NPORT-P false 0001355064 XXXXXXXX S000063591 C000206025 C000206026 C000206024 MUTUAL FUND SERIES TRUST 811-21872 0001355064 5493002ZGLQMLR4QMA96 C/O GEMINI FUND SERVICES LLC 4020 SOUTH 147TH STREET STE 2 OMAHA 68137 631-549-1859 Catalyst Enhanced Income Strategy Fund S000063591 549300TB16B3IVRO3396 2020-06-30 2019-12-31 N 79317198.17 221419.21 79095778.96 0 0 0 0 0 0 0 0 0 0 0 0 0 0 USD N Lehman Xs Trust N/A 525245AC0 184794.59000000 PA USD 176391.52000000 0.223010029510 Long ABS-O CORP US N 2 2037-03-25 Floating 1.95199900 N N N N N N Ge-Wmc A/Bkd Ctfs N/A 36829JAB7 2773287.95000000 PA USD 1751740.96000000 2.214708525578 Long ABS-O CORP US N 2 2036-08-25 Floating 1.94199800 N N N N N N Lehman Mortgage Trust N/A 52520QBG8 2251665.60000000 PA USD 982102.68000000 1.241662567729 Long ABS-O CORP US N 2 2036-09-25 Floating 4.91600200 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GFV5 49133.39000000 PA USD 49120.84000000 0.062102985324 Long ABS-O CORP US N 2 2034-07-25 Fixed 5.00000000 N N N N N N TBW Mortgage Backed Trust N/A 87804AAD4 3306977.44900000 PA USD 1714902.93000000 2.168134573739 Long ABS-O CORP US N 2 2036-07-25 Fixed 6.50000000 N N N N N N Banc of America Funding Corporation 54930023UHZHF7UJ8596 05946XB85 843296.65000000 PA USD 852997.93000000 1.078436727238 Long ABS-O CORP US N 2 2035-10-20 Floating 3.79391000 N N N N N N Washington Mut Mtg N/A 939336V91 157860.49000000 PA USD 163586.47000000 0.206820733231 Long ABS-O CORP US N 2 2035-01-25 Floating 4.38452300 N N N N N N Terwin Mtg Tst N/A 881561FY5 115814.85500000 PA USD 112685.78000000 0.142467501403 Long ABS-O CORP US Y 2 2034-07-25 Floating 2.64200000 N N N N N N Structured Adj Rate Mtg Loan Trust N/A 863579JE9 341881.79000000 PA USD 333901.65000000 0.422148507025 Long ABS-O CORP US N 2 2035-01-25 Floating 3.29719300 N N N N N N C-Bass N/A 12489WFF6 37734.45000000 PA USD 39050.62000000 0.049371307184 Long ABS-O CORP US N 2 2033-02-25 Floating 3.69200200 N N N N N N Ixis Real Estate N/A 46602WAC8 463540.94000000 PA USD 186560.21000000 0.235866202284 Long ABS-O CORP US N 2 2036-08-25 Floating 1.95199900 N N N N N N Banc Amer Alternative Loan Trust N/A 05948KZ69 193062.42000000 PA USD 186174.87000000 0.235379020787 Long ABS-O CORP US N 2 2021-01-25 Fixed 5.25000000 N N N N N N Impac CMB Trust N/A 45254NLC9 1694937.30700000 PA USD 1637263.51000000 2.069975833764 Long ABS-O CORP US N 2 2035-01-25 Floating 2.76700000 N N N N N N Chase Mortgage Financial Trust N/A 16162YAE5 388149.56800000 PA USD 292227.60000000 0.369460423605 Long ABS-O CORP US N 2 2036-12-25 Fixed 6.00000000 N N N N N N Credit Suisse First Boston Mortgage Securities Corp N/A 22541N3T4 44563.32000000 PA USD 44701.62000000 0.056515809803 Long ABS-O CORP US N 2 2033-08-25 Floating 4.16200000 N N N N N N GMAT Trust 2013-1 N/A 36198GAA8 122395.23000000 PA USD 122447.30000000 0.154808893230 Long ABS-O CORP US Y 2 2043-11-25 Floating 6.96690000 N N N N N N First Franklin Mortgage Loan Trust 2005-FF4 N/A 32027NQL8 549226.22000000 PA USD 583703.70000000 0.737970733299 Long ABS-O CORP US N 2 2034-12-25 Floating 2.52699800 N N N N N N Chec Loan Trust N/A 162765AT8 200022.77340000 PA USD 199606.97000000 0.252361090091 Long ABS-O CORP US N 2 2034-06-25 Floating 2.43200200 N N N N N N Countrywide Home Loans, Inc. N/A 126671TK2 80256.88000000 PA USD 80639.79000000 0.101952077671 Long ABS-O CORP US N 2 2033-03-25 Floating 3.29199800 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ARFT0 635049.47930000 PA USD 147744.86000000 0.186792344601 Long ABS-O USGSE US N 2 2046-02-25 Fixed 6.00000000 N N N N N N CWMBS Inc 549300430UQIJMFG3R47 126694YQ5 1093294.10500000 PA USD 1028039.86000000 1.299740483648 Long ABS-O CORP US N 2 2036-02-25 Floating 2.04199900 N N N N N N Fremont Home Loan Trust N/A 35729PBM1 18249.88000000 PA USD 18518.68000000 0.023412981379 Long ABS-O CORP US N 2 2033-08-25 Floating 4.37950100 N N N N N N Bear Stearns Asset Backed Securities I Trust N/A 073879FK9 172103.46640000 PA USD 170469.85000000 0.215523321524 Long ABS-O CORP US N 2 2034-06-25 Floating 4.41699800 N N N N N N Nomura Asset Acceptance Corp Alt Ln tr N/A 65535VRH3 502089.06000000 PA USD 505596.91000000 0.639221102121 Long ABS-O CORP US N 2 2035-12-25 Floating 4.43899400 N N N N N N Amresco Residential Securities Corporation N/A 03215PFP9 1598074.97000000 PA USD 1600341.84000000 2.023296136712 Long ABS-O CORP US N 2 2029-11-25 Floating 3.04200000 N N N N N N Bear Stearns Arm Trust N/A 07384M4L3 68711.66120000 PA USD 69776.62000000 0.088217880799 Long ABS-O CORP US N 2 2035-01-25 Floating 4.55190800 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137BX7D8 643519.54000000 PA USD 21549.99000000 0.027245436208 Long ABS-O USGSE US N 2 2038-10-15 Fixed 3.50000000 N N N N N N Structured Asset Securities Corp. N/A 86359A5V1 201839.40000000 PA USD 204806.55000000 0.258934866933 Long ABS-O CORP US N 2 2033-11-25 Floating 4.27128100 N N N N N N MortgageIT Trust N/A 61913PAU6 31271.68000000 PA USD 31561.11000000 0.039902394811 Long ABS-O CORP US N 2 2035-02-25 Floating 2.94113200 N N N N N N Delta Funding Series 2000-2 N/A 24763LFX3 416162.46310000 PA USD 414189.81000000 