<SEC-DOCUMENT>0001445546-18-003097.txt : 20180705
<SEC-HEADER>0001445546-18-003097.hdr.sgml : 20180705
<ACCEPTANCE-DATETIME>20180705144104
ACCESSION NUMBER:		0001445546-18-003097
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		7
CONFORMED PERIOD OF REPORT:	20180430
FILED AS OF DATE:		20180705
DATE AS OF CHANGE:		20180705
EFFECTIVENESS DATE:		20180705

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			FIRST TRUST MORTGAGE INCOME FUND
		CENTRAL INDEX KEY:			0001319183
		IRS NUMBER:				356758396

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21727
		FILM NUMBER:		18940363

	BUSINESS ADDRESS:	
		STREET 1:		120 EAST LIBERTY DRIVE, SUITE 400
		CITY:			WHEATON
		STATE:			IL
		ZIP:			60187
		BUSINESS PHONE:		630765-8000

	MAIL ADDRESS:	
		STREET 1:		120 EAST LIBERTY DRIVE, SUITE 400
		CITY:			WHEATON
		STATE:			IL
		ZIP:			60187

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	FIRST TRUST/FIDAC MORTGAGE INCOME FUND
		DATE OF NAME CHANGE:	20050228
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>fmy_ncsrs.htm
<DESCRIPTION>SEMI-ANNUAL REPORT TO SHAREHOLDERS
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<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center">UNITED STATES<BR>
SECURITIES AND EXCHANGE COMMISSION<BR>
Washington, D.C. 20549</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center"><B>FORM N-CSR </B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center"><B>CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT<BR>
INVESTMENT COMPANIES</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 18pt; text-align: center">Investment Company
Act file number  <U>&nbsp;&nbsp;811-21727&nbsp;&nbsp;</U></P>






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<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 20%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: center; vertical-align: top; width: 60%">First Trust Mortgage Income Fund</TD>
    <TD STYLE="width: 20%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: top">&nbsp;(Exact name of registrant as specified in charter)</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>


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<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 20%">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: top; width: 60%">&nbsp;120 East Liberty Drive, Suite 400</TD>
    <TD STYLE="width: 20%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: center; vertical-align: top">&nbsp;Wheaton, IL 60187</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: top">&nbsp;(Address of principal executive offices) (Zip code)</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>



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<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 20%">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: top; width: 60%">W. Scott Jardine, Esq.</TD>
    <TD STYLE="width: 20%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: top">First Trust Portfolios L.P.</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: top">120 East Liberty Drive, Suite 400</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: center; vertical-align: top">Wheaton, IL 60187</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: top">(Name and address of agent for service)</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center"></P>



<P STYLE="text-align: center; font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 18pt">Registrant's telephone
number, including area code: <U>&nbsp;&nbsp;(630) 765-8000&nbsp;&nbsp;</U></P>





<P STYLE="text-align: center; font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 18pt">Date of fiscal year
end: <U>&nbsp; October 31&nbsp; &nbsp;</U></P>




<P STYLE="text-align: center; font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 18pt">Date of reporting
period: <U>&nbsp;&nbsp;April 30, 2018&nbsp;&nbsp;</U></P>





<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 0; text-indent: 0; text-align: justify">Form N-CSR is to be used by management investment companies to file reports with the Commission not later
than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule
30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR
in its regulatory, disclosure review, inspection, and policymaking roles.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 0; text-indent: 0; text-align: justify">A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make
this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless
the Form displays a currently valid Office of Management and Budget (&ldquo;OMB&rdquo;) control number. Please direct comments
concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary,
Securities and Exchange Commission, <FONT STYLE="font: 12pt Times New Roman, Times, Serif">100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. &sect;
3507</FONT>.</P>


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<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: justify">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 0; text-indent: 0; text-align: justify"><B>Item
1. Report to Stockholders.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 0; text-indent: 0; text-align: justify">The Report to Shareholders is attached herewith.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 0; text-indent: 0; text-align: justify">&nbsp;</P>


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<DIV STYLE="color: #FFFFFF; font: normal small-caps 40pt/41pt Arial; left: 15pt; position: absolute; text-decoration: none; top: 234pt">First Trust</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 30pt/31pt Arial; left: 15pt; position: absolute; text-decoration: none; top: 274pt">Mortgage Income
Fund (FMY)</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 40pt/41pt Arial; left: 15pt; position: absolute; text-decoration: none; top: 327pt">Semi-Annual
Report</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 30pt/31pt Arial Narrow; left: 15pt; position: absolute; text-decoration: none; top: 367pt">For the Six
Months Ended</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 30pt/31pt Arial Narrow; left: 15pt; position: absolute; text-decoration: none; top: 397pt">April 30,
2018</DIV><DIV STYLE="left: 163pt; position: absolute; top: 645pt; width: 27.41%"><DIV STYLE="color: #FFFFFF; font: normal small-caps 40pt/41pt Arial; margin-top: 0pt; position: relative; text-decoration: none">&#8194;</DIV></DIV><DIV STYLE="color: #000000; font: normal small-caps 40pt/41pt Arial; left: 352pt; position: absolute; text-decoration: none; top: 645pt">&#8194;</DIV><DIV STYLE="left: 416pt; position: absolute; top: 694pt; width: 27.41%"><DIV STYLE="margin-top: 0pt; position: relative"><IMG SRC="img201ea0f82.jpg">
</DIV><DIV STYLE="color: #000000; font: normal 9pt/10pt Times New Roman; margin-top: 0pt; position: relative; text-decoration: none; text-transform: none">&#8201;</DIV></DIV></DIV>

