N-CSRS/A 1 pnmaclp-ncsrsa_63016.htm AMENDED SEMI-ANNUAL CERTIFIED SHAREHOLDER REPORT
 
As filed with the Securities and Exchange Commission on October 27, 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, 2016
 
 
EXPLANATORY NOTE
 
The Registrant is filing this amendment to its Form N-CSR for the six months ended June 30, 2016, originally filed with the Securities and Exchange Commission on August 30, 2016. The purpose of this amendment is to include a detailed Schedule of Investments in Item 6 – Investments as of June 30, 2016 and updated certifications attached as Exhibit 99. Except as set forth above, this amendment does not amend, update or change any other items or disclosures found in the original Form N-CSR filing.
Item 1. Reports to Stockholders.
 


PNMAC Mortgage Opportunity Fund, LP
and Subsidiaries


Semi-Annual Report
As of and for the six months ended June 30, 2016



   
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
26





PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Consolidated Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
 
Assets:
      
Investments at fair value (cost $156,773,827)
  
$
183,193,040
  
Receivable from PennyMac Loan Services, LLC
    
15,069,356
  
Other assets
    
3,322,224
  
Total assets
    
201,584,620
  
         
Liabilities:
        
Asset-backed financing at fair value (proceeds $74,658,100)
    
74,672,306
  
Payable to PennyMac Loan Services, LLC
    
632,960
  
Accrued expenses
    
397,765
  
Payable to Investment Manager
    
230,215
  
Other liabilities
    
227,078
  
Total liabilities
    
76,160,324
  
         
Partners' capital
  
$
125,424,296
  
         
Partners' capital consists of:
        
Non-controlling Interest
  
$
23,727,735
  
General Partner
    
42,432,685
  
Limited Partner
    
59,263,876
  
Total partners' capital
  
$
125,424,296
  
         

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

2
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Consolidated Summary Schedule of Investments
June 30, 2016 (Unaudited)
 
 
INVESTMENTS - 146%*
             
INVESTMENTS IN NONAFFILIATES - 133%*
             
                       
Description
  
Note
interest rate
  
Maturity
date
State
  
Principal
amount
    
Fair
value
  
Mortgage loans
                      
Mortgage Loan ID#1000043954**
    
5.25
%
5/1/2037
 FL
  
$
2,230,825
    
$
1,814,734
  
Mortgage Loan ID#1000043569**
    
3.13
%
9/1/2036
 CA
    
1,506,793
      
1,335,097
  
Mortgage Loan ID#1000015063**
    
7.38
%
9/1/2036
 FL
    
1,350,000
      
1,221,972
  
Mortgage Loan ID#1000028984**
    
3.00
%
6/1/2056
 CA
    
1,348,206
      
1,003,727
  
Mortgage Loan ID#1000043880**
    
3.00
%
2/1/2035
 OR
    
1,387,425
      
931,799
  
Mortgage Loan ID#1000002193
    
6.88
%
5/1/2037
 DC
    
990,000
      
908,634
  
Mortgage Loan ID#1000015179**
    
4.25
%
10/1/2043
 CT
    
873,780
      
731,823
  
Mortgage Loan ID#1000035099**
    
6.00
%
7/1/2037
 NY
    
999,000
      
697,943
  
Mortgage Loan ID#1000016663**
    
6.88
%
5/1/2037
 OR
    
799,863
      
693,208
  
Mortgage Loan ID#1000002189
    
5.13
%
8/1/2055
 NY
    
1,019,114
      
660,827
  
Mortgage Loan ID#1000016006**
    
7.15
%
2/1/2037
 NY
    
641,150
      
642,515
  
Mortgage Loan ID#1000029387**
    
8.25
%
6/1/2037
 NY
    
600,000
      
630,000
  
Mortgage Loan ID#1000035343**
    
6.50
%
12/1/2043
 CA
    
890,860
      
616,006
  
Mortgage Loan ID#1000043694**
    
3.38
%
3/1/2056
 CT
    
771,808
      
611,182
  
Mortgage Loan ID#1000043772**
    
5.88
%
7/1/2037
 FL
    
920,218
      
609,883
  
Mortgage Loan ID#1000015520**
    
8.00
%
11/1/2037
 GA
    
1,000,000
      
606,217
  
Mortgage Loan ID#1000043744**
    
3.50
%
8/1/2055
 CA
    
887,676
      
578,143
  
Mortgage Loan ID#1000034768**
    
3.25
%
4/1/2036
 NY
    
644,039
      
576,158
  
Mortgage Loan ID#1000016833**
    
6.50
%
10/1/2037
 NY
    
645,282
      
554,990
  
Mortgage Loan ID#1000002384
    
3.13
%
11/1/2045
 DC
    
738,636
      
549,363
  
Mortgage Loan ID#1000001411
    
3.00
%
7/1/2047
 CA
    
832,829
      
546,394
  
Mortgage Loan ID#1000026020**
    
4.00
%
6/1/2037
 CA
    
550,425
      
546,311
  
Mortgage Loan ID#1000029315**
    
4.00
%
4/1/2037
 CA
    
618,984
      
518,905
  
Mortgage Loan ID#1000026032**
    
4.00
%
12/1/2036
 HI
    
420,101
      
509,686
  
Mortgage Loan ID#1000026795**
    
3.00
%
1/1/2049
 CA
    
563,607
      
501,326
  
Mortgage Loan ID#1000000557**
    
6.90
%
3/1/2037
 NJ
    
990,473
      
489,599
  
Mortgage Loan ID#1000026305**
    
5.88
%
10/1/2036
 CA
    
594,045
      
487,151
  
Mortgage Loan ID#1000001651
    
3.00
%
5/1/2055
 FL
    
1,439,522
      
477,797
  
Mortgage Loan ID#1000034934**
    
2.00
%
6/1/2054
 NY
    
732,839
      
475,919
  
Mortgage Loan ID#1000026350**
    
6.50
%
4/1/2037
 NY
    
719,176
      
475,591
  
Mortgage Loan ID#1000002404
    
3.44
%
9/1/2036
 NY
    
755,396
      
474,784
  
Mortgage Loan ID#1000043559**
    
2.88
%
8/1/2045
 VA
    
622,790
      
465,586
  
Mortgage Loan ID#1000043885**
    
5.50
%
12/1/2055
 MA
    
519,033
      
454,464
  
Mortgage Loan ID#1000035850**
    
2.00
%
4/1/2055
 NY
    
688,854
      
454,427
  
Mortgage Loan ID#1000038435**
    
5.38
%
2/1/2056
 CA
    
526,418
      
454,133
  
Mortgage Loan ID#1000025998**
    
3.00
%
12/1/2053
 CA
    
574,591
      
453,759
  
Mortgage Loan ID#1000002184
    
2.00
%
5/1/2054
 NY
    
763,182
      
452,040
  
Mortgage Loan ID#1000002180
    
2.00
%
8/1/2055
 NY
    
768,935
      
450,783
  
Mortgage Loan ID#1000000560**
    
6.80
%
1/1/2037
 NY
    
613,522
      
449,690
  
Mortgage Loan ID#1000027234**
    
2.00
%
1/1/2050
 NY
    
666,598
      
440,944
  
Other**
    
206,520,195
      
118,955,842
  
                 
240,726,190
      
144,509,352
  
                             
                             
 
(Continued)
The accompanying notes are an integral part of these financial statements.
 
3
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Consolidated Summary Schedule of Investments
June 30, 2016 (Unaudited)
 
 
       
Principal
    
Fair
  
Description
State
  
amount
    
value
  
Real estate acquired in settlement of loans
              
Property ID#1000043536**
 MN
  
$
860,000
    
$
845,000
  
Property ID#1000027733**
 IL
    
573,920
      
640,000
  
Property ID#1000027525
 NJ
    
554,549
      
620,000
  
Property ID#1000001643**
 FL
    
621,672
      
610,000
  
Property ID#1000027182**
 NV
    
649,095
      
598,000
  
Property ID#1000026843
 CA
    
536,000
      
560,000
  
Property ID#1002229087**
 GA
    
545,063
      
475,000
  
Property ID#1000043755
 MN
    
478,088
      
475,000
  
Property ID#1000001655**
 NY
    
648,000
      
455,000
  
Property ID#1000016184
 NJ
    
440,000
      
450,000
  
Other**
    
21,684,550
      
17,011,776
  
       
27,590,937
      
22,739,776
  
                   
TOTAL INVESTMENTS IN NONAFFILIATES (Cost $140,829,915)
    
268,317,127
      
167,249,128
  
                   
 
INVESTMENTS IN AFFILIATES - 13%*
                
 
 
 
Name of Issuer
  
Shares
    
Fair value
  
Short-Term Investment
            
BlackRock Liquidity Funds: TempFund Institutional Shares ^
  
$
15,943,912
    
$
15,943,912
  
                 
TOTAL INVESTMENTS IN AFFILIATES (Cost $15,943,912)
    
15,943,912
      
15,943,912
  
                 
TOTAL INVESTMENTS (Cost $156,773,827)
     $
183,193,912
  
 
 
 
LIABILITIES - 60%*
      
 
            
Description
  
Note
interest rate
  
 Maturity
date
  
Principal
amount
    
Fair
value
  
Asset-backed financing
                    
PNMAC 2015-NPL1 A-1-144A ^
    
4.00
%
3/25/2055
  
$
74,765,763
    
$
74,672,306
  
                           
TOTAL LIABILITIES (Proceeds $74,658,100)
    
74,765,763
      
74,672,306
  
                           
                           
Other assets in excess of other liabilities - 13%*
      
16,903,562
  
                           
TOTAL PARTNERS' CAPITAL - 100%*
    
$
125,424,296
  
 
                           
*     Percentages are stated as a percent of partners’ capital
            
**   Pledged as collateral for asset-backed financing, including $81,807,484 of $118,955,842 other mortgage loans and $13,174,890 of $17,011,776 other real estate acquired in settlement of loans (See Note 5)
^      Investment represents securities held or issued by related parties
            
        All investments are in the United States of America.
              
 
(Concluded)
 

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

 
4
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Consolidated Statement of Operations
For the Six Months ended June 30, 2016 (Unaudited)
Investment income
  
Interest from mortgage loans
  
$
14,000,858
  
Home Affordable Modification Program incentives
    
268,584
  
Dividends from related party-
        
BlackRock Liquidity Funds: Tempfund Institutional Shares
    
43,733
  
Other
    
20,704
  
Total investment income
    
14,333,879
  
 
        
Expenses:
  
Collection and liquidation expenses
    
2,668,210
  
Interest on asset-backed financing
    
1,646,281
  
Mortgage loan servicing fees to PennyMac Loan Services, LLC
    
1,092,960
  
Investment advisory fees to PennyMac Capital Management, LLC
    
485,783
  
Other mortgage loan servicing expenses
    
284,906
  
Professional fees
    
177,242
  
Directors' fees and expenses
    
141,105
  
Administration fees
    
112,908
  
Insurance
    
85,233
  
Custodian fees
    
30,919
  
Taxes
    
22,133
  
Trustee fees
    
21,672
  
Collateral valuation
    
17,606
  
Investment software licensing
    
13,970
  
Mortgage loan accounting fees
    
11,218
  
Registration fees
    
7,720
  
Total expenses before mortgage loan servicing fee rebate
    
6,819,866
  
Mortgage loan servicing fee rebate from PennyMac Loan Services, LLC
    
(148,183
)
Net expenses
    
6,671,683
  
Net investment income
    
7,662,196
  
Net realized loss and change in unrealized (loss) gain on investments
and asset-backed financing:
  
Net realized loss on investments
    
(7,203,011
)
Net change in unrealized gain on investments
    
3,549,134
  
Net change in unrealized loss on asset-backed financing
    
(774,959
)
Net realized loss and change in unrealized (loss) gain on investments
        
and asset-backed financing
    
(4,428,836
)
Net increase in partners' capital resulting from operations
    
3,233,360
  
Less: increase in partners' capital resulting from operations attributable to
        
Non-controlling Interest
    
237,764
  
Net increase in partners' capital resulting from operations attributable to
        
General and Limited Partners
  
$
2,995,596
  

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

5
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Consolidated Statements of Changes in Partners’ Capital
For the Six Months ended June 30, 2016 and Year ended December 31, 2015 (Unaudited)
 
  
Non-controlling
    
General
    
Limited
        
 
  
Interest
    
Partner
    
Partner
    
Total
  
 
                        
Partners' capital, January 1, 2015
  
$
26,764,463
    
$
40,772,973
    
$
228,041,135
    
$
295,578,571
  
Distributions
    
(4,478,266
)
    
-
      
(149,470,693
)
    
(153,948,959
)
Increase in partners' capital from operations:
                                
Net investment income
    
5,490,685
      
140
      
9,456,412
      
14,947,237
  
Net realized (loss) gain on investments
    
(1,779,226
)
    
49
      
3,962,650
      
2,183,473
  
Net change in unrealized gain on investments
    
(1,077,359
)
    
(92
)
    
(7,472,362
)
    
(8,549,813
)
Net change in unrealized gain on asset-backed financing
    
-
      
9
      
760,744
      
760,753
  
Net change in Carried Interest
    
-
      
1,122,441
      
(1,122,441
)
    
-
  
Net increase in partners' capital from operations
    
2,634,100
      
1,122,547
      
5,585,003
      
9,341,650
  
 
                                
Partners' capital, December 31, 2015
    
24,920,297
      
41,895,520
      
84,155,445
      
150,971,262
  
Distributions
    
(1,430,326
)
    
-
      
(27,350,000
)
    
(28,780,326
)
Increase in partners' capital from operations:
                                
Net investment income
    
1,987,806
      
137
      
5,674,253
      
7,662,196
  
Net realized loss on investments
    
(541,368
)
    
(151
)
    
(6,661,492
)
    
(7,203,011
)
Net change in unrealized (loss) gain on investments
    
(1,208,674
)
    
108
      
4,757,700
      
3,549,134
  
Net change in unrealized loss on asset-backed financing
    
-
      
(18
)
    
(774,941
)
    
(774,959
)
Net change in Carried Interest
    
-
      
537,089
      
(537,089
)
    
-
  
Net increase in partners' capital from operations
    
237,764
      
537,165
      
2,458,431
      
3,233,360
  
 
                                
Partners' capital, June 30, 2016
  
$
23,727,735
    
$
42,432,685
    
$
59,263,876
    
$
125,424,296
  

 


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

6
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Consolidated Statement of Cash Flows
For the Six Months ended June 30, 2016 (Unaudited)
 
Cash flows from operating activities:
      
 
      
Net increase in partners' capital resulting from operations
  
$
3,233,360
  
 
        
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
    
(8,827,072
)
Capitalization of interest on mortgage loans
    
(3,564,595
)
Net realized loss on investments
    
7,203,011
  
Net change in unrealized gain on investments
    
(3,549,134
)
Net change in unrealized loss on asset-backed financing
    
774,959
  
Principal repayments on mortgage loans
    
5,171,519
  
Sales of real estate acquired in settlement of loans
    
14,306,698
  
Net change in short-term investment
    
27,287,262
  
Changes in other assets and liabilities:
        
Increase in receivable from PennyMac Loan Services, LLC
    
(547,042
)
Decrease in other assets
    
220,414
  
Decrease in payable to PennyMac Loan Services, LLC
    
(93,793
)
Decrease in accrued expenses
    
(17,374
)
Decrease in payable to Investment Manager
    
(87,069
)
Increase in other liabilities
    
1,233
  
Net cash provided by operating activities
    
41,512,377
  
 
        
Cash flows from financing activities:
        
Repayment of asset-backed financing
    
(12,732,051
)
Distributions to Non-controlling Interest
    
(1,430,326
)
Distributions to Limited Partner
    
(27,350,000
)
Net cash used in financing activities
    
(41,512,377
)
 
        
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
  
$
1,645,047
  

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



7

PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Financial Highlights
As of and for the Six Months ended June 30, 2016 and Years ended December 31, 2015, 2014, 2013, and 2012 (Unaudited)
 

For the six months ended June 30, 2016
                  
 
  
General
Partner (1)
    
Limited
Partner
    
Total
  
Total Return (2)(3)
                  
Before Carried Interest
    
3.49
%
    
5.04
%
    
5.04
%
Carried Interest (4)
    
1.31
%
    
-0.92
%
    
-
  
After Carried Interest
    
4.80
%
    
4.12
%
    
5.04
%
 
                        
Internal rate of return (5)
    
285.92
%
    
9.81
%
    
11.27
%
 
                        
Ratio of net investment income to weighted average partners capital (6)
    
12.37
%
    
18.82
%
    
18.82
%
 
                        
Ratio of expenses to weighted average partners' capital (1)(6)
    
12.05
%
    
20.81
%
    
20.81
%
Carried Interest
    
-24,143.40
%
    
0.89
%
    
-
  
Ratio of expenses and carried interest to weighted average partners' capital
    
-24,131.35
%
    
21.70
%
    
20.81
%
 
                        
Partners' capital, end of period
  
$
42,432,685
    
$
59,263,876
    
$
101,696,561
  
Portfolio turnover rate (3)
                    
0.00
%
 
                        
For the year ended December 31, 2015
                        
 
  
General
Partner (1)
    
Limited
Partner
    
Total
  
Total Return (2)
                        
Before Carried Interest
    
5.09
%
    
5.43
%
    
5.43
%
Carried Interest (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
%

 

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


8
 
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Financial Highlights
As of and for the Six Months ended June 30, 2016 and Years ended December 31, 2015, 2014, 2013, and 2012 (Unaudited)
 

For the year ended December 31, 2014
                  
 
  
General
    
Limited
        
 
  
Partner (1)
    
Partner
    
Total
  
Total Return (2)
                  
Before Carried Interest
    
6.67
%
    
5.39
%
    
5.39
%
Carried Interest (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
%
 
                        
For the year ended December 31, 2013
                        
 
  
General
    
Limited
          
 
  
Partner (1)
    
Partner
    
Total
  
Total Return (2)
                        
Before Carried Interest
    
14.95
%
    
13.86
%
    
13.86
%
Carried Interest (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
%
 
 
(Continued)
The accompanying notes are an integral part of these financial statements.
9
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Financial Highlights
As of and for the Six Months ended June 30, 2016 and Years ended December 31, 2015, 2014, 2013, and 2012 (Unaudited)
 
 
                        
For the year ended December 31, 2012
                        
 
  
General
    
Limited
          
 
  
Partner (1)
    
Partner
    
Total
  
Total Return (2)
                        
Before Carried Interest
    
9.13
%
    
7.70
%
    
7.70
%
Carried Interest (3)
    
12.58
%
    
-0.97
%
    
-
  
After Carried Interest
    
21.71
%
    
6.73
%
    
7.70
%
 
                        
Internal rate of return (4)
    
944.06
%
    
10.54
%
    
12.55
%
 
                        
Ratio of net investment income to weighted average
                        
partners capital
    
8.44
%
    
6.57
%
    
6.57
%
 
                        
Ratio of expenses to weighted average partners' capital (1)
    
0.83
%
    
2.30
%
    
2.30
%
Carried Interest
    
-327,857.36
%
    
1.39
%
    
-
  
Ratio of expenses and carried interest to weighted average
                        
partners' capital
    
-327,856.53
%
    
3.69
%
    
2.30
%
 
                        
Partners' capital, end of year
  
$
29,786,420
    
$
331,483,559
    
$
361,269,979
  
Portfolio turnover rate
                    
15.00
%
 
(1)   In accordance with the Limited Partnership Agreement of the Master Fund, not all expenses are allocated to the General Partner (see Note 8).
(2)   Total return is calculated for each partner class taken as a whole. An investor’s return may vary from these returns based on different fee arrangements (as applicable) and the timing of capital transactions. 
(3)   The Carried Interest is allocated (and subsequently distributed) by the Master Fund to the General Partner as allocable shares of the Master Fund’s gains. 
(4)   Internal rate of return is computed based on the actual dates of the cash inflows (capital contributions), outflows (distributions), with the exception of distributions declared but not paid, net of carried interest on a life-to date basis.  
(5)   Annualized.  
(6)   Not annualized.
 
 
 
 
 
 
 
 
 
 
 
(Concluded)
The accompanying notes are an integral part of these financial statements.
 
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (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 47% of the Master Fund at June 30, 2016 and is the sole limited partner. The General Partner has the exclusive right to conduct the operations of the Master Fund.

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

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

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

· PNMAC Mortgage Co (FI), LLC is an investment company that was formed to pool investor capital and take an interest in the proceeds of FNBN I, LLC (“FNBN”). FNBN is a limited liability company formed to own a pool of residential mortgage loans in a transaction with the Federal Deposit Insurance Corporation (the “FDIC”).
 
PNMAC Mortgage Co (FI), LLC is the sole member and manager of FNBN. Accordingly, PNMAC Mortgage Co (FI), LLC consolidates its investment in FNBN. The FDIC owns a substantial participation interest in the proceeds of the mortgage loans held by FNBN that depends on the amount of proceeds collected. The FDIC’s interest in FNBN is shown as a Non-controlling Interest in the Master Fund (the “Non-controlling Interest”). The FDIC’s Non-controlling Interest in FNBN is included in the Consolidated Statement of Assets and Liabilities as a component of Partners’ Capital.
 
The Master Fund owns a 100% interest in a series of PNMAC Mortgage Co (FI), LLC. The series holds its own assets and recognizes the revenues and expenses attributable to those assets.
 
PNMAC Mortgage Co (FI), LLC’s operating agreement with the FDIC governing its investment in FNBN limits PNMAC Mortgage Co (FI), LLC’s ability to transfer any of its rights or interests in 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.
 
 

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

11
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
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 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 invests directly in other mortgage-related investment securities.

The Master Fund began operations on August 11, 2008 and will continue in existence through December 31, 2016, subject to three one-year extensions by the Investment Manager at its discretion, in accordance with the terms of the Limited Partnership Agreement governing the Master Fund.
 
Note 2—Significant Accounting Policies
 
Basis of Presentation
The Master Fund prepares its consolidated financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”) as codified by the Financial Accounting Standards Board (“FASB”) in its Accounting Standards Codification (the “Codification”). The Master Fund is classified as an investment company and reports its investments in accordance with the Financial Services - Investment Companies topic of the Codification.

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

Use of Estimates
The preparation of financial statements in conformity with GAAP requires the Investment Manager to make estimates and judgments that affect the reported amount of assets and liabilities, recognition of interest income and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results will likely differ from those estimates.
12
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
Fair Value
The Master Fund carries its investments at fair value with changes in fair value recognized in current period results of operations. The Master Fund groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. The three levels are described below:
 
Level 1 – Quoted prices in active market for identical assets or liabilities.
 
Level 2 – Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Master Fund. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and others.
 
Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an asset or liability at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Investment Manager’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances.
 
As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” financial statement items, the Investment Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in estimating the fair value of these financial statement items and their fair values. Likewise, due to the general illiquidity of some of these financial statement items, subsequent transactions may be at values significantly different from those reported.

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

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

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

Estimating cash flows requires a number of inputs that are subject to uncertainties, including the rate and timing of principal repayments, the mortgage note interest rate, interest rate fluctuations, interest payment shortfalls due to delinquencies on the underlying mortgage loans, the likelihood of modification and the timing of the magnitude of credit losses on the mortgage loans. The Fund Administrator, subject to the oversight of the Investment Manager, applies its judgment in developing such inputs. These uncertainties are difficult to predict and are subject to future events whose outcomes will affect the Master Fund’s interest income.
13
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
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 financial statement item.

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

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

The Investment Manager’s assessment of the requirement to provide for income taxes also includes an assessment of the liability arising from uncertain income tax positions. The Investment Manager has concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions that will be taken on the tax return for the fiscal year ended December 31, 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, 2016, open federal and state income tax years include the tax years ended December 31, 2012 through 2015 and December 31, 2011 through 2015, respectively. The Master Fund has no examination in progress.
 
If applicable, the Master Fund will recognize interest charges related to unrecognized income tax benefits in “interest expense” and penalties in “other expenses” on the consolidated statement of operations.

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

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.

14
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
The Non-controlling Interest is secured by a first priority security interest in the mortgage loans owned by FNBN.  The Non-controlling Interest will terminate upon completion of the final distribution of proceeds from FNBN’s mortgage loans. The Non-controlling Interest has no voting rights.  The Non-controlling Interest has a clean-up call right exercisable after 10 years or when the unpaid principal balance of FNBN’s mortgage loans is 10% or less of the unpaid principal balance on the date of commencement of operations.

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

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

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

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

4. Thereafter, (i) 80% to the Limited Partner and (ii) 20% to the General Partner.
 
The amounts relating to items 3 and 4 above relating to the General Partner are referred to as “Carried Interest”. The Carried Interest is allocated (and subsequently distributed) by the Master Fund to the General Partner as allocable shares of the Master Fund’s gains.

Indemnifications
Under the Master Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Master Fund. In addition, in the normal course of business, the Master Fund may enter into contracts that provide general indemnification to other parties. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred, and 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, 2016, and expects the risk of loss to be remote.


15
 
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)

Note 3—Fair Value

Following is a summary of financial statement items that are measured at fair value on a recurring basis for the six months ended June 30, 2016:
 
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Short-term investment
  
$
15,943,912
    
$
-
    
$
-
    
$
15,943,912
  
Mortgage loans
    
-
      
-
      
144,509,352
      
144,509,352
  
Real estate acquired in settlement of loans
    
-
      
-
      
22,739,776
      
22,739,776
  
 
  
$
15,943,912
    
$
-
    
$
167,249,128
    
$
183,193,040
  
Liabilities:
                                
Asset-backed financing
  
$
-
    
$
-
    
$
74,672,306
    
$
74,672,306
  
 
  
$
-
    
$
-
    
$
74,672,306
    
$
74,672,306
  
 
                                

There were no transfers of items measured at fair value between fair value hierarchy levels during the six months ended June 30, 2016.
 
The following tables present a roll forward of financial statement items for which Level 3 inputs were used to determine fair value for the six months ended June 30, 2016.
 