0.523656022414 Long ABS-O CORP US N 2 2029-09-15 Floating 2.55975100 N N N N N N Wamu Mortgage Pass-Through CTFS TR N/A 92922FCB2 334009.56000000 PA USD 333234.36000000 0.421304858971 Long ABS-O CORP US N 2 2033-09-25 Floating 4.40043500 N N N N N N CREDIT SUISSE FIRST BOSTON MOR N/A 22541QXB3 418.21000000 PA USD 419.59000000 0.000530483428 Long ABS-MBS CORP US N 2 2020-09-25 Fixed 5.00000000 N N N N N N Byvw Opp Mst Fd Ivb 2017-Spl2 N/A 07333BAD0 305000.00000000 PA USD 314187.56000000 0.397224180773 Long ABS-O CORP US Y 2 2054-06-28 Floating 4.25000200 N N N N N N Renaissance Hm Eqt N/A 759950CY2 75076.22180000 PA USD 73435.96000000 0.092844347657 Long ABS-O CORP US N 2 2034-07-25 Floating 6.01099900 N N N N N N Residential Asset Mortgage Products, Inc. N/A 760985D81 1133983.35000000 PA USD 1168405.53000000 1.477203392346 Long ABS-O CORP US N 2 2033-11-25 Floating 4.34200000 N N N N N N Nuveen Invt Fds Inc N/A 31846V211 2277295.07000000 PA USD 2277295.07000000 2.879161315487 Long STIV RF US N 1 N N N Bear Stearns Asset Backed Securities Trust N/A 073888AN9 173889.84000000 PA USD 174562.32000000 0.220697390297 Long ABS-O CORP US N 2 2036-07-25 Floating 4.32116600 N N N N N N GS Mortgage Securities Corp N/A 362341FP9 288718.16000000 PA USD 289285.00000000 0.365740123940 Long ABS-O CORP US N 2 2035-07-25 Floating 4.50657000 N N N N N N Merrill Lynch Mortgage Investors, Inc. N/A 589929B56 68597.34000000 PA USD 70641.85000000 0.089311782409 Long ABS-O CORP US N 2 2032-09-25 Floating 4.24998700 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AVDE6 170200.36000000 PA USD 19236.73000000 0.024320804792 Long ABS-O USGSE US N 2 2044-08-25 Fixed 4.00000000 N N N N N N Spclty Undrw & Res N/A 84751NAD6 445047.62000000 PA USD 312465.71000000 0.395047263088 Long ABS-O CORP US N 2 2037-11-25 Floating 1.89200200 N N N N N N Asset Backed Funding Corp 5493009YQSUTUX056896 04542BCL4 53315.85000000 PA USD 53137.11000000 0.067180715202 Long ABS-O CORP US N 2 2033-03-25 Floating 3.06699800 N N N N N N Banc of America Funding Corporation 54930023UHZHF7UJ8596 05946XGZ0 15719.15000000 PA USD 15585.56000000 0.019704667183 Long ABS-O CORP US N 2 2034-10-25 Fixed 5.50000000 N N N N N N Chase Fdg Mtg Ln N/A 161546HJ8 1734410.38300000 PA USD 1736346.33000000 2.195245249279 Long ABS-O CORP US N 2 2034-11-25 Floating 2.54200000 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137B26D7 805134.06000000 PA USD 47323.04000000 0.059830044816 Long ABS-O USGSE US N 2 2028-05-15 Fixed 2.50000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 170255AL7 2646087.22000000 PA USD 2210038.77000000 2.794129849985 Long ABS-O CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N Home Equity Asset Trust N/A 437084BP0 78666.76000000 PA USD 81029.27000000 0.102444493328 Long ABS-O CORP US N 2 2034-07-25 Floating 3.89200000 N N N N N N Residential Asset Securities Corp. N/A 76110WMB9 139245.48000000 PA USD 143714.54000000 0.181696851449 Long ABS-O CORP US N 2 2031-09-25 Fixed 6.98000000 N N N N N N GE Capital Mortgage Services Inc N/A 36157RHU2 216830.44000000 PA USD 223347.17000000 0.282375586834 Long ABS-O CORP US N 2 2028-09-25 Fixed 6.64500000 N N N N N N Accredited Mortgage Loan Trust N/A 004375AT8 120900.29000000 PA USD 118561.98000000 0.149896722124 Long ABS-O CORP US N 2 2034-01-25 Floating 2.55200000 N N N N N N Argent Secs Inc N/A 040104BG5 65751.24000000 PA USD 65939.67000000 0.083366863399 Long ABS-O CORP US N 2 2033-09-25 Floating 4.19440300 N N N N N N Mastr Seasoned Sec N/A 55265WBD4 26005.86000000 PA USD 26918.40000000 0.034032663125 Long ABS-O CORP US N 2 2032-10-25 Floating 4.46583200 N N N N N N JP Morgan Mortgage Trust N/A 466247CW1 28609.91000000 PA USD 29606.60000000 0.037431327422 Long ABS-O CORP US N 2 2034-07-25 Floating 4.92015600 N N N N N N Sequoia Mtg Trust N/A 81744WAC4 7389.70000000 PA USD 7095.37000000 0.008970605123 Long ABS-O CORP US N 2 2043-02-25 Floating 1.85500100 N N N N N N Residential Asset Securities Corp. N/A 76110WRU2 996762.40000000 PA USD 976745.17000000 1.234889121572 Long ABS-O CORP US N 2 2033-06-25 Floating 2.37200000 N N N N N N JP Morgan Mortgage Trust N/A 466247GD9 76070.27000000 PA USD 77029.20000000 0.097387244948 Long ABS-O CORP US N 2 2034-12-25 Floating 3.91787600 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07384YSB3 457270.13820000 PA USD 463012.19000000 0.585381667755 Long ABS-O CORP US N 2 2034-04-25 Floating 4.56700000 N N N N N N Ixis Real Estate N/A 45071KBM5 860116.78000000 PA USD 886697.74000000 1.121043059008 Long ABS-O CORP US N 2 2035-09-25 Floating 2.72200000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B0BD7 337373.10820000 PA USD 326958.00000000 0.413369719976 Long ABS-O USGSE US N 2 2057-12-25 Floating 4.00000000 N N N N N N ACE Securities Corp Home Equity Loan Trust Series 2007-SL2 N/A 004421EX7 73014.34260000 PA USD 72491.31000000 0.091650036137 Long ABS-O CORP US N 2 2034-04-25 Floating 3.36700100 N N N N N N Fremont Home Loan Trust N/A 35729PPX2 112103.36000000 PA USD 107419.78000000 0.135809750422 Long ABS-O CORP US N 2 2036-02-25 Floating 1.96200000 N N N N N N CDC Mortgage Capital Trust N/A 12506YBX6 22410.64000000 