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<DIV STYLE="color: #FFFFFF; font: normal bold 10.5pt/11.5pt Times New Roman; padding-top: 3pt; text-align: left; text-decoration: none; text-transform: none">Table of Contents</DIV>
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<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund
(FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">Semi-Annual Report</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">April 30, 2018</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SHLetter-TOCshareholderletter-6_1">Shareholder Letter</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 2pt 1.3pt 11pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#FPO-TOCFPO-6_1">At a Glance</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 11pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">2
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#PC-TOCcommentary-6_1">Portfolio Commentary</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 11pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">3
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SOI-SOIfooter-6_1">Portfolio of Investments</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 11pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">5
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SAL-SALfooter-6_1">Statement of Assets and Liabilities</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">12
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SOP-SOPfootnote-6_1">Statement of Operations</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">13
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SOC-SOCfooter-6_1">Statements of Changes in Net Assets</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">14
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#FiHi-FiHifooter-6_1">Financial Highlights</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">15
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#NTF-TOCnotes-6_1">Notes to Financial Statements</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">16
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 6pt 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#AI-AddILBsforsemi-6_1">Additional Information</A></FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">23
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: center; text-decoration: none; text-transform: none">Caution Regarding
Forward-Looking Statements</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">This report contains
certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. (&#8220;First Trust&#8221; or the &#8220;Advisor&#8221;) and its representatives, taking into account the information currently available to them.
Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as &#8220;anticipate,&#8221;
&#8220;estimate,&#8221; &#8220;intend,&#8221; &#8220;expect,&#8221; &#8220;believe,&#8221; &#8220;plan,&#8221; &#8220;may,&#8221; &#8220;should,&#8221; &#8220;would&#8221; or other words that convey uncertainty of
future events or outcomes.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 6pt; text-align: left; text-decoration: none; text-transform: none">Forward-looking
statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust Mortgage Income Fund (the &#8220;Fund&#8221;) to be materially
different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue
reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: center; text-decoration: none; text-transform: none">Performance and Risk
Disclosure</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">There is no assurance
that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund
shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See &#8220;Risk Considerations&#8221; in the Additional Information section of this report for a
discussion of certain other risks of investing in the Fund.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 6pt; text-align: left; text-decoration: none; text-transform: none">Performance data quoted
represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit <FONT STYLE="color: #0000FF; text-decoration: underline">www.ftportfolios.com </FONT>or speak with your financial advisor. Investment returns, net asset value and common share price will fluctuate and Fund shares, when sold,
may be worth more or less than their original cost.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 6pt; text-align: left; text-decoration: none; text-transform: none">The Advisor may also
periodically provide additional information on Fund performance on the Fund&#8217;s web page at <FONT STYLE="color: #0000FF; text-decoration: underline">www.ftportfolios.com</FONT>.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: center; text-decoration: none; text-transform: none">How to Read This
Report</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">This report contains
information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund&#8217;s performance and investment approach.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 6pt; text-align: left; text-decoration: none; text-transform: none">By reading the portfolio
commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund&#8217;s performance. The statistical information that follows may help you
understand the Fund&#8217;s performance compared to that of a relevant market benchmark.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 6pt; text-align: left; text-decoration: none; text-transform: none">It is important to keep
in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the
date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.</DIV>
</DIV>
</DIV>
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</DIV>
<HR STYLE="margin-bottom: 0pt">
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<A NAME="SHLetter-TOCshareholderletter-6_1">
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<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="OverlapColorBlock" STYLE="background-color: #003E87; height: 15pt; width: 100%">
<DIV TYPE="Block" STYLE="padding-left: 6pt; width: 97.78%">
<DIV STYLE="color: #FFFFFF; font: normal bold 10.5pt/11.5pt Times New Roman; padding-top: 3pt; text-align: left; text-decoration: none; text-transform: none">Shareholder Letter</DIV>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 16pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund
(FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">Semi-Annual Letter from the Chairman
and CEO</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">April 30, 2018</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">Dear Shareholders,</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">First Trust is pleased
to provide you with the semi-annual report for the First Trust Mortgage Income Fund which contains detailed information about your investment for the period ended April 30, 2018, including a market overview and a
performance analysis for the period. We encourage you to read this report carefully and discuss it with your financial advisor.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">As you are no doubt
aware, 2017 was a very strong year for both the U.S. and global markets. The three major U.S. indices &#8211; the S&amp;P 500<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">&#174;</SUP> Index, the Dow Jones Industrial Average and the Nasdaq Composite &#8211; posted their best performance since 2013. And
there was more good news for Wall Street as the year ended and analysts collected stock market data:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="12" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 1pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 0.93%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 99.07%"> The S&amp;P 500<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">&#174; </SUP>Index did something it had never previously done, finishing 2017 with 12 months of gains;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 0.93%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 99.07%"> The Dow Jones Industrial Average achieved a milestone as well, closing above 24,000 for the first time ever on November 30;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 0.93%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 99.07%"> The Nasdaq Composite set a record by having 11 months of gains in 2017 (June was the only down month, and by just 0.86%); and
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 0.93%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 99.07%"> The MSCI AC World Index (containing constituents from 47 countries) ended 2017 at an all-time high and was up 22% at year-end.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">As 2017 ended, President
Trump signed the &#8220;Tax Cuts and Jobs Act of 2017&#8221; tax reform bill. As 2018 began, there was much enthusiasm for this tax reform package and the potential increase in take-home pay for many Americans, as
well as the reduction in the federal corporate tax rate from 35% to 21%. Early in the year, many investors were also watching the Federal Reserve (the &#8220;Fed&#8221;) and its signaled intent to continue raising
interest rates at a gradual pace. Based on strong job growth and the economic outlook in the U.S., the Fed did, in fact, raise interest rates on March 21, 2018.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">For the entire first
quarter of 2018, increased volatility was the norm. The S&amp;P 500<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">&#174;</SUP> Index was off to a strong start in January as it returned over 7.5% from January 2 to January 26. February, however,
was a different story. Early in the month, the Dow Jones Industrial Average plunged 567 points and sank into &#8220;correction&#8221; territory (defined as a drop of 10% from the index&#8217;s high) and in just two
weeks, was down more than 3,200 points. However, as February came to a close, the Dow Jones Industrial Average was back on track and up from the lows experienced earlier in the month. Volatility continued in March and
April with the Dow Jones Industrial Average ending April with a small gain.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">This market volatility
is why we believe that one should invest for the long term and be prepared for market movements, which can happen at any time. This can be accomplished by keeping current on your portfolio and investing goals and by
speaking regularly with your investment professional. It&#8217;s important to keep in mind that past performance of the U.S. and global stock markets or investment products can never guarantee future results. As
we&#8217;ve said before, markets go up and they also go down, but savvy investors are prepared for either through careful attention to their portfolios and investment goals.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">At First Trust, we
continue to be optimistic about the U.S. economy and we thank you for giving us the opportunity to be a part of your financial plan. We value our relationship with you and will report on your investment again in six
months.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">Sincerely,</DIV>
<DIV STYLE="margin-top: 2pt; text-align: left; width: 144pt">
<IMG SRC="imga7847ac13.jpg">
</DIV>

<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">James A. Bowen</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Chairman of the Board of Trustees</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Chief Executive Officer of First Trust
Advisors L.P.</DIV>
</DIV>
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<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">Page 1</DIV>
</DIV>
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Table of Contents
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<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">&#8220;AT A GLANCE&#8221;
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">As of April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV STYLE="margin-top: 5pt">
<DIV TYPE="Block" STYLE="float: left; overflow: hidden; position: relative; width: 48%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 97.67%">
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 4pt 3pt 2pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Fund Statistics
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 12pt; padding-top: 4pt; text-align: center; vertical-align: bottom; width: 17.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Symbol on New York Stock Exchange
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 12pt 1.25pt 25.67pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">FMY
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Common Share Price
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 21pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$13.47
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Common Share Net Asset Value (&#8220;NAV&#8221;)
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 21pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$15.19
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Premium (Discount) to NAV
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 22.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">(11.32)%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Net Assets Applicable to Common Shares
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$64,005,371
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Current Distribution per Common Share<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(1)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 17pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$0.0600
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Current Annualized Distribution per Common Share
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 17pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$0.7200
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Current Distribution Rate on Common Share Price<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(2)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 29pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">5.35%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; color: #000000; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 80.95%">Current Distribution Rate on NAV<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(2)</SUP>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 3pt 29pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">4.74%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="float: right; overflow: hidden; position: relative; width: 48%"><DIV STYLE="background-color: #003E87; border: #003E87 2px solid; font: normal bold 10pt/13pt Times New Roman; color: #FFFFFF; padding-left: 1.55%; text-align: left; text-decoration: none; text-transform: none">Common Share Price &amp; NAV (weekly closing price)</DIV>
<DIV STYLE="margin-left: 3.88%; margin-top: 9pt; text-align: center; width: 92.25%">
<IMG SRC="imgf49bb5814.jpg">
</DIV>

