities		51,753,385
Partners’ capital	$	120,128,234
Partners’ capital consists of:
Non-controlling Interest	$	18,696,882
General Partner		42,429,692
Limited Partner		59,001,660
Total partners’ capital	$	120,128,234

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

2

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

December 31, 2016

INVESTMENTS - 123% *

MORTGAGE INVESTMENTS - 104% *

Description	Note interest rate			Maturity date	State	Principal amount		Fair value
Mortgage loans
Mortgage Loan ID#1000043954**		5.25	%	5/1/2037	FL	$	2,224,321	$	1,789,242
Mortgage Loan ID#1000015063**		7.38	%	9/1/2036	FL		1,350,000		1,281,656
Mortgage Loan ID#1000028984**		3.00	%	6/1/2056	CA		1,521,832		1,028,033
Mortgage Loan ID#1000043880**		3.00	%	2/1/2035	OR		1,387,425		1,019,435
Mortgage Loan ID#1000043569**		3.38	%	9/1/2036	CA		1,502,151		959,377
Mortgage Loan ID#1000002193		6.88	%	5/1/2037	DC		990,000		924,965
Mortgage Loan ID#1000035099**		3.00	%	11/1/2056	NY		1,626,936		844,825
Mortgage Loan ID#1000016663**		6.88	%	5/1/2037	OR		799,862		749,956
Mortgage Loan ID#1000015179**		5.25	%	10/1/2043	CT		867,155		748,419
Mortgage Loan ID#1000016006**		7.15	%	2/1/2037	NY		641,150		673,207
Mortgage Loan ID#1000015520**		8.00	%	11/1/2037	GA		1,000,000		672,438
Mortgage Loan ID#1000043772**		5.88	%	7/1/2037	FL		920,218		638,128
Mortgage Loan ID#1000029387**		8.25	%	6/1/2037	NY		600,000		630,000
Mortgage Loan ID#1000001411		3.00	%	7/1/2047	CA		832,829		629,324
Mortgage Loan ID#1000043744**		3.50	%	8/1/2055	CA		882,978		626,088
Mortgage Loan ID#1000043694**		3.38	%	3/1/2056	CT		767,890		601,222
Mortgage Loan ID#1000016833**		6.50	%	10/1/2037	NY		645,282		586,412
Mortgage Loan ID#1000034768**		3.25	%	4/1/2036	NY		632,444		584,093
Mortgage Loan ID#1000000557**		6.90	%	3/1/2037	NJ		990,473		573,010
Mortgage Loan ID#1000026305**		2.00	%	3/1/2056	CA		781,464		570,519
Mortgage Loan ID#1000035343**		6.50	%	12/1/2043	CA		887,815		566,932
Mortgage Loan ID#1000026020**		4.00	%	6/1/2037	CA		548,520		538,686
Mortgage Loan ID#1000003907**		6.00	%	7/1/2037	MD		579,090		537,128
Mortgage Loan ID#1000025942**		4.00	%	9/1/2050	CA		634,392		511,776
Mortgage Loan ID#1000026350**		6.50	%	4/1/2037	NY		719,176		509,488
Mortgage Loan ID#1000000560**		6.80	%	1/1/2037	NY		613,522		505,715
Mortgage Loan ID#1000043559**		2.88	%	8/1/2045	VA		615,914		494,828
Mortgage Loan ID#1000038468**		6.13	%	5/1/2038	NY		531,936		492,909
Mortgage Loan ID#1000002398		10.00	%	8/1/2037	NY		860,000		480,798
Mortgage Loan ID#1000002180		2.00	%	8/1/2055	NY		762,549		477,868
Mortgage Loan ID#1000002404		3.44	%	9/1/2036	NY		755,396		476,499
Mortgage Loan ID#1000001628		10.37	%	5/1/2037	NY		451,250		469,792
Mortgage Loan ID#1000028356**		3.25	%	9/1/2056	CT		581,646		467,424
Mortgage Loan ID#1000028857**		7.75	%	9/1/2036	NY		455,000		462,386
Mortgage Loan ID#1000043914**		6.50	%	9/1/2036	NY		525,000		443,875
Mortgage Loan ID#1000027630**		7.00	%	12/1/2036	NJ		479,925		443,460
Mortgage Loan ID#1000027226**		5.75	%	6/1/2037	NY		449,000		435,948
Mortgage Loan ID#1000016313**		7.00	%	10/1/2037	NY		413,491		434,165
Mortgage Loan ID#1000028071**		4.25	%	2/1/2046	NJ		659,317		433,163
Other**							148,278,271		81,523,009
							180,765,620		106,836,198

(Continued)

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

3

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

December 31, 2016

Description	State	Principal amount		Fair value
Real estate acquired in settlement of loans
Property ID#1000027733**	IL	$	573,920	$	800,000
Property ID#1000026981**	MA		777,294		650,000
Property ID#1000027525**	NJ		554,549		620,000
Property ID#1000016710**	NJ		529,780		575,000
Property ID#1000026843**	CA		536,000		572,486
Property ID#1000035760**	NJ		548,714		550,000
Property ID#1000029380**	NJ		400,000		488,860
Property ID#1000038487**	NY		444,734		464,870
Property ID#1000029171	FL		509,600		455,000
Property ID#1000027283**	NY		382,094		440,000
Property ID#1000001636	FL		564,000		437,900
Other**			15,955,659		12,351,284
			21,776,344		18,405,400
TOTAL MORTGAGE INVESTMENTS (Cost $106,914,593)			202,541,964		125,241,598
SHORT-TERM INVESTMENT - 18% *
Name of Issuer		Shares		Fair value
Short-term investment
Morgan Stanley Liquidity Funds: Government Institutional Shares - yield 0.43% at December 31, 2016		$	22,002,497	$	22,002,497
TOTAL SHORT-TERM INVESTMENT (Cost $22,002,497)			22,002,497		22,002,497
TOTAL INVESTMENTS (Cost $128,917,090)				$	147,244,095

LIABILITIES - 42% * Description	Note interest rate			Maturity date	Principal amount		Fair value
Asset-backed financing
PNMAC 2015-NPL1 A-1-144A ^		4.00	%	3/25/2055	$	50,219,241	$	50,297,683
TOTAL LIABILITIES (Proceeds $50,111,578)						50,219,241		50,297,683
Other assets in excess of other liabilities - 19%*								23,181,822
TOTAL PARTNERS’ CAPITAL - 100% *							$	120,128,234

* Percentages are stated as a percent of partners’ capital

** Pledged as collateral for asset-backed financing, including $61,338,884 of $81,523,009 other mortgage loans and $10,481,421 of $12,351,284 real estate acquired in settlement of loans (See Note 5).

^ Investment represents securities issued by related parties

All investments are in the United States of America.

(Concluded)

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

4

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Operations

For the Year Ended December 31, 2016

Investment income:
Interest from mortgage loans	$	29,737,866
Home Affordable Modification Program incentives		539,624
Short-term investment dividends:
From related party- BlackRock Liquidity Funds		56,764
From nonaffiliate		18,909
Other		55,137
Total investment income		30,408,300
Expenses:
Collection and liquidation expenses		4,961,241
Interest on asset-backed financing		2,936,368
Mortgage loan servicing fees to PennyMac Loan Services, LLC		1,989,714
Investment advisory fees to PNMAC Capital Management, LLC		926,818
Other mortgage loan servicing expenses		586,043
Professional fees		430,026
Directors’ fees and expenses		234,659
Administration fees		230,166
Insurance		170,445
Collateral valuation		62,515
Custodian fees		53,133
Trustee fees		40,336
Investment software licensing		33,353
Taxes		23,114
Mortgage loan accounting fees		22,168
Registration fees		18,211
Total expenses before mortgage loan servicing fee rebate		12,718,310
Mortgage loan servicing fee rebate from PennyMac Loan Services, LLC		(305,674	)
Net expenses		12,412,636
Net investment income		17,995,664
Net realized loss and change in unrealized gain (loss) on investments and asset-backed financing:
Net realized loss on investments		(6,285,509	)
Net change in unrealized gain on investments		(4,543,073	)
Net change in unrealized loss on asset-backed financing		(946,858	)
Net realized loss and change in unrealized gain (loss) on investments and asset-backed financing		(11,775,440	)
Net increase in partners’ capital resulting from operations		6,220,224
Less: increase in partners’ capital resulting from operations attributable to Non-controlling Interest		2,989,837
Net increase in partners’ capital resulting from operations attributable to General and Limited Partners	$	3,230,387

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

5

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statements of Changes in Partners’ Capital

For the Years Ended December 31, 2015 and 2016

	Non-controlling Interest			General Partner			Limited Partner			Total
Partners’ capital, January 1, 2015	$	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, January 1, 2016		24,920,297			41,895,520			84,155,445			150,971,262
Distributions		(9,213,252	)		—			(27,850,000	)		(37,063,252	)
Increase in partners’ capital from operations:
Net investment income		3,422,132			349			14,573,183			17,995,664
Net realized gain (loss) on investments		3,127,541			(215	)		(9,412,835	)		(6,285,509	)
Net change in unrealized gain on investments		(3,559,836	)		(22	)		(983,215	)		(4,543,073	)
Net change in unrealized loss on asset-backed financing		—			(21	)		(946,837	)		(946,858	)
Net change in Carried Interest		—			534,081			(534,081	)		—
Net increase in partners’ capital from operations		2,989,837			534,172			2,696,215			6,220,224
Partners’ capital, December 31, 2016	$	18,696,882		$	42,429,692		$	59,001,660		$	120,128,234

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

6

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Cash Flows

For the Year Ended December 31, 2016

Cash flows from operating activities:
Net increase in partners’ capital resulting from operations	$	6,220,224
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		(19,030,512	)
Capitalization of interest on mortgage loans		(8,958,927	)
Net realized loss on investments		6,285,509
Net change in unrealized gain on investments		4,543,073
Net change in unrealized loss on asset-backed financing		946,858
Principal repayments on mortgage loans		8,586,467
Sale of mortgage loans		37,147,612
Sale of real estate acquired in settlement of loans		25,443,360
Net change in short-term investment		21,228,677
Changes in other assets and liabilities:
Decrease in receivable from PennyMac Loan Services, LLC		331,141
Increase in mortgage loan sales proceeds receivable		(9,284,333	)
Decrease in other assets		1,111,995
Increase in payable to PennyMac Loan Services, LLC		34,432
Decrease in accrued expenses		(38,661	)
Decrease in investment advisory fees		(97,290	)
Decrease in other liabilities		(127,800	)
Net cash provided by operating activities		74,341,825
Cash flows from financing activities:
Repayment of asset-backed financing		(37,278,573	)
Distributions to Non-controlling Interest		(9,213,252	)
Distributions to Limited Partner		(27,850,000	)
Net cash used in financing activities		(74,341,825	)
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	$	2,951,498

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

7

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Years Ended December 31, 2016, 2015, 2014, 2013, 2012

For the year ended December 31, 2016
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		4.14	%		5.44	%		5.44	%
Carried Interest (3)		1.26	%		-0.89	%		—
After Carried Interest		5.40	%		4.55	%		5.44	%
Internal rate of return (4)		255.85	%		9.72	%		11.11	%
Ratio of net investment income to weighted average partners capital		15.56	%		24.40	%		24.40	%
Ratio of expenses to weighted average partners’ capital (1)		11.12	%		19.56	%		19.56	%
Carried Interest		-23,806.65	%		0.89	%		—
Ratio of expenses and carried interest to weighted average partners’ capital		-23,795.53	%		20.45	%		19.56	%
��
Partners’ capital, end of year	$	42,429,692		$	59,001,660		$	101,431,352
Portfolio turnover rate								0.00	%

For the year ended December 31, 2015
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		5.09	%		5.43	%		5.43	%
Carried Interest (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		-52,330.73	%		0.89	%		—
Ratio of expenses and carried interest to weighted average partners’ capital		-52,324.44	%		10.98	%		10.09	%
Partners’ capital, end of year	$	41,895,520		$	84,155,445		$	126,050,965
Portfolio turnover rate								0.00	%

(Continued)

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

8

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Years Ended December 31, 2016, 2015, 2014, 2013, 2012

For the year ended December 31, 2014
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		6.67	%		5.39	%		5.39	%
Carried Interest (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	%

For the year ended December 31, 2013
	General Partner (1)			Limited Partner			Total
Total Return (2)
Before Carried Interest		14.95	%		13.86	%		13.86	%
Carried Interest (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	%

(Continued)

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

9

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

As of and for the Years Ended December 31, 2016, 2015, 2014, 2013, 2012

For the year ended December 31, 2012
	General Partner (1)			Limited 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	%

(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) and 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 consolidated financial statements.

10

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

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 49% of the Master Fund at December 31, 2016 and is the sole limited partner. The General Partner has the exclusive right to conduct the operations of the Master Fund.

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

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

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

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

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

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

11

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

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

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

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

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

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

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

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

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.

12

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

Use of Estimates

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

Fair Value

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

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

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

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

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

Short-term Investment

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

Interest Income

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

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.

13

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

Home Affordable Modification Program Incentive Fees

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

Asset-backed Financing

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

Expenses

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

Income Taxes

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

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

The Investment Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. In developing its conclusion, the Investment Manager of the Master Fund has analyzed all tax years that are open for examination by the relevant income taxing authority. As of December 31, 2016, open federal and state income tax years include the tax years ended December 31, 2013 through 2016 and December 31, 2012 through 2016, respectively. The Master Fund has no examination in progress.

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

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, 2016

Partners’ Capitaland 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 the normal course of business, the Master Fund may enter into contracts that provide general indemnification to other parties. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred, and may not occur. However, the Master Fund has not had prior claims or losses pursuant to these contracts, has not recorded any amounts as of December 31, 2016, and expects the risk of loss to be remote.

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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, 2016

Note 3—Fair Value

Following is a summary of assets and liabilities that are measured at fair value on a recurring basis for the year ended December 31, 2016:

	Level 1		Level 2		Level 3		Total
Assets:
Short-term investment	$	22,002,497	$	—	$	—	$	22,002,497
Mortgage loans		—		—		106,836,198		106,836,198
Real estate acquired in settlement of loans		—		—		18,405,400		18,405,400
	$	22,002,497	$	—	$	125,241,598	$	147,244,095
Liabilities:
Asset-backed financing	$	—	$	—	$	50,297,683	$	50,297,683
	$	—	$	—	$	50,297,683	$	50,297,683

There were no transfers of assets and liabilities measured at fair value between fair value hierarchy levels during the year ended December 31, 2016.

The following tables present a roll forward of assets and liabilities for which “Level 3” fair value inputs were used to determine fair value for the year ended December 31, 2016.