PA USD 21734.42000000 0.027478609207 Long ABS-O CORP US N 2 2034-03-25 Floating 2.41200000 N N N N N N Indymac MBS Inc N/A 45660NY25 32106.46000000 PA USD 31968.29000000 0.040417188401 Long ABS-O CORP US N 2 2034-10-25 Floating 4.45520900 N N N N N N GS Mortgage Securities Corp CU46ESEFJB81SUVBJO28 362341SF7 55071.16000000 PA USD 56440.15000000 0.071356715544 Long ABS-O CORP US N 2 2035-09-25 Floating 4.54054700 N N N N N N NEW Century Altern N/A 643529AE0 768352.85000000 PA USD 335561.47000000 0.424247000803 Long ABS-O CORP US N 2 2036-10-25 Floating 5.07280000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398SG31 2225238.57000000 PA USD 298559.15000000 0.377465338764 Long ABS-O USGSE US N 2 2040-12-25 Floating 4.15800000 N N N N N N Banc of America Funding Corporation 54930023UHZHF7UJ8596 05946XLZ4 12358.61000000 PA USD 12118.04000000 0.015320716426 Long ABS-O CORP US N 2 2034-12-20 Floating 4.06538300 N N N N N N Renaissance Hm Eqt N/A 759950GV4 239208.72000000 PA USD 155547.12000000 0.196656663661 Long ABS-O CORP US N 2 2036-05-25 Fixed 5.60800000 N N N N N N Morgan Stanley ML N/A 61748HBL4 334392.75000000 PA USD 349244.72000000 0.441546596534 Long ABS-O CORP US N 2 2034-07-25 Floating 5.46700000 N N N N N N CWABS Inc. N/A 126673TD4 181732.48000000 PA USD 181788.38000000 0.229833225477 Long ABS-O CORP US N 2 2035-02-25 Floating 5.11499900 N N N N N N Thornburg Mortgage Securities Trust N/A 88522WAB9 1013566.13500000 PA USD 964011.06000000 1.218789514023 Long ABS-O CORP US N 2 2037-06-25 Floating 3.25149800 N N N N N N HSI Asset SecCorp N/A 40430TAB8 548844.09000000 PA USD 469102.70000000 0.593081838459 Long ABS-O CORP US N 2 2037-04-25 Floating 1.93200100 N N N N N N Renaissance Hm Eqt N/A 75970QAE0 330201.60800000 PA USD 138458.27000000 0.175051402009 Long ABS-O CORP US N 2 2037-06-25 Fixed 5.67500000 N N N N N N Banc America Funding Trust 54930023UHZHF7UJ8596 05951VAB5 2100966.84000000 PA USD 2081898.15000000 2.632122949383 Long ABS-O CORP US N 2 2036-12-20 Floating 4.35695800 N N N N N N Structured Asset Securities Corp. N/A 86358RDU8 1414590.95000000 PA USD 1393707.70000000 1.762050666072 Long ABS-O CORP US N 2 2031-08-25 Fixed 3.37500000 N N N N N N Morgan Stanley ABS Capital I Inc 549300RLSHIMYD3FZB52 61749BAB9 160183.98000000 PA USD 102156.08000000 0.129154907307 Long ABS-O CORP US N 2 2036-10-25 Floating 1.86199900 N N N N N N Wamu Mortgage Pass-Through CTFS TR N/A 93935HAA5 1413090.13000000 PA USD 655874.48000000 0.829215526572 Long ABS-O CORP US N 2 2036-09-25 Fixed 6.08600000 N N N N N N Renaissance Hm Eqt N/A 75970JAH9 69582.67000000 PA USD 32580.05000000 0.041190630433 Long ABS-O CORP US N 2 2037-04-25 Floating 5.90900000 N N N N N N Structured Asset Securities Corp. N/A 86358REA1 2531.77000000 PA USD 2548.53000000 0.003222080916 Long ABS-O CORP US N 2 2031-08-25 Fixed 3.37500000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GEW4 702403.04000000 PA USD 671527.72000000 0.849005760901 Long ABS-O CORP US Y 2 2031-02-25 Floating 2.14200000 N N N N N N Washington Mut Mtg N/A 93934FKH4 112152.57000000 PA USD 110639.43000000 0.139880321623 Long ABS-O CORP US N 2 2021-02-25 Fixed 5.50000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07384YJV9 524220.22000000 PA USD 535080.49000000 0.676496896592 Long ABS-O CORP US N 2 2043-03-25 Floating 4.79200000 N N N N N N JP Morgan Mortgage Trust N/A 466247LU5 47211.75000000 PA USD 48375.92000000 0.061161190440 Long ABS-O CORP US N 2 2035-02-25 Floating 4.62240700 N N N N N N C-Bass N/A 12489WGE8 471739.49000000 PA USD 470200.72000000 0.594470054132 Long ABS-O CORP US N 2 2033-01-25 Floating 5.82000100 N N N N N N Gadsden Med Clinic N/A 362429AA0 15325.99000000 PA USD 15371.59000000 0.019434147058 Long ABS-O CORP US N 2 2047-02-25 Floating 2.64200000 N N N N N N NEW Century Altern N/A 643529AD2 785754.24000000 PA USD 342835.93000000 0.433444027617 Long ABS-O CORP US N 2 2036-10-25 Floating 5.07280000 N N N N N N JP Morgan Alt Loan N/A 46627MAF4 282772.05510000 PA USD 190968.61000000 0.241439698187 Long ABS-O CORP US N 2 2035-12-25 Fixed 6.50000000 N N N N N N Rasc Ser 2004-Ks1 N/A 74924PAH5 846806.43150000 PA USD 853486.46000000 1.079054370817 Long ABS-O CORP US N 2 2034-02-25 Fixed 0.00000000 N N N N N N Indymac MBS Inc N/A 45660LHD4 178206.31000000 PA USD 137463.52000000 0.173793749562 Long ABS-O CORP US N 2 2035-04-25 Floating 2.24200100 N N N N N N 1ST Horizon Mtg N/A 32051GPY5 20835.89000000 PA USD 19901.02000000 0.025160659976 Long ABS-O CORP US N 2 2035-08-25 Floating 4.16607100 N N N N N N GS Mortgage Securities Corp CU46ESEFJB81SUVBJO28 36228FAT3 212187.92000000 PA USD 213866.88000000 0.270389751276 Long ABS-O CORP US Y 2 2027-06-19 Floating 5.34101000 N N N N N N Indymac ABS, Inc. N/A 456606EB4 130050.85000000 PA USD 129787.15000000 0.164088591965 Long ABS-O CORP US N 2 2033-10-25 Floating 2.65200100 N N N N N N Novastar Mortgage Funding Trust N/A 669971AS2 555793.49000000 PA USD 303310.79000000 0.383472789557 Long ABS-O CORP US N 2 2037-03-25 Floating 5.86000100 N N N N N N Renaissance Hm Eqt N/A 759950FY9 441812.85000000 PA USD 442383.23000000 0.559300680537 Long ABS-O CORP US N 2 2036-02-25 