<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">&nbsp;&nbsp;<BR>
</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both">&nbsp;
<DIV TYPE="Block" STYLE="clear: both; padding-top: 21pt; width: 100%">&nbsp;
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-bottom: #000000 0.5pt solid; border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 2pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.31%">Performance
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 10pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 14.65%">&#160;
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 12.48%">&#160;
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 13.2%">&#160;
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 14.12%">&#160;
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 4pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 18.79%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 10pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 2pt; text-align: left; vertical-align: bottom; width: 27.31%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom; width: 14.65%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom; width: 12.48%">&#160;
</TD><TD COLSPAN="3" STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 3pt 7pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 46.11%">Average Annual Total Return
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 6pt; padding-top: 2.12pt; text-align: left; vertical-align: bottom; width: 27.31%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 7pt 2pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.65%">6 Months Ended<BR>
4/30/2018
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 7pt 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.48%">1 Year Ended<BR>
4/30/2018
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 7pt 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.2%">5 Years Ended<BR>
4/30/2018
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 7pt 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.12%">10 Years Ended<BR>
4/30/2018
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 4pt 2pt 7pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 18.79%">Inception (5/25/2005)<BR>
to 4/30/2018
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#B2B2B2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 6pt 2pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 27.31%">Fund Performance<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(3)</SUP>
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom; width: 14.65%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom; width: 12.48%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom; width: 13.2%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom; width: 14.12%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 4pt; padding-top: 2pt; text-align: center; vertical-align: bottom; width: 18.79%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 6pt 1.25pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.31%">NAV
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 1.25pt 9.33pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 14.65%">0.95%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 1.25pt 10.33pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.48%">3.61%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 13.2%">3.10%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 14.12%">5.75%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 1.25pt 7pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 18.79%">5.74%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 27.31%">Market Value
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 7pt 1.25pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 14.65%">-3.77%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 7pt 1.25pt 10.33pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.48%">1.15%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 7pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 13.2%">1.72%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 7pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 14.12%">5.35%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 4pt 1.25pt 7pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 18.79%">4.39%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#B2B2B2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 6pt 2pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 27.31%">Index Performance
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 14.65%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 12.48%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 13.2%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 14.12%">&#160;
</TD><TD BGCOLOR="#B2B2B2" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 4pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 18.79%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 6pt 4pt 9pt; text-align: left; text-decoration: none; text-indent: -6pt; text-transform: none; vertical-align: bottom; width: 27.31%">Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 4pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 14.65%">-1.51%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 4pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.48%">-0.38%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 4pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 13.2%">1.59%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 4pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 14.12%">3.40%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 4pt 7pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 18.79%">3.84%
</TD></TR></TABLE>
</DIV>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="float: left; overflow: hidden; position: relative; width: 48%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 97.67%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 4pt 3pt 2pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 85%">Portfolio Characteristics
</TD><TD STYLE="background-color: #003E87; line-height: 0pt; padding-bottom: 2pt; padding-right: 12pt; padding-top: 4pt; text-align: center; vertical-align: bottom; width: 15%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 3pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom">Weighted Average Effective Duration
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 6pt 1.25pt 3pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom">2.99%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; color: #000000; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom">Weighted Average Effective Maturity
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 14pt 3pt 3pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">4.33
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 2pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 74.87%">Asset Classification
</TD><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 4pt 2pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 24.36%">% of Total<BR>
Investments
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 6pt 1.18pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 74.87%">Mortgage-Backed Securities
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 6pt 1.25pt 3pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 24.36%">57.8%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 6pt 1.18pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 74.87%">U.S. Government Agency MBS
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">36.1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 6pt 1.18pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 74.87%">Asset-Backed Securities
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">1.5
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 6pt 3pt 4pt; color: #000000; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 74.87%">Cash &amp; Cash Equivalents
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 3pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">4.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 6pt 1.5pt 16pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 74.87%">Total
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 6pt 1.5pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">100.0%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="float: right; overflow: hidden; position: relative; width: 48%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 2pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 85%">Credit Quality<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(4)</SUP>
</TD><TD STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 4pt 2pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 15%">% of Total<BR>
Fixed-Income<BR>
Investments
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">AAA
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 6pt 1.25pt 3pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom">1.3%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">AA+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">12.0
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">AA
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">3.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">AA-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">1.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">A+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">7.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">A
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">1.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">BBB+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">0.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">BBB
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">0.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">BBB-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">0.9
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">BB+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">0.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">BB-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">2.0
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">B+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">2.0
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">B
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">0.8
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">B-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">0.2
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">CCC
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">7.0
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">CC
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">0.8
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom">Not Rated
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">16.5
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 1pt 4pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">Government
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 1.18pt 10pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">36.1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1pt 6pt 3pt 4pt; color: #000000; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom">Cash &amp; Cash Equivalents
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.18pt 14pt 3pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">4.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 6pt 1.5pt 16pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">Total
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 6pt 1.5pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">100.0%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV STYLE="clear: both">
<DIV TYPE="Block" STYLE="clear: both; width: 94%">
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 94%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.44%"><SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(1)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.56%">Most recent distribution paid or declared through 4/30/2018. Subject to change in the future.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 94%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.44%"><SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(2)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.56%">Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of 4/30/2018.
Subject to change in the future.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 94%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.44%"><SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(3)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.56%">Total return is based on the combination of reinvested dividend, capital gain, and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per
share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of
future results.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 94%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.44%"><SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(4)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.56%">The ratings are by Standard &amp; Poor&#8217;s. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO), of the creditworthiness of an issuer with
respect to debt obligations. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher.
Sub-investment grade ratings are those rated BB+ or lower. "NR" indicates no rating. The credit ratings shown relate to the credit worthiness of the issuers of the underlying securities in the fund, and not to the
fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under "Government". Credit ratings are subject to change.
</TD></TR></TABLE>
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<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Portfolio Commentary<FONT STYLE="color: #000000"> </FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none">Semi-Annual Report</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 11pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 12pt; text-align: center; text-decoration: none; text-transform: none">Investment Manager</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">First Trust Advisors L.P.
(&#8220;First Trust&#8221;) was established in 1991 and is located in Wheaton, IL. First Trust is a registered investment advisor which offers customized portfolio management using its structured, quantitative
approach to security selection. As of April 30, 2018, First Trust managed or supervised $122.55 billion in assets.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 12pt; text-align: center; text-decoration: none; text-transform: none">Portfolio Management
Team</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 9pt; text-align: left; text-decoration: none; text-transform: none">Jeremiah Charles &#8211;
Senior Vice President, Portfolio Manager</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">Jim Snyder &#8211; Senior
Vice President, Portfolio Manager</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 12pt; text-align: center; text-decoration: none; text-transform: none">Commentary</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 6pt; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income
Fund</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The First Trust Mortgage
Income Fund&#8217;s (the &#8220;Fund&#8221;) primary investment objective is to seek a high level of current income. As a secondary objective, the Fund seeks to preserve capital. The fund will pursue its objectives by
investing primarily in mortgage-backed securities (&#8220;MBS&#8221;) representing part ownership in a pool of either residential or commercial mortgage loans that, in the opinion of the Fund&#8217;s investment
advisor, offer an attractive combination of credit quality, yield and maturity. There can be no assurance the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">Market Recap</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The six-month period
ended April 30, 2018 began with bond market yields under pressure as markets began to price in faster economic growth in the U.S. spurring concern for a potentially more hawkish Federal Reserve (the &#8220;Fed&#8221;)
coupled with forecasted increase in Treasury supply issuance as future U.S. budget deficits trended higher. As such, yields across the curve moved meaningfully higher, led by the 2-year Treasury which sold off from
1.60% to a yield of 2.49%. As a result, the 2/30&#8217;s yield curve bear flattened rather dramatically, from 128 basis points (&#8220;bps&#8221;) to 63 bps, to close the period. As we expected, the Fed raised rates
in December 2017 and again in March 2018, continuing the path to normalization of monetary policy. During the period in between the two rate hikes, we believe the acceleration of bond market yields moving higher
caused measures of volatility to increase. A brief injection of volatility coupled with the Fed formally ramping up the pace of the balance sheet reduction saw Agency Mortgage-Backed Securities (&#8220;MBS&#8221;)
