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

As filed with the Securities and Exchange Commission on November X, 2017

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

811-22228

Investment Company Act file number

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

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

Derek W. Stark, Secretary

PNMAC MORTGAGE OPPORTUNITY FUND, LP

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

Copies to:

Richard T. Prins, Esq.

Skadden, Arps, Slate, Meagher & Flom LLP

Four Times Square

New York, New York 10036

(818) 224-7050

Registrant's telephone number, including area code

Date of fiscal year end: December 31

Date of reporting period: June 30, 2017

The Registrant is filing this amendment to its Form N-CSR for the six months ended June 30, 2017, originally filed with the Securities and Exchange Commission on September 8, 2017. The purpose of this amendment is to include a detailed Schedule of Investments in Item 6 – Investments as of June 30, 2017 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

Semi-Annual Report

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Table of Contents

Financial Statements	Page

Consolidated Statement of Assets and Liabilities	2

Consolidated Summary Schedule of Investments	3

Consolidated Statement of Operations	5

Consolidated Statements of Changes in Partners’ Capital	6

Consolidated Statement of Cash Flows	7

Consolidated Financial Highlights	8

Notes to Consolidated Financial Statements	11

Additional Information	25

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Assets and Liabilities

June 30, 2017 (Unaudited)

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

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

Partners’ capital	$	93,103,349

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

June 30, 2017 (Unaudited)

INVESTMENTS - 118%*

MORTGAGE INVESTMENTS - 114%*

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

(Continued)

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Summary Schedule of Investments

June 30, 2017 (Unaudited)

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

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

SHORT-TERM INVESTMENT - 4% *

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

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

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

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

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

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

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

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

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

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

(Concluded)

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Operations

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

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statements of Changes in Partners’ Capital

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

	Non-controlling Interest			General Partner			Limited Partner			Total

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Consolidated Statement of Cash Flows

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

Cash flows from operating activities:

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

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

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

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

Net change in cash		—

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

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

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

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

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

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

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

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

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

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

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

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

(Continued)

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

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

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

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

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

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

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

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

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


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

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

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

(Continued)

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Financial Highlights

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

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

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

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

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

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

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

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

(3)	Not annualized.

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

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

(6)	Annualized.

(Concluded)

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

Note 1—Organization

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

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

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

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

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

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

●

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

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

●

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

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

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

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

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

Note 2—Significant Accounting Policies

Basis of Presentation

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

Consolidation

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

Use of Estimates

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

Fair Value

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

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

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

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

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

Short-term Investment

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

Interest Income

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

Home Affordable Modification Program Incentive Fees

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

Asset-backed Financing

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

Expenses

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

Income Taxes

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

Partners’ Capital and Non-controlling Interest

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

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

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

Capital Distributions and Carried Interest

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

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

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

Indemnifications

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

Note 3—Fair Value

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

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

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

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

Valuation Techniques and Inputs

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

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

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

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

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

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

Mortgage Loans

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

Real Estate Acquired in Settlement of Loans

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

Asset-Backed Financing

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

Note 4—Concentration of Credit Risk

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

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

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

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

Following is a summary of the distribution of REO:

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

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

Note 5—Asset-backed Financing

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

Note 6—Investment Advisory, Administration and Custodian Fees

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

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

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

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

Note 7—Directors and Officers

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

Note 8—Transactions with Affiliates

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

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

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

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

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

Note 9—Risk Factors

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

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

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

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

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

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

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

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

Note 10—Subsequent Events

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

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

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

****

PNMAC Mortgage Opportunity Fund, LP

Additional Information (Unaudited)

Form N-Q

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

Proxy Voting

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

Board of Directors

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

Forward-Looking Statements

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

Approval of Investment Management Agreement

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

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

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

PNMAC Mortgage Opportunity Fund, LP

Additional Information (Unaudited)

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

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

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

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

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

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

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

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

Item 6. Investments.