Fixed 5.82500000 N N N N N N Structured Asset Mortgage Investments II Trust N/A 86359LPE3 77377.08000000 PA USD 76512.26000000 0.096733682891 Long ABS-O CORP US N 2 2035-07-19 Floating 2.01388000 N N N N N N Cwalt Incorporation N/A 12667FZ65 44812.20000000 PA USD 45475.55000000 0.057494281740 Long ABS-O CORP US N 2 2035-03-25 Floating 4.07343200 N N N N N N Mastr Adjustable Rate Mortgages Trust N/A 576438AA3 397002.54000000 PA USD 404445.64000000 0.511336566018 Long ABS-O CORP US N 2 2036-04-25 Floating 4.73293400 N N N N N N Accredited Mortgage Loan Trust N/A 004375AQ4 176968.36000000 PA USD 172612.15000000 0.218231809926 Long ABS-O CORP US N 2 2033-10-25 Floating 2.53199900 N N N N N N First Franklin Mortgage Loan Trust 2005-FF4 N/A 32027NQM6 250541.05000000 PA USD 252807.17000000 0.319621569348 Long ABS-O CORP US N 2 2034-12-25 Floating 2.91700100 N N N N N N Morgan Stanley ABS Capital I Inc. Trust 2004-NC1 549300RLSHIMYD3FZB52 61744CEA0 738756.98980000 PA USD 730183.35000000 0.923163485587 Long ABS-O CORP US N 2 2034-04-25 Floating 2.72200000 N N N N N N LUXURY LEASE PARTNERS AUTO LEASE TRUST 2019-ARC1 549300J5XQIZMR9LLR50 55069RAA0 1000000.00000000 PA USD 999945.20000000 1.264220686802 Long ABS-O CORP US Y 2 2026-12-15 Fixed 4.11000000 N N N N N N Residential Asset Mortgage Products, Inc. N/A 760985MD0 184631.43000000 PA USD 176430.91000000 0.223059829892 Long ABS-O CORP US N 2 2032-06-25 Floating 2.76700000 N N N N N N Renaissance Hm Eqt N/A 75970HAD2 154653.30000000 PA USD 82905.21000000 0.104816225454 Long ABS-O CORP US N 2 2037-01-25 Floating 5.54500100 N N N N N N CWMBS Inc N/A 12669F3B7 299980.26000000 PA USD 303448.42000000 0.383646793785 Long ABS-O CORP US N 2 2035-04-20 Floating 4.14450700 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 31397JWD2 843536.80000000 PA USD 102970.71000000 0.130184835845 Long ABS-O USGSE US N 2 2037-07-15 Floating 4.26025100 N N N N N N Securitized A/Bkd Receivables Llc N/A 81375WEF9 89626.51000000 PA USD 89971.03000000 0.113749470809 Long ABS-O CORP US N 2 2035-03-25 Floating 2.76700000 N N N N N N Bear Stearns Alternative A Trust N/A 07387QAM2 127803.06000000 PA USD 124618.76000000 0.157554248328 Long ABS-O CORP US N 2 2046-08-25 Floating 3.76996000 N N N N N N Gsamp Tr 2007-Fm2 N/A 3622MHAB2 370790.99000000 PA USD 247938.29000000 0.313465893199 Long ABS-O CORP US N 2 2037-01-25 Floating 1.85199800 N N N N N N Residential Asset Securities Corp. N/A 76110WME3 47630.56950000 PA USD 47296.45000000 0.059796427346 Long ABS-O CORP US N 2 2031-09-25 Floating 2.25200200 N N N N N N Residential Asset Securities Corp. N/A 76110WML7 51296.32000000 PA USD 50359.07000000 0.063668467094 Long ABS-O CORP US N 2 2031-09-25 Floating 4.26700100 N N N N N N Carrington Mtg Ln N/A 144531AQ3 141226.41000000 PA USD 142511.64000000 0.180176037044 Long ABS-O CORP US N 2 2034-08-25 Floating 2.82700100 N N N N N N Chase Mortgage Financial Trust N/A 161630AE8 10670.21000000 PA USD 10881.67000000 0.013757586236 Long ABS-O CORP US N 2 2037-02-25 Floating 4.59852500 N N N N N N AFC Mortgage Loan N/A 00105HDH6 250190.78000000 PA USD 247835.23000000 0.313335595475 Long ABS-O CORP US N 2 2028-04-25 Floating 2.45200000 N N N N N N Credit Suisse First Boston Mortgage Securities Corp N/A 22541Q4D1 53953.90000000 PA USD 54596.78000000 0.069026161342 Long ABS-O CORP US N 2 2033-12-25 Fixed 6.50000000 N N N N N N Countrywide Asset N/A 126670LE6 885145.04240000 PA USD 871292.92000000 1.101566899594 Long ABS-O CORP US N 2 2036-02-20 Floating 3.79325200 N N N N N N Citigroup Mortgage Loan Trust N/A 17313EAA3 168227.41000000 PA USD 172750.79000000 0.218407091088 Long ABS-O CORP US Y 2 2037-10-25 Fixed 5.75000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17307GNR5 797364.60000000 PA USD 788329.46000000 0.996677029249 Long ABS-O CORP US N 2 2035-02-25 Floating 2.42200100 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38374HNS5 1557755.88900000 PA USD 316078.64000000 0.399615054249 Long ABS-O USGA US N 2 2033-06-20 Floating 5.88537000 N N N N N N Residential Asset Securities Corp. N/A 76110WRV0 47883.55000000 PA USD 48441.26000000 0.061243799146 Long ABS-O CORP US N 2 2033-06-25 Floating 5.10999800 N N N N N N GSAA Home Equity Trust N/A 3622E8AF2 270619.79000000 PA USD 123156.33000000 0.155705312747 Long ABS-O CORP US N 2 2036-09-25 Floating 5.87565000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD S6XOOCT0IEG5ABCC6L87 3137BYA83 2171908.24400000 PA USD 240903.61000000 0.304572017834 Long ABS-O USGSE US N 2 2043-10-15 Fixed 4.00000000 N N N N N N Structured Adj Rate Mtg Loan Trust N/A 863579PK8 179565.41000000 PA USD 179931.87000000 0.227486058505 Long ABS-O CORP US N 2 2035-04-25 Floating 4.29150600 N N N N N N New York Mortgage Trust, Inc. 549300JFGR0M7ULHWG48 649603AQ0 218822.92000000 PA USD 214212.61000000 0.270826854247 Long ABS-O CORP US N 2 2036-05-25 Floating 4.53579500 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379EHF2 2134470.06000000 PA USD 246660.75000000 0.311850712191 Long ABS-O USGA US N 2 2040-05-16 Fixed 3.50000000 N N N N N N GSAA Home Equity Trust N/A 36244SAC2 341503.88000000 PA USD 182117.50000000 0.230249328591 