spreads widen from a low of 19 bps to a wide of 32 bps, before closing the period at 28 bps as measures of market volatility declined.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">Performance Analysis</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">For the six-month period
ending April 30, 2018, the Fund returned 0.95% on a net asset value (&#8220;NAV&#8221;) basis and -3.77% on a market price basis. During the same period, the Fund&#8217;s benchmark, the Bloomberg Barclays U.S. MBS
Index returned -1.51%. The Fund outperformed the index by 2.46%, net of fees, on a NAV basis, for the period.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Over the six-month
period, the Fund maintained a very defensive duration in the portfolio relative to the benchmark. This was a key driver of outperformance as U.S. bond market yields increased rather significantly. An additional key
contributor to outperformance was the continued reinvestment in the Non-Agency Residential MBS (&#8220;RMBS&#8221;) sector, which performed well into the broader bond market yield backup. Additionally, the team
continued to deploy cash runoff from previously held Commercial Mortgage-Backed Securities (&#8220;CMBS&#8221;) positions into more stable and less credit sensitive MBS cash flows which helped to generate more
interest income. Lastly, a continued focus on active duration and yield curve management utilizing Treasury futures helped to drive alpha and stability into the strategy as the yield curve flattening trend persisted
into 2018.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 12pt; text-align: left; text-decoration: none; text-transform: none">Fund and Market Outlook</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">In late 2017 and into
2018, the Fed continued monetary policy normalization with two 25 bps hikes occurring from December 2017 through April 2018. Additionally, the Fed followed through on previously announced plans to formally begin
reducing the size of its fixed income balance sheet. In our opinion, we expect that the Fed will continue to raise the overnight Fed Funds rate with a potential of four total hikes during the 2018 calendar year, and
we anticipate further hiking well into 2019. The labor markets have continued to tighten over the past six months, and with that, we expect income and wage growth to pick up modestly. Measures of inflation have begun
to track closer to the Fed&#8217;s established 2% target, and we are wary of continued inflationary increases putting upward pressure on yields of the longer maturity segments of the bond market. As the Fed pushes on
with interest rate normalization, we anticipate that the simultaneous tapering of the Fed&#8217;s portfolio will have an impact on overall bond market valuations, causing measures of volatility to increase and fixed
income spreads to come under pressure.</DIV>
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<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Portfolio Commentary (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none">Semi-Annual Report</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
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<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Although the Fund has
increased the overall duration over the last six months, given our outlook on the broader bond markets, we plan to continue to manage the Fund defensively versus the benchmark from a duration standpoint. From an asset
allocation perspective, the Fund plans to maintain an ongoing strategy of reinvesting in higher yielding RMBS assets allocated to the short end. As runoff continues from the CMBS side of the portfolio, we expect to
continue to reallocate to MBS. As part of the investment team&#8217;s Agency MBS strategy, a substantial portion of the agency securities have been invested in the interest-only sector to increase the income and
economic earnings of the portfolio. We believe this strategy can be very effective with proper security selection, particularly when combined with appropriate yield curve management. The investment team is also
continuing to invest in the intermediate to longer segments of the Treasury futures markets to better position the Fund for the monetary tightening cycle and to partially offset the generally short maturity
sensitivity of the portfolio. We will continue to deploy appropriate yield curve management strategies consistent with our market outlook, and, concurrent to that, we will continue to be bearish on the Agency MBS
fixed rate index and as such will not look to deploy leverage at current valuations. We believe this strategy will continue to improve the portfolio results, particularly in the current interest rate normalization
cycle.</DIV>
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<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Portfolio of Investments
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%">MORTGAGE-BACKED SECURITIES&#8201;&#8211; 57.8%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;&#8211; 52.3%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Accredited Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 16.5pt">344,914</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-2, Class A1</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.98%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 22.5pt">352,501</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">ACE Securities Corp. Home Equity Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">915,451
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-ASAP6, Class A2D, 1 Mo. LIBOR + 0.22% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">492,142
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Banc of America Funding Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">94,291
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-R2, Class 1A4 (b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">97,016
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Banc of America Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">52,400
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2002-L, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.56%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">47,008
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">231,324
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-A, Class 2A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">230,892
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Chase Mortgage Finance Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">190,118
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-A1, Class 1A3 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.77%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">190,183
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">CHL Mortgage Pass-Through Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">141,524
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-HYB3, Class 2A6B (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">142,838
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Citigroup Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">336,187
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.41%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">341,500
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">810,840
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-7, Class 10A2 (b)&#160;(c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.76%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">813,249
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Countrywide Asset-Backed Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">57,904
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-S8, Class A6</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.51%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">57,558
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Countrywide Home Loan Mortgage Pass-Through Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">495,187
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-46, Class 2A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.63%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">494,927
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">305,313
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-21, Class A8</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">266,883
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">488,522
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-HYB5, Class 3A1A (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.65%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">404,298
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Credit Suisse First Boston Mortgage Securities Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">364,200
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR2, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.60%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">364,563
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">470,501
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR8, Class 6A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">477,885
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">158,237
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-5, Class 3A2, 1 Mo. LIBOR + 0.30% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.20%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">154,129
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Credit Suisse Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">47,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-12R, Class 3A1 (b)&#160;(c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.34%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/27/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">47,381
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">150,333
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2014-11R, Class 9A1, 1 Mo. LIBOR + 0.14% (a)&#160;(b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.01%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/27/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">149,771
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Deutsche ALT-A Securities Inc Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">22,888
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-3, Class 3A1</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/18
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">22,937
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">DSLA Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">705,430
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR3, Class 2A2A, 1 Mo. LIBOR + 0.37% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.64%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/19/44
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">704,522
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">794,738
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.14% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.04%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/19/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">748,103
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">GMAC Mortgage Corporation Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">133,180
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR1, Class 22A (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">131,885
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">GSR Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">13,047
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-10, Class 1A12 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.40%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">13,106
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">203,936
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR1, Class 4A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.04%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">197,802
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Harborview Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">425,549
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-6, Class 3A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.93%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">421,733
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Home Equity Asset Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">64,677
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-3, Class M4, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">65,522
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">520,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-9, Class M1, 1 Mo. LIBOR + 0.41% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.31%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">509,052
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Impac CMB Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">259,253
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-6, Class 1A2, 1 Mo. LIBOR + 0.78% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.68%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">254,839
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">IXIS Real Estate Capital Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,136,955
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-HE1, Class A3, 1 Mo. LIBOR + 0.16% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.06%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">427,093
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">JP Morgan Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,125,100
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-ALT1, Class 4A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.70%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,058,283
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">914,207
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-A2, Class 4A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.72%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">927,858
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">244,405
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-A2, Class 5A3 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.59%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">250,009
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">JP Morgan Re-REMIC&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">153,020
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-7, Class 12A1 (b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/03/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">154,559
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 22pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">Page 5</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_2">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%">MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Adjustable Rate Mortgages Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 21.5pt">62,059</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-13, Class 3A7B, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.09%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 27.5pt">63,682</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Alternative Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">3,804,851
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">692,275
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Asset Backed Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">883,594
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.06%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">638,416
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,344,506
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.11% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.01%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">733,015
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">613,703
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-NC2, Class A5, 1 Mo. LIBOR + 0.24% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.14%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">340,885
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Asset Securitization Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">21,085
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-11, Class 5A2</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/23
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">20,972
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">66,649
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-11, Class 6A16</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">67,629
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Mellon Residential Funding Corp. Mortgage Pass-Through Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">354,992
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2001-TBC1, Class A1, 1 Mo. LIBOR + 0.70% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.60%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/15/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">355,868