INVESTMENTS - 118%*
MORTGAGE INVESTMENTS - 114%*

	Note	Maturity			Principal		Fair
Description	interest rate	date	State		amount		value
Mortgage loans
Mortgage Loan ID#1000043954**	5.25%	5/1/2037	FL	$	2,217,760	$	1,657,966
Mortgage Loan ID#1000043569**	3.38%	2/1/2047	CA		1,509,280		1,460,092
Mortgage Loan ID#1000002193	6.88%	5/1/2037	DC		990,000		1,022,393
Mortgage Loan ID#1000035099**	3.00%	11/1/2056	NY		1,618,863		972,395
Mortgage Loan ID#1000035343**	5.63%	1/1/2057	CA		922,055		888,556
Mortgage Loan ID#1000015179**	5.25%	10/1/2043	CT		860,025		887,917
Mortgage Loan ID#1000043880**	3.00%	2/1/2035	OR		1,387,425		836,193
Mortgage Loan ID#1000016833**	3.00%	1/1/2057	NY		949,618		779,457
Mortgage Loan ID#1000029387**	8.25%	6/1/2037	NY		600,000		744,709
Mortgage Loan ID#1000028984**	3.00%	6/1/2056	CA		1,461,901		693,677
Mortgage Loan ID#1000001411	3.00%	7/1/2047	CA		832,829		689,358
Mortgage Loan ID#1000026305**	2.00%	3/1/2056	CA		773,956		623,366
Mortgage Loan ID#1000029315**	3.38%	5/1/2057	CA		621,537		598,288
Mortgage Loan ID#1000002404	3.44%	9/1/2036	NY		755,396		569,523
Mortgage Loan ID#1000043559**	2.88%	8/1/2045	VA		608,939		556,618
Mortgage Loan ID#1000034768**	3.50%	4/1/2036	NY		620,709		541,178
Mortgage Loan ID#1000002180	2.00%	8/1/2055	NY		758,540		529,600
Mortgage Loan ID#1000025998**	2.00%	4/1/2057	CA		585,227		494,315
Mortgage Loan ID#1000025942**	2.00%	2/1/2057	CA		639,023		491,930
Mortgage Loan ID#1000002145	4.00%	3/1/2057	NY		627,438		490,463
Mortgage Loan ID#1000038435**	5.13%	5/1/2057	CA		521,717		477,412
Mortgage Loan ID#1000028356**	3.25%	9/1/2056	CT		578,001		472,601
Mortgage Loan ID#1000028960**	3.00%	3/1/2057	NY		562,398		468,584
Mortgage Loan ID#1000017201**	3.00%	1/1/2057	MD		653,047		462,122
Mortgage Loan ID#1000043597**	2.00%	12/1/2050	NJ		643,548		454,131
Mortgage Loan ID#1000035519**	5.25%	12/1/2036	MA		464,304		453,440
Mortgage Loan ID#1000000293**	4.25%	12/1/2054	VT		470,663		443,422
Mortgage Loan ID#1000016663**	6.88%	5/1/2037	OR		799,862		440,939
Mortgage Loan ID#1000017045**	3.00%	4/1/2057	MA		351,283		440,740
Mortgage Loan ID#1000035218**	3.00%	4/1/2057	NY		526,215		440,515
Mortgage Loan ID#1000002167	3.13%	6/1/2046	NY		554,505		439,555
Mortgage Loan ID#1000000565**	3.38%	6/1/2056	NY		738,381		432,782
Mortgage Loan ID#1000043537**	3.25%	9/1/2056	NY		1,024,404		426,812
Mortgage Loan ID#1000026020**	4.87%	6/1/2037	CA		547,423		423,729
Mortgage Loan ID#1000038468**	6.13%	5/1/2038	NY		531,936		416,430
Mortgage Loan ID#1000035426	2.00%	11/1/2039	CA		499,178		409,050
Mortgage Loan ID#1000002214	2.00%	5/1/2057	CA		697,552		406,044
Mortgage Loan ID#1000001463	4.98%	8/1/2047	CA		537,666		405,059
Mortgage Loan ID#1000003896**	4.13%	7/1/2053	MA		430,829		400,219
Mortgage Loan ID#1000043564**	7.00%	10/1/2037	NY		640,848		397,548
Mortgage Loan ID#1000002075	5.63%	5/1/2037	FL		539,813		393,629
Mortgage Loan ID#1000002101	2.00%	11/1/2057	CA		439,214		388,298
Mortgage Loan ID#1000015570	3.00%	3/1/2057	OR		494,240		387,261
Mortgage Loan ID#1000002089	7.63%	5/1/2037	AZ		379,742		384,605
Mortgage Loan ID#1000029034**	2.00%	5/1/2054	CA		486,357		380,162
Mortgage Loan ID#1000029300**	2.00%	5/1/2057	CA		515,963		378,232
Mortgage Loan ID#1000016592**	3.75%	11/1/2035	CA		409,180		377,531
Mortgage Loan ID#1000028059**	3.63%	3/1/2057	MD		407,751		376,805
Mortgage Loan ID#1000043672**	6.38%	2/1/2038	NY		551,820		376,542
Mortgage Loan ID#1000026656**	3.00%	10/1/2051	GA		522,006		375,906
Mortgage Loan ID#1000015019**	4.50%	5/1/2035	CA		373,478		373,751
Mortgage Loan ID#1000028896**	3.00%	1/1/2052	NY		484,484		370,296
Mortgage Loan ID#1000025992**	4.00%	5/1/2051	CA		520,445		369,203
Mortgage Loan ID#1000029231**	3.50%	6/1/2056	IL		655,940		362,033
Mortgage Loan ID#1000016006**	7.15%	2/1/2037	NY		641,150		360,692
Mortgage Loan ID#1000001626	3.00%	5/1/2055	NY		870,855		360,459
Mortgage Loan ID#1000002169	4.00%	4/1/2051	NY		515,473		358,723
Mortgage Loan ID#1000043923**	3.88%	4/1/2037	MA		398,285		357,736
Mortgage Loan ID#1000002108	3.00%	3/1/2057	NY		516,009		354,569
Mortgage Loan ID#1000001404	4.00%	10/1/2047	NY		645,465		353,574
Mortgage Loan ID#1000043173**	2.00%	11/1/2049	NJ		374,134		340,749
Mortgage Loan ID#1000035967**	3.25%	7/1/2056	MD		421,003		337,406
Mortgage Loan ID#1000026413**	5.13%	9/1/2035	MA		352,241		336,605
Mortgage Loan ID#1000000644**	6.25%	12/1/2036	VA		338,709		334,143
Mortgage Loan ID#1000029127**	2.50%	12/1/2056	CA		431,381		333,657
Mortgage Loan ID#1000016313**	7.00%	10/1/2037	NY		398,129		331,813
Mortgage Loan ID#1000026767**	3.75%	12/1/2034	CA		369,649		330,834
Mortgage Loan ID#1000029085**	10.20%	9/1/2056	FL		842,099		324,774
Mortgage Loan ID#1000002378	3.00%	3/1/2057	NY		401,800		324,175
Mortgage Loan ID#1000002092	4.13%	12/1/2054	NY		388,338		321,725
Mortgage Loan ID#1000029087**	2.00%	3/1/2056	CA		445,159		316,581
Mortgage Loan ID#1000000560**	6.80%	1/1/2037	NY		613,522		316,309
Mortgage Loan ID#1000028856**	3.50%	4/1/2056	NV		564,174		311,480
Mortgage Loan ID#1000002320	3.13%	4/1/2046	AZ		406,201		310,610
Mortgage Loan ID#1000002199	2.00%	4/1/2057	NJ		496,663		309,594
Mortgage Loan ID#1000002062	3.00%	4/1/2056	NY		415,929		308,318
Mortgage Loan ID#1000002031	2.00%	1/1/2048	CA		404,321		306,140
Mortgage Loan ID#1000003926**	3.88%	10/1/2046	MA		323,968		305,391
Mortgage Loan ID#1000026083**	3.00%	3/1/2057	CA		351,362		302,265
Mortgage Loan ID#1000043804	3.25%	7/1/2056	NJ		497,989		302,098
Mortgage Loan ID#1000025997**	4.92%	12/1/2036	WA		369,393		299,507
Mortgage Loan ID#1000002066	4.39%	5/1/2047	CA		607,893		297,255
Mortgage Loan ID#1000026024**	2.00%	10/1/2052	CA		323,104		297,059
Mortgage Loan ID#1000003528	3.00%	9/1/2047	MD		349,476		292,909
Mortgage Loan ID#1000029283**	3.25%	10/1/2046	NY		326,631		292,054
Mortgage Loan ID#1000017474**	3.00%	10/1/2056	IL		357,385		284,135
Mortgage Loan ID#1000026350**	6.50%	4/1/2037	NY		719,176		282,700
Mortgage Loan ID#1000016081**	2.50%	3/1/2057	FL		456,352		281,901
Mortgage Loan ID#1000026005**	4.87%	5/1/2037	CA		286,543		276,692
Mortgage Loan ID#1000001628	10.37%	5/1/2037	NY		451,250		274,758
Mortgage Loan ID#1000044258	3.25%	7/1/2056	MA		376,609		273,110
Mortgage Loan ID#1000002367	4.65%	3/1/2037	NY		469,083		271,879
Mortgage Loan ID#1000003907**	6.00%	7/1/2037	MD		579,090		271,605
Mortgage Loan ID#1000029356**	2.00%	12/1/2056	CA		395,782		271,303
Mortgage Loan ID#1000001457	5.04%	9/1/2047	NJ		506,977		271,252
Mortgage Loan ID#1000028864**	2.00%	2/1/2057	CA		360,521		270,794
Mortgage Loan ID#1000028857**	7.75%	9/1/2036	NY		455,000		268,578
Mortgage Loan ID#1000035642**	4.80%	9/1/2047	CO		281,069		268,457
Mortgage Loan ID#1000001509	3.00%	4/1/2047	NY		602,954		267,597
Mortgage Loan ID#1000000896**	7.38%	1/1/2038	CA		260,000		267,488
Mortgage Loan ID#1000026012	4.88%	8/1/2054	CA		286,904		263,209
Mortgage Loan ID#1000029065**	3.00%	4/1/2057	CA		396,162		261,978
Mortgage Loan ID#1000017367**	3.75%	10/1/2036	CO		276,486		261,249
Mortgage Loan ID#1000016921	6.85%	11/1/2036	NY		454,027		259,449
Mortgage Loan ID#1000029217**	2.00%	1/1/2040	VA		338,680		258,592
Mortgage Loan ID#1000001611	7.24%	5/1/2037	NY		605,000		254,513