Long ABS-O CORP US N 2 2036-07-25 Floating 6.04014800 N N N N N N FHLMC Pc Prepay Prm 30 S6XOOCT0IEG5ABCC6L87 3137FJTN9 860474.50800000 PA USD 38993.78000000 0.049299444942 Long ABS-O USGSE US N 2 2045-09-15 Fixed 4.00000000 N N N N N N Bear Stearns Asset Backed Securities I Trust N/A 073879EU8 255159.79960000 PA USD 250923.75000000 0.317240380332 Long ABS-O CORP US N 2 2034-08-25 Floating 2.69200100 N N N N N N Gsamp Tr 2007-Fm2 N/A 3622MHAC0 156881.52550000 PA USD 105369.19000000 0.133217210052 Long ABS-O CORP US N 2 2037-01-25 Floating 1.88200100 N N N N N N Ameriquest Mortgage Securities N/A 03072SDC6 73969.24000000 PA USD 74911.68000000 0.094710085651 Long ABS-O CORP US N 2 2032-09-25 Floating 3.74199800 N N N N N N Credit Suisse First Boston Mortgage Securities Corp N/A 22541NAH2 38440.36000000 PA USD 38544.25000000 0.048731108672 Long ABS-O CORP US N 2 2032-11-25 Floating 3.69200200 N N N N N N Ameriquest Mortgage Securities N/A 03072SPJ8 529492.58000000 PA USD 525999.41000000 0.665015778232 Long ABS-O CORP US N 2 2034-04-25 Floating 2.51200100 N N N N N N Lehman Abs Corp N/A 61746WML1 421142.89000000 PA USD 434548.10000000 0.549394804266 Long ABS-O CORP US N 2 2032-01-25 Floating 3.32200100 N N N N N N Popular Abs Inc N/A 73316PEP1 150000.00000000 PA USD 154198.15000000 0.194951174421 Long ABS-O CORP US N 2 2035-08-25 Floating 3.04200000 N N N N N N Irwin Hm Eqty Loan N/A 464126CL3 35934.73000000 PA USD 35481.02000000 0.044858297707 Long ABS-O CORP US N 2 2034-12-25 Floating 3.84199900 N N N N N N J P Morgan Mtg Acquisition Tr N/A 46630MAD4 183818.49000000 PA USD 136464.70000000 0.172530951454 Long ABS-O CORP US N 2 2030-10-25 Floating 4.60802900 N N N N N N JP Morgan Mortgage Trust N/A 46630GBB0 105645.68000000 PA USD 107193.05000000 0.135523097957 Long ABS-O CORP US N 2 2035-07-25 Floating 4.52720900 N N N N N N Indymac ABS, Inc. N/A 456606GA4 597293.94250000 PA USD 590842.00000000 0.746995614391 Long ABS-O CORP US N 2 2035-03-25 Floating 4.41699800 N N N N N N CHL Mortgage Pass-Through Trust N/A 12544WAG2 393547.68090000 PA USD 381942.12000000 0.482885591395 Long ABS-O CORP US N 2 2047-06-25 Floating 4.33835300 N N N N N N Homebanc Mtg Trust N/A 43739ECC9 162233.93000000 PA USD 161791.27000000 0.204551079877 Long ABS-O CORP US N 2 2036-01-25 Floating 2.13199900 N N N N N N Gmacm Home Equity Loan Trust N/A 361856DD6 246521.54000000 PA USD 249190.43000000 0.315048961242 Long ABS-O CORP US N 2 2033-10-25 Fixed 4.70000000 N N N N N N JP Morgan Mortgage Trust N/A 46630GAU9 890182.38000000 PA USD 897293.60000000 1.134439298529 Long ABS-O CORP US N 2 2035-07-25 Floating 4.40538100 N N N N N N Credit Suisse First Boston Mortgage Securities Corp N/A 225458YA0 13468.46000000 PA USD 13402.49000000 0.016944633678 Long ABS-O CORP US N 2 2020-07-25 Fixed 4.50000000 N N N N N N Merrill Lynch Mortgage Investors, Inc. N/A 59020UJD8 33800.15000000 PA USD 33823.88000000 0.042763192226 Long ABS-O CORP US N 2 2035-07-25 Floating 3.51699800 N N N N N N Residential Asset Mortgage Products, Inc. N/A 76112BKP4 151298.71000000 PA USD 150677.43000000 0.190499963438 Long ABS-O CORP US N 2 2035-03-18 Floating 5.49794900 N N N N N N Prime Mtg Tst 2006 N/A 74161QAA0 34476.05000000 PA USD 33150.69000000 0.041912084862 Long ABS-O CORP US N 2 2035-02-25 Floating 2.29200100 N N N N N N Ginnie Mae 549300M8ZYFG0OCMTT87 38380UB44 875264.21000000 PA USD 27643.73000000 0.034949690569 Long ABS-O USGA US N 2 2035-01-20 Fixed 4.50000000 N N N N N N Master Asset Securitization Trust N/A 57643MKB9 2768.30000000 PA USD 2764.93000000 0.003495673266 Long ABS-O CORP US N 2 2020-05-25 Fixed 5.00000000 N N N N N N Cwmbs Mtg P/Thru N/A 12669YAC6 151841.25000000 PA USD 112963.50000000 0.142818620014 Long ABS-O CORP US N 2 2036-09-25 Fixed 6.25000000 N N N N N N Chase Fdg Mtg Ln N/A 161546CW4 31518.70000000 PA USD 31357.73000000 0.039645263517 Long ABS-O CORP US N 2 2032-06-25 Floating 5.90699900 N N N N N N Novastar Mortgage Funding Trust N/A 66987XDK8 146604.54000000 PA USD 146269.78000000 0.184927415752 Long ABS-O CORP US N 2 2034-02-25 Floating 2.85700000 N N N N N N Thornburg Mortgage Securities Trust N/A 88522AAC5 29611.08000000 PA USD 28674.73000000 0.036253173528 Long ABS-O CORP US N 2 2036-07-25 Floating 4.27277500 N N N N N N Renaissance Hm Eqt N/A 75971FAF0 204030.48000000 PA USD 117265.29000000 0.148257329963 Long ABS-O CORP US N 2 2037-09-25 Floating 7.23800200 N N N N N N Structured Asset Securities Corp. N/A 86359A3E1 17720.04000000 PA USD 18136.90000000 0.022930300754 Long ABS-O CORP US N 2 2033-10-25 Floating 4.05353900 N N N N N N CWABS Inc. N/A 126673VS8 450157.92000000 PA USD 441921.88000000 0.558717400360 Long ABS-O CORP US N 2 2035-07-25 Floating 2.81200000 N N N N N N Wells Fargo Ar12 N/A 94984GAA5 56204.98000000 PA USD 55666.11000000 0.070378104535 Long ABS-O CORP US N 2 2036-09-25 Floating 4.71417800 N N N N N N Gmacm Home Equity Loan Trust N/A 361856DX2 258365.01000000 PA USD 263017.67000000 0.332530602085 Long ABS-O CORP US N 2 2034-09-25 Floating 5.86500100 N N N N N N Mastr Adjustable Rate Mortgages Trust N/A 576433SF4 350000.00000000 PA USD 347455.05000000 0.439283934703 Long