 
  
Mortgage loans
    
Real estate acquired in settlement of loans
    
Total
  
Assets:
                  
Balance at January 1, 2016
  
$
147,321,277
    
$
28,868,864
    
$
176,190,141
  
Sales
    
-
      
(14,306,698
)
    
(14,306,698
)
Repayments
    
(5,171,519
)
    
-
      
(5,171,519
)
Capitalization of interest
    
3,564,595
      
-
      
3,564,595
  
Accrual of unearned discounts
    
8,827,072
      
-
      
8,827,072
  
Transfers of mortgage loans and advances to REO
    
(6,684,898
)
    
8,484,312
      
1,799,414
  
Net gains (losses) on investments:
                        
    Realized
    
(5,448,260
)
    
(1,754,751
)
    
(7,203,011
)
    Unrealized*
    
2,101,085
      
1,448,049
      
3,549,134
  
Balance at June 30, 2016
  
$
144,509,352
    
$
22,739,776
    
$
167,249,128
  
 
                        
Changes in fair value recognized during the period
                        
relating to assets still held at June 30, 2016
  
$
3,959,326
    
$
81,205
    
$
4,040,531
  
 
                        
 
                        

*Changes in fair value as a result of changes in instrument-specific credit risk relating to mortgage loans resulted in a net gain of $3,386,425 for the six months ended June 30, 2016.
 
 
16
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)

 
  
Asset-backed
financing
  
Liabilities:
      
Balance at January 1, 2016
  
$
86,629,398
  
Repurchases
    
(12,732,051
)
Net unrealized loss on asset-backed financing
    
774,959
  
Balance at June 30, 2016
  
$
74,672,306
  
 
        
Valuation Techniques and Assumptions
Most of the Master Fund’s assets and liabilities are carried at fair value with changes in fair value recognized in current period operations. A substantial portion of those assets and liabilities are “Level 3” financial statement items which require the use of significant unobservable inputs in the estimation of the items’ fair values. Unobservable inputs reflect the Investment Manager’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances.

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

The Investment Manager’s FAV group submits the results of its valuations to the Investment Manager’s valuation committee, which oversees and approves the valuations. The Investment Manager’s valuation committee includes the chief executive, financial, operating, risk, business development, and asset/liability management officers of PNMAC.

The FAV group monitors the models used for valuation of the Master Fund’s “Level 3” financial statement items, including the models’ performance versus actual results and reports those results to the 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 financial statement items:
 
Mortgage Loans
Mortgage loans held by the Master Fund are generally not saleable into active mortgage loan markets. Therefore the Master Fund classifies these assets as “Level 3” fair value financial statement items, and their fair values are generally estimated using a discounted cash flow valuation model. Inputs to the model include current interest rates, loan amount, payment status and property type, and forecasts of future interest rates, home prices, prepayment speeds, default and loss severities.
 
17
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
The valuation process includes the computation by stratum of the mortgage loan population and a review for reasonableness of various measures such as weighted average life, projected prepayment and default speeds, and projected default and loss percentages. The Investment Manager’s FAV staff computes the effect on fair value of changes in inputs such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the mortgage loans’ fair values. The results of the estimates of fair value of the Master Fund’s mortgage loans are reported to the Investment Manager’s valuation committee as part of its review and approval of monthly valuation results.

Changes in fair value attributable to investment-specific credit risk are measured by the effect on the mortgage loan’s fair value of changes in the respective mortgage loan’s delinquency status and performance history at period-end from the later of the beginning of the period or acquisition date.
 
The significant unobservable inputs used in the fair value measurement of the Master Fund’s mortgage loans are discount rate, home price projections, voluntary prepayment speeds and default speeds. Significant changes in any of those inputs in isolation could result in a significant change to the mortgage loans’ fair value. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds.

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

             
Range
Valuation technique
  
Key inputs
        
(Weighted average)
Discounted cash flow
  
Discount rate
2.5% - 26.8%
             
(8.3%)
   
Twelve-month housing price index change
3.2% - 4.8%
             
(3.9%)
   
Life Voluntary Constant Repayment Rate
0.1% - 100.0%
             
(3.1%)
   
Life Total Conditional Prepayment Rate
1.7% - 100.0%
             
(14.8%)
               
Real Estate Acquired in Settlement of Loans
Fair value of real estate acquired in settlement of loans (“REO”) is determined by using a current estimate of fair value from a broker’s price opinion, a full appraisal or the price given in a pending contract of sale. REO fair values are reviewed by the Investment Manager’s staff appraisers when the Master Fund obtains multiple indications of fair value and there are significant differences between the fair values received. The Investment Manager’s staff appraisers will attempt to resolve the differences between the indications of fair value. In circumstances where the appraisers are not able to generate adequate data to support a fair value conclusion, the staff appraisers will order an additional appraisal to resolve the property’s fair value.

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

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

 

18
 
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
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, 2016:

 
              
Weighted
  
 
        
% Partners'
    
average note
  
Occupancy
  
Fair value
    
capital
    
interest rate
  
Owner occupied
  
$
119,874,116
      
95.6
%
    
4.11
%
Investment property
    
23,707,238
      
18.9
%
    
5.43
%
Second property
    
911,005
      
0.7
%
    
7.22
%
Unsecured
    
16,993
    
< 0.1%
      
0.00
%
Total portfolio
  
$
144,509,352
      
115.2
%
    
4.34
%

 
 
              
Weighted
  
 
        
% Partners'
    
average note
  
Loan Type
  
Fair value
    
capital
    
interest rate
  
Adjustable rate / Hybrid
  
$
43,910,415
      
35.0
%
    
5.56
%
Fixed interest rate
    
60,833,059
      
48.5
%
    
5.03
%
Balloon
    
960,452
      
0.8
%
    
6.64
%
Step rate
    
38,736,968
      
30.9
%
    
2.23
%
Other
    
68,458
    
< 0.1%
      
7.00
%
Total portfolio
  
$
144,509,352
      
115.2
%
    
4.34
%

 
 
              
Weighted
  
 
        
% Partners'
    
average note
  
Lien Position
  
Fair value
    
capital
    
interest rate
  
1st Lien
  
$
143,029,492
      
114.0
%
    
4.21
%
2nd Lien
    
1,462,867
      
1.2
%
    
6.30
%
Unsecured
    
16,993
    
< 0.1%
      
0.00
%
Total portfolio
  
$
144,509,352
      
115.2
%
    
4.34
%

 
 
              
Weighted
  
 
        
% Partners'
    
average note
  
Loan Age (1)
  
Fair value
    
capital
    
interest rate
  
Less than 24 months
  
$
14,096
    
< 0.1%
      
4.25
%
24-36 months
    
99,891
      
0.1
%
    
4.66
%
36-48 months
    
70,563
      
0.1
%
    
3.94
%
48-60 months
    
94,041
      
0.1
%
    
5.61
%
60 months or more
    
144,230,761
      
114.9
%
    
4.34
%
Total portfolio
  
$
144,509,352
      
115.2
%
    
4.34
%
 
1 Loan Age reflects the age of the loan as of June 30, 2016.
19
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
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.
 
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, 2016.
 
4 Current mortgage loans include mortgage loans in and adhering to a forbearance plan as of June 30, 2016.
 
 

20
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
Following is a summary of the distribution of REO:

 
        
% Partners'
  
Geographic Distribution
  
Fair value
    
capital
  
New Jersey
  
$
5,392,048
      
4.3
%
Florida
    
4,780,265
      
3.8
%
New York
    
2,267,187
      
1.8
%
Illinois
    
2,098,286
      
1.7
%
California
    
1,410,091
      
1.1
%
Other
    
6,791,899
      
5.4
%
Total portfolio
  
$
22,739,776
      
18.1
%

 
 
        
% Partners'
  
Property Type
  
Fair value
    
capital
  
Single family residence
  
$
12,341,955
      
9.8
%
2 to 4 dwelling units
    
3,361,134
      
2.7
%
Condo
    
1,790,787
      
1.4
%
Planned unit development
    
4,775,900
      
3.8
%
Townhouse
    
470,000
      
0.4
%
Total portfolio
  
$
22,739,776
      
18.1
%
 
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 real estate acquired in settlement of loans that are pledged as collateral are disclosed in the consolidated summary schedule of investments and may not be re-pledged in other borrowing transactions.  The reserve cash account pertaining to the NPL Trust holds $1,385,097 and is included in other assets on the consolidated statement of assets and liabilities.  There are no other material net assets held in the NPL Trust.

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

Note 6—Investment Advisory, Administration and Custodian Fees

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

21
 
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
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, 2016 totaled $112,908.
 
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, 2016 totaled $11,218.

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, 2016 totaled $30,919.
 
Note 7—Directors and Officers
 
The Fund and Master Fund share the same board of directors. The Master Fund’s board of directors has overall responsibility for monitoring and overseeing the investment program of the Master Fund and its management and operations. All directors’ fees and expenses are paid by the Master Fund. Independent directors receive an annual retainer of $64,800 and a fee per meeting of the board of directors or committees of $2,000, subject to a cap of $15,000 per year for all non-regularly-scheduled meetings. The chairperson of the audit committee receives an annual retainer of $10,000 in addition to the amounts above. Directors are reimbursed by the Master Fund for their travel expenses related to board meetings. The total directors’ fees and expenses incurred for the six months ended June 30, 2016 were $141,105, of which $63,100 was payable at June 30, 2016.

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

Note 8—Transactions with Affiliates

PLS acts as the primary mortgage servicer for all mortgage loans owned by the Master Fund. The servicing agreement between PLS and Master Fund generally provides for servicing fees of 50 to 100 basis points of unpaid principal balance per year, depending on the type and quality of mortgage loans being serviced, plus other specified fees and charges. The servicing agreement also requires that PLS will rebate to the Master Fund an amount equal to the cumulative profit, if any, of the servicing operations attributable to the loans owned by the Master Fund, and conversely, charge the Master Fund if a loss has been incurred in order to effect overall “at cost” pricing with respect to loan servicing activities for such assets. Under a separate agreement between the Master Fund and the Investment Manager, the Investment Manager will cause PLS to rebate to the Master Fund an amount equal to 13% of servicing-related fees charged to the Master Fund to approximate overall “at cost” pricing with respect to mortgage loan servicing activities for such assets, and the Investment Manager will represent on an annual basis to the Master Fund’s board of directors whether servicing fees paid net of the rebate have in fact not exceeded the actual cash costs incurred in servicing the mortgage loans owned by the Master Fund. Total mortgage loan servicing fees charged by PLS before the rebate for the six months ended June 30, 2016 totaled $1,092,960, of which PLS reduced by providing a rebate of $148,183.

22
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
As of June 30, 2016, substantially all of the receivable from PLS of $15,069,356 on the Consolidated Statement of Assets and Liabilities represents funds advanced to PLS to fund collection and liquidation costs relating to mortgage loans and REO serviced by PLS on the Master Fund’s behalf as well as principal and interest collections, and mortgage loan and REO sales proceeds collections receivable.

As of June 30, 2016, substantially all of the payable to PLS of $632,960 on the Consolidated Statement of Assets and Liabilities represents accrued mortgage loan servicing fees and collection and liquidation expenses payable.

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, 2016:

Professional fees
  
$
166,901
  
Collateral valuation
    
17,606
  
Investment software licensing
    
14,001
  
Registration fees
    
7,720
  
Insurance
    
2,661
  
Custodian fees
    
2,397
  
Total
  
$
211,286
  
 
        
 
The Master Fund incurred investment advisory fees of $485,783 during the six months ended June 30, 2016, of which $230,215 was payable to the Investment Manager at June 30, 2016.

As of June 30, 2016, $42,430,419 in Carried Interest has been accrued and reallocated from the Limited Partner’s capital account to the General Partner’s capital account of which $537,089 was allocated in the six months ended June 30, 2016.

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

The Master Fund’s short-term investment, the BlackRock Liquidity Funds: TempFund Institutional Shares, is managed by BlackRock Institutional Management Corporation, which is a wholly owned subsidiary of BlackRock, Inc. BlackRock Inc. is an affiliate of the Master Fund. The Master Fund had $15,943,912 invested in the short-term investment at June 30, 2016, and for the six months ended June 30, 2016, the Master Fund received $43,733 of dividend income from this short-term investment.
 
Note 9—Risk Factors
 
The Master Fund’s investment activities expose it to various types and degrees of risk associated with the assets and markets in which it invests.

23
 
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)
 
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.

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.
 
24
PNMAC Mortgage Opportunity Fund, LP and Subsidiaries
Notes to Consolidated Financial Statements
As of and for the Six Months ended June 30, 2016 (Unaudited)

Note 10—Subsequent Events
 
Management has evaluated all events or transactions through the date of issuance of these financial statements, and concluded that no subsequent events have occurred that would require recognition or disclosure.
 

****
25
 
PNMAC Mortgage Opportunity Fund, LP
Directors and Officers (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 16, 2016, the Board of Directors of the Master Fund and the Fund (collectively, the “Funds”), including the “non-interested” Directors (the “Independent Directors”), met in person and voted to approve the continuance of the Investment Management Agreements (including the portions of the Master Fund’s partnership agreement referred to therein) with the Investment Manager for an additional year.
 
In considering whether to recommend approval of the Investment Management Agreements, the Independent Directors reviewed materials provided by the Investment Manager and counsel to the Independent Directors. The Independent Directors also met with senior personnel of the Investment Manager and discussed a number of topics affecting their determination, including the following:
 
(i) The nature, extent, and quality of services expected to be provided by the Investment Manager. The Independent Directors reviewed the services that the Investment Manager provided to the Funds since inception in August 2008 and are expected to continue to provide to the Funds.  In addition, the Independent Directors considered the size, education, background, and experience of the Investment Manager’s staff, including the mortgage finance and capital markets experience of the Investment Manager’s senior management team.  Lastly, the Independent Directors reviewed the Investment Manager’s ability to attract and retain quality and experienced personnel.  The Independent Directors concluded that the scope of services provided since inception and expected to be provided by the Investment Manager to the Funds, and the experience and expertise of the personnel performing such services, was consistent with the nature, extent, and quality expected of an investment adviser of investment vehicles such as the Funds.
 (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.
 
26
PNMAC Mortgage Opportunity Fund, LP
Directors and Officers (Unaudited)
 
(iii) Cost of the services to be provided and profits to be realized by the Investment Manager and its affiliates from the relationship with the Funds.  The Independent Directors considered the estimated cost of the services provided by the Investment Manager.  As part of their analysis, the Independent Directors gave substantial consideration to the compensation payable to the Investment Manager.  The Independent Directors noted that the compensation terms would remain the same.  In reviewing the management compensation, the Independent Directors considered the management fees and operating expense ratios of other registered and non-registered funds managed by other investment advisers that had somewhat comparable investment programs.  The Independent Directors also reviewed and took into account other relationships between the Funds and the Investment Manager and its related persons, including the shareholder servicing agreement between the Investment Manager and the Fund, the mortgage servicing agreements between the Master Fund and an affiliate of the Investment Manager, and an agreement with BlackRock, which has an investment in the Investment Manager’s parent company, for a portfolio valuation analytic model.  The Independent Directors also considered the compensation charged by the Investment Manager to its other clients.  Finally, the Independent Directors took those other service agreements into account in the context of evaluating the profitability of the Investment Manager in respect of the overall relationship of the Investment Manager and its related persons to the Funds.
 
(iv) Economies of Scale.  The Independent Directors also considered that possible economies of scale from future growth of the Funds were not relevant inasmuch as the Funds were closed to any new investment and had limited terms.
 
The Independent Directors had an opportunity to have Executive Session with counsel to the Independent Directors.  During the course of their deliberations at the meeting on June 16, 2016, the Independent Directors thoroughly reviewed and evaluated the factors to be considered for approval of the Investment Management Agreements including, but not limited to:  the expenses incurred in performance of services by the Investment Manager; the compensation to be received by the Investment Manager under the Investment Management Agreements; the fees charged by the Investment Manager’s peers; the past performance of the Investment Manager; and the range and quality of services provided by the Investment Manager.
 
The Independent Directors expressed satisfaction with the information provided at the meeting on June 16, 2016 and prior meetings, and acknowledged that they had received sufficient information to consider and approve the continuance of the Investment Management Agreements.  No single factor was determinative to the decision of the Independent Directors.  Rather, after weighing all of the reasons discussed above, the Independent Directors unanimously approved the continuance of the Investment Management Agreements.

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

 
27
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 - 146%*
 
 
 
 
 
 
 
 
 
  
 
 
  
 
INVESTMENTS IN NONAFFILIATES - 133%*
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
Note
 
 Maturity
 
 
 
  
 Principal
 
  
 Fair
Description
 
 
 
 
interest rate
 
date
 
State
 
  
 amount
 
  
 value
Mortgage loans
 
 
 
 
 
 
 
 
 
  
 
 
  