Mortgage Loan ID#1000017076**	7.63%	12/1/2037	NY		438,280		251,474
Mortgage Loan ID#1000028832	3.88%	4/1/2057	FL		703,331		249,495
Mortgage Loan ID#1000026028**	4.87%	5/1/2041	CA		284,765		248,918
Mortgage Loan ID#1000043832**	3.25%	10/1/2056	MD		312,271		246,141
Mortgage Loan ID#1000029165**	3.00%	1/1/2057	WA		387,679		245,845
Mortgage Loan ID#1000043850**	3.38%	8/1/2055	FL		340,609		245,829
Mortgage Loan ID#1000035785**	6.00%	1/1/2036	NY		428,000		241,817
Mortgage Loan ID#1000029254**	9.50%	2/1/2037	FL		433,287		240,307
Mortgage Loan ID#1000027630**	7.00%	12/1/2036	NJ		479,925		240,111
Mortgage Loan ID#1000016216**	3.13%	9/1/2056	NY		548,834		239,914
Mortgage Loan ID#1000038481	3.25%	9/1/2056	NJ		272,050		239,815
Mortgage Loan ID#1000043951**	5.38%	5/1/2056	FL		526,946		237,402
Mortgage Loan ID#1000029181**	4.00%	6/1/2057	MS		279,306		236,201
Mortgage Loan ID#1000026034**	3.75%	5/1/2057	CA		302,515		235,170
Mortgage Loan ID#1000002011	2.00%	8/1/2056	FL		490,553		233,443
Mortgage Loan ID#1000028793	2.00%	11/1/2053	NC		260,549		233,273
Mortgage Loan ID#1000015317**	2.00%	1/1/2052	VA		275,879		233,264
Mortgage Loan ID#1000029196**	2.00%	5/1/2052	CA		380,485		232,949
Mortgage Loan ID#1000015904**	2.00%	8/1/2051	NJ		370,295		231,489
Mortgage Loan ID#1000026229**	2.00%	3/1/2057	RI		313,502		230,115
Mortgage Loan ID#1000028925	3.00%	3/1/2057	FL		546,679		229,887
Mortgage Loan ID#1000002009	3.00%	7/1/2057	NJ		346,275		228,643
Mortgage Loan ID#1000028289**	4.00%	11/1/2046	MA		484,151		224,084
Mortgage Loan ID#1000001449	3.00%	3/1/2052	CA		268,649		223,799
Mortgage Loan ID#1000017230**	3.00%	4/1/2057	NY		284,075		222,942
Mortgage Loan ID#1000015280**	4.13%	4/1/2055	PA		248,736		222,256
Mortgage Loan ID#1000028937**	2.00%	11/1/2056	NY		539,319		220,645
Mortgage Loan ID#1000001247	3.00%	11/1/2054	OH		275,301		218,544
Mortgage Loan ID#1000017335**	3.13%	12/1/2056	VA		264,233		218,460
Mortgage Loan ID#1000026026**	7.00%	2/1/2037	NY		491,954		217,679
Mortgage Loan ID#1000026059**	3.13%	10/1/2056	IL		509,097		217,474
Mortgage Loan ID#1000002359	3.00%	3/1/2057	NY		397,071		215,766
Mortgage Loan ID#1000044110**	7.50%	5/1/2035	NY		209,617		215,258
Mortgage Loan ID#1000026182**	4.75%	11/1/2054	CA		224,547		215,242
Mortgage Loan ID#1000034816**	7.00%	10/1/2037	NY		441,943		215,114
Mortgage Loan ID#1000003614	4.25%	5/1/2055	MA		348,826		213,988
Mortgage Loan ID#1000003647	3.00%	8/1/2043	MI		279,132		213,406
Mortgage Loan ID#1000043656**	3.13%	2/1/2057	DC		310,393		213,399
Mortgage Loan ID#1000000544**	6.00%	12/1/2038	NY		693,175		209,752
Mortgage Loan ID#1000000658**	3.00%	3/1/2057	NY		307,823		208,868
Mortgage Loan ID#1000003668	5.00%	9/1/2046	MD		341,666		208,477
Mortgage Loan ID#1000001369	3.25%	8/1/2056	IL		364,947		208,087
Mortgage Loan ID#1000001683	8.33%	5/1/2037	TX		187,393		204,922
Mortgage Loan ID#1000043815**	3.00%	5/1/2057	NY		214,222		204,474
Mortgage Loan ID#1000002340	5.22%	6/1/2056	DC		257,555		202,486
Mortgage Loan ID#1000027875**	6.20%	1/1/2035	NY		434,148		202,093
Mortgage Loan ID#1000035161**	7.75%	9/1/2037	NJ		632,986		201,629
Mortgage Loan ID#1000027962**	6.00%	8/1/2057	CA		245,690		200,677
Mortgage Loan ID#1000028919**	3.00%	12/1/2056	NM		268,851		199,928
Mortgage Loan ID#1000028894**	3.13%	9/1/2056	FL		317,190		199,861
Mortgage Loan ID#1000002200	5.25%	6/1/2042	FL		217,654		199,474
Mortgage Loan ID#1000027174**	4.25%	1/1/2056	MA		345,873		199,282
Mortgage Loan ID#1000043516**	4.50%	4/1/2057	NJ		298,104		197,960
Mortgage Loan ID#1000027040**	4.00%	8/1/2039	AL		205,465		195,912
Mortgage Loan ID#1000028969**	3.63%	11/1/2055	MD		268,502		195,643
Mortgage Loan ID#1000001631	8.88%	8/1/2037	NY		472,500		195,526
Mortgage Loan ID#1000017039**	3.00%	4/1/2056	FL		336,076		195,103
Mortgage Loan ID#1000043702**	8.15%	5/1/2035	NY		296,197		193,435
Mortgage Loan ID#1000043320**	4.00%	9/1/2056	WI		211,452		192,055
Mortgage Loan ID#1000038534**	5.75%	2/1/2038	NY		394,272		190,435
Mortgage Loan ID#1000029042**	4.88%	12/1/2053	PA		583,072		190,383
Mortgage Loan ID#1000043995**	2.00%	12/1/2056	IL		329,631		189,967
Mortgage Loan ID#1000017341**	2.00%	10/1/2056	WA		234,237		189,496
Mortgage Loan ID#1000028216**	3.00%	5/1/2057	NJ		495,189		189,336
Mortgage Loan ID#1000002310	6.00%	5/1/2037	ME		223,429		188,921
Mortgage Loan ID#1000027844**	3.00%	5/1/2051	MA		323,543		186,208
Mortgage Loan ID#1000029367**	7.00%	2/1/2037	NY		450,400		185,778
Mortgage Loan ID#1000001619	3.00%	5/1/2047	CA		194,078		185,625
Mortgage Loan ID#1000029147**	4.06%	3/1/2037	FL		203,987		183,779
Mortgage Loan ID#1000026583**	3.00%	3/1/2051	MD		305,207		182,321
Mortgage Loan ID#1000026006**	7.00%	4/1/2057	WA		201,570		181,991
Mortgage Loan ID#1000028840**	3.19%	10/1/2055	FL		245,321		181,752
Mortgage Loan ID#1000015960**	4.00%	12/1/2049	OR		199,784		181,142
Mortgage Loan ID#1000002002	4.00%	4/1/2051	IL		255,103		181,093
Mortgage Loan ID#1000036021**	2.00%	7/1/2035	NY		311,625		180,208
Mortgage Loan ID#1000001022	8.50%	2/1/2037	FL		189,056		180,010
Mortgage Loan ID#1000015452**	4.00%	5/1/2054	MO		214,265		179,136
Mortgage Loan ID#1000029186	3.00%	11/1/2056	FL		213,757		177,292
Mortgage Loan ID#1000028891**	3.88%	12/1/2053	VA		259,027		175,040
Mortgage Loan ID#1000034882**	3.25%	2/1/2057	NJ		354,319		174,478
Mortgage Loan ID#1000026014**	3.25%	7/1/2056	OR		210,370		172,896
Mortgage Loan ID#1000003623	3.13%	12/1/2035	MA		251,222		172,678
Mortgage Loan ID#1000028936**	5.00%	7/1/2057	NY		412,442		171,052
Mortgage Loan ID#1000001271	3.25%	9/1/2056	NJ		366,306		169,564
Mortgage Loan ID#1000026196**	9.45%	5/1/2037	MA		253,432		169,544
Mortgage Loan ID#1000015500**	7.50%	7/1/2037	NY		504,000		166,595
Mortgage Loan ID#1000029411**	10.75%	9/1/2037	FL		379,141		165,731
Mortgage Loan ID#1000035194**	3.00%	1/1/2057	RI		615,088		165,630
Mortgage Loan ID#1000035314**	3.75%	6/1/2057	MD		231,180		165,490
Mortgage Loan ID#1000034925**	3.63%	12/1/2055	FL		247,818		165,117
Mortgage Loan ID#1000001225	4.82%	4/1/2031	FL		171,075		164,948
Mortgage Loan ID#1000003880**	5.00%	3/1/2046	MA		169,299		164,850
Mortgage Loan ID#1000000399**	5.75%	12/1/2037	NJ		209,774		163,794
Mortgage Loan ID#1000002215	3.13%	10/1/2056	NC		217,516		161,592
Mortgage Loan ID#1000001589	3.00%	10/1/2056	NJ		303,884		161,437
Mortgage Loan ID#1000001912	5.00%	5/1/2054	FL		174,229		160,656
Mortgage Loan ID#1000001961	5.00%	4/1/2054	CT		187,060		160,650
Mortgage Loan ID#1000026016**	3.13%	10/1/2056	NM		256,569		160,493
Mortgage Loan ID#1000017468**	2.00%	2/1/2045	NJ		178,712		159,687
Mortgage Loan ID#1000029044**	3.00%	12/1/2056	NJ		420,857		157,943
Mortgage Loan ID#1000029115**	4.00%	7/1/2037	CA		369,290		157,596
Mortgage Loan ID#1000043257**	4.00%	10/1/2056	FL		199,640		156,382
Mortgage Loan ID#1000029329**	3.00%	3/1/2057	KS		225,960		155,516
Mortgage Loan ID#1000026022**	2.00%	7/1/2038	NV		375,879		154,593
Mortgage Loan ID#1000027181**	6.50%	10/1/2037	FL		562,500		153,761
Mortgage Loan ID#1000000219**	2.00%	4/1/2057	IL		225,549		153,504
Mortgage Loan ID#1000001464	3.00%	6/1/2055	IL		266,557		152,983
Mortgage Loan ID#1000027209**	4.63%	8/1/2054	IL		190,804		150,798
Mortgage Loan ID#1000044160**	3.50%	2/1/2057	OH		162,210		149,392