				Real estate
				acquired in
				settlement of
	Mortgage loans			loans			Total
Assets:
Balance at January 1, 2016	$	147,321,277		$	28,868,864		$	176,190,141
Sales		(37,147,612	)		(25,443,360	)		(62,590,972	)
Repayments		(8,586,467	)		—			(8,586,467	)
Capitalization of interest		8,958,927			—			8,958,927
Accrual of unearned discounts		19,030,512			—			19,030,512
Transfers of mortgage loans and advances to REO		(12,831,921	)		15,899,960			3,068,039
Net gains (losses) on investments:
Realized		(3,553,624	)		(2,731,885	)		(6,285,509	)
Unrealized*		(6,354,894	)		1,811,821			(4,543,073	)
Balance at December 31, 2016	$	106,836,198		$	18,405,400		$	125,241,598
Changes in fair value recognized during the period relating to assets still held at December 31, 2016	$	3,856,691		$	175,088		$	4,031,779

*Changes in fair value as a result of changes in instrument-specific credit risk relating to mortgage loans resulted in a net gain of $3,442,909 for the year ended December 31, 2016.

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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, 2016

At December 31, 2016, mortgage loans with a fair value totaling $54,084,736 were on non-accrual status.

	Asset-backed
	financing
Liabilities:
Balance at January 1, 2016	$	86,629,398
Repayments		(37,278,573	)
Net unrealized loss on asset-backed financing		946,858
Balance at December 31, 2016	$	50,297,683

Valuation Techniques and Inputs

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

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

The Investment Manager’s FAV group submits the results of its valuations to the Investment Manager’s valuation committee, which oversees and approves the valuations. During the year ended December 31, 2016, the Investment Manager’s valuation committee included the chief executive, financial, business development, operating, risk, and asset/liability officers of PNMAC.

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

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

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

Mortgage Loans

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” fair value assets, 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.

17

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

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 performance 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 at December 31, 2016:

		Range
Valuation technique	Key inputs	(Weighted average)
Discounted cash flow	Discount rate	2.6% - 26.7%
		(8.8%)
	Twelve-month housing price index change	3.2% - 4.2%
		(3.6%)
	Life Voluntary Constant Repayment Rate	0.1% - 100.0%
		(3.0%)
	Life Total Conditional Prepayment Rate	1.7% - 100.0%
		(14.4%)

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.

18

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

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, 2016:

						Weighted
			% partners’			average note
Occupancy	Fair value		capital			interest rate
Owner occupied	$	89,097,310		74.1	%		4.22	%
Investment property		17,252,247		14.4	%		5.30	%
Second property		473,170		0.4	%		7.35	%
Unsecured		13,471	< 0.1		%		0.00	%
Total portfolio	$	106,836,198		88.9	%		4.41	%
						Weighted
			% partners’			average note
Loan Type	Fair value		capital			interest rate
Adjustable rate / Hybrid	$	32,473,598		27.0	%		6.00	%
Fixed interest rate		45,996,411		38.4	%		4.83	%
Balloon		993,282		0.8	%		6.77	%
Step rate		27,323,001		22.7	%		2.30	%
Other		49,906		0.0	%		7.00	%
Total portfolio	$	106,836,198		88.9	%		4.41	%
						Weighted
			% partners’			average note
Lien Position	Fair value		capital			interest rate
1st Lien	$	105,364,235		87.7	%		4.25	%
2nd Lien		1,458,492		1.2	%		6.29	%
Unsecured		13,471	< 0.1		%		0.00	%
Total portfolio	$	106,836,198		88.9	%		4.41	%
						Weighted
			% partners’			average note
Loan Age (1)	Fair value		capital			interest rate
Less than 24 months	$	5,329	< 0.1		%		3.37	%
24-36 months		56,973	< 0.1		%		4.20	%
36-48 months		91,741		0.1	%		4.43	%
48-60 months		121,929		0.1	%		5.56	%
60 months or more		106,560,226		88.7	%		4.41	%
Total portfolio	$	106,836,198		88.9	%		4.41	%

¹ Loan Age reflects the age of the loan as of December 31, 2016.

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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, 2016

FICO Distribution (2)	Fair value		% partners’ capital			Weighted average note interest rate
Less than 600	$	75,322,035		62.6	%		4.09	%
600 - 649		14,287,352		11.9	%		5.08	%
650 - 699		10,051,933		8.4	%		5.19	%
700 - 749		4,768,785		4.0	%		5.46	%
More than 750		2,392,622		2.0	%		4.27	%
Unsecured		13,471		<0.1	%		0.00	%
Total portfolio	$	106,836,198		88.9	%		4.41	%

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

Current Loan-to-Value (3)	Fair value		% partners’ capital			Weighted average note interest rate
Less than 80%	$	28,736,784		23.9	%		5.09	%
80% - 99.99%		22,685,593		18.9	%		4.77	%
100% - 119.99%		25,439,885		21.2	%		4.33	%
120% or more		29,960,465		24.9	%		3.97	%
Unsecured		13,471		<0.1	%		0.00	%
Total portfolio	$	106,836,198		88.9	%		4.41	%

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, 2016.

Geographic Distribution	Fair value		% partners’ capital			Weighted average note interest rate
New York	$	27,753,210		23.1	%		5.11	%
California		16,215,137		13.5	%		3.09	%
Florida		14,195,049		11.8	%		5.00	%
New Jersey		6,066,631		5.1	%		4.11	%
Massachusetts		4,877,955		4.1	%		4.65	%
Maryland		3,490,242		2.9	%		3.88	%
Other / Unsecured		34,237,974		28.4	%		4.28	%
Total portfolio	$	106,836,198		88.9	%		4.41	%

Payment Status	Fair value		% partners’ capital			Weighted average note interest rate
Current (4)	$	34,532,342		28.7	%		3.26	%
30 days delinquent		13,874,055		11.5	%		3.41	%
60 days delinquent		4,345,065		3.6	%		3.43	%
90 days or more delinquent		22,779,480		19.0	%		4.87	%
In foreclosure		31,305,256		26.1	%		5.95	%
Total portfolio	$	106,836,198		88.9	%		4.41	%

⁴ Current mortgage loans include mortgage loans in and adhering to a forbearance plan as of December 31, 2016.

20

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Year Ended December 31, 2016

Following is a summary of the distribution of REO:

Geographic Distribution	Fair value		% partners’ capital
New Jersey	$	5,530,234		4.5	%
New York		2,259,471		1.9	%
Florida		2,152,283		1.8	%
California		1,765,110		1.5	%
Illinois		1,672,103		1.4	%
Other		5,026,199		4.2	%
Total portfolio	$	18,405,400		15.3	%

Property Type	Fair value		% partners’ capital
Single family residence	$	11,768,236		9.8	%
2 to 4 dwelling units		3,050,230		2.5	%
Planned unit development…		2,645,340		2.2	%
Condominium		941,594		0.8	%
Total portfolio	$	18,405,400		15.3	%

Note5—Asset-backed Financing

On April 9, 2015, the Master Fund entered into a transaction to securitize certain mortgage loans and REO by transferring them into PNMAC 2015-NPL1, LLC (the “NPL Trust”) which then issued Asset-Backed Notes Series 2015-NPL1 (the “Notes”). Deutsche Bank National Trust Company serves as the Indenture Trustee. The Notes have a contractual maturity date of March 25, 2055, and an interest rate of 4%. The amounts of mortgage loans and REO that are pledged as collateral are disclosed in the consolidated summary schedule of investments and may not be re-pledged in other borrowing transactions. The reserve cash account pertaining to the NPL Trust holds $1,057,810 and is included in Other assets on the consolidated statement of assets and liabilities. There are no other material net assets held in the NPL Trust.

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

Note6—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.

21

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Year Ended December 31, 2016

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 $180,000. Administration fees for the yearended December 31, 2016 totaled$ 230,166.

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 $20,000 across all funds managed by the Investment Manager. The mortgage loan accounting fees charged to the Master Fund for the year ended December 31, 2016 totaled$ 22,168.

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, 2016 totaled $53,133.

Note7—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. For the period from January 1, 2016 through June 30, 2016, independent directors received an annual retainer of $64,800 and a fee per meeting of the board of directors or committees of $2,000, subject to a limit of $15,000 per year for all non-regularly-scheduled meetings. Effective July 1, 2016, the annual retainer increased to $100,000 and the fee per meeting of the board of directors or committees increased to $3,000, subject to a limit of $15,000 per year for all non-regularly-scheduled meetings. The chairperson of the audit committee receives an annual retainer of $10,000 in addition to the amounts above. Directors are reimbursed by the Master Fund for their travel expenses related to board meetings. The total directors’ fees and expenses incurred for the year ended December 31, 2016 were $234,659, of which $30,500 was payable at December 31, 2016.

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.

Note8—Transactions with Affiliates

PLS acts as the primary mortgage servicer for all mortgage loans owned by the Master Fund. The servicing agreement between PLS and Master Fund generally provides for servicing fees of 50 to 100 basis points of unpaid principal balance per year, depending on the type and quality of mortgage loans being serviced, plus other specified fees and charges. The servicing agreement also requires that PLS will rebate to the Master Fund an amount equal to the cumulative profit, if any, of the servicing operations attributable to the mortgage loans owned by the Master Fund, and conversely, charge the Master Fund if a loss has been incurred in order to effect overall “at cost” pricing with respect to mortgage loan servicing activities for such assets. Under a separate agreement between the Master Fund and the Investment Manager, the Investment Manager will cause PLS to rebate to the Master Fund an amount equal to 13% of servicing-related fees charged to the Master Fund to approximate overall “at cost” pricing with respect to mortgage loan servicing activities for such assets, and the Investment Manager will represent on an annual basis to the Master Fund’s board of directors whether servicing fees paid net of the rebate have in fact not exceeded the actual cash costs incurred in servicing the mortgage loans owned by the Master Fund. Total mortgage loan servicing fees charged by PLS before the rebate for the year ended December 31, 2016 totaled $1,989,714, of which PLS reduced by providing a rebate of $305,674.

22

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Year Ended December 31, 2016

Following is a summary of the receivable from PLS on the Consolidated Statement of Assets and Liabilities as of December 31, 2016:

Collection and liquidation advances	$	10,510,658
Principal and interest collections, and REO sales proceeds receivable		2,276,521
Deposits to fund litigation and collection costs		135,369
Total	$	12,922,548

Following is a summary of the payable to PLS on the Consolidated Statement of Assets and Liabilities as of December 31, 2016:

Collection and liquidation expenses payable	$	355,183
Mortgage loan servicing fee rebate security deposit		300,000
Mortgage loan servicing fees payable		120,936
less: mortgage loan servicing fee rebate		(49,872	)
Other mortgage loan servicing expenses payable		34,938
Total	$	761,185

Following is a summary of payments made to the Investment Manager for reimbursable expenses paid on the Master Fund and subsidiaries’ behalf during the yearended December 31, 2016:

Professional fees	$	378,903
Insurance		170,445
Collateral valuation		62,515
Investment software licensing		30,696
Registration fees		18,134
Custodian fees		3,990
Total	$	664,683

The Master Fund incurred investment advisory fees of $926,818 during the year ended December 31, 2016, of which $219,994 was payable to the Investment Managerat December 31, 2016.

As of December 31, 2016, $42,427,411 in Carried Interest has been accrued and reallocated from the Limited Partner’s capital account to the General Partner’s capital account of which $534,081 was allocated in the year ended December 31, 2016.

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

23

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

For the period from January 1, 2016 through September 13, 2016, the Master Fund’s short-term investment was the BlackRock Liquidity Funds: TempFund Institutional Shares, which is managed by BlackRock Institutional Management Corporation, a wholly owned subsidiary of BlackRock, Inc. BlackRock Inc. is an affiliate of the Master Fund. For the period from January 1, 2016 through September 13, 2016, the Master Fund received $56,764 of dividend income from this short-term investment. On September 13, 2016, the Master Fund sold its shares in the BlackRock Liquidity Funds: TempFund Institutional Shares and reinvested the proceeds in an unaffiliated money market fund.

Note9—Risk Factors

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

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

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

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

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

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

24

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

As of and for the Year Ended December 31, 2016

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.

Note10—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 $10,200,000 for the payment of distributions to common shareholders.

****

25

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Report of Independent Registered Public Accounting Firm

As of and for the Year Ended December 31, 2016

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, 2016, 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, 2016, 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, 2016, 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 $125,241,598 (72.9% of total assets) and an asset-backed financing liability, valued at $(50,297,683) (97.2% of total liabilities) as of December 31, 2016, whose fair values have been estimated by management in the absence of readily determinable fair values. Our opinion is not modified in respect of this matter.