 
Mortgage Loan ID#1000043954**
5.25%
 
5/1/2037
 
 FL
 
 $
  2,230,825
 
 $
  1,814,734
Mortgage Loan ID#1000043569**
3.13%
 
9/1/2036
 
 CA
 
  
             1,506,793
 
  
                 1,335,097
Mortgage Loan ID#1000015063**
7.38%
 
9/1/2036
 
 FL
 
  
             1,350,000
 
  
                 1,221,972
Mortgage Loan ID#1000028984**
3.00%
 
6/1/2056
 
 CA
 
  
             1,348,206
 
  
                 1,003,727
Mortgage Loan ID#1000043880**
3.00%
 
2/1/2035
 
 OR
 
  
             1,387,425
 
  
                    931,799
Mortgage Loan ID#1000002193
6.88%
 
5/1/2037
 
 DC
 
  
                990,000
 
  
                    908,634
Mortgage Loan ID#1000015179**
4.25%
 
10/1/2043
 
 CT
 
  
                873,780
 
  
                    731,823
Mortgage Loan ID#1000035099**
6.00%
 
7/1/2037
 
 NY
 
  
                999,000
 
  
                    697,943
Mortgage Loan ID#1000016663**
6.88%
 
5/1/2037
 
 OR
 
  
                799,863
 
  
                    693,208
Mortgage Loan ID#1000002189
5.13%
 
8/1/2055
 
 NY
 
  
             1,019,114
 
  
                    660,827
Mortgage Loan ID#1000016006**
7.15%
 
2/1/2037
 
 NY
 
  
                641,150
 
  
                    642,515
Mortgage Loan ID#1000029387**
8.25%
 
6/1/2037
 
 NY
 
  
                600,000
 
  
                    630,000
Mortgage Loan ID#1000035343**
6.50%
 
12/1/2043
 
 CA
 
  
                890,860
 
  
                    616,006
Mortgage Loan ID#1000043694**
3.38%
 
3/1/2056
 
 CT
 
  
                771,808
 
  
                    611,182
Mortgage Loan ID#1000043772**
5.88%
 
7/1/2037
 
 FL
 
  
                920,218
 
  
                    609,883
Mortgage Loan ID#1000015520**
8.00%
 
11/1/2037
 
 GA
 
  
             1,000,000
 
  
                    606,217
Mortgage Loan ID#1000043744**
3.50%
 
8/1/2055
 
 CA
 
  
                887,676
 
  
                    578,143
Mortgage Loan ID#1000034768**
3.25%
 
4/1/2036
 
 NY
 
  
                644,039
 
  
                    576,158
Mortgage Loan ID#1000016833**
6.50%
 
10/1/2037
 
 NY
 
  
                645,282
 
  
                    554,990
Mortgage Loan ID#1000002384
3.13%
 
11/1/2045
 
 DC
 
  
                738,636
 
  
                    549,363
Mortgage Loan ID#1000001411
3.00%
 
7/1/2047
 
 CA
 
  
                832,829
 
  
                    546,394
Mortgage Loan ID#1000026020**
4.00%
 
6/1/2037
 
 CA
 
  
                550,425
 
  
                    546,311
Mortgage Loan ID#1000029315**
4.00%
 
4/1/2037
 
 CA
 
  
                618,984
 
  
                    518,905
Mortgage Loan ID#1000026032**
4.00%
 
12/1/2036
 
 HI
 
  
                420,101
 
  
                    509,686
Mortgage Loan ID#1000026795**
3.00%
 
1/1/2049
 
 CA
 
  
                563,607
 
  
                    501,326
Mortgage Loan ID#1000000557**
6.90%
 
3/1/2037
 
 NJ
 
  
                990,473
 
  
                    489,599
Mortgage Loan ID#1000026305**
5.88%
 
10/1/2036
 
 CA
 
  
                594,045
 
  
                    487,151
Mortgage Loan ID#1000001651
3.00%
 
5/1/2055
 
 FL
 
  
             1,439,522
 
  
                    477,797
Mortgage Loan ID#1000034934**
2.00%
 
6/1/2054
 
 NY
 
  
                732,839
 
  
                    475,919
Mortgage Loan ID#1000026350**
6.50%
 
4/1/2037
 
 NY
 
  
                719,176
 
  
                    475,591
Mortgage Loan ID#1000002404
3.44%
 
9/1/2036
 
 NY
 
  
                755,396
 
  
                    474,784
Mortgage Loan ID#1000043559**
2.88%
 
8/1/2045
 
 VA
 
  
                622,790
 
  
                    465,586
Mortgage Loan ID#1000043885**
5.50%
 
12/1/2055
 
 MA
 
  
                519,033
 
  
                    454,464
Mortgage Loan ID#1000035850**
2.00%
 
4/1/2055
 
 NY
 
  
                688,854
 
  
                    454,427
Mortgage Loan ID#1000038435**
5.38%
 
2/1/2056
 
 CA
 
  
                526,418
 
  
                    454,133
Mortgage Loan ID#1000025998**
3.00%
 
12/1/2053
 
 CA
 
  
                574,591
 
  
                    453,759
Mortgage Loan ID#1000002184
2.00%
 
5/1/2054
 
 NY
 
  
                763,182
 
  
                    452,040
Mortgage Loan ID#1000002180
2.00%
 
8/1/2055
 
 NY
 
  
                768,935
 
  
                    450,783
Mortgage Loan ID#1000000560**
6.80%
 
1/1/2037
 
 NY
 
  
                613,522
 
  
                    449,690
Mortgage Loan ID#1000027234**
2.00%
 
1/1/2050
 
 NY
 
  
                666,598
 
  
                    440,944
Mortgage Loan ID#1000003907**
6.00%
 
7/1/2037
 
 MD
 
  
                579,089
 
  
                    436,844
Mortgage Loan ID#1000035161**
7.75%
 
9/1/2037
 
 NJ
 
  
                632,985
 
  
                    436,243
Mortgage Loan ID#1000029301**
3.00%
 
11/1/2036
 
 CA
 
  
                578,874
 
  
                    432,104
Mortgage Loan ID#1000035519**
5.25%
 
12/1/2036
 
 MA
 
  
                464,303
 
  
                    429,950
Mortgage Loan ID#1000029225
3.00%
 
4/1/2037
 
 NE
 
  
                473,418
 
  
                    419,633
Mortgage Loan ID#1000028857**
7.75%
 
9/1/2036
 
 NY
 
  
                454,999
 
  
                    419,024
Mortgage Loan ID#1000002394
3.50%
 
1/1/2056
 
 CT
 
  
                927,452
 
  
                    419,022
Mortgage Loan ID#1000016313**
7.00%
 
10/1/2037
 
 NY
 
  
                413,491
 
  
                    417,556
Mortgage Loan ID#1000000697**
9.00%
 
10/1/2037
 
 FL
 
  
                527,100
 
  
                    413,281
Mortgage Loan ID#1000016011
8.99%
 
2/1/2037
 
 FL
 
  
                505,461
 
  
                    410,762
Mortgage Loan ID#1000016710**
5.88%
 
12/1/2035
 
 NJ
 
  
                529,780
 
  
                    408,728
Mortgage Loan ID#1000029411**
10.75%
 
9/1/2037
 
 FL
 
  
                389,253
 
  
                    408,715
Mortgage Loan ID#1000017201**
4.88%
 
4/1/2049
 
 MD
 
  
                514,078
 
  
                    408,447
Mortgage Loan ID#1000028356**
9.55%
 
9/1/2056
 
 CT
 
  
                459,101
 
  
                    406,830
Mortgage Loan ID#1000001628
10.37%
 
5/1/2037
 
 NY
 
  
                451,250
 
  
                    404,905
Mortgage Loan ID#1000038468**
6.13%
 
5/1/2038
 
 NY
 
  
                531,936
 
  
                    404,687
Mortgage Loan ID#1000002164
3.13%
 
8/1/2037
 
 CA
 
  
                541,784
 
  
                    403,801
Mortgage Loan ID#1000002161
2.00%
 
5/1/2054
 
 NY
 
  
                622,503
 
  
                    399,365
Mortgage Loan ID#1000002379
4.91%
 
3/1/2047
 
 NY
 
  
                558,254
 
  
                    399,302
Mortgage Loan ID#1000028071**
4.25%
 
2/1/2046
 
 NJ
 
  
                744,712
 
  
                    398,388
Mortgage Loan ID#1000015922**
3.13%
 
12/1/2036
 
 MO
 
  
                488,843
 
  
                    398,219
Mortgage Loan ID#1000027226**
5.75%
 
6/1/2037
 
 NY
 
  
                449,000
 
  
                    397,664
Mortgage Loan ID#1000001463
4.98%
 
8/1/2047
 
 CA
 
  
                541,734
 
  
                    397,028
Mortgage Loan ID#1000028896**
2.00%
 
1/1/2052
 
 NY
 
  
                486,675
 
  
                    396,664
Mortgage Loan ID#1000015937**
3.25%
 
7/1/2055
 
 CO
 
  
                520,222
 
  
                    392,753
Mortgage Loan ID#1000025942**
3.00%
 
9/1/2050
 
 CA
 
  
                618,232
 
  
                    390,535
Mortgage Loan ID#1000044014**
2.00%
 
2/1/2048
 
 MD
 
  
                578,257
 
  
                    384,182
Mortgage Loan ID#1000015901
4.00%
 
3/1/2055
 
 MA
 
  
                495,563
 
  
                    381,370
Mortgage Loan ID#1000029034**
2.00%
 
5/1/2054
 
 CA
 
  
                488,359
 
  
                    380,713
Mortgage Loan ID#1000002166
2.00%
 
1/1/2054
 
 NY
 
  
                572,022
 
  
                    379,298
Mortgage Loan ID#1000016592**
3.13%
 
11/1/2035
 
 CA
 
  
                424,750
 
  
                    377,937
Mortgage Loan ID#1000035122**
5.00%
 
12/1/2043
 
 IL
 
  
                485,787
 
  
                    375,564
Mortgage Loan ID#1000035448**
3.38%
 
3/1/2056
 
 CA
 
  
                605,831
 
  
                    375,534
Mortgage Loan ID#1000026575**
3.38%
 
4/1/2036
 
 AZ
 
  
                425,183
 
  
                    375,214
Mortgage Loan ID#1000001402
5.00%
 
7/1/2048
 
 CA
 
  
                538,395
 
  
                    375,162
Mortgage Loan ID#1000001631
8.88%
 
8/1/2037
 
 NY
 
  
                472,500
 
  
                    370,791
Mortgage Loan ID#1000027875**
6.20%
 
1/1/2035
 
 NY
 
  
                434,148
 
  
                    369,255
Mortgage Loan ID#1000043672**
6.38%
 
2/1/2038
 
 NY
 
  
                551,822
 
  
                    369,200
Mortgage Loan ID#1000035760**
3.31%
 
11/1/2034
 
 NJ
 
  
                548,714
 
  
                    367,658
Mortgage Loan ID#1000043914**
6.50%
 
9/1/2036
 
 NY
 
  
                525,000
 
  
                    367,213
Mortgage Loan ID#1000044102
2.00%
 
12/1/2054
 
 MA
 
  
                579,618
 
  
                    366,815
Mortgage Loan ID#1000003544
4.75%
 
10/1/2054
 
 MA
 
  
                496,483
 
  
                    365,505
Mortgage Loan ID#1000043537**
7.38%
 
9/1/2056
 
 NY
 
  
                570,325
 
  
                    364,789
Mortgage Loan ID#1000026629**
3.50%
 
5/1/2037
 
 CA
 
  
                401,542
 
  
                    363,796
Mortgage Loan ID#1000026981**
2.00%
 
2/1/2053
 
 MA
 
  
                777,294
 
  
                    362,347
Mortgage Loan ID#1000029085**
10.20%
 
9/1/2056
 
 FL
 
  
                426,182
 
  
                    360,763
Mortgage Loan ID#1000043582**
3.00%
 
8/1/2035
 
 TX
 
  
                446,036
 
  
                    358,672
Mortgage Loan ID#1000043923**
3.13%
 
4/1/2037
 
 MA
 
  
                402,866
 
  
                    358,089
Mortgage Loan ID#1000000565**
8.40%
 
6/1/2056
 
 NY
 
  
                514,074
 
  
                    357,814
Mortgage Loan ID#1000002149
2.75%
 
3/1/2037
 
 NY
 
  
                536,956
 
  
                    357,529
Mortgage Loan ID#1000002148
5.00%
 
7/1/2037
 
 NC
 
  
                501,562
 
  
                    357,442
Mortgage Loan ID#1000044114**
5.55%
 
1/1/2048
 
 CA
 
  
                376,400
 
  
                    357,398
Mortgage Loan ID#1000016028
8.00%
 
2/1/2037
 
 MA
 
  
                471,885
 
  
                    355,627
Mortgage Loan ID#1000029367**
7.00%
 
2/1/2037
 
 NY
 
  
                450,400
 
  
                    354,047
Mortgage Loan ID#1000026026**
7.00%
 
2/1/2037
 
 NY
 
  
                491,954
 
  
                    350,471
Mortgage Loan ID#1000015570
4.25%
 
6/1/2035
 
 OR
 
  
                455,932
 
  
                    349,132
Mortgage Loan ID#1000028059**
5.13%
 
12/1/2053
 
 MD
 
  
                443,665
 
  
                    348,082
Mortgage Loan ID#1000043930**
2.00%
 
10/1/2052
 
 MI
 
  
                453,885
 
  
                    347,850
Mortgage Loan ID#1000002187
2.00%
 
3/1/2052
 
 NY
 
  
                497,297
 
  
                    346,632
Mortgage Loan ID#1000002055
4.25%
 
2/1/2055
 
 NY
 
  
                681,791
 
  
                    345,208
Mortgage Loan ID#1000002373
2.00%
 
12/1/2055
 
 NY
 
  
                655,450
 
  
                    344,922
Mortgage Loan ID#1000026767**
3.13%
 
12/1/2034
 
 CA
 
  
                384,106
 
  
                    343,513
Mortgage Loan ID#1000001612
4.87%
 
4/1/2037
 
 AZ
 
  
                499,024
 
  
                    343,235
Mortgage Loan ID#1000002214
3.00%
 
4/1/2055
 
 CA
 
  
                697,565
 
  
                    342,629
Mortgage Loan ID#1000038487**
6.38%
 
6/1/2036
 
 NY
 
  
                444,734
 
  
                    342,393
Mortgage Loan ID#1000002167
3.13%
 
6/1/2046
 
 NY
 
  
                597,274
 
  
                    341,244
Mortgage Loan ID#1000015019**
4.50%
 
5/1/2035
 
 CA
 
  
                382,783
 
  
                    340,414
Mortgage Loan ID#1000003896**
4.13%
 
7/1/2053
 
 MA
 
  
                432,022
 
  
                    332,532
Mortgage Loan ID#1000043535**
5.34%
 
11/1/2044
 
 NY
 
  
                803,027
 
  
                    328,709
Mortgage Loan ID#1000029184**
2.00%
 
12/1/2038
 
 NY
 
  
                785,422
 
  
                    327,797
Mortgage Loan ID#1000000603**
3.13%
 
3/1/2039
 
 UT
 
  
                376,946
 
  
                    327,140
Mortgage Loan ID#1000016149**
6.13%
 
7/1/2037
 
 FL
 
  
                470,151
 
  
                    322,823
Mortgage Loan ID#1000002113
6.88%
 
5/1/2037
 
 NV
 
  
                374,789
 
  
                    320,962
Mortgage Loan ID#1000043184**
2.88%
 
7/1/2045
 
 CA
 
  
                379,941
 
  
                    319,923
Mortgage Loan ID#1000027464**
6.75%
 
2/1/2036
 
 FL
 
  
                502,188
 
  
                    315,767
Mortgage Loan ID#1000002087
2.00%
 
4/1/2048
 
 CA
 
  
                462,074
 
  
                    313,299
Mortgage Loan ID#1000002398
10.00%
 
8/1/2037
 
 NY
 
  
                860,000
 
  
                    312,975
Mortgage Loan ID#1000043617**
4.88%
 
12/1/2053
 
 VA
 
  
                341,445
 
  
                    312,789
Mortgage Loan ID#1000044147**
3.50%
 
2/1/2056
 
 NY
 
  
                409,016
 
  
                    311,992
Mortgage Loan ID#1000027630**
7.00%
 
12/1/2036
 
 NJ
 
  
                479,925
 
  
                    311,051
Mortgage Loan ID#1000026083**
2.00%
 
6/1/2043
 
 CA
 
  
                351,222
 
  
                    310,898
Mortgage Loan ID#1000000644**
6.25%
 
12/1/2036
 
 VA
 
  
                347,275
 
  
                    309,802
Mortgage Loan ID#1000026005**
4.87%
 
5/1/2037
 
 CA
 
  
                295,476
 
  
                    309,079
Mortgage Loan ID#1000002171
3.63%
 
9/1/2055
 
 NY
 
  
                931,505
 
  
                    308,515
Mortgage Loan ID#1000029087**
2.00%
 
3/1/2056
 
 CA
 
  
                447,563
 
  
                    308,234
Mortgage Loan ID#1000029300**
3.00%
 
2/1/2037
 
 CA
 
  
                492,811
 
  
                    307,948
Mortgage Loan ID#1000002169
3.00%
 
4/1/2051
 
 NY
 
  
                522,161
 
  
                    306,040
Mortgage Loan ID#1000003895**
2.88%
 
7/1/2037
 
 MD
 
  
                382,432
 
  
                    305,488
Mortgage Loan ID#1000026656**
2.00%
 
10/1/2051
 
 GA
 
  
                530,390
 
  
                    303,859
Mortgage Loan ID#1000028993**
2.00%
 
11/1/2036
 
 NJ
 
  
                425,055
 
  
                    303,833
Mortgage Loan ID#1000017076**
7.63%
 
12/1/2037
 
 NY
 
  
                438,280
 
  
                    303,652
Mortgage Loan ID#1000000544**
6.00%
 
12/1/2038
 
 NY
 
  
                693,175
 
  
                    303,103
Mortgage Loan ID#1000043564**
7.00%
 
10/1/2037
 
 NY
 
  
                640,848
 
  
                    301,362
Mortgage Loan ID#1000002086
5.25%
 
5/1/2037
 
 AZ
 
  
                398,615
 
  
                    299,254
Mortgage Loan ID#1000002101
2.00%
 
11/1/2057
 
 CA
 
  
                445,945
 
  
                    297,090
Mortgage Loan ID#1000035785**
6.00%
 
1/1/2036
 
 NY
 
  
                428,000
 
  
                    295,868
Mortgage Loan ID#1000028933**
7.85%
 
11/1/2036
 
 FL
 
  
                391,767
 
  
                    294,931
Mortgage Loan ID#1000026658**
2.00%
 
6/1/2042
 
 NY
 
  
                341,706
 
  
                    293,623
Mortgage Loan ID#1000029181**
3.00%
 
9/1/2035
 
 MS
 
  
                280,910
 
  
                    292,165
Mortgage Loan ID#1000035426
2.00%
 
11/1/2039
 
 CA
 
  
                511,895
 
  
                    291,313
Mortgage Loan ID#1000001404
3.00%
 
10/1/2047
 
 NY
 
  
                650,019
 
  
                    290,329
Mortgage Loan ID#1000001047
7.50%
 
8/1/2037
 
 CA
 
  
                326,533
 
  
                    290,090
Mortgage Loan ID#1000001398
2.00%
 
8/1/2053
 
 NY
 
  
                430,971
 
  
                    289,795
Mortgage Loan ID#1000016228**
5.75%
 
9/1/2035
 
 NY
 
  
                435,120
 
  
                    288,910
Mortgage Loan ID#1000028873**
3.00%
 
10/1/2055
 
 NY
 
  
                589,944
 
  
                    288,788
Mortgage Loan ID#1000035181**
7.13%
 
11/1/2037
 
 NY
 
  
                348,909
 
  
                    286,787
Mortgage Loan ID#1000001611
7.24%
 
5/1/2037
 
 NY
 
  
                605,000
 
  
                    285,675
Mortgage Loan ID#1000028289**
4.00%
 
11/1/2046
 
 MA
 
  
                484,151
 
  
                    283,805
Mortgage Loan ID#1000002098
2.00%
 
8/1/2053
 
 WA
 
  
                416,844
 
  
                    282,312
Mortgage Loan ID#1000043949**
2.00%
 
12/1/2054
 
 MD
 
  
                350,414
 
  
                    278,709
Mortgage Loan ID#1000043702**
8.15%
 
5/1/2035
 
 NY
 
  
                296,197
 
  
                    278,685
Mortgage Loan ID#1000038534**
5.75%
 
2/1/2038
 
 NY
 
  
                394,272
 
  
                    277,991
Mortgage Loan ID#1000001994
5.00%
 
5/1/2037
 
 CA
 
  
                344,273
 
  
                    277,624
Mortgage Loan ID#1000043597**
7.00%
 
8/1/2037
 
 NJ
 
  
                429,998
 
  
                    277,592
Mortgage Loan ID#1000043187
3.38%
 
3/1/2036
 
 CA
 
  
                335,809
 
  
                    276,654
Mortgage Loan ID#1000034782**
5.88%
 
1/1/2037
 
 FL
 
  
                284,120
 
  
                    276,226
Mortgage Loan ID#1000028960**
8.25%
 
2/1/2037
 
 NY
 
  
                314,675
 
  
                    271,253
Mortgage Loan ID#1000016921
6.85%
 
11/1/2036
 
 NY
 
  
                454,027
 
  
                    269,188
Mortgage Loan ID#1000026150**
7.75%
 
9/1/2034
 
 PA
 
  
                284,148
 
  
                    268,715
Mortgage Loan ID#1000002367
4.65%
 
3/1/2037
 
 NY
 
  
                469,083
 
  
                    266,908
Mortgage Loan ID#1000029196**
2.00%
 
5/1/2052
 
 CA
 
  
                383,749
 
  
                    266,759
Mortgage Loan ID#1000000562**
3.50%
 
4/1/2056
 
 NY
 
  
                429,638
 
  
                    266,296
Mortgage Loan ID#1000017406**
1.88%
 
8/1/2044
 
 CA
 
  
                318,858
 
  
                    264,467
Mortgage Loan ID#1000002031
2.00%
 
1/1/2048
 
 CA
 
  
                413,862
 
  
                    264,431
Mortgage Loan ID#1000025997**
4.00%
 
12/1/2036
 
 WA
 
  
                372,764
 
  
                    263,841
Mortgage Loan ID#1000001608
7.88%
 
3/1/2037
 
 NY
 
  
                464,000
 
  
                    260,798
Mortgage Loan ID#1000029331**
2.00%
 
10/1/2055
 
 NY
 
  
                561,418
 
  
                    260,597
Mortgage Loan ID#1000001626
3.00%
 
5/1/2055
 
 NY
 
  
                875,316
 
  
                    260,481
Mortgage Loan ID#1000029065**
4.00%
 
10/1/2053
 
 CA
 
  
                387,622
 
  
                    260,464
Mortgage Loan ID#1000028805
2.00%
 
11/1/2036
 
 NY
 
  
                466,883
 
  
                    259,336
Mortgage Loan ID#1000029111**
3.88%
 
10/1/2053
 
 CA
 
  
                362,797
 
  
                    259,108
Mortgage Loan ID#1000035642**
4.80%
 
9/1/2047
 
 CO
 
  
                285,075
 
  
                    259,058
Mortgage Loan ID#1000002066
4.00%
 
5/1/2047
 
 CA
 
  
                611,354
 
  
                    258,935
Mortgage Loan ID#1000002108
5.00%
 
3/1/2037
 
 NY
 
  
                389,604
 
  
                    258,690
Mortgage Loan ID#1000002121
3.00%
 
7/1/2055
 
 NY
 
  
                562,672
 
  
                    257,384
Mortgage Loan ID#1000002092
4.13%
 
12/1/2054
 
 NY
 
  
                411,040
 
  
                    256,569
Mortgage Loan ID#1000028995
2.00%
 
8/1/2051
 
 PA
 
  
                345,203
 
  
                    255,959
Mortgage Loan ID#1000002341
5.00%
 
4/1/2047
 
 CA
 
  
                495,493
 
  
                    255,894
Mortgage Loan ID#1000002088
7.63%
 
4/1/2037
 
 NJ
 
  
                478,434
 
  
                    253,967
Mortgage Loan ID#1000002075
5.63%
 
5/1/2037
 
 FL
 
  
                546,547
 
  
                    253,362
Mortgage Loan ID#1000002378
3.63%
 
1/1/2056
 
 NY
 
  
                406,702
 
  
                    250,528
Mortgage Loan ID#1000000533
2.00%
 
2/1/2052
 
 NY
 
  
                313,182
 
  
                    250,264
Mortgage Loan ID#1000000938**
2.63%
 
3/1/2038
 
 CA
 
  
                287,701
 
  
                    250,245
Mortgage Loan ID#1000002320
3.13%
 
4/1/2046
 
 AZ
 
  
                420,765
 
  
                    250,229
Mortgage Loan ID#1000025992**
4.00%
 
4/1/2051
 
 CA
 
  
                509,731
 
  
                    249,866
Mortgage Loan ID#1000043641**
6.38%
 
9/1/2037
 
 NY
 
  
                504,303
 
  
                    248,436
Mortgage Loan ID#1000043516**
4.25%
 
9/1/2047
 
 NJ
 
  
                287,744
 
  
                    247,553
Mortgage Loan ID#1000026051**
4.84%
 
9/1/2037
 
 CA
 
  
                269,220
 
  
                    247,397
Mortgage Loan ID#1000002199
2.00%
 
12/1/2053
 
 NJ
 
  
                491,547
 
  
                    246,879
Mortgage Loan ID#1000043951**
5.38%
 
5/1/2056
 
 FL
 
  
                615,206
 
  
                    245,483
Mortgage Loan ID#1000002062
3.00%
 
4/1/2056
 
 NY
 
  
                421,100
 
  
                    243,877
Mortgage Loan ID#1000003667
3.50%
 
10/1/2036
 
 MA
 
  
                339,565
 
  
                    242,887
Mortgage Loan ID#1000002089
7.63%
 
5/1/2037
 
 AZ
 
  
                403,655
 
  
                    242,593
Mortgage Loan ID#1000002145
7.88%
 
3/1/2037
 
 NY
 
  
                412,500
 
  
                    241,615
Mortgage Loan ID#1000034816**
7.00%
 
10/1/2037
 
 NY
 
  
                441,943
 
  
                    240,362
Mortgage Loan ID#1000015500**
7.50%
 
7/1/2037
 
 NY
 
  
                504,000
 
  
                    239,497
Mortgage Loan ID#1000026012
4.88%
 
8/1/2054
 
 CA
 
  
                289,174
 
  
                    238,489
Mortgage Loan ID#1000016402**
7.05%
 
12/1/2036
 
 NY
 
  
                352,869
 
  
                    237,934
Mortgage Loan ID#1000044258
4.00%
 
7/1/2056
 
 MA
 
  
                386,815
 
  
                    237,099
Mortgage Loan ID#1000035004**
3.00%
 
2/1/2045
 
 FL
 
  
                312,990
 
  
                    236,702
Mortgage Loan ID#1000026348**
6.50%
 
1/1/2037
 
 NV
 
  
                366,420
 
  
                    236,538
Mortgage Loan ID#1000002120
6.88%
 
9/1/2037
 
 NJ
 
  
                478,086
 
  
                    235,758
Mortgage Loan ID#1000016786**
7.13%
 
8/1/2037
 
 NY
 
  
                384,213
 
  
                    233,380
Mortgage Loan ID#1000029127**
4.00%
 
4/1/2055
 
 CA
 
  
                415,749
 
  
                    233,026
Mortgage Loan ID#1000026229**
2.00%
 
10/1/2049
 
 RI
 
  
                314,400
 
  
                    232,728
Mortgage Loan ID#1000002319
8.75%
 
7/1/2037
 
 FL
 
  
                324,882
 
  
                    231,826
Mortgage Loan ID#1000017154**
3.00%
 
6/1/2051
 
 NJ
 
  
                315,948
 
  
                    229,246
Mortgage Loan ID#1000035218**
8.86%
 
6/26/2024
 
 NY
 
  
                214,846
 
  
                    225,588
Mortgage Loan ID#1000002069
6.13%
 
4/1/2037
 
 CA
 
  
                270,000
 
  