Mortgage Loan ID#1000028441	5.00%	6/1/2043	FL		242,076		148,911
Mortgage Loan ID#1000016786**	7.13%	8/1/2037	NY		384,213		148,889
Mortgage Loan ID#1000016611**	3.25%	6/1/2056	IL		238,012		148,096
Mortgage Loan ID#1000043914**	6.50%	9/1/2036	NY		525,000		148,090
Mortgage Loan ID#1000043641**	6.38%	9/1/2037	NY		504,303		148,039
Mortgage Loan ID#1000027403**	3.00%	12/1/2056	WI		240,500		147,666
Mortgage Loan ID#1000002398	10.00%	8/1/2037	NY		860,000		147,425
Mortgage Loan ID#1000001937	7.88%	3/1/2037	TX		137,450		146,777
Mortgage Loan ID#1000001943	5.80%	8/1/2037	MT		142,515		146,775
Mortgage Loan ID#1000043946**	2.63%	7/1/2056	MA		173,318		146,432
Mortgage Loan ID#1000001588	9.25%	6/1/2047	NY		368,791		145,284
Mortgage Loan ID#1000001431	4.13%	9/1/2053	NY		165,958		144,999
Mortgage Loan ID#1000028922**	3.00%	4/1/2057	PA		219,890		144,984
Mortgage Loan ID#1000034960**	7.38%	4/1/2038	UT		137,299		144,883
Mortgage Loan ID#1000043867**	8.64%	8/28/2037	FL		308,070		144,587
Mortgage Loan ID#1000026110**	3.13%	10/1/2056	SC		250,178		144,454
Mortgage Loan ID#1000015875**	3.00%	10/1/2051	NY		185,561		144,280
Mortgage Loan ID#1000017171**	6.00%	3/1/2049	GA		143,971		144,215
Mortgage Loan ID#1000017081**	6.75%	12/1/2033	WA		146,388		143,598
Mortgage Loan ID#1000002116	8.63%	8/1/2037	NY		450,000		143,577
Mortgage Loan ID#1000044171**	4.00%	11/1/2056	IL		269,997		143,563
Mortgage Loan ID#1000027941**	3.13%	10/1/2056	GA		273,804		143,454
Mortgage Loan ID#1000017375**	3.75%	6/1/2057	MO		164,481		143,386
Mortgage Loan ID#1000044113**	6.90%	12/1/2034	FL		147,524		142,782
Mortgage Loan ID#1000016068**	3.25%	9/1/2056	FL		568,002		142,663
Mortgage Loan ID#1000028949**	3.00%	8/1/2032	FL		178,644		142,030
Mortgage Loan ID#1000014997**	3.00%	12/1/2054	NY		147,471		141,365
Mortgage Loan ID#1000026003**	5.00%	6/1/2037	FL		206,647		141,161
Mortgage Loan ID#1000027985**	4.88%	3/1/2054	TN		149,796		139,527
Mortgage Loan ID#1000043977**	9.79%	11/1/2037	TX		122,134		138,582
Mortgage Loan ID#1000035629**	2.00%	6/1/2057	DE		180,860		138,414
Mortgage Loan ID#1000029137**	2.00%	1/1/2046	FL		229,623		137,990
Mortgage Loan ID#1000026553	2.00%	3/1/2038	IL		285,953		137,791
Mortgage Loan ID#1000017513**	4.13%	8/1/2053	MA		181,568		137,499
Mortgage Loan ID#1000016028	8.00%	2/1/2037	MA		471,885		137,397
Mortgage Loan ID#1000029219**	3.50%	9/1/2055	FL		203,809		136,799
Mortgage Loan ID#1000026604**	3.00%	11/1/2051	GA		164,425		136,649
Mortgage Loan ID#1000035732**	4.13%	8/1/2053	OR		141,217		136,045
Mortgage Loan ID#1000017068**	3.13%	9/1/2056	MD		262,136		135,479
Mortgage Loan ID#1000035556	3.38%	6/1/2056	FL		182,235		135,309
Mortgage Loan ID#1000043563**	3.88%	12/1/2037	FL		225,946		135,120
Mortgage Loan ID#1000001608	7.88%	3/1/2037	NY		464,000		134,873
Mortgage Loan ID#1000026007**	4.51%	11/1/2048	AZ		135,235		134,751
Mortgage Loan ID#1000001265	4.00%	6/1/2047	FL		263,421		134,149
Mortgage Loan ID#1000029391**	3.00%	1/1/2057	FL		304,706		133,994
Mortgage Loan ID#1000028474	4.88%	4/1/2054	TX		137,803		132,948
Mortgage Loan ID#1000015566**	4.00%	1/1/2051	FL		164,187		132,560
Mortgage Loan ID#1000026052**	2.00%	9/1/2053	CA		200,832		132,325
Mortgage Loan ID#1000026546**	5.25%	3/1/2035	VA		134,440		132,143
Mortgage Loan ID#1000003858**	3.63%	12/1/2037	GA		156,441		130,934
Mortgage Loan ID#1000034782**	5.88%	1/1/2037	FL		284,120		130,515
Mortgage Loan ID#1000029027**	3.25%	9/1/2056	AZ		311,216		130,454
Mortgage Loan ID#1000035205**	3.00%	3/1/2047	CO		137,148		129,660
Mortgage Loan ID#1000035844**	3.25%	9/1/2056	SC		242,257		128,887
Mortgage Loan ID#1000026109**	5.99%	10/1/2034	MA		222,625		128,219
Mortgage Loan ID#1000044104	2.50%	1/1/2035	TX		144,025		127,750
Mortgage Loan ID#1000028943**	3.00%	4/1/2057	FL		324,468		127,624
Mortgage Loan ID#1000017460**	2.00%	5/1/2053	FL		319,464		127,103
Mortgage Loan ID#1000003971**	4.50%	2/1/2037	MI		227,302		126,897
Mortgage Loan ID#1000017455**	3.50%	4/1/2057	SC		139,247		126,804
Mortgage Loan ID#1000001920	8.00%	7/1/2036	AZ		122,366		125,981
Mortgage Loan ID#1000026938**	3.00%	4/1/2037	NY		187,648		125,853
Mortgage Loan ID#1000027668**	2.75%	1/1/2035	OH		149,491		125,690
Mortgage Loan ID#1000028848**	2.00%	6/1/2057	RI		357,552		124,523
Mortgage Loan ID#1000001346	3.00%	9/1/2037	TX		147,530		124,500
Mortgage Loan ID#1000029287**	4.87%	7/1/2037	FL		230,217		124,392
Mortgage Loan ID#1000029011**	3.00%	4/1/2057	MI		175,621		122,525
Mortgage Loan ID#1000035666**	7.62%	2/1/2032	NY		122,900		122,119
Mortgage Loan ID#1000001910	3.00%	7/1/2047	NV		241,893		120,930
Mortgage Loan ID#1000002332	2.00%	7/1/2056	NY		525,234		120,765
Mortgage Loan ID#1000043863**	3.13%	9/1/2056	IL		251,649		120,751
Mortgage Loan ID#1000027258**	6.50%	11/1/2037	AL		119,265		120,546
Mortgage Loan ID#1000035030**	3.50%	4/1/2056	FL		196,383		120,482
Mortgage Loan ID#1000017321**	3.13%	7/1/2056	MD		186,613		120,175
Mortgage Loan ID#1000016228**	5.75%	9/1/2035	NY		435,120		119,196
Mortgage Loan ID#1000035224**	6.78%	5/1/2033	NY		114,292		118,622
Mortgage Loan ID#1000001968	5.00%	9/1/2037	IL		132,764		117,924
Mortgage Loan ID#1000027353**	2.00%	6/1/2051	NY		264,919		117,922
Mortgage Loan ID#1000016888**	4.00%	1/1/2051	WI		137,784		117,793
Mortgage Loan ID#1000026002**	2.00%	1/1/2042	CT		170,399		117,517
Mortgage Loan ID#1000028931**	3.13%	7/1/2056	CT		242,626		117,134
Mortgage Loan ID#1000035041**	3.00%	11/1/2056	NJ		391,995		116,761
Mortgage Loan ID#1000029143**	4.00%	8/1/2053	PA		136,711		116,704
Mortgage Loan ID#1000001924	2.00%	2/1/2056	WA		233,087		115,923
Mortgage Loan ID#1000002319	8.75%	7/1/2037	FL		324,882		114,615
Mortgage Loan ID#1000043709**	2.50%	10/1/2056	MI		168,861		114,562
Mortgage Loan ID#1000028487**	5.13%	1/1/2056	TN		126,038		114,536
Mortgage Loan ID#1000029409**	4.84%	9/1/2037	CA		118,230		114,158
Mortgage Loan ID#1000029316**	4.00%	8/1/2056	TX		174,858		114,084
Mortgage Loan ID#1000001128	5.00%	11/1/2036	FL		121,198		112,869
Mortgage Loan ID#1000044181**	3.75%	5/1/2057	MI		141,773		112,634
Mortgage Loan ID#1000015261**	4.88%	8/1/2054	PA		116,441		112,441
Mortgage Loan ID#1000028798**	4.84%	11/1/2036	OH		120,415		112,329
Mortgage Loan ID#1000029122	4.75%	6/1/2054	FL		167,763		111,963
Mortgage Loan ID#1000029341**	4.00%	2/1/2053	MD		146,534		111,879
Mortgage Loan ID#1000028177**	4.13%	2/1/2055	PA		132,569		111,793
Mortgage Loan ID#1000015929	6.13%	8/1/2036	NY		110,056		111,279
Mortgage Loan ID#1000044101**	7.35%	9/1/2034	PA		181,868		111,138
Mortgage Loan ID#1000043462**	3.50%	4/1/2056	NY		149,803		110,240
Mortgage Loan ID#1000043409**	5.13%	12/1/2054	VA		115,339		109,929
Mortgage Loan ID#1000003856**	3.50%	12/1/2037	AR		126,517		109,230
Mortgage Loan ID#1000043594**	3.13%	7/1/2057	IN		218,842		107,826
Mortgage Loan ID#1000036067**	6.95%	6/1/2035	MD		102,711		107,176
Mortgage Loan ID#1000043618**	3.50%	8/1/2057	NY		258,872		107,083
Mortgage Loan ID#1000001521	3.00%	7/1/2051	NE		122,259		105,821
Mortgage Loan ID#1000003513	2.38%	3/1/2037	GA		125,452		105,544
Mortgage Loan ID#1000016402**	7.05%	12/1/2036	NY		352,869		105,439
Mortgage Loan ID#1000001800	7.88%	4/1/2037	NY		100,869		105,130