ABS-O CORP US N 2 2034-11-25 Floating 3.54200000 N N N N N N CDC Mortgage Capital Trust N/A 12506YAF6 36869.25000000 PA USD 36731.65000000 0.046439456672 Long ABS-O CORP US N 2 2033-01-25 Floating 2.41200000 N N N N N N Argent Secs Inc N/A 040104RG8 98763.63000000 PA USD 93426.58000000 0.118118288015 Long ABS-O CORP US N 2 2036-03-25 Floating 2.09200000 N N N N N N Delta Funding Series 2000-2 N/A 24763LFN5 76795.32000000 PA USD 76937.89000000 0.097271802631 Long ABS-O CORP US N 2 2030-08-15 Fixed 7.03000000 N N N N N N Deutsche Mortgage Securities Inc Mortgage Loan Trust 529900RSBMUF46QF5O69 251563DP4 101658.15000000 PA USD 103855.15000000 0.131303024466 Long ABS-O CORP US N 2 2034-01-25 Floating 5.59000100 N N N N N N Saxon Asset Securities Trust N/A 805564QD6 98370.62000000 PA USD 90716.23000000 0.114691619695 Long ABS-O CORP US N 2 2035-08-25 Floating 4.03817000 N N N N N N Bear Stearns Arm Trust N/A 07388DAS7 73087.84000000 PA USD 70687.07000000 0.089368953602 Long ABS-O CORP US N 2 2036-07-25 Floating 4.23134600 N N N N N N Centex Home Loan Equity Trust N/A 152314EL0 33592.04000000 PA USD 34133.61000000 0.043154780759 Long ABS-O CORP US N 2 2032-01-25 Fixed 5.54000000 N N N N N N Structured Asset Securities Corp Mortgage Loan N/A 86364GAF0 1879000.00000000 PA USD 1981434.53000000 2.505107802278 Long ABS-O CORP US Y 2 2031-04-25 Floating 3.54200000 N N N N N N Cwalt Incorporation N/A 12667FVN2 93038.10000000 PA USD 96302.80000000 0.121754664112 Long ABS-O CORP US N 2 2034-11-25 Fixed 6.00000000 N N N N N N GS Mortgage Securities Corp CU46ESEFJB81SUVBJO28 36242DPG2 140369.68000000 PA USD 144832.75000000 0.183110593137 Long ABS-O CORP US N 2 2034-12-25 Floating 4.18655200 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137BMGU4 2163390.24600000 PA USD 156285.80000000 0.197590569376 Long ABS-O USGSE US N 2 2041-03-15 Fixed 3.00000000 N N N N N N Bear Stearns Asset Backed Securities I Trust N/A 073879KR8 260172.46360000 PA USD 261395.92000000 0.330480239826 Long ABS-O CORP US N 2 2034-09-25 Floating 3.54700100 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B0QA7 1994243.40500000 PA USD 379403.61000000 0.479676178664 Long ABS-O USGSE US N 2 2048-01-25 Floating 4.35800200 N N N N N N C-Bass 2007-Cb1 Tr N/A 1248MGAX2 758169.53000000 PA USD 381393.66000000 0.482192178918 Long ABS-O CORP US N 2 2037-01-25 Floating 3.51637600 N N N N N N Bear Stearns Asset Backed Securities I Trust N/A 073879EY0 111643.60730000 PA USD 113263.36000000 0.143197730004 Long ABS-O CORP US N 2 2034-08-25 Floating 4.71700100 N N N N N N C-Bass ABS LLC N/A 124860GL5 731971.91750000 PA USD 731922.14000000 0.925361820344 Long ABS-O CORP US Y 2 2035-09-25 Floating 3.39199900 N N N N N N Saxon Asset Securities Trust N/A 805564GA3 321820.28000000 PA USD 275730.82000000 0.348603710116 Long ABS-O CORP US N 2 2030-07-25 Floating 8.66400100 N N N N N N JP Morgan Mortgage Trust N/A 466247J53 72243.24000000 PA USD 72516.96000000 0.091682465175 Long ABS-O CORP US N 2 2036-04-25 Floating 4.20466700 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381AYL4 4758070.27000000 PA USD 508424.79000000 0.642796362441 Long ABS-O USGA US N 2 2045-01-20 Fixed 4.00000000 N N N N N N Structured Asset Securities Corp Mortgage Loan N/A 863592AT8 2932.72500000 PA USD 2929.77000000 0.003704078825 Long ABS-O CORP US Y 2 2036-10-25 Floating 4.23800300 N N N N N N FHLMC Pc Prepay Prm 30 S6XOOCT0IEG5ABCC6L87 3137FJT82 598425.66000000 PA USD 68407.14000000 0.086486460971 Long ABS-O USGSE US N 2 2046-05-15 Fixed 4.00000000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514GM0 38283.55120000 PA USD 37536.06000000 0.047456464167 Long ABS-O CORP US N 2 2034-07-25 Floating 2.64700100 N N N N N N Saxon Asset Securities Trust N/A 805564RN3 64621.82000000 PA USD 62494.33000000 0.079010954594 Long ABS-O CORP US N 2 2035-05-25 Floating 2.51200100 N N N N N N Wamu Mortgage Pass-Through CTFS TR N/A 93363DAB3 568379.07540000 PA USD 555843.16000000 0.702746932021 Long ABS-O CORP US N 2 2046-08-25 Floating 2.62699900 N N N N N N Nomura Asset Acceptance Corp Alt Ln tr N/A 65535VPD4 610024.56000000 PA USD 395077.59000000 0.499492634366 Long ABS-O CORP US N 2 2035-08-25 Floating 5.31799900 N N N N N N Merrill Lynch Mortgage Investors, Inc. N/A 59020UJR7 4961.05000000 PA USD 5017.67000000 0.006343789853 Long ABS-O CORP US N 2 2029-11-25 Floating 2.77850200 N N N N N N Banc Amer Fdg 07-A N/A 05952DAC2 312227.43000000 PA USD 286303.56000000 0.361970719252 Long ABS-O CORP US N 2 2047-02-20 Floating 1.97462900 N N N N N N CHL Mortgage Pass-Through Trust N/A 12544JAE6 2600272.79000000 PA USD 1750708.54000000 2.213403247327 Long ABS-O CORP US N 2 2037-11-25 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A6FP4 1818433.73000000 PA USD 36498.42000000 0.046144586322 Long ABS-O USGSE US N 2 2038-05-25 Fixed 4.00000000 N N N N N N GS Mortgage Securities Corp CU46ESEFJB81SUVBJO28 36228FTH9 492605.47000000 PA USD 502708.49000000 0.635569301687 Long ABS-O CORP US N 2 2032-08-25 Fixed 4.00000000 N N N N N N Chevy Chase Funding Llc N/A 16678RAT4 146647.98000000 PA USD 146259.54000000 0.184914469423 Long ABS-O CORP US Y 2 2035-01-25 Floating 