                    225,438
Mortgage Loan ID#1000025800
2.88%
 
3/1/2047
 
 FL
 
  
                409,806
 
  
                    225,080
Mortgage Loan ID#1000001457
5.04%
 
9/1/2047
 
 NJ
 
  
                509,680
 
  
                    223,332
Mortgage Loan ID#1000029198**
3.50%
 
4/1/2056
 
 CA
 
  
                316,507
 
  
                    222,371
Mortgage Loan ID#1000029147**
3.06%
 
3/1/2037
 
 FL
 
  
                210,839
 
  
                    221,381
Mortgage Loan ID#1000044110**
7.50%
 
5/1/2035
 
 NY
 
  
                214,500
 
  
                    220,924
Mortgage Loan ID#1000000439**
4.88%
 
9/1/2054
 
 AL
 
  
                340,991
 
  
                    219,099
Mortgage Loan ID#1000017367**
2.75%
 
10/1/2036
 
 CO
 
  
                298,058
 
  
                    219,031
Mortgage Loan ID#1000002029
3.63%
 
3/1/2037
 
 CA
 
  
                275,513
 
  
                    218,708
Mortgage Loan ID#1000029234**
3.51%
 
3/1/2037
 
 IL
 
  
                299,117
 
  
                    218,473
Mortgage Loan ID#1000028856**
2.00%
 
4/1/2056
 
 NV
 
  
                467,939
 
  
                    218,282
Mortgage Loan ID#1000026034**
4.00%
 
3/1/2037
 
 CA
 
  
                301,317
 
  
                    217,305
Mortgage Loan ID#1000001594
5.15%
 
4/1/2047
 
 FL
 
  
                472,523
 
  
                    217,108
Mortgage Loan ID#1000015904**
2.00%
 
8/1/2051
 
 NJ
 
  
                370,295
 
  
                    217,041
Mortgage Loan ID#1000027962**
6.00%
 
12/1/2049
 
 CA
 
  
                246,837
 
  
                    214,449
Mortgage Loan ID#1000043164**
2.63%
 
8/1/2035
 
 AZ
 
  
                305,838
 
  
                    213,007
Mortgage Loan ID#1000017045**
10.38%
 
8/1/2035
 
 MA
 
  
                201,549
 
  
                    211,627
Mortgage Loan ID#1000001999
8.25%
 
2/1/2037
 
 NJ
 
  
                268,521
 
  
                    211,021
Mortgage Loan ID#1000043173**
2.00%
 
11/1/2049
 
 NJ
 
  
                381,615
 
  
                    210,697
Mortgage Loan ID#1000043867**
8.64%
 
8/28/2037
 
 FL
 
  
                308,070
 
  
                    209,968
Mortgage Loan ID#1000025961
4.63%
 
3/1/2054
 
 MO
 
  
                279,106
 
  
                    208,711
Mortgage Loan ID#1000015919**
3.25%
 
7/1/2055
 
 FL
 
  
                402,585
 
  
                    208,248
Mortgage Loan ID#1000002363
3.63%
 
11/1/2055
 
 NM
 
  
                338,207
 
  
                    207,602
Mortgage Loan ID#1000028864**
2.00%
 
7/1/2054
 
 CA
 
  
                357,139
 
  
                    207,591
Mortgage Loan ID#1000016216**
7.00%
 
9/1/2056
 
 NY
 
  
                286,852
 
  
                    207,572
Mortgage Loan ID#1000035967**
3.50%
 
7/1/2056
 
 MD
 
  
                409,674
 
  
                    206,284
Mortgage Loan ID#1000027997**
5.38%
 
11/1/2035
 
 VA
 
  
                218,577
 
  
                    205,942
Mortgage Loan ID#1000027181**
6.50%
 
10/1/2037
 
 FL
 
  
                562,500
 
  
                    204,505
Mortgage Loan ID#1000000896**
7.38%
 
1/1/2038
 
 CA
 
  
                260,000
 
  
                    203,699
Mortgage Loan ID#1000044250
5.13%
 
12/1/2055
 
 NM
 
  
                330,742
 
  
                    203,070
Mortgage Loan ID#1000043637**
2.00%
 
10/1/2046
 
 NY
 
  
                286,120
 
  
                    202,766
Mortgage Loan ID#1000002153
2.00%
 
11/1/2053
 
 NV
 
  
                448,935
 
  
                    201,936
Mortgage Loan ID#1000027053**
7.01%
 
3/12/2038
 
 NJ
 
  
                259,171
 
  
                    201,655
Mortgage Loan ID#1000028891**
3.88%
 
12/1/2053
 
 VA
 
  
                260,600
 
  
                    201,633
Mortgage Loan ID#1000003926**
3.88%
 
10/1/2046
 
 MA
 
  
                324,897
 
  
                    201,469
Mortgage Loan ID#1000017521**
2.00%
 
1/1/2053
 
 MD
 
  
                501,029
 
  
                    201,048
Mortgage Loan ID#1000027243**
2.50%
 
6/1/2044
 
 CA
 
  
                380,135
 
  
                    200,836
Mortgage Loan ID#1000044253**
4.88%
 
8/1/2036
 
 PA
 
  
                217,793
 
  
                    200,355
Mortgage Loan ID#1000044205**
5.50%
 
2/1/2056
 
 MA
 
  
                451,582
 
  
                    200,114
Mortgage Loan ID#1000034758**
5.88%
 
4/1/2052
 
 WA
 
  
                208,425
 
  
                    199,708
Mortgage Loan ID#1000035357**
4.13%
 
1/1/2055
 
 NY
 
  
                237,402
 
  
                    199,558
Mortgage Loan ID#1000029356**
2.00%
 
12/1/2056
 
 CA
 
  
                388,507
 
  
                    198,306
Mortgage Loan ID#1000003884
3.13%
 
5/1/2037
 
 MA
 
  
                277,154
 
  
                    198,216
Mortgage Loan ID#1000029206**
11.38%
 
7/1/2037
 
 NY
 
  
                188,360
 
  
                    197,777
Mortgage Loan ID#1000043399
4.13%
 
9/1/2053
 
 TX
 
  
                226,940
 
  
                    197,341
Mortgage Loan ID#1000029217**
3.40%
 
1/1/2040
 
 VA
 
  
                343,407
 
  
                    197,337
Mortgage Loan ID#1000035744**
3.50%
 
9/1/2033
 
 CA
 
  
                221,904
 
  
                    197,200
Mortgage Loan ID#1000026282**
4.13%
 
8/1/2047
 
 VA
 
  
                349,897
 
  
                    196,293
Mortgage Loan ID#1000016068**
10.18%
 
9/1/2056
 
 FL
 
  
                288,060
 
  
                    196,192
Mortgage Loan ID#1000043895**
3.25%
 
10/1/2035
 
 MA
 
  
                276,553
 
  
                    195,048
Mortgage Loan ID#1000026022**
2.00%
 
7/1/2038
 
 NV
 
  
                379,153
 
  
                    194,418
Mortgage Loan ID#1000043521**
2.63%
 
10/1/2034
 
 VA
 
  
                321,007
 
  
                    194,061
Mortgage Loan ID#1000016081**
2.50%
 
1/1/2040
 
 FL
 
  
                434,274
 
  
                    193,902
Mortgage Loan ID#1000028216**
5.38%
 
4/1/2056
 
 NJ
 
  
                504,864
 
  
                    192,668
Mortgage Loan ID#1000025949**
3.88%
 
4/1/2053
 
 CA
 
  
                337,988
 
  
                    192,121
Mortgage Loan ID#1000026109**
5.99%
 
10/1/2034
 
 MA
 
  
                222,625
 
  
                    191,612
Mortgage Loan ID#1000043180**
4.00%
 
12/1/2049
 
 NJ
 
  
                239,728
 
  
                    191,466
Mortgage Loan ID#1000001449
2.00%
 
3/1/2052
 
 CA
 
  
                275,909
 
  
                    190,564
Mortgage Loan ID#1000026024**
2.00%
 
10/1/2052
 
 CA
 
  
                326,127
 
  
                    189,717
Mortgage Loan ID#1000034880
3.63%
 
11/1/2055
 
 NJ
 
  
                445,678
 
  
                    188,486
Mortgage Loan ID#1000001509
3.00%
 
4/1/2047
 
 NY
 
  
                602,954
 
  
                    188,126
Mortgage Loan ID#1000026006**
7.00%
 
11/1/2037
 
 WA
 
  
                197,837
 
  
                    187,385
Mortgage Loan ID#1000028441
5.00%
 
6/1/2043
 
 FL
 
  
                244,753
 
  
                    187,188
Mortgage Loan ID#1000001242
2.75%
 
6/1/2055
 
 NY
 
  
                274,132
 
  
                    185,451
Mortgage Loan ID#1000003528
2.00%
 
9/1/2047
 
 MD
 
  
                355,360
 
  
                    185,263
Mortgage Loan ID#1000002332
7.88%
 
7/1/2056
 
 NY
 
  
                360,000
 
  
                    183,991
Mortgage Loan ID#1000026583**
3.00%
 
3/1/2051
 
 MD
 
  
                308,976
 
  
                    183,360
Mortgage Loan ID#1000029151**
9.35%
 
12/1/2036
 
 FL
 
  
                270,872
 
  
                    183,096
Mortgage Loan ID#1000015325**
5.04%
 
7/1/2047
 
 CT
 
  
                205,180
 
  
                    177,754
Mortgage Loan ID#1000029165**
3.25%
 
7/1/2055
 
 WA
 
  
                374,547
 
  
                    177,672
Mortgage Loan ID#1000015960**
4.00%
 
12/1/2049
 
 OR
 
  
                202,224
 
  
                    175,477
Mortgage Loan ID#1000029254**
9.50%
 
2/1/2037
 
 FL
 
  
                433,287
 
  
                    175,439
Mortgage Loan ID#1000028224**
6.00%
 
3/1/2033
 
 NY
 
  
                209,009
 
  
                    174,561
Mortgage Loan ID#1000001355
2.75%
 
9/1/2037
 
 FL
 
  
                250,309
 
  
                    174,440
Mortgage Loan ID#1000028919**
4.13%
 
3/1/2055
 
 NM
 
  
                268,568
 
  
                    174,139
Mortgage Loan ID#1000027844**
3.00%
 
5/1/2051
 
 MA
 
  
                327,495
 
  
                    173,906
Mortgage Loan ID#1000002002
3.00%
 
4/1/2051
 
 IL
 
  
                258,524
 
  
                    173,175
Mortgage Loan ID#1000000293**
4.25%
 
12/1/2054
 
 VT
 
  
                470,972
 
  
                    172,836
Mortgage Loan ID#1000028937**
2.00%
 
11/1/2056
 
 NY
 
  
                426,650
 
  
                    172,405
Mortgage Loan ID#1000043875**
3.13%
 
12/1/2034
 
 NC
 
  
                190,121
 
  
                    171,694
Mortgage Loan ID#1000038587**
2.00%
 
8/1/2055
 
 PA
 
  
                216,878
 
  
                    170,685
Mortgage Loan ID#1000001683
8.33%
 
5/1/2037
 
 TX
 
  
                191,182
 
  
                    170,399
Mortgage Loan ID#1000002200
5.25%
 
6/1/2042
 
 FL
 
  
                220,910
 
  
                    169,760
Mortgage Loan ID#1000026028**
3.43%
 
5/1/2041
 
 CA
 
  
                292,866
 
  
                    169,460
Mortgage Loan ID#1000035724**
2.00%
 
1/1/2045
 
 CA
 
  
                194,534
 
  
                    169,254
Mortgage Loan ID#1000003668
4.00%
 
9/1/2046
 
 MD
 
  
                342,259
 
  
                    169,093
Mortgage Loan ID#1000043832**
4.32%
 
10/1/2056
 
 MD
 
  
                306,208
 
  
                    168,916
Mortgage Loan ID#1000028428**
4.00%
 
3/1/2055
 
 CT
 
  
                201,235
 
  
                    168,784
Mortgage Loan ID#1000044249**
5.63%
 
12/1/2055
 
 CT
 
  
                294,434
 
  
                    168,168
Mortgage Loan ID#1000003663
8.25%
 
12/1/2036
 
 WI
 
  
                188,520
 
  
                    166,747
Mortgage Loan ID#1000026413**
5.13%
 
9/1/2035
 
 MA
 
  
                352,241
 
  
                    166,690
Mortgage Loan ID#1000026463**
3.63%
 
11/1/2055
 
 MD
 
  
                300,711
 
  
                    166,445
Mortgage Loan ID#1000000399**
5.75%
 
12/1/2037
 
 NJ
 
  
                209,774
 
  
                    166,020
Mortgage Loan ID#1000001596
8.83%
 
5/1/2037
 
 NY
 
  
                408,500
 
  
                    165,329
Mortgage Loan ID#1000043503**
5.50%
 
3/1/2056
 
 NJ
 
  
                321,973
 
  
                    165,016
Mortgage Loan ID#1000038507**
6.38%
 
5/1/2037
 
 FL
 
  
                300,000
 
  
                    164,921
Mortgage Loan ID#1000026544**
3.25%
 
7/1/2055
 
 MA
 
  
                227,156
 
  
                    164,624
Mortgage Loan ID#1000017411
3.50%
 
12/1/2055
 
 FL
 
  
                325,247
 
  
                    164,154
Mortgage Loan ID#1000043656**
6.50%
 
12/1/2036
 
 DC
 
  
                228,791
 
  
                    163,388
Mortgage Loan ID#1000029042**
4.88%
 
12/1/2053
 
 PA
 
  
                583,352
 
  
                    162,083
Mortgage Loan ID#1000017267**
4.00%
 
6/1/2055
 
 NY
 
  
                258,943
 
  
                    161,976
Mortgage Loan ID#1000027754**
4.85%
 
9/1/2038
 
 WA
 
  
                226,698
 
  
                    161,155
Mortgage Loan ID#1000028883**
7.00%
 
11/1/2036
 
 FL
 
  
                262,400
 
  
                    161,081
Mortgage Loan ID#1000026182**
4.75%
 
11/1/2054
 
 CA
 
  
                228,313
 
  
                    160,580
Mortgage Loan ID#1000036021**
2.00%
 
7/1/2035
 
 NY
 
  
                312,636
 
  
                    160,551
Mortgage Loan ID#1000043416**
3.50%
 
2/1/2056
 
 CT
 
  
                277,386
 
  
                    160,349
Mortgage Loan ID#1000002021
3.63%
 
4/1/2037
 
 NY
 
  
                214,605
 
  
                    160,287
Mortgage Loan ID#1000027534**
7.13%
 
6/1/2048
 
 FL
 
  
                378,746
 
  
                    159,501
Mortgage Loan ID#1000029283**
3.25%
 
10/1/2046
 
 NY
 
  
                318,669
 
  
                    158,993
Mortgage Loan ID#1000028925
7.20%
 
11/1/2036
 
 FL
 
  
                245,204
 
  
                    158,364
Mortgage Loan ID#1000003527
4.72%
 
9/1/2047
 
 MD
 
  
                385,181
 
  
                    157,796
Mortgage Loan ID#1000001580
3.00%
 
5/1/2054
 
 FL
 
  
                493,830
 
  
                    157,620
Mortgage Loan ID#1000001442
2.00%
 
1/1/2055
 
 NJ
 
  
                270,650
 
  
                    155,321
Mortgage Loan ID#1000000219**
3.75%
 
1/1/2037
 
 IL
 
  
                220,821
 
  
                    154,950
Mortgage Loan ID#1000017081**
6.75%
 
12/1/2033
 
 WA
 
  
                146,388
 
  
                    153,707
Mortgage Loan ID#1000028998**
8.28%
 
1/1/2037
 
 FL
 
  
                227,050
 
  
                    152,845
Mortgage Loan ID#1000003623
3.13%
 
12/1/2035
 
 MA
 
  
                251,222
 
  
                    152,538
Mortgage Loan ID#1000025940**
4.00%
 
4/1/2036
 
 NH
 
  
                261,760
 
  
                    152,311
Mortgage Loan ID#1000026196**
9.45%
 
5/1/2037
 
 MA
 
  
                253,716
 
  
                    151,577
Mortgage Loan ID#1000017171**
6.00%
 
3/1/2049
 
 GA
 
  
                145,337
 
  
                    151,264
Mortgage Loan ID#1000002116
8.63%
 
8/1/2037
 
 NY
 
  
                450,000
 
  
                    151,207
Mortgage Loan ID#1000002377
4.00%
 
5/1/2037
 
 CA
 
  
                205,123
 
  
                    150,988
Mortgage Loan ID#1000026749**
7.92%
 
2/25/2034
 
 MI
 
  
                143,260
 
  
                    150,423
Mortgage Loan ID#1000014966**
3.00%
 
12/1/2050
 
 MD
 
  
                179,369
 
  
                    150,315
Mortgage Loan ID#1000029089**
9.00%
 
4/1/2037
 
 WA
 
  
                188,711
 
  
                    150,104
Mortgage Loan ID#1000003971**
4.50%
 
2/1/2037
 
 MI
 
  
                230,301
 
  
                    149,866
Mortgage Loan ID#1000001610
9.38%
 
8/1/2037
 
 NY
 
  
                347,672
 
  
                    149,128
Mortgage Loan ID#1000028957**
3.75%
 
4/1/2036
 
 CO
 
  
                169,284
 
  
                    148,983
Mortgage Loan ID#1000044113**
6.90%
 
12/1/2034
 
 FL
 
  
                147,524
 
  
                    148,881
Mortgage Loan ID#1000034925**
3.63%
 
12/1/2055
 
 FL
 
  
                277,765
 
  
                    148,032
Mortgage Loan ID#1000016797**
6.99%
 
2/1/2035
 
 NJ
 
  
                150,823
 
  
                    147,315
Mortgage Loan ID#1000001369
3.65%
 
8/1/2056
 
 IL
 
  
                308,985
 
  
                    146,973
Mortgage Loan ID#1000044087**
6.06%
 
11/28/2034
 
 MO
 
  
                171,819
 
  
                    146,806
Mortgage Loan ID#1000028969**
3.63%
 
11/1/2055
 
 MD
 
  
                299,382
 
  
                    146,684
Mortgage Loan ID#1000015875**
2.00%
 
10/1/2051
 
 NY
 
  
                193,507
 
  
                    146,433
Mortgage Loan ID#1000043360**
5.75%
 
1/1/2036
 
 FL
 
  
                233,778
 
  
                    145,532
Mortgage Loan ID#1000017452**
3.83%
 
4/1/2037
 
 AZ
 
  
                168,445
 
  
                    145,470
Mortgage Loan ID#1000026334
4.25%
 
6/1/2056
 
 MD
 
  
                215,475
 
  
                    145,118
Mortgage Loan ID#1000034960**
7.38%
 
4/1/2038
 
 UT
 
  
                140,263
 
  
                    144,543
Mortgage Loan ID#1000001924
2.00%
 
2/1/2056
 
 WA
 
  
                236,931
 
  
                    144,261
Mortgage Loan ID#1000001066
9.50%
 
9/1/2037
 
 FL
 
  
                202,495
 
  
                    143,892
Mortgage Loan ID#1000000658**
5.00%
 
7/1/2037
 
 NY
 
  
                268,187
 
  
                    143,860
Mortgage Loan ID#1000000662**
4.13%
 
1/1/2055
 
 MN
 
  
                208,703
 
  
                    143,027
Mortgage Loan ID#1000000995
5.98%
 
10/1/2046
 
 VA
 
  
                274,351
 
  
                    142,803
Mortgage Loan ID#1000003953
4.38%
 
5/1/2036
 
 RI
 
  
                174,771
 
  
                    142,212
Mortgage Loan ID#1000017418**
2.00%
 
2/1/2052
 
 FL
 
  
                243,381
 
  
                    141,728
Mortgage Loan ID#1000003516
4.13%
 
10/1/2053
 
 MA
 
  
                210,815
 
  
                    141,065
Mortgage Loan ID#1000017513**
4.13%
 
8/1/2053
 
 MA
 
  
                183,557
 
  
                    141,005
Mortgage Loan ID#1000001064
6.22%
 
8/1/2037
 
 FL
 
  
                193,943
 
  
                    140,988
Mortgage Loan ID#1000001022
8.50%
 
2/1/2037
 
 FL
 
  
                202,052
 
  
                    140,964
Mortgage Loan ID#1000001225
4.82%
 
4/1/2031
 
 FL
 
  
                177,445
 
  
                    140,792
Mortgage Loan ID#1000029329**
5.50%
 
5/1/2037
 
 KS
 
  
                202,021
 
  
                    140,773
Mortgage Loan ID#1000043686**
2.00%
 
2/1/2055
 
 FL
 
  
                205,716
 
  
                    140,663
Mortgage Loan ID#1000027353**
2.00%
 
6/1/2051
 
 NY
 
  
                264,919
 
  
                    140,600
Mortgage Loan ID#1000001327
4.78%
 
9/1/2047
 
 CA
 
  
                266,364
 
  
                    140,482
Mortgage Loan ID#1000015566**
3.00%
 
1/1/2051
 
 FL
 
  
                166,083
 
  
                    139,326
Mortgage Loan ID#1000029345**
2.00%
 
12/1/2037
 
 ME
 
  
                223,008
 
  
                    139,218
Mortgage Loan ID#1000026149**
7.13%
 
10/1/2035
 
 NJ
 
  
                177,901
 
  
                    139,188
Mortgage Loan ID#1000017474**
3.38%
 
10/1/2056
 
 IL
 
  
                279,435
 
  
                    138,893
Mortgage Loan ID#1000002040
4.00%
 
7/1/2053
 
 NC
 
  
                196,706
 
  
                    138,813
Mortgage Loan ID#1000003880**
5.00%
 
3/1/2046
 
 MA
 
  
                172,085
 
  
                    137,750
Mortgage Loan ID#1000025982**
7.50%
 
1/1/2039
 
 TX
 
  
                131,169
 
  
                    137,727
Mortgage Loan ID#1000026056**
6.00%
 
9/1/2037
 
 OR
 
  
                155,322
 
  
                    137,420
Mortgage Loan ID#1000043979**
2.00%
 
9/1/2052
 
 WA
 
  
                173,864
 
  
                    137,373
Mortgage Loan ID#1000027676
2.00%
 
4/1/2054
 
 PA
 
  
                179,894
 
  
                    137,318
Mortgage Loan ID#1000028410**
7.85%
 
6/1/2032
 
 SC
 
  
                130,600
 
  
                    136,576
Mortgage Loan ID#1000028832
4.58%
 
10/1/2036
 
 FL
 
  
                601,406
 
  
                    135,796
Mortgage Loan ID#1000028949**
3.00%
 
8/1/2032
 
 FL
 
  
                186,321
 
  
                    135,750
Mortgage Loan ID#1000016457**
8.00%
 
4/1/2037
 
 IL
 
  
                226,931
 
  
                    135,592
Mortgage Loan ID#1000026667**
6.40%
 
4/1/2036
 
 MI
 
  
                138,174
 
  
                    135,510
Mortgage Loan ID#1000003858**
2.75%
 
12/1/2037
 
 GA
 
  
                156,522
 
  
                    134,236
Mortgage Loan ID#1000002340
5.22%
 
6/1/2056
 
 DC
 
  
                283,146
 
  
                    134,032
Mortgage Loan ID#1000026003**
4.00%
 
6/1/2037
 
 FL
 
  
                208,178
 
  
                    133,736
Mortgage Loan ID#1000001265
3.00%
 
6/1/2047
 
 FL
 
  
                265,263
 
  
                    133,585
Mortgage Loan ID#1000044160**
5.13%
 
1/1/2054
 
 OH
 
  
                164,727
 
  
                    133,529
Mortgage Loan ID#1000015578**
7.50%
 
7/1/2041
 
 GA
 
  
                143,103
 
  
                    133,095
Mortgage Loan ID#1000028894**
3.88%
 
9/1/2056
 
 FL
 
  
                295,790
 
  
                    132,880
Mortgage Loan ID#1000035479**
7.95%
 
3/1/2037
 
 FL
 
  
                182,472
 
  
                    132,879
Mortgage Loan ID#1000017383**
4.88%
 
7/1/2037
 
 TX
 
  
                154,508
 
  
                    132,863
Mortgage Loan ID#1000015280**
4.13%
 
4/1/2055
 
 PA
 
  
                253,996
 
  
                    132,627
Mortgage Loan ID#1000026719**
3.00%
 
7/1/2034
 
 TX
 
  
                149,597
 
  
                    132,581
Mortgage Loan ID#1000034848**
5.63%
 
2/1/2038
 
 NY
 
  
                255,003
 
  
                    132,484
Mortgage Loan ID#1000029044**
5.00%
 
12/1/2056
 
 NJ
 
  
                277,927
 
  
                    132,412
Mortgage Loan ID#1000002369
4.00%
 
3/1/2037
 
 NY
 
  
                361,237
 
  
                    132,206
Mortgage Loan ID#1000016611**
3.25%
 
6/1/2056
 
 IL
 
  
                264,589
 
  
                    132,201
Mortgage Loan ID#1000043544**
2.50%
 
6/1/2035
 
 OH
 
  
                179,019
 
  
                    131,606
Mortgage Loan ID#1000043731**
3.75%
 
4/1/2036
 
 NJ
 
  
                206,001
 
  
                    131,086
Mortgage Loan ID#1000029349**
10.63%
 
10/1/2042
 
 FL
 
  
                289,113
 
  
                    130,813
Mortgage Loan ID#1000026002**
2.00%
 
1/1/2042
 
 CT
 
  
                173,589
 
  
                    130,746
Mortgage Loan ID#1000029219**
3.50%
 
9/1/2055
 
 FL
 
  
                209,258
 
  
                    130,614
Mortgage Loan ID#1000017335**
2.63%
 
7/1/2049
 
 VA
 
  
                247,567
 
  
                    130,249
Mortgage Loan ID#1000015317**
2.00%
 
1/1/2052
 
 VA
 
  
                281,928
 
  
                    129,992
Mortgage Loan ID#1000017375**
5.00%
 
4/1/2054
 
 MO
 
  
                165,766
 
  
                    129,928
Mortgage Loan ID#1000044296**
3.63%
 
11/1/2055
 
 IL
 
  
                365,276
 
  
                    129,695
Mortgage Loan ID#1000028317**
8.13%
 
10/1/2037
 
 MD
 
  
                123,464
 
  
                    129,637
Mortgage Loan ID#1000015452**
4.00%
 
5/1/2054
 
 MO
 
  
                215,013
 
  
                    129,076
Mortgage Loan ID#1000027349**
3.25%
 
9/1/2055
 
 CO
 
  
                162,596
 
  
                    128,980
Mortgage Loan ID#1000043555**
5.38%
 
3/1/2038
 
 NC
 
  
                150,837
 
  
                    128,483
Mortgage Loan ID#1000043561**
4.13%
 
8/1/2053
 
 AZ
 
  
                149,551
 
  
                    128,115
Mortgage Loan ID#1000027040**
3.00%
 
8/1/2039
 
 AL
 
  
                212,115
 
  
                    127,754
Mortgage Loan ID#1000044104
2.50%
 
1/1/2035
 
 TX
 
  
                149,406
 
  
                    127,539
Mortgage Loan ID#1000017039**
3.00%
 
4/1/2056
 
 FL
 
  
                379,918
 
  
                    127,171
Mortgage Loan ID#1000025985**
4.78%
 
1/1/2037
 
 TX
 
  
                120,936
 
  
                    126,983
Mortgage Loan ID#1000028865**
7.40%
 
10/1/2036
 
 FL
 
  
                161,600
 
  
                    126,923
Mortgage Loan ID#1000001937
7.88%
 
3/1/2037
 
 TX
 
  
                140,004
 
  
                    126,916
Mortgage Loan ID#1000002310
6.00%
 
5/1/2037
 
 ME
 
  
                223,787
 
  
                    126,873
Mortgage Loan ID#1000025959**
3.38%
 
2/1/2056
 
 KS
 
  
                155,846
 
  
                    126,568
Mortgage Loan ID#1000027985**
4.88%
 
3/1/2054
 
 TN
 
  
                152,916
 
  
                    126,166
Mortgage Loan ID#1000043289**
5.50%
 
3/1/2037
 
 IL
 
  
                142,648
 
  
                    125,863