Mortgage Loan ID#1000015614**	3.50%	4/1/2057	FL		122,515		104,807
Mortgage Loan ID#1000017525**	3.88%	2/1/2057	MD		134,826		104,643
Mortgage Loan ID#1000029349**	2.00%	10/1/2042	FL		443,714		104,467
Mortgage Loan ID#1000028440**	3.00%	8/1/2055	NY		121,346		104,177
Mortgage Loan ID#1000026384**	4.00%	9/1/2053	MN		115,565		103,840
Mortgage Loan ID#1000000697**	9.00%	10/1/2037	FL		527,100		103,333
Mortgage Loan ID#1000001596	8.83%	5/1/2037	NY		408,500		103,301
Mortgage Loan ID#1000044296**	3.63%	11/1/2055	IL		327,106		103,142
Mortgage Loan ID#1000027343**	5.25%	9/1/2053	WI		146,452		102,753
Mortgage Loan ID#1000015532**	2.63%	5/1/2057	SC		214,222		102,298
Mortgage Loan ID#1000043746**	3.13%	9/1/2056	CT		181,977		101,650
Mortgage Loan ID#1000026614**	4.88%	7/1/2054	NC		145,316		100,432
Mortgage Loan ID#1000017362**	3.00%	2/1/2057	NY		122,639		100,014
Mortgage Loan ID#1000000706**	3.63%	8/1/2037	FL		231,992		99,705
Mortgage Loan ID#1000028180**	4.13%	8/1/2053	PA		109,742		98,806
Mortgage Loan ID#1000029010**	4.00%	6/1/2057	FL		118,631		98,402
Mortgage Loan ID#1000028933**	7.85%	11/1/2036	FL		391,767		98,205
Mortgage Loan ID#1000026516**	5.25%	1/1/2049	CT		193,718		98,010
Mortgage Loan ID#1000017485**	6.80%	4/1/2033	OH		106,762		97,418
Mortgage Loan ID#1000043476	8.17%	9/7/2029	NV		161,986		97,104
Mortgage Loan ID#1000043928**	3.38%	1/1/2056	TX		111,779		96,998
Mortgage Loan ID#1000044151	4.00%	9/1/2053	PA		149,325		96,930
Mortgage Loan ID#1000029182**	3.25%	8/1/2056	FL		199,913		96,908
Mortgage Loan ID#1000014981**	3.50%	5/1/2056	IL		119,956		96,543
Mortgage Loan ID#1000015314**	3.25%	3/1/2049	IN		123,576		96,502
Mortgage Loan ID#1000002369	4.00%	3/1/2037	NY		361,237		96,497
Mortgage Loan ID#1000028008**	7.13%	12/1/2032	AL		100,608		95,307
Mortgage Loan ID#1000027952**	4.88%	2/1/2037	IN		134,739		94,503
Mortgage Loan ID#1000029201**	3.13%	8/1/2056	WI		171,565		94,491
Mortgage Loan ID#1000035535**	3.00%	3/1/2051	LA		116,128		93,685
Mortgage Loan ID#1000026055**	4.60%	7/1/2056	FL		232,897		93,305
Mortgage Loan ID#1000027380**	3.00%	4/1/2057	TX		107,284		92,894
Mortgage Loan ID#1000017401**	4.00%	1/1/2051	IN		107,521		92,433
Mortgage Loan ID#1000034979**	3.25%	8/1/2056	IL		209,216		91,394
Mortgage Loan ID#1000003506	3.38%	3/1/2056	MI		112,540		90,524
Mortgage Loan ID#1000001546	4.88%	5/1/2054	NC		95,684		89,445
Mortgage Loan ID#1000035479**	7.95%	3/1/2037	FL		169,474		89,310
Mortgage Loan ID#1000043833**	6.38%	2/1/2034	NY		115,112		89,149
Mortgage Loan ID#1000043503**	5.50%	3/1/2056	NJ		281,364		88,885
Mortgage Loan ID#1000027358**	6.88%	8/1/2056	IL		175,896		88,336
Mortgage Loan ID#1000043752**	6.99%	12/1/2036	OK		87,001		87,923
Mortgage Loan ID#1000003512	4.13%	11/1/2034	GA		95,912		87,730
Mortgage Loan ID#1000028998**	6.50%	1/1/2037	FL		223,317		86,403
Mortgage Loan ID#1000028161**	3.00%	2/1/2056	IL		268,491		86,382
Mortgage Loan ID#1000026506**	4.13%	2/1/2055	FL		106,151		86,260
Mortgage Loan ID#1000029423**	3.40%	7/1/2044	TX		91,707		86,237
Mortgage Loan ID#1000015924**	7.51%	8/1/2037	FL		164,700		86,157
Mortgage Loan ID#1000015282**	3.00%	3/1/2051	LA		123,748		85,926
Mortgage Loan ID#1000025967**	9.25%	10/1/2036	PA		111,564		85,458
Mortgage Loan ID#1000043557**	3.38%	4/1/2037	NY		66,454		84,872
Mortgage Loan ID#1000043727**	3.25%	9/1/2056	IN		168,922		84,196
Mortgage Loan ID#1000016152**	5.75%	5/1/2032	NY		93,495		83,420
Mortgage Loan ID#1000028191**	3.25%	9/1/2055	PA		172,555		83,360
Mortgage Loan ID#1000043745**	3.63%	5/1/2057	NJ		65,313		83,230
Mortgage Loan ID#1000015268**	3.00%	1/1/2057	FL		194,314		82,989
Mortgage Loan ID#1000026986**	3.00%	1/1/2057	AL		167,614		82,530
Mortgage Loan ID#1000001233	2.00%	1/1/2047	IL		98,318		82,309
Mortgage Loan ID#1000003627	3.00%	11/1/2052	WI		159,980		82,249
Mortgage Loan ID#1000027381**	11.50%	10/1/2035	NC		67,141		82,074
Mortgage Loan ID#1000044291**	3.25%	9/1/2048	TN		86,007		82,051
Mortgage Loan ID#1000025935**	4.13%	8/1/2053	PA		210,627		81,134
Mortgage Loan ID#1000027437**	9.69%	9/22/2036	NY		114,538		80,675
Mortgage Loan ID#1000027130**	3.00%	9/1/2056	LA		120,061		80,115
Mortgage Loan ID#1000029206**	11.38%	7/1/2037	NY		188,339		80,069
Mortgage Loan ID#1000028805	2.00%	11/1/2036	NY		466,883		79,861
Mortgage Loan ID#1000027252**	4.50%	11/1/2053	WI		126,186		79,344
Mortgage Loan ID#1000025991**	3.13%	7/1/2056	NM		181,087		77,465
Mortgage Loan ID#1000017351**	2.88%	6/1/2047	KS		84,132		76,872
Mortgage Loan ID#1000029105**	3.88%	9/1/2053	OH		126,666		76,790
Mortgage Loan ID#7000044223	4.25%	2/1/2044	CA		178,792		76,638
Mortgage Loan ID#1000044152**	3.75%	1/1/2057	MO		72,908		76,564
Mortgage Loan ID#1000025958**	4.13%	11/1/2053	WI		127,449		76,491
Mortgage Loan ID#1000028865**	7.40%	10/1/2036	FL		161,059		76,481
Mortgage Loan ID#1000025925**	3.00%	3/1/2057	NY		119,298		76,354
Mortgage Loan ID#7000003524	4.75%	7/1/2040	CA		158,381		76,281
Mortgage Loan ID#1000026187**	3.00%	4/1/2057	PA		119,465		75,097
Mortgage Loan ID#1000015573**	3.00%	12/1/2056	NC		96,556		74,645
Mortgage Loan ID#1000003417	1.00%	3/1/2022	NY		103,703		74,510
Mortgage Loan ID#1000015257**	3.25%	8/1/2055	PA		161,615		74,469
Mortgage Loan ID#1000001066	9.50%	9/1/2037	FL		202,349		74,204
Mortgage Loan ID#1000015637**	4.25%	12/1/2054	AL		96,586		73,656
Mortgage Loan ID#1000044235**	6.85%	1/26/2036	NJ		90,853		72,120
Mortgage Loan ID#1000001795	5.00%	8/1/2037	VA		77,404		72,114
Mortgage Loan ID#1000029236**	10.90%	3/1/2037	FL		58,761		71,960
Mortgage Loan ID#1000044142**	3.88%	10/1/2054	OH		127,256		71,300
Mortgage Loan ID#1000029401**	5.50%	9/1/2037	OH		90,158		70,959
Mortgage Loan ID#1000017526**	2.00%	1/1/2042	IA		86,563		70,417
Mortgage Loan ID#1000029170**	2.00%	11/1/2055	PA		142,853		69,254
Mortgage Loan ID#1000027348**	3.75%	6/1/2057	KY		84,182		68,412
Mortgage Loan ID#1000028966**	3.25%	8/1/2056	ME		141,876		67,128
Mortgage Loan ID#1000016159**	6.75%	11/1/2036	NY		169,119		67,097
Mortgage Loan ID#1000001792	2.00%	6/1/2054	SC		97,149		66,451
Mortgage Loan ID#1000002907	4.00%	8/1/2032	FL		114,171		65,453
Mortgage Loan ID#1000015971	2.00%	8/1/2057	IL		71,704		64,489
Mortgage Loan ID#1000016457**	8.00%	4/1/2037	IL		226,931		64,253
Mortgage Loan ID#1000038454**	6.50%	1/1/2038	NJ		127,627		64,209
Mortgage Loan ID#1000001610	9.38%	8/1/2037	NY		347,302		63,649
Mortgage Loan ID#7000014317	5.25%	3/1/2042	VA		128,380		63,283
Mortgage Loan ID#1000044279**	6.70%	7/1/2026	TX		62,133		63,281
Mortgage Loan ID#1000003355	4.00%	2/1/2037	VA		128,014		62,757
Mortgage Loan ID#1000027341**	8.55%	7/1/2029	TX		98,697		62,715
Mortgage Loan ID#1000001834	8.75%	5/1/2037	NV		169,526		62,509
Mortgage Loan ID#1000043439	8.99%	2/1/2054	IN		64,126		62,110
Mortgage Loan ID#1000027992**	3.75%	9/1/2035	IL		73,524		62,059
Mortgage Loan ID#1000029233**	9.60%	8/1/2034	FL		87,615		62,004
Mortgage Loan ID#1000028837**	7.13%	10/1/2028	OH		60,792		61,122
Mortgage Loan ID#1000015276**	5.50%	8/1/2057	PA		143,109		60,535
Mortgage Loan ID#1000028827**	5.38%	10/1/2036	IL		301,644		60,467
Mortgage Loan ID#1000044092**	6.99%	7/1/2024	PA		56,440		60,027
Mortgage Loan ID#1000015932	6.13%	10/1/2036	NY		60,759		59,513
Mortgage Loan ID#1000015558**	4.88%	7/1/2054	NY		64,699		59,194