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">389,402
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2002-TBC2, Class A, 1 Mo. LIBOR + 0.86% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.76%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/15/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">376,956
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Meritage Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">228,470
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-2, Class M3, 1 Mo. LIBOR + 0.98% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.87%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">225,673
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Morgan Stanley Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">602,033
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-7AR, Class 2A6 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.58%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">619,763
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">MortgageIT Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">231,352
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">228,928
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">New Residential Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">678,240
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2014-2A, Class A2 (b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/54
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">679,848
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">135,117
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-1A, Class A1 (b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/56
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">135,830
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Nomura Asset Acceptance Corporation&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">544,894
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR4, Class M1, 1 Mo. LIBOR + 1.10% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">544,781
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Nomura Resecuritization Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,260,884
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-6R, Class 2A4 (b)&#160;(c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.48%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/02/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,043,634
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Pretium Mortgage Credit Partners I LLC&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">534,494
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-NPL4, Class A1 (b)&#160;(d)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/27/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">531,378
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Provident Funding Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">104,169
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-1, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.87%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">105,040
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">269,684
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-1, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.65%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">270,909
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">RBSSP Resecuritization Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">15,046
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-10, Class 2A1, 1 Mo. LIBOR + 0.13% (a)&#160;(b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/26/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">15,023
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Residential Accredit Loans, Inc.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">144,875
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.27% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.17%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/25/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">109,353
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,723,447
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-QS6, Class 1AV, IO (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">0.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">44,545
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Residential Asset Securitization Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">38,041
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-A3, Class A7</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">39,241
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Saxon Asset Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">937,059
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-2, Class A2D, 1 Mo. LIBOR + 0.30% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.20%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">780,494
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Structured Adjustable Rate Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">387,395
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-2, Class 4A2 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.61%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">388,445
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Structured Asset Securities Corp. Mortgage Pass-Through<BR>
Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">74,853
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2001-SB1, Class A2</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.38%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">74,287
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Thornburg Mortgage Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">338,657
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-4, Class A1, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/25/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">329,282
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Towd Point Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">509,617
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-2, Class 2A1 (b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/57
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">514,263
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Vericrest Opportunity Loan Transferee&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">293,457
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-NPL1, Class A1 (b)&#160;(d)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/25/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">293,141
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,106,467
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-NPL3, Class A1 (b)&#160;(d)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/25/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,107,849
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">526,635
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-NPL5, Class A1 (b)&#160;(d)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.38%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/28/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">526,684
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 22pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 6</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_3">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%">MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Vericrest Opportunity Loan Transferee&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 16.5pt">790,401</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-NPL6, Class A1 (b)&#160;(d)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 22.5pt">787,461</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Wachovia Mortgage Loan Trust, LLC&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">315,462
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-A, Class 3A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.61%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">310,900
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">WaMu Mortgage Pass-Through Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">307,889
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-AR5, Class A7 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.23%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">311,853
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">440,566
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR1, Class A (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">451,100
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">528,157
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR10, Class A1B, 1 Mo. LIBOR + 0.42% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.32%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/44
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">530,849
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">397,466
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.62%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">397,394
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">81,222
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR3, Class A2 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.48%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">83,181
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">549,015
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR1, Class A1A, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">567,318
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">803,047
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR11, Class A1A, 1 Mo. LIBOR + 0.32% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.22%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">804,724
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">713,089
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR6, Class 2A1A, 1 Mo. LIBOR + 0.46% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.36%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">702,931
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">306,170
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR9, Class A1A, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">305,769
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">533,846
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-AR2, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.41%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">507,510
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Washington Mutual Alternative Mortgage Pass-Through Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">24,364
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">28.10%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">39,901
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Washington Mutual MSC Mortgage Pass-Through Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">366,620
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-RA1, Class 2A</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">400,551
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Wells Fargo Mortgage Backed Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">421,149
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-H, Class A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.59%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">430,478
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">449,716
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-A, Class A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.79%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">466,114
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">60,957
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-EE, Class 3A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.79%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">63,632
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">799,155
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-R, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.61%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">813,582
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">190,398
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-S, Class A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.56%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">195,606
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">394,185
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-Y, Class 1A2 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.74%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">405,432
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">5,057
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-Z, Class 2A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.74%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">5,167
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">21,300
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-Z, Class 2A2 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.74%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">21,764
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">213,823
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR10, Class 2A17 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">220,439
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">392,325
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR16, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.76%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">400,892
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">337,533
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR3, Class 2A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.61%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">343,611
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">300,968
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR8, Class 1A1 (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.72%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">308,820
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">361,679
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-13, Class A5</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">359,846
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">107,181
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-16, Class 1A1</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/04/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">108,906
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">182,820
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-2, Class 1A13</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">182,493
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">42,857
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-8, Class 2A2</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">42,782
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">33,481,122
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Commercial Mortgage-Backed Securities&#8201;&#8211; 5.5%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Bayview Commercial Asset Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">422,985
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-2, Class A, 1 Mo. LIBOR + 0.65% (a)&#160;(b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.33%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">420,394
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Hudsons Bay Simon JV Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">510,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.65% (a)&#160;(b)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.53%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/05/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">511,315
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">UBS-Barclays Commercial Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">14,296,395
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-C5, Class XA, IO (b)&#160;(c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.11%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">544,360
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Wachovia Bank Commercial Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">382,173
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-C30, Class AJ</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.41%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">384,843
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">650,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-C33, Class AJ, STRIP (c)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.21%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/51
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">647,684
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Waldorf Astoria Boca Raton Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,000,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-BOCA, Class E, 1 Mo. LIBOR + 4.35% (a)&#160;(f)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/15/29