Mortgage Loan ID#1000028474
4.88%
 
4/1/2054
 
 TX
 
  
                139,124
 
  
                    124,930
Mortgage Loan ID#1000035556**
3.38%
 
6/1/2056
 
 FL
 
  
                170,921
 
  
                    124,758
Mortgage Loan ID#1000035869**
4.00%
 
2/1/2037
 
 MS
 
  
                149,327
 
  
                    124,558
Mortgage Loan ID#1000000611
7.25%
 
3/1/2037
 
 NY
 
  
                129,055
 
  
                    124,329
Mortgage Loan ID#1000029134**
3.00%
 
7/1/2037
 
 FL
 
  
                280,139
 
  
                    124,051
Mortgage Loan ID#1000043594**
3.13%
 
6/1/2056
 
 IN
 
  
                191,359
 
  
                    123,869
Mortgage Loan ID#1000001912
5.00%
 
5/1/2054
 
 FL
 
  
                175,912
 
  
                    123,197
Mortgage Loan ID#1000026007**
4.51%
 
6/1/2037
 
 AZ
 
  
                136,622
 
  
                    123,129
Mortgage Loan ID#1000044151
4.00%
 
9/1/2053
 
 PA
 
  
                151,389
 
  
                    123,080
Mortgage Loan ID#1000028502**
2.00%
 
6/1/2046
 
 MD
 
  
                154,330
 
  
                    122,953
Mortgage Loan ID#1000027808**
3.00%
 
2/1/2046
 
 GA
 
  
                185,959
 
  
                    122,875
Mortgage Loan ID#1000029011**
6.00%
 
8/1/2043
 
 MI
 
  
                167,512
 
  
                    122,597
Mortgage Loan ID#1000017341**
2.00%
 
10/1/2056
 
 WA
 
  
                222,823
 
  
                    122,488
Mortgage Loan ID#1000029109**
7.50%
 
5/1/2032
 
 IL
 
  
                116,659
 
  
                    122,446
Mortgage Loan ID#1000028447**
3.50%
 
8/1/2043
 
 NC
 
  
                190,870
 
  
                    122,163
Mortgage Loan ID#1000043815**
4.75%
 
11/1/2054
 
 NY
 
  
                197,717
 
  
                    121,917
Mortgage Loan ID#1000026200**
4.00%
 
5/1/2055
 
 MA
 
  
                217,774
 
  
                    121,543
Mortgage Loan ID#1000043850**
3.38%
 
8/1/2055
 
 FL
 
  
                346,470
 
  
                    121,046
Mortgage Loan ID#1000043462**
3.50%
 
4/1/2056
 
 NY
 
  
                151,788
 
  
                    120,815
Mortgage Loan ID#1000043827**
3.25%
 
7/1/2055
 
 PA
 
  
                169,601
 
  
                    120,241
Mortgage Loan ID#1000035666**
7.62%
 
2/1/2032
 
 NY
 
  
                122,900
 
  
                    119,939
Mortgage Loan ID#1000003647
2.00%
 
8/1/2043
 
 MI
 
  
                289,803
 
  
                    119,809
Mortgage Loan ID#1000038481
2.00%
 
9/1/2056
 
 NJ
 
  
                264,238
 
  
                    119,103
Mortgage Loan ID#1000029231**
4.13%
 
6/1/2056
 
 IL
 
  
                654,128
 
  
                    118,906
Mortgage Loan ID#1000001961
5.00%
 
4/1/2054
 
 CT
 
  
                186,958
 
  
                    118,853
Mortgage Loan ID#1000001915
7.75%
 
8/1/2036
 
 AZ
 
  
                130,877
 
  
                    118,779
Mortgage Loan ID#1000035990**
2.00%
 
2/1/2052
 
 LA
 
  
                144,218
 
  
                    117,942
Mortgage Loan ID#1000028848**
2.00%
 
6/1/2056
 
 RI
 
  
                323,271
 
  
                    117,819
Mortgage Loan ID#1000003601
7.00%
 
10/1/2035
 
 MD
 
  
                185,250
 
  
                    117,413
Mortgage Loan ID#1000001943
5.80%
 
8/1/2037
 
 MT
 
  
                146,137
 
  
                    116,984
Mortgage Loan ID#1000043469**
4.13%
 
1/1/2055
 
 PA
 
  
                154,114
 
  
                    116,844
Mortgage Loan ID#1000029143**
4.00%
 
8/1/2053
 
 PA
 
  
                138,357
 
  
                    116,677
Mortgage Loan ID#1000001920
7.38%
 
7/1/2036
 
 AZ
 
  
                125,262
 
  
                    116,601
Mortgage Loan ID#1000017245**
7.89%
 
11/1/2035
 
 CA
 
  
                151,276
 
  
                    116,556
Mortgage Loan ID#1000043217**
5.13%
 
9/1/2034
 
 OH
 
  
                124,573
 
  
                    116,256
Mortgage Loan ID#1000026014**
3.25%
 
7/1/2056
 
 OR
 
  
                204,485
 
  
                    116,209
Mortgage Loan ID#1000044215**
4.00%
 
5/1/2055
 
 TX
 
  
                134,947
 
  
                    116,164
Mortgage Loan ID#1000017330**
5.02%
 
1/1/2037
 
 CT
 
  
                209,804
 
  
                    116,029
Mortgage Loan ID#1000035205**
2.75%
 
6/1/2032
 
 CO
 
  
                139,635
 
  
                    115,939
Mortgage Loan ID#1000001346
2.75%
 
9/1/2037
 
 TX
 
  
                152,761
 
  
                    115,858
Mortgage Loan ID#1000028840**
3.19%
 
10/1/2055
 
 FL
 
  
                268,686
 
  
                    115,798
Mortgage Loan ID#1000015336**
8.26%
 
9/1/2037
 
 MN
 
  
                110,480
 
  
                    115,290
Mortgage Loan ID#1000035033**
7.00%
 
10/1/2037
 
 NJ
 
  
                152,649
 
  
                    115,094
Mortgage Loan ID#1000028235**
2.00%
 
2/1/2052
 
 MN
 
  
                150,312
 
  
                    114,498
Mortgage Loan ID#1000034776**
5.00%
 
9/1/2051
 
 IN
 
  
                137,720
 
  
                    114,364
Mortgage Loan ID#1000015627**
6.75%
 
2/1/2037
 
 NY
 
  
                179,970
 
  
                    114,037
Mortgage Loan ID#1000002289
6.00%
 
4/1/2037
 
 AZ
 
  
                140,294
 
  
                    113,971
Mortgage Loan ID#1000025967**
9.25%
 
10/1/2036
 
 PA
 
  
                111,199
 
  
                    113,885
Mortgage Loan ID#1000043476
8.17%
 
9/7/2029
 
 NV
 
  
                161,986
 
  
                    113,699
Mortgage Loan ID#1000035030**
3.50%
 
4/1/2056
 
 FL
 
  
                219,601
 
  
                    113,571
Mortgage Loan ID#1000028793
2.00%
 
11/1/2053
 
 NC
 
  
                262,793
 
  
                    113,075
Mortgage Loan ID#1000015866**
2.00%
 
12/1/2046
 
 PA
 
  
                183,400
 
  
                    113,021
Mortgage Loan ID#1000003856**
2.75%
 
12/1/2037
 
 AR
 
  
                131,191
 
  
                    112,743
Mortgage Loan ID#1000000677**
5.00%
 
11/1/2055
 
 FL
 
  
                147,587
 
  
                    112,648
Mortgage Loan ID#1000015929
6.13%
 
8/1/2036
 
 NY
 
  
                112,749
 
  
                    111,956
Mortgage Loan ID#1000016888**
3.00%
 
1/1/2051
 
 WI
 
  
                139,659
 
  
                    111,583
Mortgage Loan ID#1000002215
7.88%
 
10/1/2056
 
 NC
 
  
                204,686
 
  
                    111,101
Mortgage Loan ID#1000001588
9.25%
 
6/1/2047
 
 NY
 
  
                368,791
 
  
                    110,896
Mortgage Loan ID#1000029409**
4.84%
 
9/1/2037
 
 CA
 
  
                121,404
 
  
                    110,838
Mortgage Loan ID#1000017485**
6.80%
 
4/1/2033
 
 OH
 
  
                110,770
 
  
                    110,806
Mortgage Loan ID#1000044020
3.40%
 
1/1/2038
 
 IL
 
  
                176,693
 
  
                    110,259
Mortgage Loan ID#1000035194**
9.38%
 
5/1/2037
 
 RI
 
  
                298,641
 
  
                    110,124
Mortgage Loan ID#1000038567**
6.13%
 
3/1/2036
 
 ME
 
  
                111,794
 
  
                    109,474
Mortgage Loan ID#1000017230**
4.13%
 
12/1/2054
 
 NY
 
  
                262,908
 
  
                    109,290
Mortgage Loan ID#1000029341**
4.00%
 
2/1/2053
 
 MD
 
  
                148,363
 
  
                    109,252
Mortgage Loan ID#1000044098**
3.50%
 
4/1/2056
 
 MI
 
  
                187,541
 
  
                    109,245
Mortgage Loan ID#1000029135**
7.65%
 
7/1/2037
 
 IL
 
  
                150,086
 
  
                    108,931
Mortgage Loan ID#1000029422**
7.30%
 
10/1/2036
 
 FL
 
  
                191,565
 
  
                    108,905
Mortgage Loan ID#1000028488**
8.63%
 
12/1/2036
 
 NY
 
  
                133,426
 
  
                    108,880
Mortgage Loan ID#1000036067**
6.95%
 
6/1/2035
 
 MD
 
  
                105,482
 
  
                    108,709
Mortgage Loan ID#1000015532**
3.75%
 
9/1/2055
 
 SC
 
  
                210,076
 
  
                    108,650
Mortgage Loan ID#1000015963**
3.13%
 
3/1/2037
 
 FL
 
  
                166,400
 
  
                    108,398
Mortgage Loan ID#1000001966
2.00%
 
3/1/2046
 
 CT
 
  
                224,680
 
  
                    108,366
Mortgage Loan ID#1000026546**
4.63%
 
3/1/2035
 
 VA
 
  
                143,456
 
  
                    107,859
Mortgage Loan ID#1000027437**
9.69%
 
9/22/2036
 
 NY
 
  
                114,538
 
  
                    107,709
Mortgage Loan ID#1000001259
3.75%
 
8/1/2037
 
 FL
 
  
                299,184
 
  
                    107,635
Mortgage Loan ID#1000028487**
5.13%
 
1/1/2056
 
 TN
 
  
                128,058
 
  
                    107,566
Mortgage Loan ID#1000001904
7.63%
 
2/1/2037
 
 TX
 
  
                118,455
 
  
                    107,424
Mortgage Loan ID#1000001431
4.13%
 
9/1/2053
 
 NY
 
  
                184,840
 
  
                    107,390
Mortgage Loan ID#1000026752**
4.75%
 
10/1/2054
 
 OH
 
  
                179,651
 
  
                    107,228
Mortgage Loan ID#1000017362**
5.25%
 
3/1/2036
 
 NY
 
  
                116,640
 
  
                    107,053
Mortgage Loan ID#1000026052**
2.00%
 
9/1/2053
 
 CA
 
  
                202,589
 
  
                    106,667
Mortgage Loan ID#1000043414**
4.38%
 
10/1/2052
 
 NC
 
  
                131,176
 
  
                    106,599
Mortgage Loan ID#1000026019**
2.00%
 
2/1/2044
 
 MD
 
  
                175,864
 
  
                    106,425
Mortgage Loan ID#1000029282**
3.38%
 
10/1/2055
 
 CT
 
  
                170,511
 
  
                    105,819
Mortgage Loan ID#1000026614**
4.88%
 
7/1/2054
 
 NC
 
  
                146,162
 
  
                    105,526
Mortgage Loan ID#1000003614
4.25%
 
5/1/2055
 
 MA
 
  
                367,825
 
  
                    104,830
Mortgage Loan ID#1000027343**
5.25%
 
9/1/2053
 
 WI
 
  
                147,141
 
  
                    104,818
Mortgage Loan ID#1000043618**
3.50%
 
2/1/2056
 
 NY
 
  
                289,463
 
  
                    104,784
Mortgage Loan ID#1000028177**
4.13%
 
2/1/2055
 
 PA
 
  
                134,002
 
  
                    104,217
Mortgage Loan ID#1000017068**
4.00%
 
9/1/2056
 
 MD
 
  
                197,688
 
  
                    103,804
Mortgage Loan ID#1000015924**
7.51%
 
8/1/2037
 
 FL
 
  
                164,700
 
  
                    103,418
Mortgage Loan ID#1000043409**
5.13%
 
12/1/2054
 
 VA
 
  
                119,597
 
  
                    103,361
Mortgage Loan ID#1000000365**
11.75%
 
10/1/2037
 
 VA
 
  
                112,379
 
  
                    102,952
Mortgage Loan ID#1000016152**
5.75%
 
5/1/2032
 
 NY
 
  
                101,254
 
  
                    102,888
Mortgage Loan ID#1000001344
2.00%
 
8/1/2053
 
 FL
 
  
                179,792
 
  
                    102,803
Mortgage Loan ID#1000027466**
8.40%
 
3/1/2036
 
 NJ
 
  
                283,206
 
  
                    100,956
Mortgage Loan ID#1000017468**
2.00%
 
6/1/2044
 
 NJ
 
  
                171,939
 
  
                    100,930
Mortgage Loan ID#1000043304**
9.59%
 
12/1/2036
 
 IL
 
  
                122,064
 
  
                    100,192
Mortgage Loan ID#1000026516**
5.25%
 
1/1/2049
 
 CT
 
  
                195,091
 
  
                      99,907
Mortgage Loan ID#1000028440**
3.00%
 
8/1/2055
 
 NY
 
  
                131,471
 
  
                      99,803
Mortgage Loan ID#1000027169**
8.75%
 
2/1/2038
 
 NJ
 
  
                  95,125
 
  
                      99,132
Mortgage Loan ID#1000015608**
4.00%
 
4/1/2055
 
 FL
 
  
                124,043
 
  
                      99,123
Mortgage Loan ID#1000001619
3.00%
 
5/1/2037
 
 CA
 
  
                180,265
 
  
                      98,320
Mortgage Loan ID#1000043320**
4.88%
 
9/1/2056
 
 WI
 
  
                207,121
 
  
                      97,947
Mortgage Loan ID#1000026021**
4.00%
 
9/1/2050
 
 IL
 
  
                259,811
 
  
                      97,711
Mortgage Loan ID#1000001326
4.00%
 
8/1/2047
 
 FL
 
  
                132,586
 
  
                      97,575
Mortgage Loan ID#1000028191**
3.25%
 
9/1/2055
 
 PA
 
  
                192,201
 
  
                      97,140
Mortgage Loan ID#1000044209**
4.50%
 
6/1/2036
 
 LA
 
  
                102,892
 
  
                      97,049
Mortgage Loan ID#1000027352**
7.88%
 
5/1/2035
 
 OH
 
  
                  92,097
 
  
                      96,675
Mortgage Loan ID#1000028931**
2.00%
 
7/1/2056
 
 CT
 
  
                226,096
 
  
                      96,645
Mortgage Loan ID#1000028008**
7.13%
 
12/1/2032
 
 AL
 
  
                104,177
 
  
                      96,474
Mortgage Loan ID#1000043863**
3.00%
 
9/1/2056
 
 IL
 
  
                173,241
 
  
                      96,473
Mortgage Loan ID#1000027454**
3.88%
 
3/1/2053
 
 NJ
 
  
                345,428
 
  
                      96,298
Mortgage Loan ID#1000016520**
2.50%
 
10/1/2055
 
 FL
 
  
                135,618
 
  
                      96,245
Mortgage Loan ID#1000000426**
2.88%
 
1/1/2038
 
 CO
 
  
                146,465
 
  
                      95,574
Mortgage Loan ID#1000028180**
4.13%
 
8/1/2053
 
 PA
 
  
                111,022
 
  
                      95,572
Mortgage Loan ID#1000017460**
7.00%
 
5/1/2053
 
 FL
 
  
                233,658
 
  
                      95,512
Mortgage Loan ID#1000026384**
4.00%
 
9/1/2053
 
 MN
 
  
                134,035
 
  
                      95,489
Mortgage Loan ID#1000025964**
4.13%
 
12/1/2054
 
 PA
 
  
                115,148
 
  
                      95,428
Mortgage Loan ID#1000001983
5.00%
 
3/1/2037
 
 FL
 
  
                131,184
 
  
                      95,421
Mortgage Loan ID#1000015314**
3.25%
 
3/1/2049
 
 IN
 
  
                125,433
 
  
                      95,329
Mortgage Loan ID#1000035224**
6.78%
 
5/1/2033
 
 NY
 
  
                115,687
 
  
                      95,165
Mortgage Loan ID#1000002359
8.63%
 
4/1/2037
 
 NY
 
  
                259,846
 
  
                      95,163
Mortgage Loan ID#1000026058**
6.13%
 
5/1/2034
 
 TX
 
  
                128,828
 
  
                      95,036
Mortgage Loan ID#1000029233**
9.60%
 
8/1/2034
 
 FL
 
  
                  87,615
 
  
                      95,029
Mortgage Loan ID#1000016038**
6.99%
 
3/1/2037
 
 DE
 
  
                152,305
 
  
                      94,694
Mortgage Loan ID#1000000412**
2.63%
 
12/1/2037
 
 DE
 
  
                136,687
 
  
                      94,320
Mortgage Loan ID#1000038454**
6.50%
 
1/1/2038
 
 NJ
 
  
                127,627
 
  
                      94,271
Mortgage Loan ID#1000035535**
3.00%
 
3/1/2051
 
 LA
 
  
                118,182
 
  
                      93,732
Mortgage Loan ID#1000034882**
6.38%
 
7/1/2036
 
 NJ
 
  
                202,992
 
  
                      93,178
Mortgage Loan ID#1000029287**
4.00%
 
7/1/2037
 
 FL
 
  
                230,332
 
  
                      92,889
Mortgage Loan ID#1000001247
3.00%
 
11/1/2050
 
 OH
 
  
                268,021
 
  
                      92,574
Mortgage Loan ID#1000027941**
8.75%
 
10/1/2056
 
 GA
 
  
                189,174
 
  
                      92,524
Mortgage Loan ID#1000001910
3.00%
 
7/1/2047
 
 NV
 
  
                242,989
 
  
                      92,508
Mortgage Loan ID#1000017458**
4.25%
 
1/1/2055
 
 VA
 
  
                140,203
 
  
                      92,262
Mortgage Loan ID#1000015276**
5.50%
 
3/1/2056
 
 PA
 
  
                150,447
 
  
                      92,226
Mortgage Loan ID#1000038442**
4.13%
 
10/1/2053
 
 OK
 
  
                145,533
 
  
                      92,219
Mortgage Loan ID#1000043563**
3.88%
 
12/1/2037
 
 FL
 
  
                224,590
 
  
                      92,153
Mortgage Loan ID#1000029186
3.00%
 
11/1/2056
 
 FL
 
  
                209,233
 
  
                      92,104
Mortgage Loan ID#1000001827
8.50%
 
9/1/2037
 
 IN
 
  
                102,534
 
  
                      92,015
Mortgage Loan ID#1000001569
2.00%
 
6/1/2053
 
 FL
 
  
                163,026
 
  
                      91,449
Mortgage Loan ID#1000003513
2.38%
 
3/1/2037
 
 GA
 
  
                131,199
 
  
                      91,030
Mortgage Loan ID#1000043752**
6.99%
 
12/1/2036
 
 OK
 
  
                  88,832
 
  
                      90,987
Mortgage Loan ID#1000014981**
3.50%
 
5/1/2056
 
 IL
 
  
                121,379
 
  
                      90,725
Mortgage Loan ID#1000001840
4.86%
 
2/1/2047
 
 MN
 
  
                161,593
 
  
                      90,547
Mortgage Loan ID#1000043257**
4.00%
 
10/1/2056
 
 FL
 
  
                191,030
 
  
                      90,425
Mortgage Loan ID#1000026016**
2.00%
 
10/1/2056
 
 NM
 
  
                246,338
 
  
                      90,320
Mortgage Loan ID#1000029316**
8.45%
 
8/1/2056
 
 TX
 
  
                  90,910
 
  
                      90,290
Mortgage Loan ID#1000027668**
2.63%
 
1/1/2035
 
 OH
 
  
                154,476
 
  
                      90,052
Mortgage Loan ID#1000016053**
9.25%
 
4/1/2037
 
 ME
 
  
                119,370
 
  
                      89,344
Mortgage Loan ID#1000035314**
3.13%
 
1/1/2036
 
 MD
 
  
                218,268
 
  
                      89,289
Mortgage Loan ID#1000035732**
4.13%
 
8/1/2053
 
 OR
 
  
                142,991
 
  
                      88,508
Mortgage Loan ID#1000015597**
7.38%
 
9/1/2036
 
 OH
 
  
                113,195
 
  
                      88,449
Mortgage Loan ID#1000035573**
4.13%
 
8/1/2053
 
 FL
 
  
                116,534
 
  
                      88,075
Mortgage Loan ID#1000029172**
3.25%
 
9/1/2055
 
 FL
 
  
                118,319
 
  
                      87,858
Mortgage Loan ID#1000026604**
2.00%
 
11/1/2051
 
 GA
 
  
                167,661
 
  
                      87,677
Mortgage Loan ID#1000043928**
3.38%
 
1/1/2056
 
 TX
 
  
                113,167
 
  
                      87,288
Mortgage Loan ID#1000027258**
8.25%
 
11/1/2037
 
 AL
 
  
                116,072
 
  
                      87,270
Mortgage Loan ID#1000029170**
2.00%
 
1/1/2037
 
 PA
 
  
                145,173
 
  
                      87,069
Mortgage Loan ID#1000043981**
2.00%
 
9/1/2042
 
 NC
 
  
                121,415
 
  
                      86,998
Mortgage Loan ID#1000027126**
3.75%
 
4/1/2034
 
 IL
 
  
                158,133
 
  
                      86,714
Mortgage Loan ID#1000026059**
3.00%
 
10/1/2056
 
 IL
 
  
                498,095
 
  
                      86,565
Mortgage Loan ID#1000017455**
5.88%
 
8/1/2037
 
 SC
 
  
                131,955
 
  
                      86,433
Mortgage Loan ID#1000026110**
2.00%
 
10/1/2056
 
 SC
 
  
                230,201
 
  
                      86,219
Mortgage Loan ID#1000027397**
2.00%
 
2/1/2037
 
 CT
 
  
                260,453
 
  
                      86,048
Mortgage Loan ID#1000017321**
5.15%
 
7/1/2056
 
 MD
 
  
                175,070
 
  
                      85,867
Mortgage Loan ID#1000043977**
9.79%
 
11/1/2037
 
 TX
 
  
                125,161
 
  
                      85,319
Mortgage Loan ID#1000035629**
3.00%
 
8/1/2054
 
 DE
 
  
                175,063
 
  
                      84,810
Mortgage Loan ID#1000028922**
4.13%
 
10/1/2053
 
 PA
 
  
                214,496
 
  
                      84,806
Mortgage Loan ID#1000001128
5.00%
 
11/1/2036
 
 FL
 
  
                121,690
 
  
                      84,685
Mortgage Loan ID#1000029137**
2.00%
 
11/1/2044
 
 FL
 
  
                232,631
 
  
                      83,852
Mortgage Loan ID#1000003508
4.00%
 
7/1/2053
 
 GA
 
  
                113,852
 
  
                      83,569
Mortgage Loan ID#1000043833**
6.38%
 
2/1/2034
 
 NY
 
  
                115,112
 
  
                      83,565
Mortgage Loan ID#1000029401**
9.25%
 
8/1/2037
 
 OH
 
  
                  88,721
 
  
                      83,097
Mortgage Loan ID#1000044193**
4.00%
 
11/1/2048
 
 NC
 
  
                150,652
 
  
                      82,931
Mortgage Loan ID#1000028909**
2.00%
 
9/1/2054
 
 CA
 
  
                172,762
 
  
                      82,783
Mortgage Loan ID#1000043946**
2.00%
 
7/1/2056
 
 MA
 
  
                159,198
 
  
                      81,680
Mortgage Loan ID#1000028156**
5.99%
 
6/1/2037
 
 NJ
 
  
                171,886
 
  
                      81,330
Mortgage Loan ID#1000043995**
2.00%
 
1/1/2045
 
 IL
 
  
                306,860
 
  
                      80,940
Mortgage Loan ID#1000027105**
8.75%
 
9/21/2037
 
 OR
 
  
                153,228
 
  
                      80,282
Mortgage Loan ID#1000016194**
6.88%
 
8/1/2018
 
 NY
 
  
                  89,843
 
  
                      80,202
Mortgage Loan ID#1000029122
4.75%
 
6/1/2054
 
 FL
 
  
                167,763
 
  
                      80,041
Mortgage Loan ID#1000043804
5.00%
 
7/1/2056
 
 NJ
 
  
                510,143
 
  
                      79,967
Mortgage Loan ID#1000003506
3.38%
 
3/1/2056
 
 MI
 
  
                113,468
 
  
                      79,801
Mortgage Loan ID#1000038508**
4.50%
 
6/1/2047
 
 NJ
 
  
                234,727
 
  
                      79,552
Mortgage Loan ID#1000001822
2.00%
 
1/1/2051
 
 FL
 
  
                157,224
 
  
                      79,056
Mortgage Loan ID#1000001793
8.50%
 
9/1/2037
 
 NY
 
  
                  84,867
 
  
                      78,451
Mortgage Loan ID#1000015260**
4.00%
 
12/1/2036
 
 GA
 
  
                  90,098
 
  
                      78,362
Mortgage Loan ID#1000001968
5.00%
 
9/1/2037
 
 IL
 
  
                134,231
 
  
                      77,941
Mortgage Loan ID#1000029115**
3.00%
 
7/1/2037
 
 CA
 
  
                370,927
 
  
                      77,742
Mortgage Loan ID#1000027358**
7.80%
 
8/1/2056
 
 IL
 
  
                118,423
 
  
                      77,624
Mortgage Loan ID#1000028936**
5.00%
 
5/1/2054
 
 NY
 
  
                412,683
 
  
                      77,531
Mortgage Loan ID#1000029027**
4.63%
 
9/1/2056
 
 AZ
 
  
                304,456
 
  
                      77,243
Mortgage Loan ID#1000000440**
2.88%
 
1/1/2038
 
 TX
 
  
                  88,195
 
  
                      77,200
Mortgage Loan ID#1000003627
3.00%
 
11/1/2052
 
 WI
 
  
                161,201
 
  
                      76,961
Mortgage Loan ID#1000027341**
8.55%
 
7/1/2029
 
 TX
 
  
                  98,697
 
  
                      76,916
Mortgage Loan ID#1000003512
3.63%
 
11/1/2034
 
 GA
 
  
                  99,673
 
  
                      76,710
Mortgage Loan ID#1000001948
7.63%
 
5/1/2037
 
 VA
 
  
                120,849
 
  
                      76,434
Mortgage Loan ID#1000043722**
6.78%
 
2/1/2037
 
 PA
 
  
                  91,253
 
  
                      76,351
Mortgage Loan ID#1000029060**
2.00%
 
6/1/2054
 
 LA
 
  
                  99,720
 
  
                      75,821
Mortgage Loan ID#1000026938**
7.64%
 
12/1/2036
 
 NY
 
  
                170,519
 
  
                      75,323
Mortgage Loan ID#1000017518**
3.38%
 
8/1/2055
 
 NJ
 
  
                171,793
 
  
                      74,446
Mortgage Loan ID#1000000563**
8.99%
 
2/1/2037
 
 AZ
 
  
                  81,377
 
  
                      74,373
Mortgage Loan ID#1000026553
2.00%
 
3/1/2038
 
 IL
 
  
                285,953
 
  
                      74,349
Mortgage Loan ID#1000035041**
6.25%
 
11/1/2056
 
 NJ
 
  
                242,563
 
  
                      74,248
Mortgage Loan ID#1000025973**
3.00%
 
11/1/2054
 
 PA
 
  
                297,472
 
  
                      74,177