Mortgage Loan ID#1000015906**	2.38%	1/1/2057	TX		63,568		58,568
Mortgage Loan ID#1000044088**	8.35%	9/1/2034	AR		57,588		58,382
Mortgage Loan ID#1000043371**	6.63%	10/1/2056	OH		77,722		57,597
Mortgage Loan ID#1000027105**	8.75%	9/21/2037	OR		153,228		57,404
Mortgage Loan ID#1000034773**	5.13%	5/1/2050	PA		69,192		57,187
Mortgage Loan ID#1000025939**	4.00%	8/1/2057	KY		87,053		56,898
Mortgage Loan ID#1000029162**	7.50%	8/1/2035	LA		114,368		56,863
Mortgage Loan ID#1000028465**	4.80%	2/1/2036	OR		127,615		56,779
Mortgage Loan ID#1000043664**	3.75%	6/1/2057	WI		168,043		56,175
Mortgage Loan ID#1000025927**	4.94%	5/1/2036	ID		59,161		55,117
Mortgage Loan ID#1000043768**	4.88%	4/1/2047	MD		57,574		55,088
Mortgage Loan ID#1000026454**	3.00%	6/1/2051	IA		73,351		54,938
Mortgage Loan ID#1000015972**	6.98%	7/1/2057	FL		95,976		54,544
Mortgage Loan ID#1000029244**	6.47%	8/1/2036	TX		52,754		52,795
Mortgage Loan ID#1000043682**	2.00%	9/1/2052	IL		110,147		52,281
Mortgage Loan ID#1000029080**	4.38%	12/1/2053	IA		81,475		51,839
Mortgage Loan ID#1000028818**	2.00%	12/1/2035	WI		195,443		51,360
Mortgage Loan ID#1000003336	3.00%	3/1/2022	NJ		67,683		51,331
Mortgage Loan ID#1000029247**	2.00%	6/1/2053	TX		59,469		51,053
Mortgage Loan ID#1000002521	14.13%	5/1/2022	TX		72,967		50,614
Mortgage Loan ID#1000015597**	7.38%	9/1/2036	OH		107,626		50,594
Mortgage Loan ID#1000026056**	6.00%	9/1/2037	OR		155,322		50,347
Mortgage Loan ID#7000000337	5.00%	9/1/2039	NM		106,000		50,280
Mortgage Loan ID#1000003409	5.00%	4/1/2037	NY		95,098		49,799
Mortgage Loan ID#1000027361**	7.45%	12/1/2025	LA		50,673		49,134
Mortgage Loan ID#1000015272**	7.83%	2/1/2037	TX		62,298		48,878
Mortgage Loan ID#1000027126**	3.75%	4/1/2034	IL		158,133		48,390
Mortgage Loan ID#1000025922**	5.75%	4/1/2057	OK		62,494		47,291
Mortgage Loan ID#1000029277**	4.63%	10/1/2054	IN		83,709		47,178
Mortgage Loan ID#1000036023**	3.13%	10/1/2056	OH		96,505		46,966
Mortgage Loan ID#1000017252**	7.00%	9/1/2028	NY		47,315		46,831
Mortgage Loan ID#1000017087**	8.00%	8/1/2025	IL		54,844		46,751
Mortgage Loan ID#1000029151**	9.35%	12/1/2036	FL		270,872		46,707
Mortgage Loan ID#1000043222**	3.38%	5/1/2025	CA		50,240		46,586
Mortgage Loan ID#1000003936**	3.63%	6/1/2057	WI		95,836		45,381
Mortgage Loan ID#1000043424**	7.38%	6/1/2026	AL		46,869		44,568
Mortgage Loan ID#1000000563**	8.99%	2/1/2037	AZ		80,077		44,314
Mortgage Loan ID#1000043985**	3.25%	7/1/2056	IL		90,078		42,433
Mortgage Loan ID#1000025920**	2.38%	5/1/2057	MI		55,098		41,935
Mortgage Loan ID#1000026730**	7.83%	4/1/2048	FL		96,268		41,906
Mortgage Loan ID#1000028377**	10.00%	4/1/2034	IN		46,408		41,883
Mortgage Loan ID#1000003379	5.50%	5/1/2037	IL		76,147		41,223
Mortgage Loan ID#1000003386	10.38%	8/1/2022	FL		64,080		40,221
Mortgage Loan ID#1000003380	5.07%	9/1/2037	CA		77,138		39,994
Mortgage Loan ID#1000003042	9.63%	4/1/2022	VA		62,457		39,732
Mortgage Loan ID#1000003330	10.88%	3/1/2022	NY		60,574		39,595
Mortgage Loan ID#1000003393	4.93%	4/1/2037	VA		76,307		39,396
Mortgage Loan ID#1000015564**	8.00%	3/1/2024	MS		39,584		38,956
Mortgage Loan ID#1000015907**	7.50%	2/1/2037	TX		40,524		37,667
Mortgage Loan ID#1000002998	4.00%	2/1/2037	OH		68,214		36,306
Mortgage Loan ID#1000003378	2.00%	11/1/2051	CA		109,615		36,246
Mortgage Loan ID#7000030265	4.88%	3/1/2043	OR		77,602		35,956
Mortgage Loan ID#1000029422**	7.30%	10/1/2036	FL		191,565		35,852
Mortgage Loan ID#1000043847**	8.95%	3/7/2037	UT		31,283		35,053
Mortgage Loan ID#1000002905	4.19%	4/1/2037	MN		71,786		34,722
Mortgage Loan ID#1000001756	3.00%	2/1/2057	NY		86,809		34,412
Mortgage Loan ID#1000026763**	11.75%	4/1/2020	NY		36,972		34,069
Mortgage Loan ID#1000028449**	9.00%	6/1/2046	AL		43,161		33,619
Mortgage Loan ID#1000002439	5.50%	4/1/2038	AZ		62,557		33,338
Mortgage Loan ID#1000002530	6.00%	2/1/2039	PA		60,348		33,223
Mortgage Loan ID#1000003420	3.00%	6/1/2051	NY		95,515		33,188
Mortgage Loan ID#1000016053**	9.25%	4/1/2037	ME		119,370		33,096
Mortgage Loan ID#1000003265	12.75%	2/1/2022	TX		46,984		32,327
Mortgage Loan ID#1000002455	5.64%	9/1/2037	AZ		59,119		32,206
Mortgage Loan ID#1000003387	5.50%	4/1/2037	NY		59,344		32,174
Mortgage Loan ID#1000002985	10.88%	2/1/2022	CA		48,443		32,055
Mortgage Loan ID#1000028406**	7.50%	5/1/2035	NY		90,270		31,961
Mortgage Loan ID#1000002569	5.00%	5/1/2037	FL		60,268		31,607
Mortgage Loan ID#7000003226	3.00%	6/1/2040	CA		78,066		31,196
Mortgage Loan ID#1000015565**	8.70%	12/1/2034	NY		66,953		29,000
Mortgage Loan ID#1000003280	3.00%	10/1/2037	AZ		59,856		28,669
Mortgage Loan ID#1000029163**	5.04%	2/1/2037	PA		99,074		26,604
Mortgage Loan ID#1000003356	2.00%	6/1/2052	NY		79,819		26,530
Mortgage Loan ID#1000003314	10.25%	4/1/2022	UT		41,200		26,405
Mortgage Loan ID#1000043353**	9.64%	2/1/2047	OH		107,055		26,244
Mortgage Loan ID#1000017233**	8.00%	10/1/2019	TN		25,927		26,071
Mortgage Loan ID#1000028156**	8.49%	6/1/2037	NJ		160,622		25,797
Mortgage Loan ID#1000003218	5.20%	4/1/2037	VA		48,460		25,609
Mortgage Loan ID#1000003363	4.00%	2/1/2037	NY		51,793		25,186
Mortgage Loan ID#1000026554**	10.68%	11/6/2027	GA		49,475		25,015
Mortgage Loan ID#7000000429	5.00%	9/1/2039	CA		49,428		24,559
Mortgage Loan ID#1000025933**	7.00%	4/1/2039	AL		52,163		24,541
Mortgage Loan ID#1000003802	11.50%	4/1/2037	MA		56,243		24,464
Mortgage Loan ID#1000003430	3.00%	11/1/2050	VA		62,951		24,451
Mortgage Loan ID#1000003277	5.50%	4/1/2037	NV		44,218		24,009
Mortgage Loan ID#1000025995**	3.75%	6/1/2057	AL		79,444		24,002
Mortgage Loan ID#1000003048	4.50%	8/15/2032	NY		42,236		23,060
Mortgage Loan ID#1000003331	9.25%	4/1/2022	IL		36,218		22,852
Mortgage Loan ID#1000003298	10.50%	7/1/2022	TX		34,918		22,107
Mortgage Loan ID#1000003318	4.78%	9/1/2037	CA		43,598		22,033
Mortgage Loan ID#1000003407	2.00%	5/1/2037	CA		53,931		21,200
Mortgage Loan ID#1000003200	5.65%	4/1/2037	FL		38,076		20,902
Mortgage Loan ID#1000003201	6.13%	4/15/2032	RI		59,323		20,604
Mortgage Loan ID#1000003029	8.25%	3/1/2022	FL		33,337		20,576
Mortgage Loan ID#1000003151	13.75%	3/1/2022	MN		29,382		20,528
Mortgage Loan ID#1000025950**	4.63%	9/1/2054	IL		101,412		20,148
Mortgage Loan ID#1000003347	1.00%	2/1/2038	NY		48,727		20,106
Mortgage Loan ID#1000003011	4.87%	4/1/2037	CA		39,118		20,091
Mortgage Loan ID#1000003373	7.41%	4/1/2037	NY		60,101		20,071
Mortgage Loan ID#1000003338	9.13%	4/1/2037	NY		52,858		19,957
Mortgage Loan ID#1000003284	10.50%	3/1/2037	NC		48,418		19,850
Mortgage Loan ID#1000003212	13.25%	4/1/2022	PA		28,868		19,750
Mortgage Loan ID#1000002531	1.00%	2/1/2044	NY		49,655		18,908
Mortgage Loan ID#1000003794	11.25%	4/1/2037	WI		43,306		18,555
Mortgage Loan ID#6000000582	1.00%	11/1/2038	NY		54,784		18,463
Mortgage Loan ID#1000003269	8.63%	3/1/2032	AZ		45,831		18,407
Mortgage Loan ID#1000002238	2.00%	1/1/2057	FL		23,058		18,124
Mortgage Loan ID#1000003288	6.88%	4/15/2032	NY		49,100		17,807
Mortgage Loan ID#1000003272	3.38%	3/1/2037	AZ		37,720		17,796
Mortgage Loan ID#1000029211**	6.47%	6/1/2032	PA		57,468		17,777
Mortgage Loan ID#1000003155	10.63%	3/1/2032	FL		39,525		17,619
Mortgage Loan ID#1000025930**	3.00%	2/1/2056	MS		41,054		17,495