2.12199800 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378DXZ3 418873.19000000 PA USD 74518.42000000 0.094212890978 Long ABS-O USGA US N 2 2042-03-20 Floating 4.85537000 N N N N N N Structured Asset Securities Corp. N/A 86359BSX0 83606.41000000 PA USD 83787.72000000 0.105931973996 Long ABS-O CORP US N 2 2034-06-25 Floating 5.01700000 N N N N N N Novastar Mortgage Funding Trust N/A 66987XCF0 102034.77600000 PA USD 102166.28000000 0.129167803065 Long ABS-O CORP US N 2 2033-05-25 Floating 3.21700000 N N N N N N CWMBS Inc N/A 12669FBW2 168471.09000000 PA USD 168514.84000000 0.213051621990 Long ABS-O CORP US N 2 2033-12-25 Floating 4.66642400 N N N N N N Credit Suisse First Boston Mortgage Securities Corp N/A 22541SK23 105980.39000000 PA USD 106510.37000000 0.134659992480 Long ABS-O CORP US N 2 2035-02-25 Floating 3.39199900 N N N N N N Asset Backed Funding Corp 5493009YQSUTUX056896 04542BHY1 107952.94960000 PA USD 106980.21000000 0.135254006480 Long ABS-O CORP US N 2 2034-01-25 Floating 2.70699800 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137AKM57 607087.32000000 PA USD 96789.33000000 0.122369779111 Long ABS-O USGSE US N 2 2041-09-15 Floating 4.76025100 N N N N N N Morgan Stanley ML N/A 61748HAM3 49451.86400000 PA USD 50925.88000000 0.064385079291 Long ABS-O CORP US N 2 2034-07-25 Floating 4.03012100 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B44E5 2386394.01000000 PA USD 450389.51000000 0.569422940038 Long ABS-O USGSE US N 2 2048-09-25 Fixed 4.50000000 N N N N N N Morgan Stanley ABS Capital I Inc 549300RLSHIMYD3FZB52 61746RFV8 195187.07640000 PA USD 193209.77000000 0.244273174296 Long ABS-O CORP US N 2 2034-05-25 Floating 2.69200100 N N N N N N Long Beach Mortgage Loan Trust N/A 542514EX8 34507.28000000 PA USD 34593.82000000 0.043736619646 Long ABS-O CORP US N 2 2034-02-25 Floating 3.29199800 N N N N N N Lehman Abs Corp N/A 61746WB74 317117.71000000 PA USD 318395.85000000 0.402544679610 Long ABS-O CORP US N 2 2033-03-25 Floating 3.71148500 N N N N N N Residential Asset Mortgage Products, Inc. N/A 760985B42 89332.87000000 PA USD 91226.65000000 0.115336938581 Long ABS-O CORP US N 2 2033-10-25 Floating 4.49200100 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AEBZ9 245035.97000000 PA USD 227322.18000000 0.287401152108 Long ABS-O USGSE US N 2 2043-05-25 Fixed 1.25000000 N N N N N N Mastr Adjustable Rate Mortgages Trust N/A 576433ME3 50192.98000000 PA USD 50708.92000000 0.064110778940 Long ABS-O CORP US N 2 2034-05-25 Floating 3.91148300 N N N N N N AFC Mortgage Loan N/A 00105HEA0 2069072.18400000 PA USD 1771813.34000000 2.240085834284 Long ABS-O CORP US N 2 2029-06-25 Floating 2.44199900 N N N N N N Renaissance Hm Eqt N/A 759950CX4 594019.84000000 PA USD 597310.83000000 0.755174091277 Long ABS-O CORP US N 2 2034-07-25 Floating 5.91400100 N N N N N N Credit Suisse First Boston Mortgage Securities Corp N/A 22541SLH9 49011.35000000 PA USD 48835.98000000 0.061742839683 Long ABS-O CORP US N 2 2034-06-25 Floating 4.36595800 N N N N N N C-Bass N/A 12489WHY3 153469.89000000 PA USD 151441.56000000 0.191466045332 Long ABS-O CORP US N 2 2033-07-25 Floating 2.57199800 N N N N N N Mellon Residential N/A 585525ED6 519973.85000000 PA USD 519960.38000000 0.657380693175 Long ABS-O CORP US N 2 2030-06-15 Floating 2.21974900 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8XA3 7171464.24100000 PA USD 386332.52000000 0.488436330079 Long ABS-O USGSE US N 2 2039-05-25 Fixed 3.50000000 N N N N N N CASCADE MH ASSET TRUST N/A 14732FAC6 500000.00000000 PA USD 504033.50000000 0.637244498540 Long ABS-O CORP US Y 2 2044-11-01 Floating 5.98500000 N N N N N N AFC Mortgage Loan N/A 00105HDN3 438203.84200000 PA USD 422825.85000000 0.534574481166 Long ABS-O CORP US N 2 2028-06-25 Floating 2.34200200 N N N N N N Morgan Stanley ABS Capital I Inc. Trust 2004-NC1 549300RLSHIMYD3FZB52 61744CHS8 91885.63120000 PA USD 91743.01000000 0.115989767350 Long ABS-O CORP US N 2 2034-09-25 Floating 3.29199800 N N N N N N Morgan Stanley ABS Capital I Inc N/A 61753KAD8 214780.47000000 PA USD 120429.08000000 0.152257277927 Long ABS-O CORP US N 2 2037-03-25 Variable 0.67160200 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17311LAE1 14001.82000000 PA USD 13479.91000000 0.017042515008 Long ABS-O CORP US N 2 2037-04-25 Floating 4.51580000 N N N N N N Strctrd Asset Invt N/A 86358EMW3 217812.55000000 PA USD 219943.45000000 0.278072297778 Long ABS-O CORP US N 2 2034-10-25 Floating 3.74199800 N N N N N N JP Morgan Mortgage Trust N/A 466247TM5 98585.97000000 PA USD 101178.93000000 0.127919506363 Long ABS-O CORP US N 2 2035-09-25 Floating 4.31348400 N N N N N N Impac CMB Trust N/A 45254NPH4 96155.55000000 PA USD 89637.60000000 0.113327918605 Long ABS-O CORP US N 2 2035-05-25 Floating 2.48199800 N N N N N N Banc of America Funding Corporation 54930023UHZHF7UJ8596 05946XC35 390880.62000000 PA USD 385179.47000000 0.486978540529 Long ABS-O CORP US N 2 2035-10-20 Floating 3.47559100 N N N N N N Residential Asset Mortgage Products, Inc. N/A 760985LV1 843980.26000000 PA USD 867008.73000000 1.096150441148 Long ABS-O CORP US N 2 2032-06-25 Floating 5.57200100 N N N N N N GS Mortgage Securities Corp