PENNYMAC MORTGAG

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O'BRIEN & ASSOCIATES LLC N/A Long N/A CBOT Soybean Future 2020-11-13 606530.85000000 USD 58744.15000000 N N N Blackstone Mortgage Trust, Inc 549300OLDJ20R2Y2UW20 BLACKSTONE MOR-A 09257W100 1200.00000000 NS USD 26364.00000000 0.811808031726 Long EC CORP US N 1 N N N NEW Residential Invt Corp 549300WNTHGEO5LP2G31 NEW RESIDENT 64828T201 3880.00000000 NS USD 30846.00000000 0.949819092195 Long EC CORP US N 1 N N N ISHARES TRUST 5493000860OXIC4B5K91 ISHARES CONVERTIBLE BOND 46435G102 1260.00000000 NS USD 101745.00000000 3.132961924897 Long EC RF US N 1 N N N TPG RE FINANCE TRUST INC N/A TPG RE FINANCE T 87266M107 3350.00000000 NS USD 28341.00000000 0.872684396417 Long EC CORP US N 1 N N N New York Mortgage Trust, Inc. 549300JFGR0M7ULHWG48 NEW YORK MTGE 649604501 11420.00000000 NS USD 29121.00000000 0.896702385522 Long EC CORP US N 1 N N N US BANK MMDA N/A US BANK MMDA-USBGFS 5 N/A 561419.27000000 PA USD 561419.27000000 17.28738706387 Long STIV US N 1 N N N Ladder Capital Corporation 549300Q6LLV2QCV67C06 LADDER CAPITAL 505743104 3830.00000000 NS USD 27269.60000000 0.839693532922 Long EC CORP US N 1 N N N Vanguard Scottsdal 549300Y88GQ3VLJIBX57 VANGUARD INT-TERM CORPORA 92206C870 550.00000000 NS USD 52690.00000000 1.622445956291 Long EC RF US N 1 N N N Mutual Fund Series Trust 5493002ZGLQMLR4QMA96 ALPHAC-INC OP-I 62827M144 11093.85700000 NS USD 117927.70000000 3.631264376537 Long EC RF US N 1 N N N Capstead Mortgage Corporation 549300W6CQE2GR8QBV24 CAPSTEAD MORTGAG 14067E506 4780.00000000 NS USD 26863.60000000 0.827191861670 Long EC CORP US N 1 N N N Vanguard Scottsdal 549300Y88GQ3VLJIBX57 VANGUARD MORTGAGE-BACKED 92206C771 4910.00000000 NS USD 266465.70000000 8.205090101638 Long EC RF US N 1 N N N Arbor Realty Trust, Inc. 549300ASFUWYQO0RW077 ARBOR REALTY TRU 038923108 2590.00000000 NS USD 29707.30000000 0.914755907332 Long EC CORP US N 1 N N N Redwood Trust, Inc. DRBV4N1ERQLEMIF11G78 REDWOOD TRUST 758075402 4170.00000000 NS USD 31358.40000000 0.965597063499 Long EC CORP US N 1 N N N Two Harbors Investment Corp. 549300ZUIBT6KH4HU823 TWO HARBORS INVE 90187B408 5450.00000000 NS USD 27740.50000000 0.854193624036 Long EC CORP US N 1 N N N 2020-10-28 MUTUAL FUND SERIES TRUST Erik Naviloff Erik Naviloff Treasurer XXXX