Los Angeles, California

February 27, 2017

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 16, 2016, 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 16, 2016, 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 16, 2016 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 (60) c/oPNMAC CapitalManagement, LLC, 3043Townsgate Road, WestlakeVillage, CA 91361	Director; Audit Committee Member; Governance and Nominating Committee Chairman	Indefinite Term. Served from August 25, 2010 until July 9, 2016.	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 (49) c/oPNMAC CapitalManagement, LLC, 3043Townsgate Road, WestlakeVillage, CA 91361	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 (73) c/oPNMAC CapitalManagement, LLC, 3043Townsgate Road, WestlakeVillage, CA 91361	Director; Audit Committee Member; Governance and Nominating Committee	Indefinite Term. Served from May 29, 2008 until September 19, 2016.	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 (53) c/oPNMAC CapitalManagement, LLC, 3043Townsgate Road, WestlakeVillage, CA 91361	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 (64)c/o PNMAC CapitalManagement, LLC, 3043Townsgate Road, WestlakeVillage, CA 91361	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 (61) c/oPNMAC CapitalManagement, LLC, 3043Townsgate Road, WestlakeVillage, CA 91361	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 (62)c/o PNMAC CapitalManagement, LLC,3043 Townsgate Road,Westlake Village, CA91361	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 (49) c/oPNMAC CapitalManagement, LLC,3043 Townsgate Road,Westlake Village, CA91361	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
LuAnne Garvey (58) c/oPNMAC CapitalManagement, LLC,3043 Townsgate Road,Westlake Village, CA91361	Chief Compliance Officer	Indefinite Term.	Chief Compliance Officer of the Investment Adviser; Assistant Compliance Director, Cipperman Compliance Services, LLC.	2	None
Vandad Fartaj (42) c/oPNMAC CapitalManagement, LLC,3043 Townsgate Road,Westlake Village, CA91361	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 (39) c/oPNMAC CapitalManagement, LLC,3043 Townsgate Road,Westlake Village, CA91361	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. Thomas P. Gybel 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  12/31/2016	FYE  12/31/2015
Audit Fees	$190,000	$209,200
Audit-Related Fees	$0	$ 0
Tax Fees	$25,000	$10,327
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  12/31/2016	FYE  12/31/2015
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  12/31/2016	FYE  12/31/2015
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 - 123%*
MORTGAGE INVESTMENTS - 104%*
	Note	Maturity			Principal		Fair
Description	interest rate	date	State		amount		value
Mortgage loans
Mortgage Loan ID#1000043954**	5.25%	5/1/2037	FL	$	2,224,321	$	1,789,242
Mortgage Loan ID#1000015063**	7.38%	9/1/2036	FL		1,350,000		1,281,656
Mortgage Loan ID#1000028984**	3.00%	6/1/2056	CA		1,521,832		1,028,033
Mortgage Loan ID#1000043880**	3.00%	2/1/2035	OR		1,387,425		1,019,435
Mortgage Loan ID#1000043569**	3.38%	9/1/2036	CA		1,502,151		959,377
Mortgage Loan ID#1000002193	6.88%	5/1/2037	DC		990,000		924,965
Mortgage Loan ID#1000035099**	3.00%	11/1/2056	NY		1,626,936		844,825
Mortgage Loan ID#1000016663**	6.88%	5/1/2037	OR		799,862		749,956
Mortgage Loan ID#1000015179**	5.25%	10/1/2043	CT		867,155		748,419
Mortgage Loan ID#1000016006**	7.15%	2/1/2037	NY		641,150		673,207
Mortgage Loan ID#1000015520**	8.00%	11/1/2037	GA		1,000,000		672,438
Mortgage Loan ID#1000043772**	5.88%	7/1/2037	FL		920,218		638,128
Mortgage Loan ID#1000029387**	8.25%	6/1/2037	NY		600,000		630,000
Mortgage Loan ID#1000001411	3.00%	7/1/2047	CA		832,829		629,324
Mortgage Loan ID#1000043744**	3.50%	8/1/2055	CA		882,978		626,088
Mortgage Loan ID#1000043694**	3.38%	3/1/2056	CT		767,890		601,222
Mortgage Loan ID#1000016833**	6.50%	10/1/2037	NY		645,282		586,412
Mortgage Loan ID#1000034768**	3.25%	4/1/2036	NY		632,444		584,093
Mortgage Loan ID#1000000557**	6.90%	3/1/2037	NJ		990,473		573,010
Mortgage Loan ID#1000026305**	2.00%	3/1/2056	CA		781,464		570,519
Mortgage Loan ID#1000035343**	6.50%	12/1/2043	CA		887,815		566,932
Mortgage Loan ID#1000026020**	4.00%	6/1/2037	CA		548,520		538,686
Mortgage Loan ID#1000003907**	6.00%	7/1/2037	MD		579,090		537,128
Mortgage Loan ID#1000025942**	4.00%	9/1/2050	CA		634,392		511,776
Mortgage Loan ID#1000026350**	6.50%	4/1/2037	NY		719,176		509,488
Mortgage Loan ID#1000000560**	6.80%	1/1/2037	NY		613,522		505,715
Mortgage Loan ID#1000043559**	2.88%	8/1/2045	VA		615,914		494,828
Mortgage Loan ID#1000038468**	6.13%	5/1/2038	NY		531,936		492,909
Mortgage Loan ID#1000002398	10.00%	8/1/2037	NY		860,000		480,798
Mortgage Loan ID#1000002180	2.00%	8/1/2055	NY		762,549		477,868
Mortgage Loan ID#1000002404	3.44%	9/1/2036	NY		755,396		476,499
Mortgage Loan ID#1000001628	10.37%	5/1/2037	NY		451,250		469,792
Mortgage Loan ID#1000028356**	3.25%	9/1/2056	CT		581,646		467,424
Mortgage Loan ID#1000028857**	7.75%	9/1/2036	NY		455,000		462,386
Mortgage Loan ID#1000043914**	6.50%	9/1/2036	NY		525,000		443,875
Mortgage Loan ID#1000027630**	7.00%	12/1/2036	NJ		479,925		443,460
Mortgage Loan ID#1000027226**	5.75%	6/1/2037	NY		449,000		435,948
Mortgage Loan ID#1000016313**	7.00%	10/1/2037	NY		413,491		434,165
Mortgage Loan ID#1000028071**	4.25%	2/1/2046	NJ		659,317		433,163
Mortgage Loan ID#1000035161**	7.75%	9/1/2037	NJ		632,985		431,774
Mortgage Loan ID#1000035519**	5.25%	12/1/2036	MA		464,303		431,405
Mortgage Loan ID#1000035426	2.00%	11/1/2039	CA		506,382		422,165
Mortgage Loan ID#1000000565**	3.38%	6/1/2056	NY		819,738		411,431
Mortgage Loan ID#1000025992**	4.00%	4/1/2051	CA		519,960		410,247
Mortgage Loan ID#1000000697**	9.00%	10/1/2037	FL		527,099		409,551
Mortgage Loan ID#1000029411**	10.75%	9/1/2037	FL		389,252		408,716
Mortgage Loan ID#1000043672**	6.38%	2/1/2038	NY		551,820		408,297
Mortgage Loan ID#1000028896**	2.00%	1/1/2052	NY		486,961		403,240
Mortgage Loan ID#1000035448**	3.38%	3/1/2056	CA		572,763		394,362
Mortgage Loan ID#1000017201**	4.88%	4/1/2049	MD		513,213		394,245
Mortgage Loan ID#1000027875**	6.20%	1/1/2035	NY		434,147		393,362
Mortgage Loan ID#1000016592**	3.75%	11/1/2035	CA		415,521		386,758
Mortgage Loan ID#1000035122**	5.00%	12/1/2043	IL		463,733		385,288
Mortgage Loan ID#1000015901	4.00%	3/1/2055	MA		492,419		384,739
Mortgage Loan ID#1000001631	8.88%	8/1/2037	NY		472,500		377,422
Mortgage Loan ID#1000043923**	3.88%	4/1/2037	MA		404,765		375,763
Mortgage Loan ID#1000026026**	7.00%	2/1/2037	NY		491,954		374,244
Mortgage Loan ID#1000028993**	2.00%	11/1/2036	NJ		421,039		365,829
Mortgage Loan ID#1000043582**	3.50%	8/1/2035	TX		437,724		365,133
Mortgage Loan ID#1000000544**	6.00%	12/1/2038	NY		693,175		362,298
Mortgage Loan ID#1000015570	4.25%	6/1/2035	OR		455,932		361,759
Mortgage Loan ID#1000043564**	7.00%	10/1/2037	NY		640,848		360,714
Mortgage Loan ID#1000016028	8.00%	2/1/2037	MA		471,885		360,246
Mortgage Loan ID#1000028059**	5.13%	12/1/2053	MD		404,111		358,629
Mortgage Loan ID#1000043597**	7.00%	8/1/2037	NJ		429,998		355,444
Mortgage Loan ID#1000026767**	3.75%	12/1/2034	CA		376,966		352,762
Mortgage Loan ID#1000001611	7.24%	5/1/2037	NY		605,000		351,173
Mortgage Loan ID#1000015019**	4.50%	5/1/2035	CA		378,714		350,755
Mortgage Loan ID#1000016921	6.85%	11/1/2036	NY		454,027		350,138
Mortgage Loan ID#1000002167	3.13%	6/1/2046	NY		592,084		349,832
Mortgage Loan ID#1000035785**	6.00%	1/1/2036	NY		428,000		345,778
Mortgage Loan ID#1000029184**	2.00%	12/1/2038	NY		671,425		345,055
Mortgage Loan ID#1000002089	7.63%	5/1/2037	AZ		384,176		344,595
Mortgage Loan ID#1000038534**	5.75%	2/1/2038	NY		394,272		341,055
Mortgage Loan ID#1000003896**	4.13%	7/1/2053	MA		432,022		338,405
Mortgage Loan ID#1000002169	3.00%	4/1/2051	NY		518,536		336,470
Mortgage Loan ID#1000029315**	4.00%	4/1/2037	CA		617,075		335,339
Mortgage Loan ID#1000017076**	7.63%	12/1/2037	NY		438,280		326,774
Mortgage Loan ID#1000035967**	3.25%	7/1/2056	MD		424,255		326,742
Mortgage Loan ID#1000027464**	6.75%	2/1/2036	FL		502,188		325,383
Mortgage Loan ID#1000029231**	3.50%	6/1/2056	IL		732,032		318,883
Mortgage Loan ID#1000025998**	3.00%	12/1/2053	CA		573,810		316,362
Mortgage Loan ID#1000043173**	2.00%	11/1/2049	NJ		376,188		315,957
Mortgage Loan ID#1000001404	4.00%	10/1/2047	NY		647,733		315,754
Mortgage Loan ID#1000043184**	2.88%	7/1/2045	CA		375,738		315,618
Mortgage Loan ID#1000026656**	3.00%	10/1/2051	GA		526,694		312,458
Mortgage Loan ID#1000028933**	7.85%	11/1/2036	FL		391,767		312,203
Mortgage Loan ID#1000016228**	5.75%	9/1/2035	NY		435,120		311,830
Mortgage Loan ID#1000044147**	3.50%	2/1/2056	NY		391,356		310,898
Mortgage Loan ID#1000043617**	4.88%	12/1/2053	VA		339,827		310,236
Mortgage Loan ID#1000026005**	4.87%	5/1/2037	CA		290,725		305,252
Mortgage Loan ID#1000038435**	5.38%	2/1/2056	CA		511,224		304,346
Mortgage Loan ID#1000028960**	8.25%	2/1/2037	NY		314,675		300,100
Mortgage Loan ID#1000029085**	10.20%	9/1/2056	FL		842,099		299,671
Mortgage Loan ID#1000026150**	7.75%	9/1/2034	PA		284,148		298,355
Mortgage Loan ID#1000026658**	3.00%	6/1/2042	NY		336,759		297,482
Mortgage Loan ID#1000029356**	2.00%	12/1/2056	CA		397,887		295,977
Mortgage Loan ID#1000000562**	3.50%	4/1/2056	NY		427,133		293,380
Mortgage Loan ID#1000028805	2.00%	11/1/2036	NY		466,883		292,863
Mortgage Loan ID#1000043641**	6.38%	9/1/2037	NY		504,303		290,360
Mortgage Loan ID#1000002367	4.65%	3/1/2037	NY		469,083		290,043
Mortgage Loan ID#1000003926**	3.88%	10/1/2046	MA		326,934		287,379
Mortgage Loan ID#1000043702**	8.15%	5/1/2035	NY		296,197		286,380
Mortgage Loan ID#1000028289**	4.00%	11/1/2046	MA		484,151		285,845
Mortgage Loan ID#1000034782**	5.88%	1/1/2037	FL		284,120		283,504
Mortgage Loan ID#1000002108	5.00%	3/1/2037	NY		389,604		282,218
Mortgage Loan ID#1000001608	7.88%	3/1/2037	NY		464,000		281,700
Mortgage Loan ID#1000015922**	3.13%	12/1/2036	MO		488,843		281,074
Mortgage Loan ID#1000029300**	3.00%	2/1/2037	CA		492,811		280,164
Mortgage Loan ID#1000002075	5.63%	5/1/2037	FL		545,121		275,441
Mortgage Loan ID#1000002066	4.39%	5/1/2047	CA		609,736		270,342
Mortgage Loan ID#1000044258	3.25%	7/1/2056	MA		397,135		267,499
Mortgage Loan ID#1000016216**	3.13%	9/1/2056	NY		550,648		267,436
Mortgage Loan ID#1000002031	2.00%	1/1/2048	CA		410,134		266,594
Mortgage Loan ID#1000002145	7.88%	3/1/2037	NY		412,500		264,140
Mortgage Loan ID#1000001626	3.00%	5/1/2055	NY		873,102		263,656
Mortgage Loan ID#1000016402**	7.05%	12/1/2036	NY		352,869		261,748
Mortgage Loan ID#1000001509	3.00%	4/1/2047	NY		602,954		261,222
Mortgage Loan ID#1000015500**	7.50%	7/1/2037	NY		504,000		261,144
Mortgage Loan ID#1000002092	4.13%	12/1/2054	NY		390,383		259,114
Mortgage Loan ID#1000001457	5.04%	9/1/2047	NJ		508,345		258,752
Mortgage Loan ID#1000017367**	3.75%	10/1/2036	CO		276,486		258,679
Mortgage Loan ID#1000029283**	3.25%	10/1/2046	NY		329,936		257,817
Mortgage Loan ID#1000029034**	2.00%	5/1/2054	CA		486,358		257,603
Mortgage Loan ID#1000035642**	4.80%	9/1/2047	CO		283,429		256,853
Mortgage Loan ID#1000029217**	2.00%	1/1/2040	VA		353,918		255,806
Mortgage Loan ID#1000001463	4.98%	8/1/2047	CA		539,721		253,618
Mortgage Loan ID#1000017154**	3.00%	6/1/2051	NJ		315,367		251,025
Mortgage Loan ID#1000035004**	3.00%	2/1/2045	FL		309,516		250,438
Mortgage Loan ID#1000002062	3.00%	4/1/2056	NY		418,533		250,047
Mortgage Loan ID#1000000533	2.00%	2/1/2052	NY		309,713		249,832
Mortgage Loan ID#1000002320	3.13%	4/1/2046	AZ		410,363		248,071
Mortgage Loan ID#1000000938**	2.63%	3/1/2038	CA		282,913		247,384
Mortgage Loan ID#1000043832**	3.25%	10/1/2056	MD		313,888		244,376
Mortgage Loan ID#1000026051**	4.84%	9/1/2037	CA		265,573		244,087
Mortgage Loan ID#1000027181**	6.50%	10/1/2037	FL		562,500		243,370
Mortgage Loan ID#1000026083**	3.00%	6/1/2043	CA		349,191		243,012
Mortgage Loan ID#1000028937**	2.00%	11/1/2056	NY		539,319		242,010
Mortgage Loan ID#1000015904**	2.00%	8/1/2051	NJ		370,295		241,396
Mortgage Loan ID#1000029367**	7.00%	2/1/2037	NY		450,400		240,120
Mortgage Loan ID#1000016786**	7.13%	8/1/2037	NY		384,213		239,887
Mortgage Loan ID#1000034816**	7.00%	10/1/2037	NY		441,943		237,583