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,001,749
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 23pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">3,510,345
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 75.78%"><DIV STYLE="float: left">Total Mortgage-Backed Securities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">36,991,467
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">(Cost $36,962,523)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 38pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">Page 7</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_4">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;&#8211; 36.1%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;&#8211; 25.0%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 21.5pt">18,590</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1007, Class H, 1 Mo. LIBOR x -1 + 20.88% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">18.32%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/15/20
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 27.5pt">20,323</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">35,421
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1394, Class ID, Cost of Funds 11th District of San Fransisco x -4.67 + 44.56%, Capped at 9.57% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">9.57%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/15/22
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">39,730
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">34,598
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2303, Class SW, Cost of Funds 11th District of San Fransisco x -15.87 + 121.11%, Capped at 10.00% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/24
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">6,633
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">93,858
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2334, Class QS, 1 Mo. LIBOR x -3.5 + 28.18% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">21.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/15/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">133,341
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">215,584
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2383, Class SD, IO, 1 Mo. LIBOR x -1 + 8.00% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.10%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/15/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">33,985
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">370,271
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">76,317
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">19,389
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2641, Class KW</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/18
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">19,406
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">831,739
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2807, Class SB, IO, 1 Mo. LIBOR x -1 + 7.45% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.55%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/15/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">155,322
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,818,007
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2975, Class SJ, IO, 1 Mo. LIBOR x -1 + 6.65% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/15/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">196,132
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">414,409
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3012, Class GK, 1 Mo. LIBOR x -4.5 + 24.75% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">16.21%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/15/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">556,456
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">207,131
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3108, Class QZ</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">265,237
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">13,874
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3195, Class SX, 1 Mo. LIBOR x -6.5 + 46.15% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">33.82%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/15/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">43,882
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">282,034
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3210, Class ZA</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">333,541
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">109,628
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3410, Class HC</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">119,122
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">167,189
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3451, Class SB, IO, 1 Mo. LIBOR x -1 + 6.03% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.13%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/15/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">12,793
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">667,595
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3471, Class SD, IO, 1 Mo. LIBOR x -1 + 6.08% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.18%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/15/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">81,819
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">7,251
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3619, Class EI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/24
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 55pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">32,796
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3692, Class PS, IO, 1 Mo. LIBOR x -1 + 6.60% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.70%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/15/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">144
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,207,718
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3726, Class KI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/25
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">58,630
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,369,350
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3784, Class BI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">44,008
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">250,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3797, Class KB</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">264,874
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,148,016
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3870, Class WS, IO, 1 Mo. LIBOR x -1 + 6.60% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.70%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/15/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">108,112
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">288,667
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3898, Class NI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">14,323
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">986,283
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3985, Class GI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/26
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">64,160
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">83,604
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4021, Class IP, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/27
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">6,753
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,070,820
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4206, Class IA, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">148,605
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">491,542
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4615, Class GT, 1 Mo. LIBOR x -4 + 16.00%, Capped at 4.00% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/15/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">405,011
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">7,638,299
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4619, Class IB, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,056,323
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp. Structured Pass-Through<BR>
Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">53,239
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series T-56, Class APO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 13.84pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">(g)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">36,964
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp., STRIP&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">119,572
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 177, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/17/26
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">20,704
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">419,455
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 243, Class 2, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">87,482
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">496,731
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1997-85, Class M, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/27
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">65,373
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">72,937
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2002-80, Class IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">14,286
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">123,276
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-15, Class MS, IO, 1 Mo. LIBOR x -1 + 8.00% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.10%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/25/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">22,874
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">161,260
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-44, Class IU, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">38,836
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">868,425
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-49, Class SN, IO, 1 Mo. LIBOR x -1 + 7.10% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.20%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">107,251
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">23,381
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-74, Class SW, 1 Mo. LIBOR x -1 + 15.50% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/25/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">29,106
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">500,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-W10, Class A6</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">544,765
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">303,374
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-122, Class SN, 1 Mo. LIBOR x -4 + 28.60% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">21.01%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">486,255
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">41,302
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-59 SU, 1 Mo. LIBOR x -5 + 25.50% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">16.01%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">53,788
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">143,441
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-6, Class SE, IO, 1 Mo. LIBOR x -1 + 6.70% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.80%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">20,480
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">203,010
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-105, Class ZA</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">249,252
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">136,041
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-5, Class 3A2, 1 Mo. LIBOR + 2.08% (a)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.53%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">142,866
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">97,778
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-100, Class SM, IO, 1 Mo. LIBOR x -1 + 6.45% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.55%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">13,094
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">219,245
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-30, Class ZM</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">225,681
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">393,482
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-37, Class SB, IO, 1 Mo. LIBOR x -1 + 6.75% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.85%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">65,077
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 22pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 8</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_5">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 16.5pt">294,177</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-17, Class BE</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 22.5pt">334,708</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">182,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-2, Class PH</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">205,622
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">3,552
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-50, Class AI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/23
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">104
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">160,749
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-87, Class AS, IO, 1 Mo. LIBOR x -1 + 7.65% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">26,692
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">399,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-28, Class HX</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">452,155
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">168,354
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-37, Class NZ</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">202,594
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">448,877
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-10, Class NI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">6,855
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,894,639
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-103, Class ID, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">440,106
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">647,817
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-104, Class CI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/20
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">18,407
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,445,826
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-139, Class KI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.09%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">84,981
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">57,166
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-142, Class PS, IO, 1 Mo. LIBOR x -1 + 6.05% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.15%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">364
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">247,900
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-145, Class TI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/20
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">7,641
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">9,765
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-40, Class MI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/24
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 55pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">86,686
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">15.57%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">121,304
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">280,591
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-13, Class GI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/25
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">5,249
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">146,319
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-5, Class IK, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">8.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">10,043
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">250,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-52, Class LB</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">272,696
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,157,230
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-66, Class QI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">91,911
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">176,371