Mortgage Loan ID#1000029391**
7.61%
 
8/1/2040
 
 FL
 
  
                242,367
 
  
                      74,039
Mortgage Loan ID#1000044235**
6.85%
 
1/26/2036
 
 NJ
 
  
                  90,853
 
  
                      73,678
Mortgage Loan ID#1000000706**
3.13%
 
8/1/2037
 
 FL
 
  
                231,992
 
  
                      73,376
Mortgage Loan ID#1000035363
2.75%
 
12/1/2024
 
 CA
 
  
                  79,675
 
  
                      71,948
Mortgage Loan ID#1000026256**
8.75%
 
11/1/2035
 
 FL
 
  
                143,301
 
  
                      71,869
Mortgage Loan ID#1000027381**
11.50%
 
10/1/2035
 
 NC
 
  
                  68,357
 
  
                      71,775
Mortgage Loan ID#1000015614**
2.63%
 
8/1/2036
 
 FL
 
  
                113,684
 
  
                      71,690
Mortgage Loan ID#1000029308**
5.88%
 
2/1/2022
 
 MI
 
  
                  59,660
 
  
                      71,451
Mortgage Loan ID#1000028798**
4.84%
 
11/1/2036
 
 OH
 
  
                122,879
 
  
                      70,835
Mortgage Loan ID#1000027174**
4.25%
 
1/1/2056
 
 MA
 
  
                337,849
 
  
                      70,819
Mortgage Loan ID#1000034979**
3.13%
 
8/1/2056
 
 IL
 
  
                197,191
 
  
                      70,756
Mortgage Loan ID#1000015565**
8.70%
 
12/1/2034
 
 NY
 
  
                  67,138
 
  
                      70,495
Mortgage Loan ID#1000000621**
4.50%
 
11/1/2053
 
 KY
 
  
                  96,289
 
  
                      70,308
Mortgage Loan ID#1000015277**
4.88%
 
12/1/2053
 
 MD
 
  
                  88,886
 
  
                      69,864
Mortgage Loan ID#1000017525**
4.00%
 
4/1/2055
 
 MD
 
  
                152,233
 
  
                      69,723
Mortgage Loan ID#1000017526**
2.00%
 
1/1/2042
 
 IA
 
  
                  86,663
 
  
                      69,486
Mortgage Loan ID#1000001921
7.75%
 
5/1/2037
 
 VA
 
  
                130,093
 
  
                      69,070
Mortgage Loan ID#1000029385**
8.50%
 
5/1/2037
 
 FL
 
  
                178,830
 
  
                      68,876
Mortgage Loan ID#1000035844**
5.75%
 
9/1/2056
 
 SC
 
  
                231,665
 
  
                      68,564
Mortgage Loan ID#1000001464
3.00%
 
6/1/2055
 
 IL
 
  
                266,557
 
  
                      68,529
Mortgage Loan ID#1000028943**
2.00%
 
6/1/2053
 
 FL
 
  
                296,806
 
  
                      68,498
Mortgage Loan ID#1000002011
2.00%
 
8/1/2056
 
 FL
 
  
                483,145
 
  
                      67,468
Mortgage Loan ID#1000002006
7.75%
 
3/1/2037
 
 FL
 
  
                  74,984
 
  
                      67,313
Mortgage Loan ID#1000028406**
7.50%
 
5/1/2035
 
 NY
 
  
                  90,270
 
  
                      67,299
Mortgage Loan ID#1000003679
4.88%
 
5/1/2054
 
 MI
 
  
                120,027
 
  
                      67,281
Mortgage Loan ID#1000015272**
7.83%
 
2/1/2037
 
 TX
 
  
                  63,728
 
  
                      66,915
Mortgage Loan ID#1000044279**
6.70%
 
7/1/2026
 
 TX
 
  
                  66,139
 
  
                      66,747
Mortgage Loan ID#1000015939**
4.00%
 
9/1/2053
 
 AZ
 
  
                  76,373
 
  
                      66,595
Mortgage Loan ID#1000015637**
4.25%
 
12/1/2054
 
 AL
 
  
                109,986
 
  
                      65,791
Mortgage Loan ID#1000016328**
6.25%
 
12/1/2034
 
 NJ
 
  
                138,797
 
  
                      65,510
Mortgage Loan ID#1000015651**
8.70%
 
6/1/2036
 
 TX
 
  
                  62,838
 
  
                      65,381
Mortgage Loan ID#1000026712**
4.88%
 
1/1/2036
 
 TX
 
  
                  82,006
 
  
                      65,025
Mortgage Loan ID#1000016784**
8.25%
 
5/1/2037
 
 FL
 
  
                197,654
 
  
                      64,862
Mortgage Loan ID#1000026506**
4.13%
 
2/1/2055
 
 FL
 
  
                112,478
 
  
                      64,329
Mortgage Loan ID#1000028465**
4.80%
 
2/1/2036
 
 OR
 
  
                127,615
 
  
                      64,326
Mortgage Loan ID#1000028413**
4.88%
 
12/1/2053
 
 TX
 
  
                  71,617
 
  
                      64,297
Mortgage Loan ID#1000028161**
3.00%
 
2/1/2056
 
 IL
 
  
                238,765
 
  
                      63,890
Mortgage Loan ID#1000044142**
3.88%
 
10/1/2054
 
 OH
 
  
                127,725
 
  
                      63,717
Mortgage Loan ID#1000014997**
7.88%
 
12/1/2054
 
 NY
 
  
                  60,540
 
  
                      63,567
Mortgage Loan ID#1000025958**
4.13%
 
11/1/2053
 
 WI
 
  
                128,833
 
  
                      63,386
Mortgage Loan ID#1000003504
4.00%
 
5/1/2055
 
 AR
 
  
                  88,135
 
  
                      63,346
Mortgage Loan ID#1000002009
3.00%
 
7/1/2054
 
 NJ
 
  
                347,290
 
  
                      63,018
Mortgage Loan ID#1000043709**
4.13%
 
10/1/2056
 
 MI
 
  
                160,490
 
  
                      62,755
Mortgage Loan ID#1000044075**
11.99%
 
10/1/2029
 
 PA
 
  
                  60,383
 
  
                      62,459
Mortgage Loan ID#1000044092**
6.99%
 
7/1/2024
 
 PA
 
  
                  62,290
 
  
                      62,447
Mortgage Loan ID#1000001271
2.25%
 
9/1/2056
 
 NJ
 
  
                362,903
 
  
                      61,624
Mortgage Loan ID#1000015932
6.13%
 
10/1/2036
 
 NY
 
  
                  62,543
 
  
                      61,561
Mortgage Loan ID#1000001800
7.88%
 
4/1/2037
 
 NY
 
  
                103,579
 
  
                      61,512
Mortgage Loan ID#1000015282**
2.00%
 
3/1/2051
 
 LA
 
  
                126,558
 
  
                      61,500
Mortgage Loan ID#1000001589
2.63%
 
10/1/2056
 
 NJ
 
  
                273,606
 
  
                      61,320
Mortgage Loan ID#1000026454**
2.00%
 
6/1/2051
 
 IA
 
  
                  74,275
 
  
                      60,589
Mortgage Loan ID#1000026464**
7.50%
 
8/1/2035
 
 WI
 
  
                  57,615
 
  
                      60,168
Mortgage Loan ID#1000015320**
4.00%
 
7/1/2039
 
 DE
 
  
                139,406
 
  
                      59,773
Mortgage Loan ID#1000027403**
5.38%
 
4/1/2036
 
 WI
 
  
                202,915
 
  
                      59,507
Mortgage Loan ID#1002229098
8.00%
 
12/1/2025
 
 GA
 
  
                  56,503
 
  
                      59,328
Mortgage Loan ID#1000017401**
3.00%
 
1/1/2051
 
 IN
 
  
                108,355
 
  
                      59,281
Mortgage Loan ID#1000027318**
3.38%
 
9/1/2055
 
 OH
 
  
                  84,608
 
  
                      59,021
Mortgage Loan ID#1000001233
2.00%
 
1/1/2047
 
 IL
 
  
                131,509
 
  
                      58,945
Mortgage Loan ID#1000028837**
7.13%
 
10/1/2028
 
 OH
 
  
                  64,238
 
  
                      58,890
Mortgage Loan ID#1000025970**
7.00%
 
1/1/2037
 
 SD
 
  
                  82,522
 
  
                      58,626
Mortgage Loan ID#1000025925**
5.36%
 
12/1/2035
 
 NY
 
  
                  84,843
 
  
                      58,398
Mortgage Loan ID#1000025947**
4.25%
 
3/1/2055
 
 KS
 
  
                  71,646
 
  
                      58,373
Mortgage Loan ID#1000035249**
9.00%
 
6/1/2027
 
 NY
 
  
                  55,560
 
  
                      57,962
Mortgage Loan ID#1000026730**
7.83%
 
4/1/2048
 
 FL
 
  
                  96,268
 
  
                      57,849
Mortgage Loan ID#1000015563**
4.00%
 
10/1/2053
 
 LA
 
  
                  67,878
 
  
                      57,828
Mortgage Loan ID#1000043575**
5.88%
 
6/1/2036
 
 NY
 
  
                177,408
 
  
                      57,824
Mortgage Loan ID#1000016084
5.13%
 
1/1/2054
 
 LA
 
  
                  71,734
 
  
                      57,548
Mortgage Loan ID#1000017087**
8.00%
 
8/1/2025
 
 IL
 
  
                  60,419
 
  
                      57,033
Mortgage Loan ID#1000001834
8.75%
 
5/1/2037
 
 NV
 
  
                169,526
 
  
                      56,521
Mortgage Loan ID#1000026230**
7.25%
 
12/1/2035
 
 FL
 
  
                  75,913
 
  
                      56,481
Mortgage Loan ID#1000029105**
3.88%
 
9/1/2053
 
 OH
 
  
                127,750
 
  
                      56,284
Mortgage Loan ID#7000014317
5.25%
 
3/1/2042
 
 VA
 
  
                130,847
 
  
                      55,944
Mortgage Loan ID#1000000376**
11.13%
 
10/1/2037
 
 NY
 
  
                  53,400
 
  
                      55,575
Mortgage Loan ID#1000001546
4.88%
 
5/1/2054
 
 NC
 
  
                  96,642
 
  
                      55,513
Mortgage Loan ID#1000043746**
4.88%
 
9/1/2056
 
 CT
 
  
                168,879
 
  
                      55,341
Mortgage Loan ID#1000043264**
3.25%
 
4/1/2056
 
 OH
 
  
                  93,757
 
  
                      54,534
Mortgage Loan ID#1000027361**
7.45%
 
12/1/2025
 
 LA
 
  
                  54,135
 
  
                      53,994
Mortgage Loan ID#1000029244**
6.47%
 
8/1/2036
 
 TX
 
  
                  53,867
 
  
                      53,697
Mortgage Loan ID#1000017351**
2.88%
 
4/1/2036
 
 KS
 
  
                  86,782
 
  
                      53,668
Mortgage Loan ID#1000027348**
5.15%
 
10/1/2034
 
 KY
 
  
                  77,307
 
  
                      53,562
Mortgage Loan ID#1000015257**
3.25%
 
8/1/2055
 
 PA
 
  
                161,615
 
  
                      53,550
Mortgage Loan ID#1000027380**
4.00%
 
5/1/2055
 
 TX
 
  
                101,644
 
  
                      52,799
Mortgage Loan ID#1000044181**
6.75%
 
6/1/2037
 
 MI
 
  
                136,033
 
  
                      52,564
Mortgage Loan ID#1000002117
5.14%
 
5/1/2037
 
 NJ
 
  
                465,434
 
  
                      52,336
Mortgage Loan ID#1000027952**
4.88%
 
2/1/2037
 
 IN
 
  
                135,791
 
  
                      52,101
Mortgage Loan ID#1000026763**
11.75%
 
4/1/2020
 
 NY
 
  
                  52,577
 
  
                      52,073
Mortgage Loan ID#1000015558**
4.88%
 
7/1/2054
 
 NY
 
  
                  65,356
 
  
                      51,558
Mortgage Loan ID#1000043424**
7.38%
 
6/1/2026
 
 AL
 
  
                  50,021
 
  
                      51,501
Mortgage Loan ID#1000017252**
7.00%
 
9/1/2028
 
 NY
 
  
                  50,681
 
  
                      51,465
Mortgage Loan ID#1000015261**
4.88%
 
8/1/2054
 
 PA
 
  
                117,689
 
  
                      51,200
Mortgage Loan ID#1000026554**
10.68%
 
11/6/2027
 
 GA
 
  
                  49,475
 
  
                      51,198
Mortgage Loan ID#1000015906**
3.50%
 
1/1/2056
 
 TX
 
  
                  62,026
 
  
                      51,070
Mortgage Loan ID#1000029162**
7.50%
 
8/1/2035
 
 LA
 
  
                118,237
 
  
                      51,070
Mortgage Loan ID#1000044196**
7.99%
 
1/1/2036
 
 MD
 
  
                148,017
 
  
                      50,770
Mortgage Loan ID#1000043222**
3.49%
 
5/1/2025
 
 CA
 
  
                  55,164
 
  
                      50,548
Mortgage Loan ID#1000029399**
2.00%
 
7/1/2037
 
 MD
 
  
                109,340
 
  
                      50,529
Mortgage Loan ID#7000003524
4.75%
 
7/1/2040
 
 CA
 
  
                162,493
 
  
                      50,469
Mortgage Loan ID#1000029163**
5.04%
 
2/1/2037
 
 PA
 
  
                  99,074
 
  
                      50,239
Mortgage Loan ID#1000025927**
4.61%
 
5/1/2036
 
 ID
 
  
                  60,966
 
  
                      49,738
Mortgage Loan ID#1000015268**
4.85%
 
10/1/2050
 
 FL
 
  
                159,583
 
  
                      48,843
Mortgage Loan ID#1000029010**
3.00%
 
9/1/2044
 
 FL
 
  
                120,026
 
  
                      48,706
Mortgage Loan ID#1000029423**
3.40%
 
6/1/2044
 
 TX
 
  
                  91,983
 
  
                      48,548
Mortgage Loan ID#1000027209**
4.63%
 
8/1/2054
 
 IL
 
  
                178,052
 
  
                      48,383
Mortgage Loan ID#1000043439
8.99%
 
5/1/2032
 
 IN
 
  
                  65,323
 
  
                      47,964
Mortgage Loan ID#1000027992**
3.13%
 
9/1/2035
 
 IL
 
  
                  77,988
 
  
                      47,798
Mortgage Loan ID#1000026461**
8.60%
 
7/1/2034
 
 TX
 
  
                  55,070
 
  
                      47,321
Mortgage Loan ID#1000001521
2.00%
 
7/1/2051
 
 NE
 
  
                117,308
 
  
                      47,197
Mortgage Loan ID#1000025935**
4.13%
 
8/1/2053
 
 PA
 
  
                210,627
 
  
                      47,046
Mortgage Loan ID#1000043847**
8.95%
 
3/7/2037
 
 UT
 
  
                  45,230
 
  
                      47,018
Mortgage Loan ID#1000016159**
6.75%
 
11/1/2036
 
 NY
 
  
                169,119
 
  
                      46,635
Mortgage Loan ID#1000015553**
10.99%
 
4/1/2015
 
 NY
 
  
                  44,036
 
  
                      46,238
Mortgage Loan ID#1000034867
4.00%
 
8/1/2053
 
 WI
 
  
                  71,300
 
  
                      46,185
Mortgage Loan ID#1000000363**
11.63%
 
10/1/2037
 
 NY
 
  
                  44,083
 
  
                      45,860
Mortgage Loan ID#1000016908**
5.00%
 
2/1/2019
 
 CA
 
  
                  46,758
 
  
                      45,104
Mortgage Loan ID#1000015564**
8.00%
 
3/1/2024
 
 MS
 
  
                  43,762
 
  
                      44,578
Mortgage Loan ID#7000044223
4.25%
 
2/1/2044
 
 CA
 
  
                182,328
 
  
                      44,515
Mortgage Loan ID#1000025995**
4.13%
 
8/1/2053
 
 AL
 
  
                  77,307
 
  
                      44,390
Mortgage Loan ID#1000017447**
8.15%
 
2/1/2036
 
 AL
 
  
                  65,976
 
  
                      44,378
Mortgage Loan ID#1000044291**
3.25%
 
9/1/2048
 
 TN
 
  
                  83,986
 
  
                      44,172
Mortgage Loan ID#1000044171**
4.00%
 
9/1/2053
 
 IL
 
  
                269,379
 
  
                      43,823
Mortgage Loan ID#1000044266**
8.95%
 
10/1/2036
 
 NY
 
  
                  57,785
 
  
                      43,474
Mortgage Loan ID#1000026055**
2.60%
 
7/1/2056
 
 FL
 
  
                181,614
 
  
                      43,215
Mortgage Loan ID#1000034773**
5.13%
 
5/1/2050
 
 PA
 
  
                  69,192
 
  
                      43,028
Mortgage Loan ID#1000000641**
8.00%
 
1/1/2037
 
 TX
 
  
                  49,139
 
  
                      42,997
Mortgage Loan ID#1000015573**
4.13%
 
12/1/2056
 
 NC
 
  
                  92,262
 
  
                      42,985
Mortgage Loan ID#1000044152**
5.00%
 
4/1/2054
 
 MO
 
  
                  71,909
 
  
                      42,975
Mortgage Loan ID#1000015907**
7.50%
 
2/1/2037
 
 TX
 
  
                  41,231
 
  
                      42,826
Mortgage Loan ID#1000027625**
4.88%
 
2/1/2054
 
 WI
 
  
                170,894
 
  
                      42,681
Mortgage Loan ID#1000017142**
3.52%
 
3/1/2017
 
 NY
 
  
                  42,139
 
  
                      42,341
Mortgage Loan ID#1000000663**
9.85%
 
1/1/2037
 
 NY
 
  
                  59,525
 
  
                      41,970
Mortgage Loan ID#1000015945**
3.13%
 
2/1/2037
 
 IL
 
  
                  77,911
 
  
                      40,946
Mortgage Loan ID#1000025933**
7.00%
 
4/1/2039
 
 AL
 
  
                  52,236
 
  
                      40,841
Mortgage Loan ID#1000029247**
2.00%
 
6/1/2053
 
 TX
 
  
                  59,469
 
  
                      40,531
Mortgage Loan ID#1000003477
2.00%
 
1/1/2052
 
 MS
 
  
                123,578
 
  
                      40,259
Mortgage Loan ID#1000028966**
4.38%
 
8/1/2056
 
 ME
 
  
                149,718
 
  
                      40,012
Mortgage Loan ID#1000028449**
9.00%
 
6/1/2046
 
 AL
 
  
                  44,861
 
  
                      39,612
Mortgage Loan ID#1000027130**
4.00%
 
9/1/2056
 
 LA
 
  
                100,809
 
  
                      39,418
Mortgage Loan ID#1000026187**
4.50%
 
10/1/2054
 
 PA
 
  
                113,627
 
  
                      38,970
Mortgage Loan ID#1000002535
2.00%
 
3/1/2037
 
 CA
 
  
                200,129
 
  
                      38,678
Mortgage Loan ID#1000029201**
3.00%
 
8/1/2056
 
 WI
 
  
                160,428
 
  
                      37,729
Mortgage Loan ID#1000028377**
9.63%
 
4/1/2034
 
 IN
 
  
                  47,497
 
  
                      37,362
Mortgage Loan ID#1000044088**
8.35%
 
9/1/2034
 
 AR
 
  
                  59,718
 
  
                      37,164
Mortgage Loan ID#1000026584**
7.38%
 
9/1/2046
 
 FL
 
  
                117,236
 
  
                      37,074
Mortgage Loan ID#1000043727**
5.63%
 
9/1/2056
 
 IN
 
  
                169,401
 
  
                      36,945
Mortgage Loan ID#1000003418
2.00%
 
3/1/2037
 
 NY
 
  
                103,994
 
  
                      36,813
Mortgage Loan ID#1000027252**
4.50%
 
11/1/2053
 
 WI
 
  
                126,129
 
  
                      36,721
Mortgage Loan ID#7000004746
4.75%
 
10/1/2040
 
 CA
 
  
                  92,137
 
  
                      36,156
Mortgage Loan ID#1000029211**
6.47%
 
6/1/2032
 
 PA
 
  
                  60,640
 
  
                      35,932
Mortgage Loan ID#1000015971
2.00%
 
2/1/2038
 
 IL
 
  
                  73,383
 
  
                      35,728
Mortgage Loan ID#1000015972**
6.98%
 
4/1/2037
 
 FL
 
  
                  96,044
 
  
                      35,697
Mortgage Loan ID#1000029342**
2.00%
 
8/1/2037
 
 IA
 
  
                  66,994
 
  
                      35,696
Mortgage Loan ID#1000025920**
3.75%
 
11/1/2055
 
 MI
 
  
                  56,386
 
  
                      35,615
Mortgage Loan ID#1000043371**
9.00%
 
10/1/2056
 
 OH
 
  
                  69,685
 
  
                      34,455
Mortgage Loan ID#1000016883**
8.40%
 
1/1/2036
 
 NJ
 
  
                151,309
 
  
                      34,063
Mortgage Loan ID#1000017233**
8.00%
 
10/1/2019
 
 TN
 
  
                  33,983
 
  
                      33,992
Mortgage Loan ID#1000001759
6.38%
 
12/1/2036
 
 OK
 
  
                  40,417
 
  
                      33,708
Mortgage Loan ID#1000043557**
3.38%
 
1/1/2019
 
 NY
 
  
                  44,528
 
  
                      33,403
Mortgage Loan ID#1000001792
2.00%
 
6/1/2054
 
 SC
 
  
                  97,456
 
  
                      33,286
Mortgage Loan ID#1000036023**
6.65%
 
10/1/2056
 
 OH
 
  
                  86,667
 
  
                      33,025
Mortgage Loan ID#1000025939**
4.00%
 
4/1/2054
 
 KY
 
  
                  87,585
 
  
                      31,692
Mortgage Loan ID#7000000337
5.00%
 
9/1/2039
 
 NM
 
  
                106,000
 
  
                      31,115
Mortgage Loan ID#1000001762
6.63%
 
12/1/2036
 
 OK
 
  
                  37,429
 
  
                      30,946
Mortgage Loan ID#1000043768**
4.88%
 
4/1/2047
 
 MD
 
  
                  56,729
 
  
                      29,632
Mortgage Loan ID#1000029080**
4.38%
 
12/1/2053
 
 IA
 
  
                  82,241
 
  
                      29,601
Mortgage Loan ID#1000029277**
4.63%
 
10/1/2054
 
 IN
 
  
                  83,816
 
  
                      29,575
Mortgage Loan ID#1000001753
8.38%
 
6/1/2036
 
 NY
 
  
                  36,456
 
  
                      29,415
Mortgage Loan ID#1000014995**
3.25%
 
7/1/2018
 
 CT
 
  
                  31,158
 
  
                      29,411
Mortgage Loan ID#1000015867**
7.63%
 
10/1/2046
 
 OH
 
  
                  70,188
 
  
                      28,971
Mortgage Loan ID#1000026986**
3.25%
 
9/1/2055
 
 AL
 
  
                162,209
 
  
                      28,969
Mortgage Loan ID#1000043430**
2.00%
 
1/1/2035
 
 NJ
 
  
                  34,462
 
  
                      28,604
Mortgage Loan ID#1000025922**
4.13%
 
8/1/2053
 
 OK
 
  
                  61,876
 
  
                      28,388
Mortgage Loan ID#1000016645**
3.13%
 
11/1/2019
 
 FL
 
  
                  32,303
 
  
                      28,375
Mortgage Loan ID#1000043664**
5.13%
 
1/1/2056
 
 WI
 
  
                167,017
 
  
                      28,346
Mortgage Loan ID#7000030265
4.88%
 
3/1/2043
 
 OR
 
  
                  79,076
 
  
                      27,394
Mortgage Loan ID#1000003417
1.00%
 
3/1/2022
 
 NY
 
  
                108,429
 
  
                      27,243
Mortgage Loan ID#1000002951
4.00%
 
3/1/2037
 
 NY
 
  
                127,420
 
  
                      26,706
Mortgage Loan ID#1000043210**
9.00%
 
10/1/2039
 
 VA
 
  
                  88,744
 
  
                      25,994
Mortgage Loan ID#1000028818**
2.00%
 
12/1/2035
 
 WI
 
  
                195,443
 
  
                      25,972
Mortgage Loan ID#1000003366
10.75%
 
3/1/2022
 
 NY
 
  
                  24,638
 
  
                      24,638
Mortgage Loan ID#1000043353**
9.64%
 
2/1/2047
 
 OH
 
  
                107,055
 
  
                      23,484
Mortgage Loan ID#1000016696**
6.54%
 
5/1/2018
 
 NY
 
  
                  24,092
 
  
                      23,338
Mortgage Loan ID#1000002907
3.00%
 
8/1/2032
 
 FL
 
  
                119,662
 
  
                      23,058
Mortgage Loan ID#1000025991**
2.00%
 
7/1/2056
 
 NM
 
  
                148,992
 
  
                      21,835
Mortgage Loan ID#1000036019**
8.75%
 
1/1/2019
 
 SC
 
  
                  22,016
 
  
                      21,423
Mortgage Loan ID#1000034873**
7.38%
 
10/1/2034
 
 NJ
 
  
                  63,813
 
  
                      20,989
Mortgage Loan ID#1000000380**
12.50%
 
11/1/2037
 
 MO
 
  
                  29,308
 
  
                      20,624
Mortgage Loan ID#7000018838
6.75%
 
7/1/2042
 
 MD
 
  
                  52,651
 
  
                      20,158
Mortgage Loan ID#1000003336
3.00%
 
3/1/2022
 
 NJ
 
  
                  70,398
 
  
                      20,005
Mortgage Loan ID#1000003201
5.63%
 
4/15/2032
 
 RI
 
  
                  59,706
 
  
                      19,850
Mortgage Loan ID#1000001795
5.00%
 
8/1/2037
 
 VA
 
  
                  78,603
 
  
                      19,501
Mortgage Loan ID#1000043793**
8.50%
 
1/1/2019
 
 NY
 
  
                  18,591
 
  
                      18,776
Mortgage Loan ID#7000000429
5.00%
 
9/1/2039
 
 CA
 
  
                  50,666
 
  
                      18,714
Mortgage Loan ID#7000003226
3.00%
 
6/1/2040
 
 CA
 
  
                  80,391
 
  
                      18,108
Mortgage Loan ID#1000016586**
3.13%
 
4/1/2018
 
 CT
 
  
                  23,562
 
  
                      18,108
Mortgage Loan ID#7000020155
5.50%
 
8/1/2027
 
 CA
 
  
                  24,502
 
  
                      17,863
Mortgage Loan ID#1000029236**
10.90%
 
3/1/2037
 
 FL
 
  
                  60,318
 
  
                      17,309
Mortgage Loan ID#1000003269
8.63%
 
3/1/2032
 
 AZ
 
  
                  47,441
 
  
                      16,796
Mortgage Loan ID#1000002467
6.75%
 
3/9/2028
 
 AZ
 
  
                  54,614
 
  
                      16,205
Mortgage Loan ID#1000002916
1.00%
 
9/1/2049
 
 CA
 
  
                  78,265
 
  
                      16,154
Mortgage Loan ID#1000002521
14.13%
 
5/1/2022
 
 TX
 
  
                  73,876
 
  
                      15,775
Mortgage Loan ID#1000003409
4.00%
 
4/1/2037
 
 NY
 
  
                  98,132
 
  
                      15,146
Mortgage Loan ID#1000003386
10.38%
 
8/1/2022
 
 FL
 
  
                  64,985
 
  
                      14,703
Mortgage Loan ID#1000003793
10.75%
 
4/1/2032
 
 MI
 
  
                  41,314
 
  
                      14,483
Mortgage Loan ID#1000003757
12.50%
 
1/1/2037
 
 MD
 
  
                  24,070
 
  
                      14,361
Mortgage Loan ID#1000043682**
2.00%
 
9/1/2052
 
 IL
 
  
                109,009
 
  
                      14,215
Mortgage Loan ID#1000035248**
3.38%
 