Mortgage Loan ID#1000017474**	3.00%	10/1/2056	IL		362,723		233,316
Mortgage Loan ID#1000043850**	3.38%	8/1/2055	FL		342,402		232,235
Mortgage Loan ID#1000026059**	3.13%	10/1/2056	IL		510,612		231,866
Mortgage Loan ID#1000026034**	5.00%	3/1/2037	CA		299,972		231,505
Mortgage Loan ID#1000029087**	2.00%	3/1/2056	CA		446,364		230,219
Mortgage Loan ID#1000029127**	4.00%	4/1/2055	CA		415,749		228,966
Mortgage Loan ID#1000000439**	4.88%	9/1/2054	AL		332,402		228,547
Mortgage Loan ID#1000035218**	8.86%	6/26/2024	NY		214,846		225,588
Mortgage Loan ID#1000043537**	3.25%	9/1/2056	NY		1,024,404		222,795
Mortgage Loan ID#1000029198**	3.50%	4/1/2056	CA		314,834		222,236
Mortgage Loan ID#1000043804	3.25%	7/1/2056	NJ		551,586		221,552
Mortgage Loan ID#1000000896**	7.38%	1/1/2038	CA		260,000		220,281
Mortgage Loan ID#1000003884	3.50%	5/1/2037	MA		276,017		219,508
Mortgage Loan ID#1000000644**	6.25%	12/1/2036	VA		345,183		218,704
Mortgage Loan ID#1000044110**	7.50%	5/1/2035	NY		212,322		217,539
Mortgage Loan ID#1000044205**	5.50%	2/1/2056	MA		404,314		214,764
Mortgage Loan ID#1000017045**	10.38%	8/1/2035	MA		201,549		211,627
Mortgage Loan ID#1000029181**	4.00%	9/1/2035	MS		279,790		211,582
Mortgage Loan ID#1000027962**	6.00%	12/1/2049	CA		245,981		211,210
Mortgage Loan ID#1000026583**	3.00%	3/1/2051	MD		305,940		211,090
Mortgage Loan ID#1000029151**	9.35%	12/1/2036	FL		270,872		210,954
Mortgage Loan ID#1000043637**	2.00%	10/1/2046	NY		427,504		210,755
Mortgage Loan ID#1000043867**	8.64%	8/28/2037	FL		308,070		210,281
Mortgage Loan ID#1000017081**	6.75%	12/1/2033	WA		146,388		210,185
Mortgage Loan ID#1000028891**	3.88%	12/1/2053	VA		260,349		208,507
Mortgage Loan ID#1000029254**	9.50%	2/1/2037	FL		433,287		208,157
Mortgage Loan ID#1000015280**	4.13%	4/1/2055	PA		250,495		207,825
Mortgage Loan ID#1000002319	8.75%	7/1/2037	FL		324,882		207,124
Mortgage Loan ID#1000043656**	6.50%	12/1/2036	DC		228,791		207,103
Mortgage Loan ID#1000029165**	3.25%	7/1/2055	WA		373,825		206,819
Mortgage Loan ID#1000003528	3.00%	9/1/2047	MD		353,054		205,749
Mortgage Loan ID#1000002214	3.00%	4/1/2055	CA		695,737		204,596
Mortgage Loan ID#1000026413**	5.13%	9/1/2035	MA		352,241		204,167
Mortgage Loan ID#1000028883**	7.00%	11/1/2036	FL		262,400		203,386
Mortgage Loan ID#1000029042**	4.88%	12/1/2053	PA		583,352		202,227
Mortgage Loan ID#1000001588	9.25%	6/1/2047	NY		368,791		199,642
Mortgage Loan ID#1000002101	2.00%	11/1/2057	CA		443,716		199,264
Mortgage Loan ID#1000029206**	11.38%	7/1/2037	NY		188,360		197,777
Mortgage Loan ID#1000038507**	6.38%	5/1/2037	FL		300,000		197,047
Mortgage Loan ID#1000044253**	4.88%	8/1/2036	PA		214,057		196,281
Mortgage Loan ID#1000038481	3.25%	9/1/2056	NJ		273,676		194,825
Mortgage Loan ID#1000036021**	2.00%	7/1/2035	NY		311,625		194,482
Mortgage Loan ID#1000029065**	4.00%	10/1/2053	CA		387,139		194,023
Mortgage Loan ID#1000001596	8.83%	5/1/2037	NY		408,500		193,830
Mortgage Loan ID#1000001449	2.00%	3/1/2052	CA		273,462		190,296
Mortgage Loan ID#1000026109**	5.99%	10/1/2034	MA		222,625		185,872
Mortgage Loan ID#1000028894**	3.13%	9/1/2056	FL		318,028		185,358
Mortgage Loan ID#1000002359	8.63%	4/1/2037	NY		259,846		185,159
Mortgage Loan ID#1000003623	3.13%	12/1/2035	MA		251,222		184,287
Mortgage Loan ID#1000001610	9.38%	8/1/2037	NY		347,672		182,925
Mortgage Loan ID#1000026024**	2.00%	10/1/2052	CA		324,404		182,007
Mortgage Loan ID#1000000293**	4.25%	12/1/2054	VT		470,663		181,944
Mortgage Loan ID#1000015325**	5.04%	7/1/2047	CT		203,789		181,567
Mortgage Loan ID#1000029115**	3.00%	7/1/2037	CA		369,986		181,385
Mortgage Loan ID#1000026006**	7.00%	11/1/2037	WA		194,731		179,205
Mortgage Loan ID#1000017341**	2.00%	10/1/2056	WA		235,480		177,350
Mortgage Loan ID#1000002199	2.00%	12/1/2053	NJ		490,720		176,902
Mortgage Loan ID#1000001369	3.25%	8/1/2056	IL		365,594		176,747
Mortgage Loan ID#1000002116	8.63%	8/1/2037	NY		450,000		176,473
Mortgage Loan ID#1000015960**	4.00%	12/1/2049	OR		201,014		175,855
Mortgage Loan ID#1000028925	7.20%	11/1/2036	FL		245,012		175,765
Mortgage Loan ID#1000026028**	4.43%	5/1/2041	CA		288,506		175,758
Mortgage Loan ID#1000043516**	4.88%	9/1/2047	NJ		287,391		175,174
Mortgage Loan ID#1000043875**	3.88%	12/1/2034	NC		187,182		174,854
Mortgage Loan ID#1000016081**	2.50%	1/1/2040	FL		434,274		172,666
Mortgage Loan ID#1000025949**	3.88%	4/1/2053	CA		337,698		172,364
Mortgage Loan ID#1000002200	5.25%	6/1/2042	FL		219,300		171,882
Mortgage Loan ID#1000043320**	4.00%	9/1/2056	WI		212,559		171,359
Mortgage Loan ID#1000001683	8.33%	5/1/2037	TX		189,475		170,555
Mortgage Loan ID#1000002378	3.63%	1/1/2056	NY		392,965		170,356
Mortgage Loan ID#1000026196**	9.45%	5/1/2037	MA		253,604		170,098
Mortgage Loan ID#1000029196**	2.00%	5/1/2052	CA		382,305		169,977
Mortgage Loan ID#1000035724**	3.00%	1/1/2045	CA		191,804		169,149
Mortgage Loan ID#1000026014**	3.25%	7/1/2056	OR		211,690		167,660
Mortgage Loan ID#1000026182**	4.75%	11/1/2054	CA		228,313		167,490
Mortgage Loan ID#1000028428**	4.00%	3/1/2055	CT		200,138		167,243
Mortgage Loan ID#1000025997**	4.00%	12/1/2036	WA		371,249		167,222
Mortgage Loan ID#1000002011	2.00%	8/1/2056	FL		520,974		166,749
Mortgage Loan ID#1000002369	4.00%	3/1/2037	NY		361,237		165,957
Mortgage Loan ID#1000043416**	3.50%	2/1/2056	CT		254,323		165,382
Mortgage Loan ID#1000017068**	3.13%	9/1/2056	MD		263,510		164,098
Mortgage Loan ID#1000016068**	3.25%	9/1/2056	FL		575,913		163,614
Mortgage Loan ID#1000026012	4.88%	8/1/2054	CA		288,362		162,008
Mortgage Loan ID#1000029147**	4.06%	3/1/2037	FL		208,499		161,605
Mortgage Loan ID#1000000658**	5.00%	7/1/2037	NY		267,621		160,338
Mortgage Loan ID#1000029186	3.00%	11/1/2056	FL		220,598		160,144
Mortgage Loan ID#1000001022	8.50%	2/1/2037	FL		200,176		159,864
Mortgage Loan ID#1000028224**	6.00%	3/1/2033	NY		209,009		155,478
Mortgage Loan ID#1000001066	9.50%	9/1/2037	FL		202,349		154,812
Mortgage Loan ID#1000026016**	3.13%	10/1/2056	NM		257,428		153,578
Mortgage Loan ID#1000044087**	6.06%	11/28/2034	MO		169,419		153,552
Mortgage Loan ID#1000027353**	2.00%	6/1/2051	NY		264,919		153,256
Mortgage Loan ID#1000029089**	9.00%	4/1/2037	WA		188,711		153,112
Mortgage Loan ID#1000026229**	2.00%	10/1/2049	RI		312,481		152,167
Mortgage Loan ID#1000003971**	4.50%	2/1/2037	MI		229,115		152,154
Mortgage Loan ID#1000003880**	5.00%	3/1/2046	MA		170,817		151,708
Mortgage Loan ID#1000015317**	2.00%	1/1/2052	VA		279,494		151,443
Mortgage Loan ID#1000016457**	8.00%	4/1/2037	IL		226,931		151,216
Mortgage Loan ID#1000017171**	6.00%	3/1/2049	GA		144,612		151,110
Mortgage Loan ID#1000034925**	3.63%	12/1/2055	FL		248,950		150,819
Mortgage Loan ID#1000029329**	5.50%	5/1/2037	KS		200,839		148,985
Mortgage Loan ID#1000028957**	4.13%	4/1/2036	CO		167,762		147,859
Mortgage Loan ID#1000034848**	5.63%	2/1/2038	NY		255,003		147,229
Mortgage Loan ID#1000001589	3.00%	10/1/2056	NJ		305,076		146,744
Mortgage Loan ID#1000017418**	2.00%	2/1/2052	FL		240,572		146,413
Mortgage Loan ID#1000015875**	3.00%	10/1/2051	NY		191,709		146,125
Mortgage Loan ID#1000002340	5.22%	6/1/2056	DC		282,318		145,621
Mortgage Loan ID#1000028998**	6.50%	1/1/2037	FL		223,317		144,654
Mortgage Loan ID#1000034960**	7.38%	4/1/2038	UT		138,947		143,700
Mortgage Loan ID#1000003858**	3.50%	12/1/2037	GA		156,522		143,340
Mortgage Loan ID#1000001924	2.00%	2/1/2056	WA		234,623		143,047
Mortgage Loan ID#1000002310	6.00%	5/1/2037	ME		223,787		143,039
Mortgage Loan ID#1000002332	2.00%	7/1/2056	NY		653,012		142,945
Mortgage Loan ID#1000017513**	4.13%	8/1/2053	MA		182,647		142,358
Mortgage Loan ID#1000035479**	7.95%	3/1/2037	FL		182,472		141,713
Mortgage Loan ID#1000026056**	6.00%	9/1/2037	OR		155,322		140,746
Mortgage Loan ID#1000001271	3.25%	9/1/2056	NJ		367,520		140,334
Mortgage Loan ID#1000001225	4.82%	4/1/2031	FL		175,292		139,929
Mortgage Loan ID#1000044160**	5.13%	1/1/2054	OH		159,519		139,883
Mortgage Loan ID#1000029219**	3.50%	9/1/2055	FL		204,532		139,868
Mortgage Loan ID#1000028931**	3.13%	7/1/2056	CT		276,523		139,818
Mortgage Loan ID#1000028793	2.00%	11/1/2053	NC		260,549		139,280
Mortgage Loan ID#1000043257**	4.00%	10/1/2056	FL		200,438		138,621
Mortgage Loan ID#1000028949**	3.00%	8/1/2032	FL		182,263		137,605
Mortgage Loan ID#1000026604**	3.00%	11/1/2051	GA		165,713		137,554
Mortgage Loan ID#1000027676	2.00%	4/1/2054	PA		178,558		136,980
Mortgage Loan ID#1000015452**	4.00%	5/1/2054	MO		214,293		136,148
Mortgage Loan ID#1000026003**	5.00%	6/1/2037	FL		207,489		135,918
Mortgage Loan ID#1000028856**	3.50%	4/1/2056	NV		567,313		135,245
Mortgage Loan ID#1000026667**	6.40%	4/1/2036	MI		136,317		135,161
Mortgage Loan ID#1000026719**	3.25%	7/1/2034	TX		146,606		134,908
Mortgage Loan ID#1000017335**	2.63%	7/1/2049	VA		247,567		134,806
Mortgage Loan ID#1000026110**	3.13%	10/1/2056	SC		251,349		134,792
Mortgage Loan ID#1000017230**	4.13%	12/1/2054	NY		262,458		134,459
Mortgage Loan ID#1000028410**	7.85%	6/1/2032	SC		128,514		134,442
Mortgage Loan ID#1000026022**	2.00%	7/1/2038	NV		377,518		132,396
Mortgage Loan ID#1000029044**	3.00%	12/1/2056	NJ		422,209		131,611
Mortgage Loan ID#1000017039**	3.00%	4/1/2056	FL		378,748		131,358
Mortgage Loan ID#1000027040**	3.00%	8/1/2039	AL		208,957		131,219
Mortgage Loan ID#1000027985**	4.88%	3/1/2054	TN		152,210		130,981
Mortgage Loan ID#1000043476	8.17%	9/7/2029	NV		161,986		129,766
Mortgage Loan ID#1000025959**	3.38%	2/1/2056	KS		154,033		129,566
Mortgage Loan ID#1000043946**	2.63%	7/1/2056	MA		174,410		127,921
Mortgage Loan ID#1000043561**	4.13%	8/1/2053	AZ		148,692		127,415
Mortgage Loan ID#1000043951**	5.38%	5/1/2056	FL		527,161		127,014
Mortgage Loan ID#1000043594**	3.13%	6/1/2056	IN		219,042		126,873
Mortgage Loan ID#1000014997**	3.00%	12/1/2054	NY		148,377		126,399
Mortgage Loan ID#1000044104	2.50%	1/1/2035	TX		146,191		125,883
Mortgage Loan ID#1000043863**	3.13%	9/1/2056	IL		252,784		125,165
Mortgage Loan ID#1000029135**	7.65%	7/1/2037	IL		148,407		125,007
Mortgage Loan ID#1000026019**	3.00%	2/1/2044	MD		173,076		124,946
Mortgage Loan ID#1000001937	7.88%	3/1/2037	TX		138,866		124,887
Mortgage Loan ID#1000002215	3.13%	10/1/2056	NC		218,528		124,831
Mortgage Loan ID#1000043618**	3.50%	2/1/2056	NY		259,272		124,345
Mortgage Loan ID#1000027808**	3.00%	2/1/2046	GA		176,082		124,150
Mortgage Loan ID#1000001912	5.00%	5/1/2054	FL		175,144		123,841
Mortgage Loan ID#1000028840**	3.19%	10/1/2055	FL		246,686		123,599
Mortgage Loan ID#1000003614	4.25%	5/1/2055	MA		348,826		123,038
Mortgage Loan ID#1000035314**	3.13%	1/1/2036	MD		218,268		122,844
Mortgage Loan ID#1000043815**	4.75%	11/1/2054	NY		197,717		122,580
Mortgage Loan ID#1000035666**	7.62%	2/1/2032	NY		122,900		122,335
Mortgage Loan ID#1000003668	4.00%	9/1/2046	MD		342,991		122,134
Mortgage Loan ID#1000044151	4.00%	9/1/2053	PA		150,322		121,683
Mortgage Loan ID#1000026007**	4.51%	6/1/2037	AZ		134,992		121,517
Mortgage Loan ID#1000027258**	6.50%	11/1/2037	AL		120,679		121,281
Mortgage Loan ID#1000029349**	2.00%	10/1/2042	FL		586,353		121,185
Mortgage Loan ID#1000017321**	3.13%	7/1/2056	MD		201,735		120,885
Mortgage Loan ID#1000029109**	7.50%	5/1/2032	IL		115,636		120,701
Mortgage Loan ID#1000035194**	9.38%	5/1/2037	RI		298,641		120,620
Mortgage Loan ID#1000028832	4.58%	10/1/2036	FL		601,406		120,461
Mortgage Loan ID#1000035990**	2.00%	2/1/2052	LA		142,888		120,247
Mortgage Loan ID#1000029422**	7.30%	10/1/2036	FL		191,565		120,244
Mortgage Loan ID#1000035556	3.38%	6/1/2056	FL		190,758		118,781
Mortgage Loan ID#1000003647	2.00%	8/1/2043	MI		284,144		118,479
Mortgage Loan ID#1000035844**	3.25%	9/1/2056	SC		264,550		118,175
Mortgage Loan ID#1000001346	2.88%	9/1/2037	TX		150,124		116,996
Mortgage Loan ID#1000002002	3.00%	4/1/2051	IL		257,453		116,769
Mortgage Loan ID#1000003856**	3.13%	12/1/2037	AR		129,046		116,713
Mortgage Loan ID#1000029341**	4.00%	2/1/2053	MD		147,457		116,630
Mortgage Loan ID#1000001943	5.80%	8/1/2037	MT		144,352		115,945
Mortgage Loan ID#1000029143**	4.00%	8/1/2053	PA		137,405		115,758
Mortgage Loan ID#1000016888**	3.00%	1/1/2051	WI		138,509		115,051
Mortgage Loan ID#1000000365**	11.75%	10/1/2037	VA		112,379		114,729
Mortgage Loan ID#1000027209**	4.63%	8/1/2054	IL		191,646		114,178
Mortgage Loan ID#1000016038**	6.99%	3/1/2037	DE		152,305		114,046