N/A 36242DWX7 72991.05000000 PA USD 73176.48000000 0.092516289696 Long ABS-O CORP US N 2 2034-12-25 Floating 3.74199800 N N N N N N 1ST Horizon Mtg N/A 32051DCN0 52533.13000000 PA USD 52841.72000000 0.066807256587 Long ABS-O CORP US N 2 2030-05-25 Floating 4.55001100 N N N N N N Mastr Adjustable Rate Mortgages Trust N/A 576433FG6 18413.48000000 PA USD 18032.21000000 0.022797942238 Long ABS-O CORP US N 2 2033-11-25 Floating 3.21645600 N N N N N N Amresco Residential Securities Corporation N/A 03215PCZ0 167055.87690000 PA USD 167499.06000000 0.211767381524 Long ABS-O CORP US N 2 2027-09-25 Floating 5.94773600 N N N N N N M Stanley Abs Ser N/A 61750MAE5 121928.22000000 PA USD 67147.64000000 0.084894087753 Long ABS-O CORP US N 2 2036-09-25 Floating 1.95199900 N N N N N N Long Beach Mortgage Loan Trust N/A 542514BK9 103572.80000000 PA USD 104112.42000000 0.131628288347 Long ABS-O CORP US N 2 2032-03-25 Floating 3.21700000 N N N N N N Novastar Mortgage Funding Trust N/A 66988XAC8 630591.13000000 PA USD 344622.34000000 0.435702567863 Long ABS-O CORP US N 2 2036-09-25 Floating 1.94199800 N N N N N N Merrill Lynch Mortgage Investors, Inc. N/A 59020UQC2 263683.39000000 PA USD 276269.84000000 0.349285187695 Long ABS-O CORP US N 2 2034-12-25 Floating 4.62658000 N N N N N N Lehman Mortgage Trust N/A 52520MEJ8 247557.31900000 PA USD 138741.07000000 0.175408943213 Long ABS-O CORP US N 2 2036-01-25 Fixed 6.00000000 N N N N N N Impac CMB Trust N/A 45254NLJ4 119828.56610000 PA USD 117931.70000000 0.149099865442 Long ABS-O CORP US N 2 2035-03-25 Floating 2.43200200 N N N N N N Bankboston Home Equity Ln Tst N/A 06606WAE4 183460.24000000 PA USD 181864.28000000 0.229929185085 Long ABS-O CORP US N 2 2028-07-25 Fixed 6.66000000 N N N N N N Residential Fdg I N/A 76111XN82 108303.03000000 PA USD 104837.62000000 0.132545151433 Long ABS-O CORP US N 2 2036-03-25 Fixed 5.50000000 N N N N N N CSMC Mortgage-Backed Trust N/A 225470RS4 884949.60000000 PA USD 506624.27000000 0.640519983065 Long ABS-O CORP US N 2 2036-01-25 Fixed 6.50000000 N N N N N N CWMBS Inc N/A 12669GBC4 785744.68000000 PA USD 808109.96000000 1.021685316998 Long ABS-O CORP US N 2 2034-11-20 Floating 3.93927100 N N N N N N Long Beach Mortgage Loan Trust N/A 542514GT5 26038.90800000 PA USD 26041.03000000 0.032923413034 Long ABS-O CORP US N 2 2034-07-25 Floating 4.71700100 N N N N N N Washg Mutual 7-He1 N/A 93935KAD2 1910046.00000000 PA USD 973441.38000000 1.230712173012 Long ABS-O CORP US N 2 2036-11-25 Floating 2.03199800 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307G4K1 22667.13000000 PA USD 15710.80000000 0.019863006858 Long ABS-O CORP US N 2 2036-03-25 Floating 4.86555100 N N N N N N 1ST Horizon Mtg N/A 32051D6B3 79875.14000000 PA USD 80189.16000000 0.101382350682 Long ABS-O CORP US N 2 2034-09-25 Floating 4.06711800 N N N N N N Master Asset Securitization Trust N/A 55265K8A0 1642595.04000000 PA USD 1660858.07000000 2.099806199316 Long ABS-O CORP US N 2 2034-03-25 Fixed 5.50000000 N N N N N N EMC Mortgage Loan Trust N/A 268668AA8 263606.02000000 PA USD 261525.90000000 0.330644572237 Long ABS-O CORP US Y 2 2040-05-25 Floating 2.53199900 N N N N N N JP Morgan Mortgage Trust N/A 466247ER0 265185.87000000 PA USD 265629.50000000 0.335832712557 Long ABS-O CORP US N 2 2034-09-25 Fixed 5.00000000 N N N N N N Indymac MBS Inc N/A 45660LFK0 130846.30000000 PA USD 131391.93000000 0.166117499223 Long ABS-O CORP US N 2 2035-04-25 Floating 4.07118600 N N N N N N Residential Accredit Loans Inc N/A 76110HZH5 292444.75000000 PA USD 296279.18000000 0.374582795562 Long ABS-O CORP US N 2 2034-09-25 Floating 4.37514500 N N N N N N Banc of America Funding Corporation 54930023UHZHF7UJ8596 05946XG98 411433.85040000 PA USD 406139.64000000 0.513478273227 Long ABS-O CORP US N 2 2035-11-20 Floating 4.11054500 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8YU8 2276872.07000000 PA USD 72987.87000000 0.092277831964 Long ABS-O USGSE US N 2 2039-05-25 Fixed 4.50000000 N N N N N N Indymac ABS, Inc. N/A 456606DK5 65665.61000000 PA USD 65872.05000000 0.083281372111 Long ABS-O CORP US N 2 2033-10-25 Floating 3.21700000 N N N N N N Cwalt Incorporation N/A 12667F4F9 447347.15000000 PA USD 451145.44000000 0.570378654754 Long ABS-O CORP US N 2 2020-02-25 Fixed 5.50000000 N N N N N N Harborview Mtg Loan Trust N/A 41161PFQ1 64114.91000000 PA USD 65260.59000000 0.082508309366 Long ABS-O CORP US N 2 2034-08-19 Floating 3.57853300 N N N N N N Nomura Asset Acceptance Corp Alt Ln tr N/A 65535VPU6 617930.30000000 PA USD 615524.64000000 0.778201628573 Long ABS-O CORP US N 2 2035-10-25 Floating 3.69170300 N N N N N N Citigroup Mortgage Loan Trust N/A 17307G4J4 111068.92000000 PA USD 76997.62000000 0.097347318671 Long ABS-O CORP US N 2 2036-03-25 Floating 4.86555100 N N N N N N Impac CMB Trust N/A 45254NLP0 325516.35000000 PA USD 321303.97000000 0.406221386557 Long ABS-O CORP US N 2 2035-03-25 Floating 2.53199900 N N N N N N Banc of America Funding Corporation N/A 058927AA2 215805.66000000 PA USD 216003.58000000 0.273091159654 Long ABS-O CORP US N 2 2036-02-20 Floating 4.49535200 N N N N N N 2020-01-28 MUTUAL FUND SERIES TRUST Erik Naviloff Erik Naviloff Treasurer