8/1/2018
 
 PA
 
  
                  14,792
 
  
                      13,624
Mortgage Loan ID#1000003379
5.50%
 
5/1/2037
 
 IL
 
  
                  78,200
 
  
                      13,550
Mortgage Loan ID#1000003014
5.88%
 
8/15/2032
 
 MT
 
  
                  41,616
 
  
                      13,017
Mortgage Loan ID#1000003265
12.75%
 
2/1/2022
 
 TX
 
  
                  47,615
 
  
                      12,849
Mortgage Loan ID#1000003288
6.38%
 
4/15/2032
 
 NY
 
  
                  50,021
 
  
                      12,716
Mortgage Loan ID#1000003284
10.50%
 
3/1/2037
 
 NC
 
  
                  49,472
 
  
                      12,496
Mortgage Loan ID#1000003330
10.88%
 
3/1/2022
 
 NY
 
  
                  61,404
 
  
                      12,483
Mortgage Loan ID#1000003131
4.00%
 
3/1/2022
 
 NV
 
  
                  17,231
 
  
                      12,429
Mortgage Loan ID#1000003393
4.00%
 
4/1/2037
 
 VA
 
  
                  78,696
 
  
                      12,331
Mortgage Loan ID#1000003380
4.23%
 
9/1/2037
 
 CA
 
  
                  79,333
 
  
                      12,330
Mortgage Loan ID#1000043985**
8.60%
 
7/1/2056
 
 IL
 
  
                  93,488
 
  
                      12,287
Mortgage Loan ID#1000003048
4.00%
 
8/15/2032
 
 NY
 
  
                  42,236
 
  
                      12,027
Mortgage Loan ID#1000003314
10.25%
 
4/1/2022
 
 UT
 
  
                  41,860
 
  
                      11,752
Mortgage Loan ID#1000003338
9.13%
 
4/1/2037
 
 NY
 
  
                  65,131
 
  
                      11,704
Mortgage Loan ID#1000003295
10.75%
 
2/1/2022
 
 IL
 
  
                  30,808
 
  
                      11,676
Mortgage Loan ID#1000003425
6.15%
 
3/1/2037
 
 CA
 
  
                  58,818
 
  
                      11,567
Mortgage Loan ID#1000003266
10.63%
 
1/1/2037
 
 NC
 
  
                  43,426
 
  
                      11,295
Mortgage Loan ID#1000002455
5.64%
 
9/1/2037
 
 AZ
 
  
                  60,845
 
  
                      11,216
Mortgage Loan ID#1000002985
10.88%
 
2/1/2022
 
 CA
 
  
                  50,216
 
  
                      11,158
Mortgage Loan ID#1000003373
7.41%
 
4/1/2037
 
 NY
 
  
                  61,386
 
  
                      10,883
Mortgage Loan ID#1000001756
3.00%
 
3/1/2047
 
 NY
 
  
                  59,417
 
  
                      10,833
Mortgage Loan ID#1000001120
7.50%
 
5/1/2020
 
 NY
 
  
                  47,436
 
  
                      10,661
Mortgage Loan ID#1000003006
6.63%
 
4/15/2032
 
 NY
 
  
                  31,939
 
  
                      10,315
Mortgage Loan ID#5000003989
0.00%
 
11/1/2024
 
 NV
 
  
                  19,574
 
  
                        9,755
Mortgage Loan ID#1000002439
5.50%
 
4/1/2038
 
 AZ
 
  
                  64,178
 
  
                        9,611
Mortgage Loan ID#7000001895
5.25%
 
3/1/2040
 
 CA
 
  
                  23,506
 
  
                        8,986
Mortgage Loan ID#1000003819
6.00%
 
4/1/2037
 
 GA
 
  
                  81,795
 
  
                        8,894
Mortgage Loan ID#1000003155
10.63%
 
3/1/2032
 
 FL
 
  
                  40,581
 
  
                        8,627
Mortgage Loan ID#1000003936**
3.63%
 
3/1/2056
 
 WI
 
  
                  89,996
 
  
                        8,553
Mortgage Loan ID#7000057184
4.50%
 
10/1/2028
 
 AZ
 
  
                  19,461
 
  
                        8,479
Mortgage Loan ID#1000003752
1.00%
 
12/1/2040
 
 MD
 
  
                  78,715
 
  
                        8,471
Mortgage Loan ID#1000003980
5.38%
 
4/1/2039
 
 CT
 
  
                  31,074
 
  
                        8,383
Mortgage Loan ID#1000003029
8.25%
 
3/1/2022
 
 FL
 
  
                  34,020
 
  
                        8,328
Mortgage Loan ID#1000003331
9.25%
 
4/1/2022
 
 IL
 
  
                  36,835
 
  
                        8,217
Mortgage Loan ID#1000003298
10.50%
 
7/1/2022
 
 TX
 
  
                  35,449
 
  
                        8,205
Mortgage Loan ID#1000003808
9.50%
 
4/1/2037
 
 NH
 
  
                  33,447
 
  
                        8,179
Mortgage Loan ID#1000043745**
3.25%
 
8/1/2016
 
 NJ
 
  
                  10,432
 
  
                        8,023
Mortgage Loan ID#1000002468
7.25%
 
2/5/2028
 
 AZ
 
  
                  14,117
 
  
                        7,987
Mortgage Loan ID#1000003794
11.25%
 
4/1/2037
 
 WI
 
  
                  43,877
 
  
                        7,878
Mortgage Loan ID#1000002434
8.00%
 
3/30/2028
 
 AZ
 
  
                  25,759
 
  
                        7,741
Mortgage Loan ID#1000002452
5.99%
 
9/4/2023
 
 AZ
 
  
                  20,226
 
  
                        7,626
Mortgage Loan ID#7000000222
3.38%
 
4/1/2039
 
 MO
 
  
                  31,243
 
  
                        7,604
Mortgage Loan ID#1000003329
6.93%
 
3/1/2037
 
 VA
 
  
                  26,090
 
  
                        7,591
Mortgage Loan ID#1000003277
5.50%
 
4/1/2037
 
 NV
 
  
                  46,449
 
  
                        7,433
Mortgage Loan ID#6000000582
1.00%
 
11/1/2038
 
 NY
 
  
                  57,070
 
  
                        7,404
Mortgage Loan ID#1000003280
2.00%
 
10/1/2037
 
 AZ
 
  
                  62,508
 
  
                        7,384
Mortgage Loan ID#1000003042
9.63%
 
4/1/2022
 
 VA
 
  
                  63,480
 
  
                        7,255
Mortgage Loan ID#5000004012
0.00%
 
11/1/2020
 
 FL
 
  
                181,852
 
  
                        7,238
Mortgage Loan ID#1000003274
7.45%
 
4/1/2037
 
 NV
 
  
                  37,058
 
  
                        7,220
Mortgage Loan ID#7000016846
5.38%
 
4/1/2027
 
 FL
 
  
                  13,748
 
  
                        7,163
Mortgage Loan ID#1000002475
7.25%
 
3/24/2028
 
 AZ
 
  
                  23,661
 
  
                        7,110
Mortgage Loan ID#1000002442
7.50%
 
5/22/2026
 
 AZ
 
  
                  21,133
 
  
                        7,076
Mortgage Loan ID#1000015928**
10.25%
 
9/1/2019
 
 GA
 
  
                    7,981
 
  
                        6,777
Mortgage Loan ID#1000002474
7.25%
 
2/8/2028
 
 AZ
 
  
                  22,928
 
  
                        6,756
Mortgage Loan ID#1000003407
2.00%
 
5/1/2037
 
 CA
 
  
                  56,127
 
  
                        6,614
Mortgage Loan ID#1000002453
7.50%
 
1/7/2028
 
 AZ
 
  
                  20,602
 
  
                        6,495
Mortgage Loan ID#7000021621
5.50%
 
1/1/2028
 
 CA
 
  
                  10,906
 
  
                        6,477
Mortgage Loan ID#1000003227
6.00%
 
8/1/2022
 
 OR
 
  
                  23,089
 
  
                        6,292
Mortgage Loan ID#1000003146
12.13%
 
3/1/2037
 
 NC
 
  
                  14,141
 
  
                        6,242
Mortgage Loan ID#1000003430
2.00%
 
11/1/2050
 
 VA
 
  
                  65,021
 
  
                        6,225
Mortgage Loan ID#1000003318
4.78%
 
9/1/2037
 
 CA
 
  
                  44,996
 
  
                        6,189
Mortgage Loan ID#7000524032
5.00%
 
7/1/2045
 
 CA
 
  
                  23,824
 
  
                        6,185
Mortgage Loan ID#1000003420
2.00%
 
6/1/2051
 
 NY
 
  
                  97,766
 
  
                        6,178
Mortgage Loan ID#7000036678
5.00%
 
8/1/2028
 
 FL
 
  
                  17,967
 
  
                        6,155
Mortgage Loan ID#1000003186
13.63%
 
2/1/2022
 
 VA
 
  
                  17,670
 
  
                        6,089
Mortgage Loan ID#1000003224
8.75%
 
2/1/2022
 
 PA
 
  
                  21,290
 
  
                        5,876
Mortgage Loan ID#1000028827**
5.38%
 
10/1/2036
 
 IL
 
  
                301,644
 
  
                        5,853
Mortgage Loan ID#1000002445
8.50%
 
4/9/2028
 
 AZ
 
  
                  17,764
 
  
                        5,808
Mortgage Loan ID#1000002462
7.00%
 
4/24/2026
 
 AZ
 
  
                  17,469
 
  
                        5,713
Mortgage Loan ID#7000016879
5.38%
 
4/1/2027
 
 CA
 
  
                  11,140
 
  
                        5,670
Mortgage Loan ID#1000003200
5.65%
 
4/1/2037
 
 FL
 
  
                  39,090
 
  
                        5,591
Mortgage Loan ID#1000003215
12.50%
 
3/1/2022
 
 TX
 
  
                  17,221
 
  
                        5,546
Mortgage Loan ID#1000003007
6.58%
 
4/1/2037
 
 NJ
 
  
                  28,667
 
  
                        5,507
Mortgage Loan ID#1000002530
6.00%
 
2/1/2039
 
 PA
 
  
                  61,677
 
  
                        5,480
Mortgage Loan ID#7000032686
0.50%
 
5/1/2043
 
 VA
 
  
                  46,118
 
  
                        5,466
Mortgage Loan ID#1000002459
6.01%
 
4/1/2028
 
 AZ
 
  
                  15,993
 
  
                        5,377
Mortgage Loan ID#1000017272**
3.38%
 
1/1/2018
 
 NY
 
  
                    5,533
 
  
                        5,294
Mortgage Loan ID#1000003077
13.25%
 
3/1/2022
 
 NM
 
  
                  20,147
 
  
                        5,257
Mortgage Loan ID#1000003011
4.87%
 
4/1/2037
 
 CA
 
  
                  40,276
 
  
                        5,235
Mortgage Loan ID#1000003003
9.63%
 
3/1/2022
 
 IL
 
  
                  20,404
 
  
                        5,230
Mortgage Loan ID#7000037380
3.38%
 
8/1/2028
 
 DE
 
  
                  14,538
 
  
                        5,160
Mortgage Loan ID#7000014197
5.25%
 
1/1/2042
 
 FL
 
  
                  16,877
 
  
                        5,107
Mortgage Loan ID#1000002427
7.01%
 
5/1/2038
 
 AZ
 
  
                  27,559
 
  
                        5,074
Mortgage Loan ID#1000002426
8.50%
 
3/30/2028
 
 AZ
 
  
                  17,882
 
  
                        5,067
Mortgage Loan ID#1000003413
4.91%
 
3/1/2037
 
 NY
 
  
                  58,128
 
  
                        5,014
Mortgage Loan ID#1000003789
12.63%
 
12/1/2036
 
 WI
 
  
                  24,889
 
  
                        4,925
Mortgage Loan ID#1000003378
1.00%
 
11/1/2051
 
 CA
 
  
                111,859
 
  
                        4,900
Mortgage Loan ID#1000003106
9.38%
 
4/1/2022
 
 TX
 
  
                  19,158
 
  
                        4,885
Mortgage Loan ID#1000002983
4.82%
 
4/1/2039
 
 AZ
 
  
                  32,441
 
  
                        4,795
Mortgage Loan ID#1000003189
1.00%
 
3/1/2037
 
 FL
 
  
                  39,175
 
  
                        4,729
Mortgage Loan ID#7000029305
5.00%
 
5/1/2028
 
 PA
 
  
                  11,248
 
  
                        4,698
Mortgage Loan ID#1000003079
6.13%
 
4/20/2031
 
 HI
 
  
                  16,567
 
  
                        4,669
Mortgage Loan ID#1000003104
13.38%
 
8/1/2021
 
 OH
 
  
                  22,365
 
  
                        4,478
Mortgage Loan ID#1000003347
1.00%
 
2/1/2038
 
 NY
 
  
                  50,840
 
  
                        4,472
Mortgage Loan ID#7000040113
5.50%
 
9/1/2028
 
 FL
 
  
                    9,783
 
  
                        4,407
Mortgage Loan ID#1000003272
2.38%
 
3/1/2037
 
 AZ
 
  
                  39,149
 
  
                        4,294
Mortgage Loan ID#1000003065
2.00%
 
5/1/2036
 
 PA
 
  
                  31,813
 
  
                        4,242
Mortgage Loan ID#7000034325
5.00%
 
5/1/2028
 
 AL
 
  
                  10,626
 
  
                        4,189
Mortgage Loan ID#1000002998
3.00%
 
2/1/2037
 
 OH
 
  
                  70,475
 
  
                        4,155
Mortgage Loan ID#1000003356
1.00%
 
6/1/2052
 
 NY
 
  
                  81,825
 
  
                        4,153
Mortgage Loan ID#1000003363
3.00%
 
2/1/2037
 
 NY
 
  
                  53,577
 
  
                        3,999
Mortgage Loan ID#1000003151
13.75%
 
3/1/2022
 
 MN
 
  
                  29,817
 
  
                        3,961
Mortgage Loan ID#1000003067
1.00%
 
4/1/2038
 
 UT
 
  
                  47,452
 
  
                        3,905
Mortgage Loan ID#1000002425
8.75%
 
1/22/2028
 
 AZ
 
  
                    5,801
 
  
                        3,769
Mortgage Loan ID#1000003387
5.50%
 
4/1/2037
 
 NY
 
  
                  61,053
 
  
                        3,734
Mortgage Loan ID#1000003802
11.50%
 
4/1/2037
 
 MA
 
  
                  56,944
 
  
                        3,691
Mortgage Loan ID#7000049512
5.00%
 
10/1/2028
 
 FL
 
  
                    8,081
 
  
                        3,646
Mortgage Loan ID#1000003775
10.00%
 
4/1/2037
 
 MI
 
  
                  12,689
 
  
                        3,579
Mortgage Loan ID#1000003983
4.75%
 
6/1/2039
 
 CT
 
  
                  11,616
 
  
                        3,539
Mortgage Loan ID#7000144524
4.00%
 
3/1/2044
 
 NV
 
  
                  16,196
 
  
                        3,476
Mortgage Loan ID#7000056207
5.13%
 
10/1/2028
 
 AZ
 
  
                    7,825
 
  
                        3,402
Mortgage Loan ID#7000227562
4.00%
 
6/1/2044
 
 CA
 
  
                  13,646
 
  
                        3,381
Mortgage Loan ID#1000003392
1.00%
 
11/1/2039
 
 NY
 
  
                  38,334
 
  
                        3,254
Mortgage Loan ID#1000000614
6.00%
 
12/1/2039
 
 IN
 
  
                  10,110
 
  
                        3,195
Mortgage Loan ID#1000002531
1.00%
 
2/1/2044
 
 NY
 
  
                  51,313
 
  
                        2,993
Mortgage Loan ID#1000003212
13.25%
 
4/1/2022
 
 PA
 
  
                  29,222
 
  
                        2,945
Mortgage Loan ID#1000002972
12.88%
 
1/1/2022
 
 PA
 
  
                  18,955
 
  
                        2,914
Mortgage Loan ID#7000044724
4.50%
 
9/1/2028
 
 IL
 
  
                  14,498
 
  
                        2,908
Mortgage Loan ID#1000003591
8.38%
 
4/15/2032
 
 GA
 
  
                    8,174
 
  
                        2,883
Mortgage Loan ID#1000003090
11.63%
 
3/1/2022
 
 TX
 
  
                    6,773
 
  
                        2,810
Mortgage Loan ID#1000003218
5.00%
 
4/1/2037
 
 VA
 
  
                  49,706
 
  
                        2,719
Mortgage Loan ID#7000026184
4.38%
 
1/1/2046
 
 TN
 
  
                  14,100
 
  
                        2,705
Mortgage Loan ID#1000003073
8.00%
 
3/1/2027
 
 NV
 
  
                    8,623
 
  
                        2,700
Mortgage Loan ID#7000036752
5.50%
 
8/1/2028
 
 MN
 
  
                  63,358
 
  
                        2,681
Mortgage Loan ID#1000003203
9.50%
 
3/1/2022
 
 VA
 
  
                  23,924
 
  
                        2,630
Mortgage Loan ID#7000275218
4.00%
 
8/1/2044
 
 IN
 
  
                  11,947
 
  
                        2,525
Mortgage Loan ID#1000002569
4.00%
 
5/1/2037
 
 FL
 
  
                  62,010
 
  
                        2,470
Mortgage Loan ID#7000098633
4.50%
 
2/1/2044
 
 FL
 
  
                    6,971
 
  
                        2,442
Mortgage Loan ID#1000003768
6.88%
 
3/1/2037
 
 TN
 
  
                  16,838
 
  
                        2,417
Mortgage Loan ID#7000037510
5.00%
 
9/1/2028
 
 CT
 
  
                    4,459
 
  
                        2,210
Mortgage Loan ID#1000002905
4.00%
 
4/1/2037
 
 MN
 
  
                  74,290
 
  
                        2,065
Mortgage Loan ID#1000003115
1.00%
 
5/1/2038
 
 NJ
 
  
                  27,265
 
  
                        2,028
Mortgage Loan ID#7000038883
5.00%
 
9/1/2028
 
 MI
 
  
                  17,735
 
  
                        2,026
Mortgage Loan ID#1000003961
4.81%
 
1/1/2037
 
 NJ
 
  
                  30,287
 
  
                        1,993
Mortgage Loan ID#7000242451
3.75%
 
7/1/2044
 
 FL
 
  
                  11,863
 
  
                        1,967
Mortgage Loan ID#1000003059
1.00%
 
7/1/2038
 
 AZ
 
  
                  18,071
 
  
                        1,936
Mortgage Loan ID#7000106608
5.00%
 
2/1/2029
 
 CA
 
  
                  13,203
 
  
                        1,905
Mortgage Loan ID#7000036523
6.00%
 
9/1/2043
 
 IL
 
  
                    4,426
 
  
                        1,891
Mortgage Loan ID#1000003767
3.00%
 
12/1/2036
 
 TN
 
  
                  16,799
 
  
                        1,879
Mortgage Loan ID#7000362626
3.00%
 
11/1/2044
 
 FL
 
  
                    9,821
 
  
                        1,848
Mortgage Loan ID#1000003255
12.13%
 
3/1/2022
 
 MN
 
  
                    2,892
 
  
                        1,801
Mortgage Loan ID#1000002238
2.00%
 
7/1/2053
 
 FL
 
  
                  23,018
 
  
                        1,780
Mortgage Loan ID#7000032678
4.00%
 
5/1/2028
 
 OH
 
  
                    4,697
 
  
                        1,771
Mortgage Loan ID#7000001222
5.00%
 
2/1/2040
 
 TX
 
  
                  10,788
 
  
                        1,750
Mortgage Loan ID#1000003220
1.00%
 
6/1/2052
 
 IL
 
  
                  38,723
 
  
                        1,656
Mortgage Loan ID#1000003303
9.63%
 
3/1/2022
 
 VA
 
  
                  18,393
 
  
                        1,644
Mortgage Loan ID#1000003815
2.00%
 
12/1/2048
 
 MD
 
  
                  19,462
 
  
                        1,577
Mortgage Loan ID#7000314799
5.00%
 
10/1/2029
 
 OH
 
  
                    4,704
 
  
                        1,570
Mortgage Loan ID#1000003102
13.00%
 
4/1/2022
 
 NY
 
  
                  13,316
 
  
                        1,405
Mortgage Loan ID#1000003807
1.00%
 
5/1/2044
 
 MD
 
  
                  23,846
 
  
                        1,288
Mortgage Loan ID#1000003317
6.50%
 
2/1/2037
 
 NJ
 
  
                  53,632
 
  
                        1,252
Mortgage Loan ID#7000036539
4.88%
 
7/1/2028
 
 IL
 
  
                    6,520
 
  
                        1,205
Mortgage Loan ID#1000002992
9.88%
 
1/1/2022
 
 WY
 
  
                    8,509
 
  
                           953
Mortgage Loan ID#1000003783
6.00%
 
3/1/2037
 
 AR
 
  
                  11,276
 
  
                           884
Mortgage Loan ID#1000003088
8.90%
 
3/1/2037
 
 TX
 
  
                  12,832
 
  
                           845
Mortgage Loan ID#1000029182**
5.98%
 
8/1/2056
 
 FL
 
  
                192,372
 
  
                           802
Mortgage Loan ID#1000003044
12.38%
 
3/1/2022
 
 FL
 
  
                  30,262
 
  
                           613
Mortgage Loan ID#1000003019
1.00%
 
6/1/2054
 
 FL
 
  
                  31,742
 
  
                           444
Mortgage Loan ID#1000003096
11.25%
 
2/1/2022
 
 TX
 
  
                  11,653
 
  
                           424
Mortgage Loan ID#1000027712**
7.75%
 
4/5/2021
 
 TX
 
  
                       202
 
  
                           194
Mortgage Loan ID#7000030263
5.00%
 
8/1/2028
 
 WI
 
  
                    5,430
 
  
                              -
Mortgage Loan ID#5000004018
0.00%
 
9/1/2016
 
 FL
 
  
                       750
 
  
                              -
Mortgage Loan ID#7000063645
5.00%
 
9/1/2028
 
 VA
 
  
                  11,882
 
  
                              -
Mortgage Loan ID#5000003985
0.00%
 
4/1/2016
 
 ME
 
  
                    4,375
 
  
                              -
Mortgage Loan ID#5000003997
0.00%
 
12/1/2016
 
 ID
 
  
                       260
 
  
                              -
Mortgage Loan ID#5000004007
0.00%
 
8/1/2017
 
 CA
 
  
                    4,000
 
  
                              -
Mortgage Loan ID#7000038874
6.00%
 
8/1/2028
 
 OH
 
  
                  10,848
 
  
                              -
Mortgage Loan ID#1000000581
5.50%
 
8/1/2039
 
 WA
 
  
                  49,291
 
  
                              -
Mortgage Loan ID#7000033764
5.00%
 
7/1/2028
 
 IL
 
  
                  13,357
 
  
                              -
Mortgage Loan ID#1000003956
8.50%
 
12/1/2036
 
 AL
 
  
                  52,170
 
  
                              -
Mortgage Loan ID#7000004323
2.00%
 
8/1/2040
 
 FL
 
  
                121,631
 
  
                              -
Mortgage Loan ID#1000025930
3.00%
 
2/1/2056
 
 MS
 
  
                  41,098
 
  
                              -
Mortgage Loan ID#1000025950
4.63%
 
9/1/2054
 
 IL
 
  
                102,093
 
  
                              -
Mortgage Loan ID#1000001468
0.00%
 
12/1/2023
 
 NY
 
  
                  10,000
 
  
                              -
Mortgage Loan ID#1000002406
10.25%
 
11/1/2020
 
 IL
 
  
                  49,062
 
  
                              -
Mortgage Loan ID#1000002417
6.50%
 
11/1/2037
 
 AZ
 
  
                  50,399
 
  
                              -
Mortgage Loan ID#1000002422
10.25%
 
5/12/2028
 
 AZ
 
  
                  13,386
 
  
                              -
Mortgage Loan ID#1000002484
1.00%
 
1/1/2052
 
 IL
 
  
                  37,013
 
  
                              -
Mortgage Loan ID#1000002513
8.37%
 
10/1/2036
 
 NJ
 
  
                  74,519
 
  
                              -
Mortgage Loan ID#1000002517
1.00%
 
4/1/2037
 
 DC
 
  
                  29,170
 
  
                              -
Mortgage Loan ID#1000002519
13.38%
 
3/1/2022
 
 NJ
 
  
                  85,620
 
  
                              -
Mortgage Loan ID#1000002526
9.50%
 
7/1/2031
 
 NJ
 
  
                  50,000
 
  
                              -
Mortgage Loan ID#1000002527
2.00%
 
12/1/2036
 
 NJ
 
  
                  20,463
 
  
                              -
Mortgage Loan ID#1000002528
2.00%
 
3/1/2037
 
 NJ
 
  
                132,028
 
  
                              -
Mortgage Loan ID#1000002533
12.75%
 
3/1/2022
 
 NY
 
  
                179,088
 
  
                              -
Mortgage Loan ID#1000002534
2.00%
 
9/1/2022
 
 NJ
 
  
                108,500
 
  
                              -
Mortgage Loan ID#1000002538
2.00%
 
6/1/2036
 
 NY
 
  
                  88,216
 
  
                              -
Mortgage Loan ID#1000002553
1.00%
 
5/1/2054
 
 NV
 
  
                  45,835
 
  
                              -
Mortgage Loan ID#1000002564
5.68%
 
9/1/2037
 
 FL
 
  
                  48,684
 
  
                              -
Mortgage Loan ID#1000002567
11.50%
 
2/1/2022
 
 VA
 
  
                  58,649
 
  
                              -
Mortgage Loan ID#1000002568
10.75%
 
4/1/2022
 
 IL
 
  
                  52,139
 
  
                              -
Mortgage Loan ID#1000002571
2.00%
 
7/1/2036
 
 NJ
 
  
                  85,612
 
  
                              -
Mortgage Loan ID#1000002575
4.63%
 
11/1/2036
 
 NY
 
  
                  85,801
 
  
                              -
Mortgage Loan ID#1000002580
3.10%
 
3/1/2036
 
 NY
 
  
                  86,665
 
  
                              -
Mortgage Loan ID#1000002582
12.75%
 
4/1/2021
 
 NY
 
  
                103,510
 
  
                              -
Mortgage Loan ID#1000002594
12.25%
 
11/1/2021
 
 IL
 
  
                  13,368
 
  
                              -
Mortgage Loan ID#1000002619
2.00%
 
11/1/2036
 
 FL
 
  
                  19,395
 
  
                              -
Mortgage Loan ID#1000002649
13.00%
 
1/1/2022
 
 FL
 
  
                  40,803
 
  
                              -
Mortgage Loan ID#1000002681
14.00%
 
3/1/2022
 
 FL
 
  
                  67,464
 
  
                              -
Mortgage Loan ID#1000002723
6.00%
 
3/1/2022
 
 AZ
 
  
                  33,767
 
  
                              -
Mortgage Loan ID#1000002726
13.50%
 
4/15/2032
 
 FL
 
  
                  41,392
 
  
                              -
Mortgage Loan ID#1000002737
2.00%
 
2/1/2022
 
 TX
 
  
                  19,418
 
  
                              -
Mortgage Loan ID#1000002758
11.00%
 
4/1/2022
 
 FL
 
  
                  25,063
 
  
                              -
Mortgage Loan ID#1000002768
11.38%
 
2/1/2022
 
 AZ
 
  
                  21,809
 
  
                              -
Mortgage Loan ID#1000002770
12.25%
 
6/1/2031
 
 FL
 
  