Mortgage Loan ID#1000001431	4.13%	9/1/2053	NY		166,769		113,954
Mortgage Loan ID#1000026052**	2.00%	9/1/2053	CA		202,589		113,876
Mortgage Loan ID#1000015924**	7.51%	8/1/2037	FL		164,700		113,575
Mortgage Loan ID#1000028864**	2.00%	7/1/2054	CA		355,583		113,489
Mortgage Loan ID#1000017245**	7.89%	11/1/2035	CA		150,387		113,219
Mortgage Loan ID#1000035030**	3.50%	4/1/2056	FL		218,849		112,784
Mortgage Loan ID#1000000399**	5.75%	12/1/2037	NJ		209,774		112,217
Mortgage Loan ID#1000027941**	3.13%	10/1/2056	GA		275,031		111,948
Mortgage Loan ID#1000000426**	3.25%	1/1/2038	CO		146,465		111,587
Mortgage Loan ID#1000026256**	8.75%	11/1/2035	FL		143,301		111,422
Mortgage Loan ID#1000016611**	3.25%	6/1/2056	IL		238,012		110,640
Mortgage Loan ID#1000044098**	3.50%	4/1/2056	MI		186,776		110,215
Mortgage Loan ID#1000029409**	4.84%	9/1/2037	CA		119,979		109,136
Mortgage Loan ID#1000029282**	3.38%	10/1/2055	CT		157,639		108,975
Mortgage Loan ID#1000038567**	6.13%	3/1/2036	ME		110,320		108,481
Mortgage Loan ID#1000038442**	4.13%	10/1/2053	OK		144,829		108,195
Mortgage Loan ID#1000017485**	6.80%	4/1/2033	OH		109,263		107,955
Mortgage Loan ID#1000028441	5.00%	6/1/2043	FL		243,872		107,877
Mortgage Loan ID#1000028487**	5.13%	1/1/2056	TN		125,501		107,574
Mortgage Loan ID#1000036067**	6.95%	6/1/2035	MD		104,351		107,181
Mortgage Loan ID#1000043709**	2.50%	10/1/2056	MI		170,319		107,021
Mortgage Loan ID#1000026546**	4.75%	3/1/2035	VA		139,348		106,977
Mortgage Loan ID#1000028865**	7.40%	10/1/2036	FL		161,059		106,226
Mortgage Loan ID#1000028919**	4.13%	3/1/2055	NM		268,045		105,764
Mortgage Loan ID#1000027844**	3.00%	5/1/2051	MA		326,071		105,721
Mortgage Loan ID#1000001619	3.00%	5/1/2037	CA		180,774		105,236
Mortgage Loan ID#1000029137**	2.00%	11/1/2044	FL		231,132		104,802
Mortgage Loan ID#1000026058**	6.13%	5/1/2034	TX		128,304		104,012
Mortgage Loan ID#1000016152**	5.75%	5/1/2032	NY		101,254		103,971
Mortgage Loan ID#1000044113**	6.90%	12/1/2034	FL		147,524		102,069
Mortgage Loan ID#1000043409**	5.13%	12/1/2054	VA		115,743		101,914
Mortgage Loan ID#1000038508**	4.50%	6/1/2047	NJ		234,727		100,948
Mortgage Loan ID#1000027343**	5.25%	9/1/2053	WI		146,685		100,900
Mortgage Loan ID#1000001247	3.00%	11/1/2050	OH		268,021		100,587
Mortgage Loan ID#1000000412**	2.63%	12/1/2037	DE		136,687		100,499
Mortgage Loan ID#1000029170**	2.00%	1/1/2037	PA		144,996		100,426
Mortgage Loan ID#1000028440**	3.00%	8/1/2055	NY		126,415		100,296
Mortgage Loan ID#1000043833**	6.38%	2/1/2034	NY		115,112		99,718
Mortgage Loan ID#1000027126**	3.75%	4/1/2034	IL		158,133		99,695
Mortgage Loan ID#1000016053**	9.25%	4/1/2037	ME		119,370		99,357
Mortgage Loan ID#1000027668**	2.75%	1/1/2035	OH		151,483		99,047
Mortgage Loan ID#1000043746**	3.13%	9/1/2056	CT		182,699		99,012
Mortgage Loan ID#1000029316**	4.00%	8/1/2056	TX		175,103		98,270
Mortgage Loan ID#1000034882**	6.38%	7/1/2036	NJ		202,321		98,087
Mortgage Loan ID#1000035041**	3.00%	11/1/2056	NJ		392,869		98,048
Mortgage Loan ID#1000017468**	2.00%	6/1/2044	NJ		170,058		97,641
Mortgage Loan ID#1000015929	6.13%	8/1/2036	NY		111,299		96,928
Mortgage Loan ID#1000026614**	4.88%	7/1/2054	NC		146,162		96,629
Mortgage Loan ID#1000038454**	6.50%	1/1/2038	NJ		127,627		96,336
Mortgage Loan ID#1000043503**	5.50%	3/1/2056	NJ		281,364		96,282
Mortgage Loan ID#1000025964**	4.13%	12/1/2054	PA		114,429		96,180
Mortgage Loan ID#1000015314**	3.25%	3/1/2049	IN		124,596		96,092
Mortgage Loan ID#1000015566**	3.00%	1/1/2051	FL		165,752		95,765
Mortgage Loan ID#1000027358**	6.88%	8/1/2056	IL		185,139		95,568
Mortgage Loan ID#1000001910	3.00%	7/1/2047	NV		243,032		95,057
Mortgage Loan ID#1000043977**	9.79%	11/1/2037	TX		123,298		94,971
Mortgage Loan ID#1000028216**	5.38%	4/1/2056	NJ		480,555		94,620
Mortgage Loan ID#1000015597**	7.38%	9/1/2036	OH		108,964		94,546
Mortgage Loan ID#1000035224**	6.78%	5/1/2033	NY		114,528		94,351
Mortgage Loan ID#1000016194**	6.88%	8/1/2018	NY		89,843		94,335
Mortgage Loan ID#1000029122	4.75%	6/1/2054	FL		167,763		93,844
Mortgage Loan ID#1000028008**	7.13%	12/1/2032	AL		102,171		93,741
Mortgage Loan ID#1000035535**	3.00%	3/1/2051	LA		117,163		93,635
Mortgage Loan ID#1000001128	5.00%	11/1/2036	FL		122,093		93,602
Mortgage Loan ID#1000017401**	3.00%	1/1/2051	IN		108,344		93,306
Mortgage Loan ID#1000043995**	2.00%	1/1/2045	IL		306,138		92,871
Mortgage Loan ID#1000029233**	9.60%	8/1/2034	FL		87,615		91,996
Mortgage Loan ID#1000000219**	3.75%	1/1/2037	IL		220,821		91,899
Mortgage Loan ID#1000043563**	3.88%	12/1/2037	FL		226,693		91,762
Mortgage Loan ID#1000001948	7.63%	5/1/2037	VA		120,849		91,337
Mortgage Loan ID#1000026136**	10.84%	2/1/2029	GA		91,383		91,153
Mortgage Loan ID#1000027174**	4.25%	1/1/2056	MA		348,509		90,899
Mortgage Loan ID#1000015261**	4.88%	8/1/2054	PA		116,714		90,410
Mortgage Loan ID#1000026553	2.00%	3/1/2038	IL		285,953		90,304
Mortgage Loan ID#1000014981**	3.50%	5/1/2056	IL		120,674		90,091
Mortgage Loan ID#1000043752**	6.99%	12/1/2036	OK		88,014		89,423
Mortgage Loan ID#1000028943**	2.00%	6/1/2053	FL		296,410		89,349
Mortgage Loan ID#1000035629**	3.00%	8/1/2054	DE		174,579		89,015
Mortgage Loan ID#1000028156**	5.99%	6/1/2037	NJ		171,886		88,103
Mortgage Loan ID#1000017375**	5.00%	4/1/2054	MO		165,170		86,886
Mortgage Loan ID#1000043928**	3.38%	1/1/2056	TX		112,479		86,552
Mortgage Loan ID#1000028936**	5.00%	5/1/2054	NY		412,683		86,504
Mortgage Loan ID#1000043722**	6.78%	2/1/2037	PA		91,253		86,414
Mortgage Loan ID#1000029201**	3.13%	8/1/2056	WI		172,272		85,886
Mortgage Loan ID#1000035732**	4.13%	8/1/2053	OR		142,115		85,720
Mortgage Loan ID#1000028474	4.88%	4/1/2054	TX		138,691		85,346
Mortgage Loan ID#1000043981**	2.00%	9/1/2042	NC		119,690		85,337
Mortgage Loan ID#1000017455**	5.88%	8/1/2037	SC		131,694		84,470
Mortgage Loan ID#1000001921	7.75%	5/1/2037	VA		130,093		83,236
Mortgage Loan ID#1000027105**	8.75%	9/21/2037	OR		153,228		83,006
Mortgage Loan ID#1000002009	3.00%	7/1/2054	NJ		346,784		82,339
Mortgage Loan ID#1000001464	3.00%	6/1/2055	IL		266,557		81,569
Mortgage Loan ID#1000029011**	6.00%	8/1/2043	MI		167,311		80,904
Mortgage Loan ID#1000001265	3.00%	6/1/2047	FL		264,481		80,868
Mortgage Loan ID#1000029027**	3.25%	9/1/2056	AZ		311,216		80,787
Mortgage Loan ID#1000001920	7.63%	7/1/2036	AZ		124,149		80,085
Mortgage Loan ID#1000003506	3.38%	3/1/2056	MI		112,892		79,658
Mortgage Loan ID#1000001521	3.00%	7/1/2051	NE		123,457		79,441
Mortgage Loan ID#1000035205**	3.00%	6/1/2032	CO		137,387		79,430
Mortgage Loan ID#1000003512	4.00%	11/1/2034	GA		97,780		79,305
Mortgage Loan ID#1000027437**	9.69%	9/22/2036	NY		114,538		78,889
Mortgage Loan ID#1000044235**	6.85%	1/26/2036	NJ		90,853		78,727
Mortgage Loan ID#1000001961	5.00%	4/1/2054	CT		187,772		78,549
Mortgage Loan ID#1000028848**	3.00%	6/1/2056	RI		351,243		78,539
Mortgage Loan ID#1000025967**	9.25%	10/1/2036	PA		112,150		78,208
Mortgage Loan ID#1000026002**	2.00%	1/1/2042	CT		171,271		77,251
Mortgage Loan ID#1000015260**	4.00%	12/1/2036	GA		88,373		77,050
Mortgage Loan ID#1000028798**	4.84%	11/1/2036	OH		121,099		76,684
Mortgage Loan ID#1000028922**	4.13%	10/1/2053	PA		213,964		76,618
Mortgage Loan ID#1000000706**	3.13%	8/1/2037	FL		231,992		75,937
Mortgage Loan ID#1000029060**	2.00%	6/1/2054	LA		99,083		75,855
Mortgage Loan ID#1000027252**	4.50%	11/1/2053	WI		126,704		75,352
Mortgage Loan ID#1000043462**	3.50%	4/1/2056	NY		151,020		75,030
Mortgage Loan ID#1000027403**	5.38%	4/1/2036	WI		202,544		74,881
Mortgage Loan ID#1000015972**	6.98%	4/1/2037	FL		96,044		74,709
Mortgage Loan ID#1000044291**	3.25%	9/1/2048	TN		86,928		74,566
Mortgage Loan ID#1000025973**	3.00%	11/1/2054	PA		296,381		74,227
Mortgage Loan ID#1000015277**	4.88%	12/1/2053	MD		82,312		73,704
Mortgage Loan ID#1000028406**	7.50%	5/1/2035	NY		90,270		71,711
Mortgage Loan ID#1000016784**	8.25%	5/1/2037	FL		197,654		71,660
Mortgage Loan ID#1000015614**	2.63%	8/1/2036	FL		113,086		71,617
Mortgage Loan ID#1000028465**	4.80%	2/1/2036	OR		127,615		71,359
Mortgage Loan ID#1000027381**	11.50%	10/1/2035	NC		67,766		71,143
Mortgage Loan ID#1000015565**	8.70%	12/1/2034	NY		67,138		70,495
Mortgage Loan ID#1000017362**	5.25%	3/1/2036	NY		116,157		70,412
Mortgage Loan ID#1000016328**	6.25%	12/1/2034	NJ		138,797		69,959
Mortgage Loan ID#1000015573**	3.00%	12/1/2056	NC		97,190		68,931
Mortgage Loan ID#1000000563**	8.99%	2/1/2037	AZ		80,799		68,488
Mortgage Loan ID#1000001546	4.88%	5/1/2054	NC		95,834		68,427
Mortgage Loan ID#1000026506**	4.13%	2/1/2055	FL		106,705		68,111
Mortgage Loan ID#1000017447**	8.15%	2/1/2036	AL		64,847		68,082
Mortgage Loan ID#1000028969**	3.63%	11/1/2055	MD		268,502		68,022
Mortgage Loan ID#1000026730**	7.83%	4/1/2048	FL		96,268		67,818
Mortgage Loan ID#1000015637**	4.25%	12/1/2054	AL		97,190		67,814
Mortgage Loan ID#1000025925**	5.36%	12/1/2035	NY		84,340		67,211
Mortgage Loan ID#1000043727**	3.25%	9/1/2056	IN		183,953		67,199
Mortgage Loan ID#1000001834	8.75%	5/1/2037	NV		169,526		67,013
Mortgage Loan ID#1000027341**	8.55%	7/1/2029	TX		98,697		66,982
Mortgage Loan ID#1000028177**	4.13%	2/1/2055	PA		133,412		66,940
Mortgage Loan ID#1000015272**	7.83%	2/1/2037	TX		63,039		66,190
Mortgage Loan ID#1000015939**	4.00%	9/1/2053	AZ		75,962		65,942
Mortgage Loan ID#1000027380**	4.00%	5/1/2055	TX		101,644		65,403
Mortgage Loan ID#1000044181**	6.75%	6/1/2037	MI		135,399		65,087
Mortgage Loan ID#1000015651**	8.70%	6/1/2036	TX		62,261		64,700
Mortgage Loan ID#1000044279**	6.70%	7/1/2026	TX		64,164		64,464
Mortgage Loan ID#1000027348**	5.15%	10/1/2034	KY		76,054		63,866
Mortgage Loan ID#1000028413**	4.88%	12/1/2053	TX		71,166		63,672
Mortgage Loan ID#1000017525**	4.00%	4/1/2055	MD		151,695		62,790
Mortgage Loan ID#1000034979**	3.25%	8/1/2056	IL		209,605		62,139
Mortgage Loan ID#1000044296**	3.63%	11/1/2055	IL		327,600		61,802
Mortgage Loan ID#1000043371**	6.63%	10/1/2056	OH		77,366		61,722
Mortgage Loan ID#1000029391**	7.61%	8/1/2040	FL		242,178		61,696
Mortgage Loan ID#1000000663**	9.85%	1/1/2037	NY		59,525		61,493
Mortgage Loan ID#1000044171**	4.00%	9/1/2053	IL		268,505		61,265
Mortgage Loan ID#1000029423**	3.40%	6/1/2044	TX		91,983		61,036
Mortgage Loan ID#1000015532**	3.75%	9/1/2055	SC		209,663		60,858
Mortgage Loan ID#1000015932	6.13%	10/1/2036	NY		61,581		60,735
Mortgage Loan ID#1000001800	7.88%	4/1/2037	NY		102,428		60,695
Mortgage Loan ID#1000025958**	4.13%	11/1/2053	WI		128,378		60,434
Mortgage Loan ID#1000044142**	3.88%	10/1/2054	OH		127,834		60,349
Mortgage Loan ID#1000026384**	4.00%	9/1/2053	MN		116,380		60,008
Mortgage Loan ID#1000044092**	6.99%	7/1/2024	PA		59,416		59,475
Mortgage Loan ID#1000016159**	6.75%	11/1/2036	NY		169,119		59,266
Mortgage Loan ID#1000001233	2.00%	1/1/2047	IL		99,582		59,214
Mortgage Loan ID#1000043264**	3.25%	4/1/2056	OH		88,147		59,003
Mortgage Loan ID#1000015257**	3.25%	8/1/2055	PA		161,615		58,741
Mortgage Loan ID#1000027952**	4.88%	2/1/2037	IN		134,739		57,572
Mortgage Loan ID#1000028837**	7.13%	10/1/2028	OH		62,546		57,048
Mortgage Loan ID#1000015563**	4.00%	10/1/2053	LA		67,468		56,853
Mortgage Loan ID#1000029401**	9.25%	8/1/2037	OH		88,152		56,805
Mortgage Loan ID#1000015282**	2.00%	3/1/2051	LA		125,243		56,552
Mortgage Loan ID#1000028180**	4.13%	8/1/2053	PA		110,601		56,525
Mortgage Loan ID#1000035249**	9.00%	6/1/2027	NY		54,044		56,353
Mortgage Loan ID#1000029105**	3.88%	9/1/2053	OH		127,303		55,363
Mortgage Loan ID#1000003513	2.38%	3/1/2037	GA		128,385		55,165
Mortgage Loan ID#1000015558**	4.88%	7/1/2054	NY		65,057		54,921
Mortgage Loan ID#1000029162**	7.50%	8/1/2035	LA		116,535		54,089
Mortgage Loan ID#1000029163**	5.04%	2/1/2037	PA		99,074		53,519
Mortgage Loan ID#1000029244**	6.47%	8/1/2036	TX		53,693		53,241
Mortgage Loan ID#1000025927**	4.61%	5/1/2036	ID		60,143		52,694
Mortgage Loan ID#1000002535	2.00%	3/1/2037	CA		200,129		51,937
Mortgage Loan ID#1000029182**	3.25%	8/1/2056	FL		200,788		51,755
Mortgage Loan ID#1000002987	10.13%	7/1/2021	CA		59,712		51,680
Mortgage Loan ID#1000015268**	4.85%	10/1/2050	FL		159,449		51,202
Mortgage Loan ID#7000014317	5.25%	3/1/2042	VA		129,630		50,767
Mortgage Loan ID#1000028191**	3.25%	9/1/2055	PA		172,555		50,518
Mortgage Loan ID#1000027992**	3.13%	9/1/2035	IL		75,992		50,445