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-111, Class B</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">200,477
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,139,069
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-112, Class BI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">220,410
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,785,974
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-125, Class MI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">392,349
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">31,472
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-74, Class OA</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 13.84pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">(g)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">28,294
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">440,609
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-74, Class SA, IO, 1 Mo. LIBOR x -1 + 6.65% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/25/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">55,168
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">31,472
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-75, Class AO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 13.84pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">(g)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">27,522
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">149,284
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.63%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/44
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">145,245
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">74,797
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-14, Class ES, 1 Mo. LIBOR x -1.50 + 6.08% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.23%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/25/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">62,001
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,381,486
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-32, Class IG, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">342,132
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">579,078
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-51, Class PI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">69,264
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">4,035,850
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-20, Class ES, IO, 1 Mo. LIBOR x -1 + 6.15% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">628,238
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,681,059
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-76, Class BI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">214,978
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">4,631,990
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-97, Class AI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">781,106
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">168,142
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-74, Class LI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">56,614
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association, STRIP&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">79,807
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 305, Class 12, IO (h)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/29
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">15,095
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">83,461
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 355, Class 18, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">20,296
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,249,711
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 406, Class 6, IO (h)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">257,569
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Government National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">182,690
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-95, Class QZ</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">193,433
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">318,779
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-33, Class AY</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">351,509
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">156,669
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-68, Class DP, 1 Mo. LIBOR x -2.41 + 16.43% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11.86%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/17/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">176,561
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">453,290
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-68, Class KI, IO, 1 Mo. LIBOR x -1 + 6.30% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.40%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/20/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">59,809
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">51,176
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-28, Class VS, 1 Mo. LIBOR x -13 + 87.10% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">62.44%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/20/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">134,464
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">730,795
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-14, Class PB</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.40%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">772,281
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">118,207
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-50, Class AI, IO, 1 Mo. LIBOR x -1 + 6.78% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.88%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/20/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">15,334
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">377,350
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-68, Class PI, IO, 1 Mo. LIBOR x -1 + 6.65% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/20/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">56,502
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">100,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-2, Class HB</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">112,619
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">220,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-32, Class JD</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">253,600
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">331,622
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-73, Class SK, IO, 1 Mo. LIBOR x -1 + 6.74% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.84%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/20/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">41,323
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,173,892
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-100, Class SL, IO, 1 Mo. LIBOR x -1 + 6.50% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.60%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/16/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">55,797
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">276,025
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-12, Class IE, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">53,771
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">124,806
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-65, Class NJ, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">7,363
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">118,507
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-79, Class PZ</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">149,165
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">833,020
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-115, Class IQ, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">31,466
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">715,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-61, Class KE</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 8pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">805,531
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 22pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">Page 9</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_6">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Government National Mortgage Association&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 16.5pt">474,429</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-131, Class EI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 27.5pt">24,279</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">575,895
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-104, Class YS, IO, 1 Mo. LIBOR x -1 + 6.15% (e)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/16/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">77,584
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">11,281,155
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-112, Class AI, IO</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">0.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/20/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">56,020
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">70,247
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-139, Class MZ</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">40,256
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">137,038
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-4, Class CZ</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">115,555
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">102,709
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-H18, Class DZ (h)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.59%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/67
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">107,561
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">15,979,091
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Commercial Mortgage-Backed Securities&#8201;&#8211; 0.3%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Government National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">218,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-57, Class D (h)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.35%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">183,409
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Pass-through Security&#8201;&#8211; 10.8%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">878,004
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Gold Pool</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">848,223
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">393,481
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool A94738</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">410,139
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">542,219
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool K36017</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">565,734
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">17,313
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool 535919</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">19,293
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">937,150
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool 831145</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,047,170
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">939,963
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool 843971</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,067,662
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,366,585
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool AB5688</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,364,870
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">824,558
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool AS9194</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/44
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">865,128
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">784,636
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool AT2720</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">763,862
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 23pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">6,952,081
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 75.78%"><DIV STYLE="float: left">Total U.S. Government Agency Mortgage-Backed Securities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">23,114,581
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">(Cost $24,848,750)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%">ASSET-BACKED SECURITIES&#8201;&#8211; 1.5%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Green Tree Financial Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">84,481
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1998-4, Class A7</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.87%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/30
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">90,297
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">Mid-State Capital Corp. Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">400,123
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-1, Class M1</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">435,837
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 21.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">408,937
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-1, Class A</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">444,425
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 75.78%"><DIV STYLE="float: left">Total Asset-Backed Securities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 30.5pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">970,559
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 51.33%">(Cost $930,522)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 10pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 2pt; text-align: right; vertical-align: top; width: 10.56%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 75.77%"><DIV STYLE="float: left">Total Investments &#8211; 95.4%</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD>
    <TD STYLE="width: 2%">&nbsp;</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 18pt; padding-top: 2pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">61,076,607
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom">(Cost $62,741,795) (i)
</TD>
    <TD>&nbsp;</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom"><DIV STYLE="float: left">Net Other Assets and Liabilities &#8211; 4.6%</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD>
    <TD>&nbsp;</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 23pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">2,928,764
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 3pt; padding-top: 1.88pt; text-align: right; vertical-align: top">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1.5pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom"><DIV STYLE="float: left">Net Assets &#8211; 100.0%</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD>
    <TD>&nbsp;</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.5pt; padding-left: 3pt; padding-top: 1.88pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom">$<FONT STYLE="padding-left: 10pt">64,005,371</FONT>
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Futures Contracts <FONT STYLE="font-weight: normal">(See Note 2D - Futures Contracts in the Notes to Financial Statements):</FONT></DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 3pt 3pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 49.38%">Futures Contracts
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 3pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 5.49%">Position
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 3pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 7.82%">Number of<BR>
Contracts
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 3pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 7.65%">Expiration<BR>
Date
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 3pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 7.44%">Notional<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.78%">Unrealized<BR>
Appreciation<BR>
(Depreciation)/<BR>
Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 49.38%">U.S. Treasury 5-Year Notes
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 5.49%">Long
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7.82%">11
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 7.65%">Jun 2018
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 6pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 7.44%">$ 1,248,586
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 3pt; padding-top: 1.88pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.78%">$(5,508)