                  39,977
 
  
                              -
Mortgage Loan ID#1000002784
12.63%
 
2/1/2022
 
 FL
 
  
                  83,881
 
  
                              -
Mortgage Loan ID#1000002785
14.25%
 
5/1/2022
 
 FL
 
  
                  28,347
 
  
                              -
Mortgage Loan ID#1000002791
11.38%
 
4/1/2022
 
 FL
 
  
                  41,930
 
  
                              -
Mortgage Loan ID#1000002796
11.25%
 
4/1/2022
 
 IL
 
  
                  48,863
 
  
                              -
Mortgage Loan ID#1000002797
12.75%
 
1/1/2022
 
 FL
 
  
                  30,544
 
  
                              -
Mortgage Loan ID#1000002803
10.88%
 
3/1/2022
 
 IL
 
  
                  55,217
 
  
                              -
Mortgage Loan ID#1000002835
10.50%
 
5/1/2022
 
 NJ
 
  
                  58,382
 
  
                              -
Mortgage Loan ID#1000002848
14.25%
 
9/1/2021
 
 NJ
 
  
                  75,905
 
  
                              -
Mortgage Loan ID#1000002869
1.00%
 
3/1/2037
 
 CA
 
  
                  78,824
 
  
                              -
Mortgage Loan ID#1000002874
12.50%
 
3/1/2022
 
 NY
 
  
                  86,796
 
  
                              -
Mortgage Loan ID#1000002904
6.00%
 
3/1/2022
 
 NY
 
  
                  48,338
 
  
                              -
Mortgage Loan ID#1000002909
2.00%
 
7/1/2036
 
 FL
 
  
                  79,045
 
  
                              -
Mortgage Loan ID#1000002915
1.00%
 
2/1/2022
 
 NY
 
  
                135,226
 
  
                              -
Mortgage Loan ID#1000002919
12.25%
 
2/1/2022
 
 NY
 
  
                108,421
 
  
                              -
Mortgage Loan ID#1000002931
11.63%
 
4/1/2022
 
 NY
 
  
                111,295
 
  
                              -
Mortgage Loan ID#1000002934
11.75%
 
3/1/2022
 
 CA
 
  
                  63,761
 
  
                              -
Mortgage Loan ID#1000002970
9.63%
 
1/1/2022
 
 CA
 
  
                  55,487
 
  
                              -
Mortgage Loan ID#1000002978
9.38%
 
3/1/2022
 
 FL
 
  
                  20,302
 
  
                              -
Mortgage Loan ID#1000002981
10.50%
 
1/1/2022
 
 OH
 
  
                  22,827
 
  
                              -
Mortgage Loan ID#1000002987
10.13%
 
7/1/2021
 
 CA
 
  
                  59,712
 
  
                              -
Mortgage Loan ID#1000002997
5.13%
 
4/1/2037
 
 NY
 
  
                  55,102
 
  
                              -
Mortgage Loan ID#1000002999
10.75%
 
2/1/2022
 
 TX
 
  
                  25,151
 
  
                              -
Mortgage Loan ID#1000003000
1.00%
 
3/1/2037
 
 AZ
 
  
                  57,052
 
  
                              -
Mortgage Loan ID#1000003027
10.50%
 
3/1/2022
 
 FL
 
  
                  50,213
 
  
                              -
Mortgage Loan ID#1000003038
4.13%
 
1/1/2037
 
 IL
 
  
                  46,985
 
  
                              -
Mortgage Loan ID#1000003041
11.63%
 
3/1/2022
 
 IL
 
  
                  63,587
 
  
                              -
Mortgage Loan ID#1000003049
10.13%
 
8/1/2022
 
 CA
 
  
                  25,163
 
  
                              -
Mortgage Loan ID#1000003068
9.01%
 
1/1/2037
 
 FL
 
  
                  18,958
 
  
                              -
Mortgage Loan ID#1000003071
4.71%
 
5/1/2032
 
 FL
 
  
                  25,139
 
  
                              -
Mortgage Loan ID#1000003092
12.13%
 
2/1/2022
 
 PA
 
  
                    6,657
 
  
                              -
Mortgage Loan ID#1000003094
7.30%
 
3/1/2037
 
 TX
 
  
                  20,228
 
  
                              -
Mortgage Loan ID#1000003101
5.50%
 
2/1/2037
 
 FL
 
  
                  50,730
 
  
                              -
Mortgage Loan ID#1000003109
2.00%
 
2/1/2037
 
 FL
 
  
                  35,207
 
  
                              -
Mortgage Loan ID#1000003111
9.88%
 
8/1/2022
 
 AZ
 
  
                  36,273
 
  
                              -
Mortgage Loan ID#1000003147
3.00%
 
4/1/2037
 
 FL
 
  
                  45,801
 
  
                              -
Mortgage Loan ID#1000003164
12.50%
 
3/1/2022
 
 FL
 
  
                  51,085
 
  
                              -
Mortgage Loan ID#1000003179
9.50%
 
3/1/2022
 
 AZ
 
  
                  30,304
 
  
                              -
Mortgage Loan ID#1000003192
2.00%
 
9/1/2036
 
 CA
 
  
                  39,923
 
  
                              -
Mortgage Loan ID#1000003207
1.00%
 
3/1/2022
 
 WA
 
  
                  39,095
 
  
                              -
Mortgage Loan ID#1000003208
8.84%
 
10/1/2036
 
 PA
 
  
                  45,180
 
  
                              -
Mortgage Loan ID#1000003213
10.25%
 
3/1/2022
 
 TX
 
  
                  43,985
 
  
                              -
Mortgage Loan ID#1000003226
5.50%
 
2/1/2037
 
 FL
 
  
                  24,637
 
  
                              -
Mortgage Loan ID#1000003229
1.00%
 
5/1/2038
 
 PA
 
  
                  35,144
 
  
                              -
Mortgage Loan ID#1000003243
1.00%
 
3/1/2037
 
 CA
 
  
                  63,487
 
  
                              -
Mortgage Loan ID#1000003246
10.75%
 
3/1/2022
 
 NJ
 
  
                  46,826
 
  
                              -
Mortgage Loan ID#1000003251
6.50%
 
5/1/2037
 
 CA
 
  
                  88,732
 
  
                              -
Mortgage Loan ID#1000003253
10.25%
 
1/1/2022
 
 NJ
 
  
                  28,508
 
  
                              -
Mortgage Loan ID#1000003262
6.25%
 
4/1/2022
 
 VA
 
  
                  47,636
 
  
                              -
Mortgage Loan ID#1000003273
4.00%
 
1/1/2037
 
 IL
 
  
                    7,481
 
  
                              -
Mortgage Loan ID#1000003278
7.21%
 
4/1/2032
 
 NY
 
  
                  67,913
 
  
                              -
Mortgage Loan ID#1000003291
5.50%
 
11/1/2036
 
 NY
 
  
                  56,869
 
  
                              -
Mortgage Loan ID#1000003304
10.50%
 
5/1/2022
 
 CA
 
  
                102,564
 
  
                              -
Mortgage Loan ID#1000003305
11.50%
 
4/1/2022
 
 CA
 
  
                  79,314
 
  
                              -
Mortgage Loan ID#1000003308
11.63%
 
5/1/2032
 
 FL
 
  
                  73,798
 
  
                              -
Mortgage Loan ID#1000003313
8.19%
 
2/1/2037
 
 NJ
 
  
                  47,344
 
  
                              -
Mortgage Loan ID#1000003334
6.50%
 
3/1/2037
 
 CA
 
  
                  88,322
 
  
                              -
Mortgage Loan ID#1000003351
2.00%
 
5/1/2037
 
 NY
 
  
                  41,776
 
  
                              -
Mortgage Loan ID#1000003355
3.00%
 
2/1/2037
 
 VA
 
  
                131,588
 
  
                              -
Mortgage Loan ID#1000003357
3.00%
 
5/1/2037
 
 CA
 
  
                  76,518
 
  
                              -
Mortgage Loan ID#1000003364
3.00%
 
8/1/2037
 
 CA
 
  
                105,953
 
  
                              -
Mortgage Loan ID#1000003367
2.00%
 
4/1/2037
 
 NY
 
  
                  82,587
 
  
                              -
Mortgage Loan ID#1000003372
2.00%
 
3/1/2037
 
 VA
 
  
                  74,770
 
  
                              -
Mortgage Loan ID#1000003381
11.13%
 
8/1/2022
 
 NY
 
  
                  29,621
 
  
                              -
Mortgage Loan ID#1000003385
12.88%
 
10/1/2021
 
 NY
 
  
                  44,885
 
  
                              -
Mortgage Loan ID#1000003388
11.00%
 
5/1/2022
 
 NJ
 
  
                  71,597
 
  
                              -
Mortgage Loan ID#1000003391
2.00%
 
5/1/2037
 
 NJ
 
  
                  52,193
 
  
                              -
Mortgage Loan ID#1000003395
10.50%
 
4/1/2022
 
 NY
 
  
                  81,055
 
  
                              -
Mortgage Loan ID#1000003688
13.63%
 
2/1/2022
 
 MI
 
  
                  18,734
 
  
                              -
Mortgage Loan ID#1000003693
9.63%
 
8/1/2036
 
 GA
 
  
                  36,042
 
  
                              -
Mortgage Loan ID#1000003727
12.50%
 
2/1/2037
 
 MA
 
  
                  29,062
 
  
                              -
Mortgage Loan ID#1000003741
12.38%
 
7/1/2036
 
 GA
 
  
                  62,331
 
  
                              -
Mortgage Loan ID#1000003744
2.00%
 
7/1/2036
 
 MA
 
  
                  42,622
 
  
                              -
Mortgage Loan ID#1000003753
12.50%
 
3/1/2022
 
 MI
 
  
                  99,974
 
  
                              -
Mortgage Loan ID#1000003760
9.50%
 
2/1/2037
 
 MA
 
  
                  42,788
 
  
                              -
Mortgage Loan ID#1000003780
11.38%
 
4/1/2037
 
 GA
 
  
                  26,077
 
  
                              -
Mortgage Loan ID#1000003784
10.50%
 
4/1/2037
 
 GA
 
  
                181,824
 
  
                              -
Mortgage Loan ID#1000003792
13.00%
 
2/1/2037
 
 MI
 
  
                  51,564
 
  
                              -
Mortgage Loan ID#1000003801
2.00%
 
4/1/2022
 
 MD
 
  
                  32,712
 
  
                              -
Mortgage Loan ID#1000003805
9.75%
 
3/1/2037
 
 GA
 
  
                  33,754
 
  
                              -
Mortgage Loan ID#1000003811
1.00%
 
10/1/2049
 
 GA
 
  
                  61,810
 
  
                              -
Mortgage Loan ID#1000003816
12.00%
 
4/1/2037
 
 GA
 
  
                  38,482
 
  
                              -
Mortgage Loan ID#1000003818
11.63%
 
3/1/2032
 
 MD
 
  
                  75,629
 
  
                              -
Mortgage Loan ID#1000003981
1.00%
 
5/1/2039
 
 NY
 
  
                  36,435
 
  
                              -
Mortgage Loan ID#5000003993
0.00%
 
6/1/2012
 
 OH
 
  
                       500
 
  
                              -
Mortgage Loan ID#1000001308
8.38%
 
7/1/2037
 
 NJ
 
  
                160,615
 
  
                              -
Mortgage Loan ID#1000002511
2.00%
 
3/15/2032
 
 NJ
 
  
                297,970
 
  
                              -
Mortgage Loan ID#1000002556
6.38%
 
4/15/2032
 
 NV
 
  
                  59,406
 
  
                              -
Mortgage Loan ID#1000002572
7.63%
 
8/15/2032
 
 CA
 
  
                  77,625
 
  
                              -
Mortgage Loan ID#1000002618
1.00%
 
12/1/2051
 
 NY
 
  
                  54,971
 
  
                              -
Mortgage Loan ID#1000002890
9.75%
 
3/15/2032
 
 NY
 
  
                  24,250
 
  
                              -
Mortgage Loan ID#1000002921
8.13%
 
4/15/2032
 
 IL
 
  
                  80,000
 
  
                              -
Mortgage Loan ID#1000002966
7.63%
 
3/15/2032
 
 FL
 
  
                  36,270
 
  
                              -
Mortgage Loan ID#1000002984
5.63%
 
4/15/2032
 
 AZ
 
  
                  61,619
 
  
                              -
Mortgage Loan ID#1000003085
8.13%
 
10/15/2031
 
 OH
 
  
                    9,882
 
  
                              -
Mortgage Loan ID#1000003086
8.13%
 
10/15/2031
 
 OH
 
  
                    9,874
 
  
                              -
Mortgage Loan ID#1000003268
7.38%
 
4/15/2032
 
 FL
 
  
                    8,817
 
  
                              -
Mortgage Loan ID#1000003275
5.38%
 
3/15/2032
 
 FL
 
  
                  44,818
 
  
                              -
Mortgage Loan ID#1000003327
2.00%
 
4/1/2037
 
 MN
 
  
                101,592
 
  
                              -
Mortgage Loan ID#1000003353
1.00%
 
8/1/2050
 
 WA
 
  
                  85,689
 
  
                              -
Mortgage Loan ID#1000003426
6.38%
 
4/15/2032
 
 IL
 
  
                  86,603
 
  
                              -
Mortgage Loan ID#1000003588
5.63%
 
3/15/2032
 
 GA
 
  
                116,000
 
  
                              -
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
         240,726,190
 
  
             144,509,352
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
 Principal
 
  
 Fair
Description
 
 
 
 
 
 
 
 
State
 
  
 amount
 
  
 value
Real estate acquired in settlement of loans
 
 
 
 
 
 
 
  
 
 
  
 
Property ID#1000043536**
 MN
 
 $
 860,000
 
 $
   845,000
Property ID#1000027733**
 IL
 
  
                573,920
 
  
                    640,000
Property ID#1000027525
 NJ
 
  
                554,549
 
  
                    620,000
Property ID#1000001643**
 FL
 
  
                621,672
 
  
                    610,000
Property ID#1000027182**
 NV
 
  
                649,095
 
  
                    598,000
Property ID#1000026843
 CA
 
  
                536,000
 
  
                    560,000
Property ID#1002229087**
 GA
 
  
                545,063
 
  
                    475,000
Property ID#1000043755
 MN
 
  
                478,088
 
  
                    475,000
Property ID#1000001655**
 NY
 
  
                648,000
 
  
                    455,000
Property ID#1000016184
 NJ
 
  
                440,000
 
  
                    450,000
Property ID#1000028903**
 CA
 
  
                488,632
 
  
                    435,090
Property ID#1000029380**
 NJ
 
  
                400,000
 
  
                    420,219
Property ID#1000029171
 FL
 
  
                509,600
 
  
                    419,900
Property ID#1000035163**
 OR
 
  
                689,500
 
  
                    399,000
Property ID#1000016154**
 FL
 
  
                472,046
 
  
                    390,000
Property ID#1000015537**
 FL
 
  
                460,000
 
  
                    378,000
Property ID#1000043886**
 NJ
 
  
                344,509
 
  
                    366,741
Property ID#1000038427**
 NY
 
  
                263,561
 
  
                    355,000
Property ID#1000027887**
 FL
 
  
                381,340
 
  
                    354,000
Property ID#1000001636
 FL
 
  
                564,000
 
  
                    350,000
Property ID#1000029097**
 NJ
 
  
                364,148
 
  
                    335,000
Property ID#1000027641**
 NJ
 
  
                240,000
 
  
                    323,000
Property ID#1000003529
 GA
 
  
                362,451
 
  
                    320,000
Property ID#1000025801**
 FL
 
  
                284,651
 
  
                    295,000
Property ID#1000027288**
 IL
 
  
                391,812
 
  
                    278,500
Property ID#1000001621
 NJ
 
  
                385,884
 
  
                    275,000
Property ID#1000026017**
 CA
 
  
                319,900
 
  
                    270,000
Property ID#1000001614
 NY
 
  
                328,000
 
  
                    269,011
Property ID#1000027283**
 NY
 
  
                434,198
 
  
                    264,176
Property ID#1000001616
 NJ
 
  
                364,000
 
  
                    260,000
Property ID#1000035995**
 WA
 
  
                208,543
 
  
                    259,677
Property ID#1000001490
 NY
 
  
                285,000
 
  
                    259,000
Property ID#1000034959**
 FL
 
  
                414,474
 
  
                    252,500
Property ID#1000027008**
 MD
 
  
                274,502
 
  
                    250,000
Property ID#1000034994**
 NJ
 
  
                148,782
 
  
                    250,000
Property ID#1000043574**
 NJ
 
  
                330,421
 
  
                    250,000
Property ID#1000026254**
 VA
 
  
                409,382
 
  
                    249,000
Property ID#1000001995
 NY
 
  
                216,015
 
  
                    244,000
Property ID#1000043261**
 NJ
 
  
                288,028
 
  
                    240,000
Property ID#1000016110**
 FL
 
  
                286,771
 
  
                    235,215
Property ID#1000017183**
 FL
 
  
                291,247
 
  
                    235,000
Property ID#1000044101**
 PA
 
  
                181,868
 
  
                    230,235
Property ID#1000043429**
 IL
 
  
                260,332
 
  
                    230,000
Property ID#1000000381
 NJ
 
  
                255,000
 
  
                    226,641
Property ID#1000043996**
 PA
 
  
                240,000
 
  
                    223,481
Property ID#1000000538**
 IL
 
  
                299,999
 
  
                    218,156
Property ID#1000029131**
 FL
 
  
                217,567
 
  
                    215,000
Property ID#1000027736**
 NJ
 
  
                215,996
 
  
                    205,000
Property ID#1000026049**
 FL
 
  
                234,564
 
  
                    200,000
Property ID#1000016021**
 NY
 
  
                280,813
 
  
                    190,000
Property ID#1000001996
 PA
 
  
                191,225
 
  
                    190,000
Property ID#1000034828**
 NJ
 
  
                184,785
 
  
                    185,541
Property ID#1000026356**
 MD
 
  
                294,756
 
  
                    185,000
Property ID#1000028830
 NJ
 
  
                283,816
 
  
                    180,000
Property ID#1000026688**
 MO
 
  
                162,816
 
  
                    175,000
Property ID#1000000226**
 AZ
 
  
                163,669
 
  
                    165,000
Property ID#1000015617**
 FL
 
  
                187,903
 
  
                    165,000
Property ID#1000043128
 NJ
 
  
                102,661
 
  
                    164,413
Property ID#1000002039
 NJ
 
  
                262,475
 
  
                    161,242
Property ID#1000035002**
 IL
 
  
                178,595
 
  
                    160,000
Property ID#1000034988**
 FL
 
  
                185,627
 
  
                    158,750
Property ID#1000027991**
 GA
 
  
                166,641
 
  
                    156,000
Property ID#1000001853
 FL
 
  
                121,089
 
  
                    149,000
Property ID#1000043550**
 NJ
 
  
                193,444
 
  
                    145,500
Property ID#1000027400**
 NY
 
  
                229,668
 
  
                    145,000
Property ID#1000028202**
 MD
 
  
                186,144
 
  
                    145,000
Property ID#1000000903**
 CA
 
  
                135,000
 
  
                    145,000
Property ID#1000015132**
 IL
 
  
                267,660
 
  
                    142,700
Property ID#1000001830
 NV
 
  
                161,021
 
  
                    142,183
Property ID#1000015229**
 IA
 
  
                123,451
 
  
                    133,855
Property ID#1000027480**
 FL
 
  
                183,257
 
  
                    120,000
Property ID#1000017061**
 IL
 
  
                221,259
 
  
                    119,371
Property ID#1000028256**
 IL
 
  
                179,064
 
  
                    115,000
Property ID#1000029258**
 PA
 
  
                115,263
 
  
                    115,000
Property ID#1000029180**
 OH
 
  
                143,347
 
  
                    114,513
Property ID#1000026336**
 PA
 
  
                139,002
 
  
                    105,000
Property ID#1000025987**
 WI
 
  
                178,211
 
  
                      98,000
Property ID#1000016574**
 IL
 
  
                160,406
 
  
                      97,345
Property ID#1000043400**
 OH
 
  
                140,107
 
  
                      95,000
Property ID#1000016347**
 OH
 
  
                  91,528
 
  
                      91,528
Property ID#1000000591
 NJ
 
  
                317,267
 
  
                      90,000
Property ID#1000043950**
 OR
 
  
                183,348
 
  
                      90,000
Property ID#1000036109**
 NY
 
  
                  80,087
 
  
                      86,000
Property ID#1000043137**
 FL
 
  
                101,296
 
  
                      85,000
Property ID#1000044223**
 OK
 
  
                  82,868
 
  
                      81,000
Property ID#1000017410**
 MI
 
  
                137,845
 
  
                      80,000
Property ID#1000034972**
 NJ
 
  
                230,368
 
  
                      78,500
Property ID#1000035080**
 NJ
 
  
                155,369
 
  
                      76,751
Property ID#1000038414**
 FL
 
  
                110,871
 
  
                      75,000
Property ID#1000002239
 FL
 
  
                141,470
 
  
                      73,000
Property ID#1000028902**
 PA
 
  
                  98,962
 
  
                      70,000
Property ID#1000027365**
 GA
 
  
                132,719
 
  
                      65,000
Property ID#1000026136**
 GA
 
  
                  91,383
 
  
                      63,631
Property ID#1000043920**
 NC
 
  
                  92,276
 
  
                      55,000
Property ID#1000038532**
 IL
 
  
                111,378
 
  
                      53,618
Property ID#1000043736**
 NJ
 
  
                114,827
 
  
                      35,000
Property ID#1000044116**
 NJ
 
  
                152,610
 
  
                      35,000
Property ID#1000025919**
 OH
 
  
                  47,400
 
  
                      33,797
Property ID#1000001993
 IL
 
  
                100,888
 
  
                      26,422
Property ID#1000000764
 FL
 
  
                  69,868
 
  
                      19,900
Property ID#1000029006**
 NJ
 
  
                  95,825
 
  
                      18,500
Property ID#1000016929**
 ME
 
  
                114,583
 
  
                      18,000
Property ID#1000001669
 IL
 
  
                199,616
 
  
                      17,174
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
           27,590,937
 
  
               22,739,776
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
TOTAL INVESTMENTS IN NONAFFILIATES (Cost $140,829,915)
       
 
 
  
      268,317,127
 
  
          167,249,128
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
INVESTMENTS IN AFFILIATES - 13%*
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
Name of Issuer
 
 
 
 
 
 
 
 
 
  
 Shares
 
  
 Fair value
Short-Term Investment
 
 
 
 
 
 
 
 
 
  
 
 
  
 
BlackRock Liquidity Funds: TempFund Institutional Shares ^ 
 $
 15,943,912
 
 $
 15,943,912
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
TOTAL INVESTMENTS IN AFFILIATES (Cost $15,943,912)
 
        15,943,912
 
  
             15,943,912
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
TOTAL INVESTMENTS (Cost $156,773,827)
             
 
 
  
 
 
 $
   183,193,040
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
LIABILITIES - 60%*
 
 
 
  
 
Note
 
 Maturity
 
  
 
 
  
 
Description
 
 
 
 
 
 
 interest rate
 
date
 
  
 Principal amount
 
  
 Fair value
Asset-backed financing
 
 
 
 
 
 
 
 
 
  
 
 
  
 
PNMAC 2015-NPL1 A-1-144A ^ 
4.00%
 
3/25/2055
 
 $
 74,765,763
 
 $
   74,672,306
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
TOTAL LIABILITIES (Proceeds $74,658,100)
             
 
 
  
        74,765,763
 
  
             74,672,306
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
Other assets in excess of other liabilities - 13%* 
 
               16,903,562
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
TOTAL PARTNERS' CAPITAL - 100%* 
$
 125,424,296
 
 
 
 
 
 
 
 
 
 
 
  
 
 
  
 
*     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       October 27, 2017                                                               


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

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

Date       October 27, 2017                                                                 
 
 
By (Signature and Title)          /s/ Andrew S. Chang                          
Andrew S. Chang, CFO

Date       October 27, 2017                                                                
.