Mortgage Loan ID#1000017351**	2.88%	4/1/2036	KS		84,400		49,995
Mortgage Loan ID#1000043424**	7.38%	6/1/2026	AL		48,614		49,860
Mortgage Loan ID#1000043222**	3.40%	5/1/2025	CA		52,954		49,326
Mortgage Loan ID#1000000641**	8.00%	1/1/2037	TX		48,666		49,311
Mortgage Loan ID#1000028377**	9.63%	4/1/2034	IN		46,919		48,883
Mortgage Loan ID#1000025935**	4.13%	8/1/2053	PA		210,627		48,742
Mortgage Loan ID#1000017460**	2.00%	5/1/2053	FL		320,821		48,486
Mortgage Loan ID#7000003524	4.75%	7/1/2040	CA		160,621		48,427
Mortgage Loan ID#1000003042	9.63%	4/1/2022	VA		62,981		48,292
Mortgage Loan ID#1000026516**	5.25%	1/1/2049	CT		194,549		47,186
Mortgage Loan ID#1000015276**	5.50%	3/1/2056	PA		143,177		47,087
Mortgage Loan ID#1000003601	7.00%	10/1/2035	MD		185,250		46,582
Mortgage Loan ID#1000043575**	5.88%	6/1/2036	NY		177,408		46,367
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		86,781		45,529
Mortgage Loan ID#1000043985**	3.25%	7/1/2056	IL		97,883		45,487
Mortgage Loan ID#1000043768**	4.88%	4/1/2047	MD		57,941		45,202
Mortgage Loan ID#1000034773**	5.13%	5/1/2050	PA		69,192		45,164
Mortgage Loan ID#1000044266**	8.95%	10/1/2036	NY		57,785		45,156
Mortgage Loan ID#1000017142**	3.52%	3/1/2017	NY		42,139		44,246
Mortgage Loan ID#1000016084	5.13%	1/1/2054	LA		71,404		44,105
Mortgage Loan ID#1000003627	3.00%	11/1/2052	WI		160,736		43,919
Mortgage Loan ID#1000015564**	8.00%	3/1/2024	MS		41,714		42,864
Mortgage Loan ID#1000044152**	5.00%	4/1/2054	MO		71,642		42,629
Mortgage Loan ID#1000029247**	2.00%	6/1/2053	TX		59,469		42,329
Mortgage Loan ID#1000026187**	4.50%	10/1/2054	PA		113,423		42,242
Mortgage Loan ID#1000029287**	4.00%	7/1/2037	FL		230,001		42,003
Mortgage Loan ID#1000003418	2.00%	3/1/2037	NY		103,994		41,998
Mortgage Loan ID#1000025933**	7.00%	4/1/2039	AL		52,163		41,698
Mortgage Loan ID#1000016908**	5.00%	2/1/2019	CA		41,652		39,979
Mortgage Loan ID#1000026454**	3.00%	6/1/2051	IA		73,857		39,093
Mortgage Loan ID#1000044088**	8.35%	9/1/2034	AR		58,921		38,841
Mortgage Loan ID#1000028966**	3.25%	8/1/2056	ME		156,156		38,775
Mortgage Loan ID#1000026554**	10.68%	11/6/2027	GA		49,475		37,257
Mortgage Loan ID#7000044223	4.25%	2/1/2044	CA		180,579		37,116
Mortgage Loan ID#1000027361**	7.45%	12/1/2025	LA		52,903		37,104
Mortgage Loan ID#1000027130**	3.00%	9/1/2056	LA		120,546		36,839
Mortgage Loan ID#1000015971	2.00%	2/1/2038	IL		72,426		36,613
Mortgage Loan ID#1000017252**	7.00%	9/1/2028	NY		49,926		36,435
Mortgage Loan ID#1000029211**	6.47%	6/1/2032	PA		58,916		35,933
Mortgage Loan ID#1000043847**	8.95%	3/7/2037	UT		45,230		35,917
Mortgage Loan ID#1000016929**	8.75%	10/1/2037	ME		114,583		35,114
Mortgage Loan ID#1000043210**	9.00%	10/1/2039	VA		88,670		35,107
Mortgage Loan ID#1000028818**	2.00%	12/1/2035	WI		195,443		35,070
Mortgage Loan ID#1000015867**	7.63%	10/1/2046	OH		69,964		34,977
Mortgage Loan ID#1000001968	5.00%	9/1/2037	IL		133,651		34,940
Mortgage Loan ID#7000004746	4.75%	10/1/2040	CA		91,119		34,641
Mortgage Loan ID#1000016883**	8.40%	1/1/2036	NJ		151,309		34,547
Mortgage Loan ID#1000002931	11.63%	4/1/2022	NY		111,295		34,539
Mortgage Loan ID#1000043557**	3.38%	1/1/2019	NY		44,528		34,336
Mortgage Loan ID#1000026055**	4.60%	7/1/2056	FL		232,897		34,113
Mortgage Loan ID#1000029080**	4.38%	12/1/2053	IA		81,798		33,965
Mortgage Loan ID#1000028449**	9.00%	6/1/2046	AL		44,749		32,899
Mortgage Loan ID#1000025939**	4.00%	4/1/2054	KY		87,359		32,494
Mortgage Loan ID#1000015945**	3.13%	2/1/2037	IL		76,793		32,313
Mortgage Loan ID#1000015906**	3.50%	1/1/2056	TX		61,845		32,142
Mortgage Loan ID#1000026763**	11.75%	4/1/2020	NY		36,972		31,248
Mortgage Loan ID#1000016645**	3.13%	11/1/2019	FL		31,997		30,887
Mortgage Loan ID#1000026986**	3.25%	9/1/2055	AL		162,209		30,817
Mortgage Loan ID#1000017087**	8.00%	8/1/2025	IL		58,239		30,258
Mortgage Loan ID#1000025922**	4.13%	8/1/2053	OK		61,603		29,653
Mortgage Loan ID#1000029277**	4.63%	10/1/2054	IN		83,762		29,242
Mortgage Loan ID#1000015907**	7.50%	2/1/2037	TX		40,954		29,223
Mortgage Loan ID#1000043664**	5.13%	1/1/2056	WI		161,152		28,827
Mortgage Loan ID#7000000337	5.00%	9/1/2039	NM		106,000		28,687
Mortgage Loan ID#1000001792	2.00%	6/1/2054	SC		97,149		27,908
Mortgage Loan ID#1000043439	8.99%	5/1/2032	IN		64,855		27,867
Mortgage Loan ID#1000025995**	4.13%	8/1/2053	AL		77,536		27,852
Mortgage Loan ID#1000043430**	2.00%	1/1/2035	NJ		32,773		27,300
Mortgage Loan ID#7000018838	6.75%	7/1/2042	MD		52,275		26,612
Mortgage Loan ID#1000025920**	3.75%	11/1/2055	MI		54,883		25,659
Mortgage Loan ID#1000036023**	3.13%	10/1/2056	OH		97,044		25,585
Mortgage Loan ID#1000016696**	6.54%	5/1/2018	NY		24,092		25,297
Mortgage Loan ID#1000029010**	4.00%	9/1/2044	FL		119,276		25,294
Mortgage Loan ID#1000003366	10.75%	3/1/2022	NY		24,638		24,638
Mortgage Loan ID#1000003417	1.00%	3/1/2022	NY		106,072		24,526
Mortgage Loan ID#1000017233**	8.00%	10/1/2019	TN		30,704		23,947
Mortgage Loan ID#7000020155	5.50%	8/1/2027	CA		24,102		23,805
Mortgage Loan ID#1000014995**	3.25%	7/1/2018	CT		24,793		23,612
Mortgage Loan ID#1000043682**	2.00%	9/1/2052	IL		110,147		23,446
Mortgage Loan ID#7000030265	4.88%	3/1/2043	OR		78,348		22,535
Mortgage Loan ID#1000026938**	7.64%	12/1/2036	NY		169,127		21,536
Mortgage Loan ID#1000028161**	3.00%	2/1/2056	IL		227,952		21,424
Mortgage Loan ID#1000003338	9.13%	4/1/2037	NY		58,342		21,198
Mortgage Loan ID#1000043353**	9.64%	2/1/2047	OH		107,055		19,508
Mortgage Loan ID#1000003336	3.00%	3/1/2022	NJ		68,951		18,289
Mortgage Loan ID#1000003201	5.63%	4/15/2032	RI		59,667		18,265
Mortgage Loan ID#1000001756	3.00%	3/1/2047	NY		59,417		18,165
Mortgage Loan ID#1000002907	4.00%	8/1/2032	FL		116,882		18,022
Mortgage Loan ID#7000000429	5.00%	9/1/2039	CA		50,055		17,792
Mortgage Loan ID#1000036019**	8.75%	1/1/2019	SC		18,246		17,530
Mortgage Loan ID#1000002985	10.88%	2/1/2022	CA		49,379		17,435
Mortgage Loan ID#1000003131	4.00%	3/1/2022	NV		17,231		17,231
Mortgage Loan ID#1000003793	10.75%	4/1/2032	MI		39,359		17,142
Mortgage Loan ID#1000029236**	10.90%	3/1/2037	FL		59,385		16,904
Mortgage Loan ID#1000003269	8.63%	3/1/2032	AZ		46,653		16,656
Mortgage Loan ID#7000036752	5.50%	8/1/2028	MN		63,358		16,066
Mortgage Loan ID#1000003284	10.50%	3/1/2037	NC		48,871		15,563
Mortgage Loan ID#7000003226	3.00%	6/1/2040	CA		79,237		15,278
Mortgage Loan ID#1000016586**	3.13%	4/1/2018	CT		19,787		14,835
Mortgage Loan ID#1000003425	6.15%	3/1/2037	CA		57,608		14,318
Mortgage Loan ID#1000003409	4.00%	4/1/2037	NY		96,588		14,052
Mortgage Loan ID#1000003794	11.25%	4/1/2037	WI		43,599		13,985
Mortgage Loan ID#1000025991**	3.13%	7/1/2056	NM		181,087		13,626
Mortgage Loan ID#1000003265	12.75%	2/1/2022	TX		47,297		12,622
Mortgage Loan ID#1000003380	5.07%	9/1/2037	CA		78,042		12,602
Mortgage Loan ID#7000057184	4.50%	10/1/2028	AZ		19,461		12,375
Mortgage Loan ID#1000003386	10.38%	8/1/2022	FL		64,544		12,268
Mortgage Loan ID#1000003288	6.38%	4/15/2032	NY		49,990		11,723
Mortgage Loan ID#1000003373	7.41%	4/1/2037	NY		60,755		11,687
Mortgage Loan ID#1000003331	9.25%	4/1/2022	IL		36,534		11,609
Mortgage Loan ID#1000001795	5.00%	8/1/2037	VA		77,404		11,314
Mortgage Loan ID#1000003379	5.50%	5/1/2037	IL		77,187		11,187
Mortgage Loan ID#1000003936**	3.63%	3/1/2056	WI		89,996		10,952
Mortgage Loan ID#1000035248**	3.63%	8/1/2018	PA		11,753		10,850
Mortgage Loan ID#1000003430	2.00%	11/1/2050	VA		63,916		10,577
Mortgage Loan ID#1000003048	4.00%	8/15/2032	NY		42,236		10,486
Mortgage Loan ID#1000002455	5.64%	9/1/2037	AZ		59,823		10,264
Mortgage Loan ID#1000003006	6.63%	4/15/2032	NY		31,939		10,173
Mortgage Loan ID#1000003393	4.00%	4/1/2037	VA		77,472		10,113
Mortgage Loan ID#1000003757	12.50%	1/1/2037	MD		13,806		9,732
Mortgage Loan ID#5000003989	0.00%	11/1/2024	NV		18,324		9,651
Mortgage Loan ID#1000003330	10.88%	3/1/2022	NY		61,000		8,997
Mortgage Loan ID#1000003314	10.25%	4/1/2022	UT		41,539		8,930
Mortgage Loan ID#1000003155	10.63%	3/1/2032	FL		40,067		8,872
Mortgage Loan ID#1000003355	4.00%	2/1/2037	VA		129,061		8,743
Mortgage Loan ID#1000002569	5.00%	5/1/2037	FL		61,141		8,694
Mortgage Loan ID#1000003298	10.50%	7/1/2022	TX		35,191		8,467
Mortgage Loan ID#1000003980	5.38%	4/1/2039	CT		30,697		8,455
Mortgage Loan ID#7000000222	3.38%	4/1/2039	MO		30,855		8,132
Mortgage Loan ID#1000002434	8.00%	3/30/2028	AZ		24,991		8,095
Mortgage Loan ID#1000003329	6.93%	3/1/2037	VA		24,819		8,003
Mortgage Loan ID#1000043745**	3.25%	8/1/2016	NJ		10,432		7,982
Mortgage Loan ID#7000001895	5.25%	3/1/2040	CA		22,732		7,895
Mortgage Loan ID#1000003744	2.00%	7/1/2036	MA		42,622		7,871
Mortgage Loan ID#1000003186	13.63%	2/1/2022	VA		17,582		7,786
Mortgage Loan ID#1000003277	5.50%	4/1/2037	NV		45,384		7,589
Mortgage Loan ID#1000003808	9.50%	4/1/2037	NH		32,958		7,456
Mortgage Loan ID#1000003104	13.38%	8/1/2021	OH		22,250		7,367
Mortgage Loan ID#1000003029	8.25%	3/1/2022	FL		33,686		7,282
Mortgage Loan ID#1000002453	7.50%	1/7/2028	AZ		19,941		7,278
Mortgage Loan ID#1000002439	5.50%	4/1/2038	AZ		63,403		7,144
Mortgage Loan ID#1000002452	5.99%	9/4/2023	AZ		19,070		7,098
Mortgage Loan ID#1000015928**	10.25%	9/1/2019	GA		7,702		7,088
Mortgage Loan ID#1000003014	5.88%	8/15/2032	MT		41,616		6,958
Mortgage Loan ID#1000002475	7.25%	3/24/2028	AZ		22,999		6,945
Mortgage Loan ID#7000016846	5.38%	4/1/2027	FL		13,274		6,899
Mortgage Loan ID#1000003227	6.00%	8/1/2022	OR		21,212		6,726
Mortgage Loan ID#1000002468	7.25%	2/5/2028	AZ		11,592		6,712
Mortgage Loan ID#1000002442	7.50%	5/22/2026	AZ		20,399		6,509
Mortgage Loan ID#1000003212	13.25%	4/1/2022	PA		29,052		6,302
Mortgage Loan ID#1000002474	7.25%	2/8/2028	AZ		22,061		6,286
Mortgage Loan ID#7000021621	5.50%	1/1/2028	CA		10,182		6,126
Mortgage Loan ID#1000003280	2.00%	10/1/2037	AZ		61,053		6,036
Mortgage Loan ID#7000032686	0.50%	5/1/2043	VA		45,304		5,949
Mortgage Loan ID#6000000582	1.00%	11/1/2038	NY		55,930		5,832
Mortgage Loan ID#1000003274	7.45%	4/1/2037	NV		36,741		5,730
Mortgage Loan ID#1000003387	5.50%	4/1/2037	NY		60,210		5,633
Mortgage Loan ID#1000028827**	5.38%	10/1/2036	IL		301,644		5,483
Mortgage Loan ID#1000003789	12.63%	12/1/2036	WI		24,733		5,337
Mortgage Loan ID#7000524032	5.00%	7/1/2045	CA		23,640		5,329
Mortgage Loan ID#1000002445	8.50%	4/9/2028	AZ		17,014		5,217
Mortgage Loan ID#7000016879	5.38%	4/1/2027	CA		10,756		5,209
Mortgage Loan ID#1000003106	9.38%	4/1/2022	TX		19,005		5,185
Mortgage Loan ID#1000002462	7.00%	4/24/2026	AZ		16,826		5,072
Mortgage Loan ID#1000003318	4.78%	9/1/2037	CA		44,360		5,020
Mortgage Loan ID#1000003224	8.75%	2/1/2022	PA		20,406		4,954
Mortgage Loan ID#1000003007	6.58%	4/1/2037	NJ		28,322		4,854
Mortgage Loan ID#1000003407	2.00%	5/1/2037	CA		55,035		4,810
Mortgage Loan ID#1000002459	6.01%	4/1/2028	AZ		15,264		4,775
Mortgage Loan ID#7000037380	3.38%	8/1/2028	DE		14,051		4,708
Mortgage Loan ID#1000003727	12.50%	2/1/2037	MA		29,062		4,705
Mortgage Loan ID#7000014197	5.25%	1/1/2042	FL		16,718		4,628
Mortgage Loan ID#1000003011	4.87%	4/1/2037	CA		39,710		4,496
Mortgage Loan ID#7000034325	5.00%	5/1/2028	AL		10,295		4,492
Mortgage Loan ID#7000029305	5.00%	5/1/2028	PA		10,870		4,384
Mortgage Loan ID#1000003003	9.63%	3/1/2022	IL		19,875		4,375
Mortgage Loan ID#1000003151	13.75%	3/1/2022	MN		29,624		4,352
Mortgage Loan ID#1000003413	4.91%	3/1/2037	NY		57,276		4,302
Mortgage Loan ID#1000002426	8.50%	3/30/2028	AZ		17,335		4,291
Mortgage Loan ID#7000033764	5.00%	7/1/2028	IL		12,633		4,251
Mortgage Loan ID#1000003200	5.65%	4/1/2037	FL		38,590		4,195
Mortgage Loan ID#7000106608	5.00%	2/1/2029	CA		13,027		4,144
Mortgage Loan ID#1000002517	1.00%	4/1/2037	DC		29,170		4,113
Mortgage Loan ID#1000003215	12.50%	3/1/2022	TX		16,403		4,047
Mortgage Loan ID#5000004012	0.00%	11/1/2020	FL		181,852		3,820
Mortgage Loan ID#7000040113	5.50%	9/1/2028	FL		9,493		3,784
Mortgage Loan ID#7000227562	4.00%	6/1/2044	CA		13,513		3,671
Mortgage Loan ID#1000002983	4.82%	4/1/2039	AZ		31,986		3,587
Mortgage Loan ID#1000003303	9.63%	3/1/2022	VA		18,135		3,519
Mortgage Loan ID#7000049512	5.00%	10/1/2028	FL		7,708		3,315
Mortgage Loan ID#1000003983	4.75%	6/1/2039	CT		11,454		3,265
Mortgage Loan ID#1000003065	2.00%	5/1/2036	PA		31,160		3,247
Mortgage Loan ID#1000003272	2.38%	3/1/2037	AZ		38,414		3,246