Mortgage Loan ID#1000003317	6.50%	2/1/2037	NJ		52,012		16,349
Mortgage Loan ID#1000003067	1.00%	4/1/2038	UT		45,637		16,250
Mortgage Loan ID#1000003793	10.75%	4/1/2032	MI		36,000		16,152
Mortgage Loan ID#1000003104	13.38%	8/1/2021	OH		22,126		15,863
Mortgage Loan ID#1000003980	5.38%	4/1/2039	CT		30,245		15,654
Mortgage Loan ID#1000002983	4.82%	4/1/2039	AZ		31,546		15,524
Mortgage Loan ID#7000018838	6.75%	7/1/2042	MD		51,885		15,199
Mortgage Loan ID#1000027712**	5.00%	5/1/2032	TX		37,103		14,828
Mortgage Loan ID#1000003392	1.00%	11/1/2039	NY		36,592		14,805
Mortgage Loan ID#1000015945**	3.13%	2/1/2037	IL		76,793		14,462
Mortgage Loan ID#1000003065	3.00%	5/1/2036	PA		30,510		14,332
Mortgage Loan ID#7000000222	4.00%	4/1/2039	MO		30,394		13,848
Mortgage Loan ID#1000002452	5.99%	9/4/2023	AZ		17,877		13,749
Mortgage Loan ID#1000003014	6.38%	8/15/2032	MT		41,415		13,003
Mortgage Loan ID#1000002972	12.88%	1/1/2022	PA		18,755		12,937
Mortgage Loan ID#1000003003	9.63%	3/1/2022	IL		19,321		12,291
Mortgage Loan ID#1000003224	8.75%	2/1/2022	PA		19,324		12,224
Mortgage Loan ID#1000003186	13.63%	2/1/2022	VA		17,488		12,186
Mortgage Loan ID#1000043575**	5.88%	6/1/2036	NY		177,408		12,152
Mortgage Loan ID#7000032686	0.50%	5/1/2043	VA		44,625		12,065
Mortgage Loan ID#1000003274	7.45%	4/1/2037	NV		35,766		12,015
Mortgage Loan ID#1000003220	2.00%	6/1/2052	IL		37,666		11,976
Mortgage Loan ID#1000003106	9.38%	4/1/2022	TX		18,845		11,846
Mortgage Loan ID#1000003006	7.13%	4/15/2032	NY		31,410		11,555
Mortgage Loan ID#1000003789	12.63%	12/1/2036	WI		24,578		11,457
Mortgage Loan ID#1000003981	1.00%	5/1/2039	NY		33,756		11,178
Mortgage Loan ID#7000001895	5.25%	3/1/2040	CA		21,895		11,063
Mortgage Loan ID#1000002484	2.00%	1/1/2052	IL		35,811		10,912
Mortgage Loan ID#7000524032	5.00%	7/1/2045	CA		23,451		10,654
Mortgage Loan ID#1000002434	8.00%	3/30/2028	AZ		24,140		10,619
Mortgage Loan ID#1000003115	1.00%	5/1/2038	NJ		26,182		10,566
Mortgage Loan ID#1000016784**	8.25%	5/1/2037	FL		192,210		10,475
Mortgage Loan ID#1000002475	7.25%	3/24/2028	AZ		22,333		9,506
Mortgage Loan ID#1000002442	7.50%	5/22/2026	AZ		19,572		9,091
Mortgage Loan ID#1000002474	7.25%	2/8/2028	AZ		21,232		9,068
Mortgage Loan ID#1000003007	6.58%	4/1/2037	NJ		27,965		8,812
Mortgage Loan ID#7000016846	5.38%	4/1/2027	FL		12,786		8,610
Mortgage Loan ID#1000003102	13.00%	4/1/2022	NY		12,892		8,605
Mortgage Loan ID#7000044724	4.50%	9/1/2028	IL		13,710		8,442
Mortgage Loan ID#1000002453	7.50%	1/7/2028	AZ		19,080		8,295
Mortgage Loan ID#1000003767	4.00%	12/1/2036	TN		16,254		8,158
Mortgage Loan ID#1000016929**	8.75%	10/1/2037	ME		114,583		8,143
Mortgage Loan ID#1000003019	1.00%	6/1/2054	FL		31,104		8,129
Mortgage Loan ID#7000014197	5.25%	1/1/2042	FL		16,555		8,119
Mortgage Loan ID#1000003059	2.00%	7/1/2038	AZ		16,975		7,980
Mortgage Loan ID#7000037380	3.38%	8/1/2028	DE		13,555		7,908
Mortgage Loan ID#7000033764	5.00%	7/1/2028	IL		12,362		7,887
Mortgage Loan ID#1000016586**	3.13%	4/1/2018	CT		19,787		7,836
Mortgage Loan ID#1000003815	3.00%	12/1/2048	MD		18,831		7,658
Mortgage Loan ID#1000003329	6.93%	3/1/2037	VA		23,503		7,602
Mortgage Loan ID#1000000363**	11.63%	10/1/2037	NY		44,013		7,549
Mortgage Loan ID#1000016645**	3.13%	11/1/2019	FL		31,997		7,458
Mortgage Loan ID#1000002462	7.00%	4/24/2026	AZ		16,158		7,425
Mortgage Loan ID#1000003215	12.50%	3/1/2022	TX		15,533		7,339
Mortgage Loan ID#1000002445	8.50%	4/9/2028	AZ		16,221		7,270
Mortgage Loan ID#7000016879	5.38%	4/1/2027	CA		10,361		6,977
Mortgage Loan ID#7000029305	5.00%	5/1/2028	PA		10,463		6,707
Mortgage Loan ID#7000144524	4.00%	3/1/2044	NV		15,897		6,570
Mortgage Loan ID#7000034325	5.00%	5/1/2028	AL		9,956		6,382
Mortgage Loan ID#7000021621	5.50%	1/1/2028	CA		9,555		6,354
Mortgage Loan ID#1000003146	12.13%	3/1/2037	NC		13,979		6,316
Mortgage Loan ID#7000040113	5.50%	9/1/2028	FL		9,197		5,995
Mortgage Loan ID#1000002459	6.01%	4/1/2028	AZ		14,694		5,897
Mortgage Loan ID#7000026184	4.38%	1/1/2046	TN		13,666		5,730
Mortgage Loan ID#1000003783	6.00%	3/1/2037	AR		10,071		5,618
Mortgage Loan ID#7000227562	4.00%	6/1/2044	CA		13,376		5,504
Mortgage Loan ID#1000003983	4.75%	6/1/2039	CT		11,288		5,502
Mortgage Loan ID#1000002992	9.88%	1/1/2022	WY		8,260		5,423
Mortgage Loan ID#1000000614	6.00%	12/1/2039	IN		9,907		5,383
Mortgage Loan ID#1000003768	6.88%	3/1/2037	TN		16,454		5,311
Mortgage Loan ID#1000003775	10.00%	4/1/2037	MI		12,481		4,954
Mortgage Loan ID#7000275218	4.00%	8/1/2044	IN		11,731		4,813
Mortgage Loan ID#7000049512	5.00%	10/1/2028	FL		7,406		4,692
Mortgage Loan ID#7000056207	5.13%	10/1/2028	AZ		7,306		4,659
Mortgage Loan ID#1000003088	8.90%	3/1/2037	TX		12,578		4,652
Mortgage Loan ID#1000002468	7.25%	2/5/2028	AZ		9,883		4,221
Mortgage Loan ID#1000003090	11.63%	3/1/2022	TX		6,086		4,091
Mortgage Loan ID#7000036539	4.88%	7/1/2028	IL		6,022		3,817
Mortgage Loan ID#1000003073	8.00%	3/1/2027	NV		8,096		3,708
Mortgage Loan ID#7000362626	3.00%	11/1/2044	FL		9,599		3,470
Mortgage Loan ID#7001021768**	0.50%	8/1/2046	DE		13,276		3,053
Mortgage Loan ID#7000098633	4.50%	2/1/2044	FL		6,696		2,935
Mortgage Loan ID#7000314799	5.00%	10/1/2029	OH		4,364		2,696
Mortgage Loan ID#7000032678	4.00%	5/1/2028	OH		4,335		2,638
Mortgage Loan ID#7000037510	5.00%	9/1/2028	CT		4,090		2,609
Mortgage Loan ID#1000002425	8.75%	1/22/2028	AZ		3,532		1,610
Mortgage Loan ID#1000003207	1.00%	3/1/2022	WA		39,095		10
Mortgage Loan ID#7000036523	6.00%	9/1/2043	IL		4,417		-
Mortgage Loan ID#7000038883	5.00%	6/1/2032	MI		16,833		-
Mortgage Loan ID#7000020155	5.50%	8/1/2027	CA		24,102		-
Mortgage Loan ID#5000004007	0.00%	8/1/2017	N/A		400		-
Mortgage Loan ID#7000038874	6.00%	6/1/2032	OH		12,047		-
Mortgage Loan ID#7000106608	5.00%	2/1/2029	CA		12,549		-
Mortgage Loan ID#7000242451	3.75%	7/1/2044	FL		11,597		-
Mortgage Loan ID#7000004323	2.00%	8/1/2040	FL		121,631		-
Mortgage Loan ID#5000003989	0.00%	11/1/2024	N/A		16,574		-
Mortgage Loan ID#1000003357	2.00%	5/1/2047	CA		84,953		-
Mortgage Loan ID#7000036752	5.50%	8/1/2028	MN		63,358		(14)
Mortgage Loan ID#1000002784	12.63%	2/1/2022	FL		83,881		(27)
Mortgage Loan ID#1000003395	10.50%	4/1/2022	NY		79,282		(27)
Mortgage Loan ID#1000002723	6.00%	8/1/2047	AZ		33,169		(163)
Mortgage Loan ID#7000030263	5.00%	8/1/2028	WI		5,430		(250)
Mortgage Loan ID#1000003351	2.00%	5/1/2037	NY		40,463		(702)
Mortgage Loan ID#1000044266**	8.95%	10/1/2036	NY		57,785		(722)
Mortgage Loan ID#1000002916	1.00%	9/1/2049	CA		78,265		(780)
Mortgage Loan ID#1000003275	5.38%	3/15/2032	FL		44,230		(1,006)
Mortgage Loan ID#1000002758	11.00%	4/1/2022	FL		24,345		(1,070)
Mortgage Loan ID#1000003372	2.00%	3/1/2037	VA		74,770		(1,306)
Mortgage Loan ID#7000057184	4.50%	10/1/2028	AZ		19,461		(1,715)
Mortgage Loan ID#1000015928**	10.25%	9/1/2019	GA		6,985		(3,065)
Mortgage Loan ID#1000002564	5.68%	9/1/2037	FL		48,061		(4,403)
Mortgage Loan ID#1000002909	2.00%	7/1/2036	FL		78,310		(5,084)
Mortgage Loan ID#1000001308	8.38%	7/1/2037	NJ		160,615		(18,650)
Mortgage Loan ID#1000016194**	6.88%	8/1/2018	NY		89,843		(21,820)
Mortgage Loan ID#1000017142**	3.52%	3/1/2017	NY		42,139		(24,830)
Mortgage Loan ID#1000016696**	6.54%	5/1/2018	NY		24,092		(61,107)