Mortgage Loan ID#7000056207	5.13%	10/1/2028	AZ		7,569		3,245
Mortgage Loan ID#7000144524	4.00%	3/1/2044	NV		16,062		3,208
Mortgage Loan ID#1000000614	6.00%	12/1/2039	IN		10,010		3,131
Mortgage Loan ID#1000002972	12.88%	1/1/2022	PA		18,858		3,075
Mortgage Loan ID#1000002425	8.75%	1/22/2028	AZ		4,706		3,027
Mortgage Loan ID#1000003378	2.00%	11/1/2051	CA		110,531		2,930
Mortgage Loan ID#1000002530	6.00%	2/1/2039	PA		61,022		2,897
Mortgage Loan ID#1000003591	8.38%	4/15/2032	GA		6,388		2,793
Mortgage Loan ID#1000003392	1.00%	11/1/2039	NY		37,590		2,725
Mortgage Loan ID#1000002521	14.13%	5/1/2022	TX		73,437		2,719
Mortgage Loan ID#1000003347	1.00%	2/1/2038	NY		49,787		2,697
Mortgage Loan ID#1000003102	13.00%	4/1/2022	NY		13,039		2,669
Mortgage Loan ID#1000003775	10.00%	4/1/2037	MI		12,596		2,652
Mortgage Loan ID#1000002238	2.00%	7/1/2053	FL		22,805		2,547
Mortgage Loan ID#1000002427	7.01%	5/1/2038	AZ		27,333		2,519
Mortgage Loan ID#7000026184	4.38%	1/1/2046	TN		13,877		2,512
Mortgage Loan ID#1000003363	4.00%	2/1/2037	NY		52,651		2,511
Mortgage Loan ID#7000098633	4.50%	2/1/2044	FL		6,847		2,511
Mortgage Loan ID#1000003073	8.00%	3/1/2027	NV		8,365		2,478
Mortgage Loan ID#1000003096	11.25%	2/1/2022	TX		11,653		2,472
Mortgage Loan ID#1000003067	1.00%	4/1/2038	UT		46,672		2,462
Mortgage Loan ID#1000003420	2.00%	6/1/2051	NY		96,497		2,435
Mortgage Loan ID#1000002531	1.00%	2/1/2044	NY		50,476		2,429
Mortgage Loan ID#7000036539	4.88%	7/1/2028	IL		6,254		2,422
Mortgage Loan ID#1000003317	6.50%	2/1/2037	NJ		52,835		2,387
Mortgage Loan ID#1000003146	12.13%	3/1/2037	NC		14,063		2,273
Mortgage Loan ID#7000275218	4.00%	8/1/2044	IN		11,850		2,217
Mortgage Loan ID#1000003218	5.20%	4/1/2037	VA		49,033		2,210
Mortgage Loan ID#1000003768	6.88%	3/1/2037	TN		16,585		2,131
Mortgage Loan ID#1000003802	11.50%	4/1/2037	MA		56,604		2,131
Mortgage Loan ID#1000003090	11.63%	3/1/2022	TX		6,622		1,966
Mortgage Loan ID#7000037510	5.00%	9/1/2028	CT		4,318		1,887
Mortgage Loan ID#1000003356	1.00%	6/1/2052	NY		80,797		1,824
Mortgage Loan ID#7000032678	4.00%	5/1/2028	OH		4,518		1,663
Mortgage Loan ID#7000362626	3.00%	11/1/2044	FL		9,711		1,622
Mortgage Loan ID#7000314799	5.00%	10/1/2029	OH		4,525		1,560
Mortgage Loan ID#1000002737	2.00%	2/1/2022	TX		19,418		1,528
Mortgage Loan ID#1000003059	1.00%	7/1/2038	AZ		17,363		1,373
Mortgage Loan ID#7000001222	5.00%	2/1/2040	TX		10,663		1,321
Mortgage Loan ID#1000003981	1.00%	5/1/2039	NY		34,334		1,190
Mortgage Loan ID#1000003088	8.90%	3/1/2037	TX		12,708		1,137
Mortgage Loan ID#1000003115	1.00%	5/1/2038	NJ		26,725		1,017
Mortgage Loan ID#1000003767	4.00%	12/1/2036	TN		16,526		1,005
Mortgage Loan ID#1000003693	9.63%	8/1/2036	GA		36,042		971
Mortgage Loan ID#1000003783	6.00%	3/1/2037	AR		10,708		948
Mortgage Loan ID#7000242451	3.75%	7/1/2044	FL		11,762		923
Mortgage Loan ID#1000003815	2.00%	12/1/2048	MD		19,067		922
Mortgage Loan ID#1000003255	12.13%	3/1/2022	MN		1,225		840
Mortgage Loan ID#1000002992	9.88%	1/1/2022	WY		8,388		743
Mortgage Loan ID#7000036523	6.00%	9/1/2043	IL		4,417		665
Mortgage Loan ID#1000003044	12.38%	3/1/2022	FL		29,009		384
Mortgage Loan ID#1000002998	4.00%	2/1/2037	OH		69,345		277
Mortgage Loan ID#1000003220	1.00%	6/1/2052	IL		38,071		266
Mortgage Loan ID#1000027712**	7.75%	4/5/2021	TX		202		203
Mortgage Loan ID#7000030263	5.00%	8/1/2028	WI		5,430		-
Mortgage Loan ID#7000038883	5.00%	9/1/2028	MI		17,330		-
Mortgage Loan ID#7000044724	4.50%	9/1/2028	IL		14,186		-
Mortgage Loan ID#7000063645	5.00%	9/1/2028	VA		11,882		-
Mortgage Loan ID#5000004007	0.00%	8/1/2017	CA		2,200		-
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#1000003961	4.81%	1/1/2037	NJ		30,217		-
Mortgage Loan ID#7000004323	2.00%	8/1/2040	FL		121,631		-
Mortgage Loan ID#1000025930**	3.00%	2/1/2056	MS		41,054		-
Mortgage Loan ID#1000025950**	4.63%	9/1/2054	IL		101,787		-
Mortgage Loan ID#7001021768**	0.50%	8/1/2046	DE		13,488		-
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#1000002484	2.00%	1/1/2052	IL		36,322		-
Mortgage Loan ID#1000002513	8.37%	10/1/2036	NJ		74,519		-
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		86,143		-
Mortgage Loan ID#1000002553	1.00%	5/1/2054	NV		45,458		-
Mortgage Loan ID#1000002564	5.68%	9/1/2037	FL		48,309		-
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		33,371		-
Mortgage Loan ID#1000002726	13.50%	4/15/2032	FL		41,392		-
Mortgage Loan ID#1000002758	11.00%	4/1/2022	FL		24,762		-
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#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		76,653		-
Mortgage Loan ID#1000002874	12.50%	3/1/2022	NY		86,796		-
Mortgage Loan ID#1000002904	6.00%	3/1/2022	NY		48,338		-
Mortgage Loan ID#1000002905	4.19%	4/1/2037	MN		73,043		-
Mortgage Loan ID#1000002909	2.00%	7/1/2036	FL		78,576		-
Mortgage Loan ID#1000002915	1.00%	2/1/2022	NY		135,226		-
Mortgage Loan ID#1000002916	1.00%	9/1/2049	CA		78,265		-
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#1000002951	4.00%	3/1/2037	NY		127,420		-
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		55,102		-
Mortgage Loan ID#1000002999	10.75%	2/1/2022	TX		25,151		-
Mortgage Loan ID#1000003000	1.00%	3/1/2037	AZ		56,881		-
Mortgage Loan ID#1000003019	1.00%	6/1/2054	FL		31,424		-
Mortgage Loan ID#1000003027	10.50%	3/1/2022	FL		50,213		-
Mortgage Loan ID#1000003041	11.63%	3/1/2022	IL		63,587		-
Mortgage Loan ID#1000003049	10.13%	8/1/2022	CA		23,683		-
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		20,228		-
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#1000003179	9.50%	3/1/2022	AZ		30,304		-
Mortgage Loan ID#1000003192	2.00%	9/1/2036	CA		39,923		-
Mortgage Loan ID#1000003203	9.50%	3/1/2022	VA		23,924		-
Mortgage Loan ID#1000003207	1.00%	3/1/2022	WA		39,095		-
Mortgage Loan ID#1000003208	8.84%	10/1/2036	PA		45,180		-
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#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		67,913		-
Mortgage Loan ID#1000003291	5.50%	11/1/2036	NY		56,869		-
Mortgage Loan ID#1000003304	10.50%	5/1/2022	CA		102,564		-
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#1000003351	2.00%	5/1/2037	NY		41,253		-
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#1000003372	2.00%	3/1/2037	VA		74,770		-
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		66,301		-
Mortgage Loan ID#1000003391	2.00%	5/1/2037	NJ		52,193		-
Mortgage Loan ID#1000003395	10.50%	4/1/2022	NY		80,464		-
Mortgage Loan ID#1000003688	13.63%	2/1/2022	MI		18,734		-
Mortgage Loan ID#1000003741	12.38%	7/1/2036	GA		62,331		-
Mortgage Loan ID#1000003752	2.00%	12/1/2040	MD		77,644		-
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#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#1000003807	1.00%	5/1/2044	MD		23,407		-
Mortgage Loan ID#1000003811	1.00%	10/1/2049	GA		61,291		-
Mortgage Loan ID#1000003816	12.00%	4/1/2037	GA		38,482		-
Mortgage Loan ID#1000001308	8.38%	7/1/2037	NJ		160,615		-
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#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#1000003079	6.13%	4/20/2031	HI		16,567		-
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#1000003426	6.38%	4/15/2032	IL		86,603		-
Mortgage Loan ID#1000003588	5.63%	3/15/2032	GA		116,000		-
					180,765,620		106,836,198
					Principal		Fair
Description			State		amount		value
Real estate acquired in settlement of loans
Property ID#1000027733**			IL	$	573,920	$	800,000
Property ID#1000026981**			MA		777,294		650,000
Property ID#1000027525**			NJ		554,549		620,000
Property ID#1000016710**			NJ		529,780		575,000
Property ID#1000026843**			CA		536,000		572,486
Property ID#1000035760**			NJ		548,714		550,000
Property ID#1000029380**			NJ		400,000		488,860
Property ID#1000038487**			NY		444,734		464,870
Property ID#1000029171			FL		509,600		455,000
Property ID#1000027283**			NY		382,094		440,000
Property ID#1000001636			FL		564,000		437,900
Property ID#1000043755**			MN		478,087		430,000
Property ID#1000044014**			MD		578,256		415,000
Property ID#1000026032**			HI		420,100		410,658
Property ID#1000016021**			NY		280,813		405,000
Property ID#1000016011			FL		505,461		400,000
Property ID#1000017521**			MD		501,029		385,000
Property ID#1000043886**			NJ		344,509		381,060
Property ID#1000027243**			CA		380,135		366,077
Property ID#1000028903**			CA		488,632		365,000
Property ID#1000043164**			AZ		305,838		339,038
Property ID#1000015537**			FL		460,000		329,000
Property ID#1000026017**			CA		319,900		311,547
Property ID#1000043895**			MA		276,553		301,000
Property ID#1000001614			NY		328,000		267,000
Property ID#1000026348**			NV		366,420		264,401
Property ID#1000027641**			NJ		240,000		258,000
Property ID#1000027288**			IL		391,812		257,000
Property ID#1000016110**			FL		286,771		251,992
Property ID#1000000538**			IL		299,999		251,000
Property ID#1000043996**			PA		240,000		250,000
Property ID#1000000381			NJ		255,000		235,000
Property ID#1000026149**			NJ		177,901		235,000
Property ID#1000035181**			NY		348,909		233,500
Property ID#1000027454**			NJ		345,428		225,000
Property ID#1000044101**			PA		181,868		222,545
Property ID#1000043731**			NJ		206,001		215,314
Property ID#1000043574**			NJ		330,421		204,000
Property ID#1000034828**			NJ		184,785		199,900
Property ID#1000027053**			NJ		259,171		190,000
Property ID#1000001616			NJ		364,000		190,000
Property ID#1000043128			NJ		102,661		189,000
Property ID#1000026356**			MD		294,756		188,000
Property ID#1000035002**			IL		178,595		184,500
Property ID#1000015627**			NY		179,970		178,000
Property ID#1000034988**			FL		139,220		162,131
Property ID#1000000226**			AZ		163,669		155,000
Property ID#1000017061**			IL		221,259		152,900
Property ID#1000000903**			CA		135,000		150,000
Property ID#1000043261**			NJ		288,028		150,000
Property ID#1000043950**			OR		183,348		150,000
Property ID#1000001996			PA		191,225		141,000
Property ID#1000034972**			NJ		230,368		139,000
Property ID#1000036109**			NY		80,087		138,000
Property ID#1000002039			NJ		262,475		131,000
Property ID#1000017330**			CT		209,804		130,000
Property ID#1000035033**			NJ		152,649		120,000
Property ID#1002229098			GA		56,503		92,900
Property ID#1000027400**			NY		229,668		75,101
Property ID#1000035080**			NJ		155,369		75,000
Property ID#1000017410**			MI		137,845		75,000
Property ID#1000044196**			MD		148,017		70,000
Property ID#1000027625**			WI		170,894		65,511
Property ID#1000038414**			FL		110,871		64,500
Property ID#1000026336**			PA		139,002		62,000
Property ID#1000000591			NJ		317,267		61,000
Property ID#1000000764			FL		69,868		51,761
Property ID#1000026461**			TX		55,070		50,000
Property ID#1000034867			WI		71,300		46,500
Property ID#1000027397**			CT		260,453		45,000
Property ID#1000029180**			OH		143,347		40,000
Property ID#1000044116**			NJ		152,610		35,700
Property ID#1000000376**			NY		53,400		35,000
Property ID#1000025919**			OH		47,400		32,645
Property ID#1000043736**			NJ		114,827		31,900
Property ID#1000034873**			NJ		63,813		30,500
Property ID#1000001669			IL		199,616		26,703
Property ID#1000001120			NY		47,436		23,000
Property ID#1000003956			AL		52,170		15,000
					21,776,344		18,405,400
TOTAL MORTGAGE INVESTMENTS (Cost $106,914,593)					202,541,964		125,241,598
SHORT-TERM INVESTMENT - 18%*
							Fair
Name of Issuer					Shares		value
Short-term investment
Morgan Stanley Liquidity Funds: Government Institutional Shares
- yield 0.43% at December 31, 2016				$	22,002,497	$	22,002,497
TOTAL SHORT-TERM INVESTMENT (Cost $22,002,497)					22,002,497		22,002,497
TOTAL INVESTMENTS (Cost $128,917,090)						$	147,244,095
LIABILITIES - 42%*		Note	Maturity		Principal		Fair
Description		interest rate	date		amount		value
Asset-backed financing
PNMAC 2015-NPL1 A-1-144A ^		4.00%	3/25/2055	$	50,219,241	$	50,297,683
TOTAL LIABILITIES (Proceeds $50,111,578)					50,219,241		50,297,683
Other assets in excess of other liabilities - 19%*							23,181,822
TOTAL PARTNERS’ CAPITAL - 100%*						$	120,128,234
*     Percentages are stated as a percent of partners’ capital
**   Pledged as collateral for asset-backed financing (See Note 5)
^      Investment represents securities issued by related parties
All investments are in the United States of America.