					149,524,137		94,368,062


					Principal		Fair
Description			State		amount		value
Real estate acquired in settlement of loans
Property ID#1000015063**			FL	$	1,350,000	$	1,399,603
Property ID#1000000557**			NJ		990,473		571,751
Property ID#1000027733**			IL		573,920		526,043
Property ID#1000026981**			MA		777,294		487,284
Property ID#1000016710**			NJ		529,780		475,153
Property ID#1000026032**			HI		420,101		466,927
Property ID#1000026843**			CA		536,000		466,638
Property ID#1000029380**			NJ		399,999		339,477
Property ID#1000027464**			FL		502,187		339,221
Property ID#1000017521**			MD		501,028		322,224
Property ID#1000044014**			MD		578,256		320,332
Property ID#1000043755**			MN		478,088		309,532
Property ID#1000027243**			CA		380,135		305,527
Property ID#1000015537**			FL		460,000		278,978
Property ID#1000026017**			CA		319,900		263,178
Property ID#1000025949**			CA		337,698		254,633
Property ID#1000026348**			NV		366,420		254,562
Property ID#1000043895**			MA		276,553		246,286
Property ID#1000028993**			NJ		421,039		241,178
Property ID#1000001614			NY		328,000		232,930
Property ID#1000043164**			AZ		224,353		224,353
Property ID#1000027641**			NJ		240,000		203,878
Property ID#1000016110**			FL		286,771		195,261
Property ID#1000026150**			PA		284,148		173,562
Property ID#1000043731**			NJ		206,001		152,963
Property ID#1000027454**			NJ		345,428		152,614
Property ID#1000035181**			NY		181,877		148,773
Property ID#1000015627**			NY		179,970		144,528
Property ID#1000043261**			NJ		288,028		144,258
Property ID#1000003601			MD		185,250		144,037
Property ID#1000043128			NJ		102,661		136,221
Property ID#1000034988**			FL		139,220		136,130
Property ID#1000043996**			PA		240,000		135,878
Property ID#1000016328**			NJ		138,797		125,931
Property ID#1000027400**			NY		229,668		110,404
Property ID#1000016038**			DE		152,305		85,097
Property ID#1000017330**			CT		209,804		80,703
Property ID#1002229098			GA		56,503		76,836
Property ID#1000038508**			NJ		234,727		63,641
Property ID#1000016883**			NJ		151,309		57,029
Property ID#1000000663**			NY		59,525		55,579
Property ID#1000000591			NJ		317,267		54,935
Property ID#1000027625**			WI		52,893		52,893
Property ID#1000026336**			PA		139,002		52,830
Property ID#1000035033**			NJ		152,649		51,096
Property ID#1000015553**			NY		44,036		42,390
Property ID#1000025919**			OH		47,400		39,458
Property ID#1000000376**			NY		53,400		38,117
Property ID#1000001948			VA		120,849		29,448
Property ID#1000035080**			NJ		155,369		16,612

					15,746,081		11,226,912

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

SHORT-TERM INVESTMENT - 4%*
							Fair
Name of Issuer					Shares		value
Short-term investment
Morgan Stanley Liquidity Funds: Government Institutional Shares
- yield 0.77% at June 30, 2017				$	3,894,711	$	3,894,711

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

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


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

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

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

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

* Percentages are stated as a percent of partners' capital
** Pledged as collateral for asset-backed financing (See Note 5)
^ Investment represents securities issued by related parties
All investments are in the United States of America.

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

Not applicable for semi-annual reports.

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

Not applicable for semi-annual reports.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

(a)

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

(b)

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

Item 12. Exhibits.

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

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

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

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

SIGNATURES

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

(Registrant) PNMAC Mortgage Opportunity Fund, LP

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

David A. Spector, CEO

Date November 9, 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 November 9, 2017

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

Andrew S. Chang, CFO

Date November 9, 2017

PNMAC Mortgage Opportunity Fund Inactive N-CSRS/ACertified semi-annual shareholder report (management investment company) (amended)