	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, 2016 (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, 2016, 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, Daniel S. Perotti, Andrew S. Chang, and Vandad Fartaj. The titles, business experience, and length of service of Messrs. Kurland, Spector, Perotti, 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 (64) c/o PNMAC Capital Management, LLC, 3043 Townsgate Road, Westlake Village, CA 91361	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

Name Title Length of Service Business Experience During Past 5 Years Role of Portfolio Manager

David A. Spector (53) c/o PNMAC Capital Management, LLC, 3043 Townsgate Road, Westlake Village, CA 91361	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
Daniel S. Perotti (36) c/o PNMAC Capital Management, LLC, 3043 Townsgate Road, Westlake Village, CA 91361	Chief Asset and Liability Management Officer of the Investment Advisor	Served since October 7, 2013	Chief Asset and Liability Management Officer of the Investment Advisor; formerly, Managing Director of Financial Analysis and Valuation for the Investment Advisor.	As Chief Asset and Liability Management Officer, is responsible for oversight of balance sheets, analysis of realized and projected financial performance, and valuation of investment assets for us and the entities we manage..
Andrew S. Chang (39) c/o PNMAC Capital Management, LLC, 3043 Townsgate Road, Westlake Village, CA 91361	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, 3043 Townsgate Road, Westlake Village, CA 91361	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, 2016:

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	$231,231,000	2	$231,231,000
Other pooled investment  vehicles	3	$6,460,710,000	2	$6,460,710,000
Other accounts				$0
David A.  Spector
Registered investment companies	2	$231,231,000	2	$231,231,000
Other pooled investment vehicles	3	$6,460,710,000	2	$6,460,710,000
Other accounts				$0
Vandad Fartaj
Registered investment companies	2	$231,231,000	2	$231,231,000
Other pooled investment vehicles	3	$6,460,710,000	2	$6,460,710,000
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

Daniel S. Perotti
Registered investment companies	2	$231,231,000	2	$231,231,000
Other pooled investment vehicles	3	$6,460,710,000	2	$6,460,710,000
Other accounts				$0
Andrew S. Chang
Registered investment companies	2	$231,231,000	2	$231,231,000
Other pooled investment vehicles	3	$6,460,710,000	2	$6,460,710,000
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, Perotti, Chang, and Fartaj receive a fixed salary and a discretionary bonus from 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, 2016, Messrs. Kurland, Spector, Perotti, Chang, and Fartaj received from one of the managed accounts, restricted stock units which vest over a three year period and performance based stock units that may vest over a three year period if certain performance measures are satisfied.None of Messrs. Kurland, Spector, Perotti, 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, 2016:

Name of Manager	Aggregate Dollar Range of Holdings in the Registrant
Stanford L. Kurland	None
David A. Spector	None
Daniel S. Perotti	None
Andrew 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.  Filed herewith.

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

(b) Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002.  Furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)  PNMAC Mortgage Opportunity Fund, LP                                

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

   David A. Spector, CEO

Date       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