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 100%"><HR NOSHADE ALIGN="LEFT" STYLE="background-color: #000000; border-bottom-width: 0pt; border-left-width: 0pt; border-right-width: 0pt; border-top: #000000 0.5pt solid; height: 0.5pt; width: 22%">
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(a)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">Floating or variable rate security.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 52pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 10</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_7">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(b)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the &#8220;1933 Act&#8221;),
and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund&#8217;s Board of Trustees, this security has been determined to be
liquid by First Trust Advisors L.P. (&#8220;Advisor&#8221;). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security
specific factors and assumptions, which require subjective judgment. At April 30, 2018, securities noted as such amounted to $8,373,156 or 13.1% of net assets.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(c)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">Collateral Strip Rate security. Interest is based on the weighted net interest rate of the investment&#8217;s underlying collateral. The interest rate resets periodically.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(d)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">Step-up security. A security where the coupon increases or steps up at a predetermined date. Interest rate shown reflects the rate in effect at April 30, 2018.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(e)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">Inverse floating rate security.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(f)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions
exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements).
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(g)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">Zero coupon security.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(h)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(i)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.78%">Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2018, the aggregate gross
unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,659,871 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax
cost over value was $3,330,567. The net unrealized depreciation was $1,670,696. The amounts presented are inclusive of derivative contracts.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-right: 6pt; padding-top: 7pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 6.66%">IO
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 6pt; padding-right: 3pt; padding-top: 7pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 93.34%">Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-right: 6pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 6.66%">LIBOR
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 93.34%">London Interbank Offered Rate
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 6pt 3pt 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 6.66%">STRIP
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 6pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 93.34%">Separate Trading of Registered Interest and Principal of Securities
</TD></TR></TABLE>
</DIV>
<HR NOSHADE="noshade" ALIGN="LEFT" STYLE="background-color: #000000; border-bottom-width: 0pt; border-left-width: 0pt; border-right-width: 0pt; border-top: #000000 0.5pt solid; height: 0.5pt; width: 22%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Valuation Inputs</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">A summary of the inputs
used to value the Fund&#8217;s investments as of April 30, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 0pt; padding-top: 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 100%">ASSETS TABLE
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 1pt; padding-top: 1.25pt; text-align: left; vertical-align: bottom; width: 49.7%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 5pt 3pt 1pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.06%">Total<BR>
Value at<BR>
4/30/2018
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3.5pt 3pt 5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.62%">Level 1<BR>
Quoted<BR>
Prices
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 3.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.17%">Level 2<BR>
Significant<BR>
Observable<BR>
Inputs
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.68%">Level 3<BR>
Significant<BR>
Unobservable<BR>
Inputs
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Mortgage-Backed Securities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 5pt 1.25pt 1pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.06%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>36,991,467
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3.5pt 1.25pt 5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.62%">$<FONT STYLE="padding-left: 15.83pt"></FONT><FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>&#8212;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.25pt 3.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.17%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>36,991,467
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.68%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">U.S. Government Agency Mortgage-Backed Securities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 5pt 1.25pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.06%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">23,114,581</FONT>
</TD><TD STYLE="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; padding: 1.25pt 3.5pt 1.25pt 25.83pt; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 10.62%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3pt 1.25pt 8.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.17%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">23,114,581</FONT>
</TD><TD STYLE="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; padding-bottom: 1.25pt; padding-left: 8pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 14.68%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Asset-Backed Securities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 5pt 3pt 18.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.06%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">970,559</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3.5pt 3pt 25.83pt; color: #000000; color: #000000; font-family: Times New Roman; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 10.62%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3pt 3pt 21pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.17%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">970,559</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; color: #000000; color: #000000; font-family: Times New Roman; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; padding-bottom: 3pt; padding-left: 8pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 14.68%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1pt 2.75pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Total Investments</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 5pt 2.75pt 1pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.06%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>61,076,607
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3.5pt 2.75pt 5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.62%">$<FONT STYLE="padding-left: 18.33pt"></FONT>&#8212;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 2.75pt 3.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.17%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>61,076,607
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2.75pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.68%">$<FONT STYLE="padding-left: 2.5pt"></FONT>&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 0pt; padding-top: 2.75pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 100%">LIABILITIES TABLE
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 1pt; padding-top: 1.25pt; text-align: left; vertical-align: bottom; width: 49.7%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 5pt 3pt 1pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.06%">Total<BR>
Value at<BR>
4/30/2018
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3.5pt 3pt 5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.62%">Level 1<BR>
Quoted<BR>
Prices
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 3.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.17%">Level 2<BR>
Significant<BR>
Observable<BR>
Inputs
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.68%">Level 3<BR>
Significant<BR>
Unobservable<BR>
Inputs
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 49.7%"><DIV STYLE="float: left">Futures</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 5pt 1.5pt 1pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 13.06%">$<FONT STYLE="padding-left: 19.17pt"></FONT><FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>(5,508)
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3.5pt 1.5pt 5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.62%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>(5,508)
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.5pt 3.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.17%">$<FONT STYLE="padding-left: 35pt"></FONT><FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>&#8212;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.5pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 14.68%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>&#8212;
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">All transfers in and out
of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at April 30, 2018.</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 116pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">Page 11</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SAL-SALfooter-6_1">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Statement of Assets and
Liabilities </DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: separate; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 0pt; padding-right: 3pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%">ASSETS:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.38pt; text-align: center; vertical-align: bottom; width: 11.85%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Investments, at value</DIV><BR>
<DIV STYLE="float: left">&nbsp;&nbsp;&nbsp;&nbsp;(Cost $62,741,795)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 3pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">$&#8194;61,076,607
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%"><DIV STYLE="float: left">Cash</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 18pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">2,976,709
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Restricted Cash</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 30.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">50,000
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%">Receivables:
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.38pt; padding-top: 1.38pt; text-align: center; vertical-align: bottom; width: 11.85%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%"><DIV STYLE="float: left">Interest</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 25.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">300,223
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Investment securities sold</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 25.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">190,129
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Variation margin</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 30.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">23,788
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Prepaid expenses</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 30.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">17,158
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 3pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Total Assets</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 13pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">64,634,614
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%">LIABILITIES:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.38pt; padding-top: 1.38pt; text-align: center; vertical-align: bottom; width: 11.85%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%">Payables:
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.38pt; padding-top: 1.38pt; text-align: center; vertical-align: bottom; width: 11.85%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Investment securities purchased</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 25.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">531,531
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Investment advisory fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 30.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">44,784
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Administrative fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 30.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">20,246
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Printing fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 30.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">14,166
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Transfer agent fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 35.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">6,613
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Custodian fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 35.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">4,867
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Audit and tax fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 35.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">4,004
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Trustees&#8217; fees and expenses</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 35.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">1,377
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Financial reporting fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 43pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">771
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Legal fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 43pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">651
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Other liabilities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 43pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">233
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 3pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Total Liabilities</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 25.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">629,243
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">NET ASSETS</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.38pt; padding-left: 3pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 11.85%">$<FONT STYLE="padding-left: 5pt"></FONT>64,005,371
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%">NET ASSETS consist of:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.38pt; padding-top: 1.38pt; text-align: center; vertical-align: bottom; width: 11.85%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Paid-in capital</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 3pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">$&#8194;70,345,343
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Par value</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 30.5pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">42,131
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Accumulated net investment income (loss)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 14.67pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">(1,310,589)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Accumulated net realized gain (loss) on investments and futures </DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.38pt; padding-left: 14.67pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">(3,400,818)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Net unrealized appreciation (depreciation) on investments and futures</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 14.67pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">(1,670,696)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">NET ASSETS</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.38pt; padding-left: 3pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 11.85%">$<FONT STYLE="padding-left: 5pt"></FONT>64,005,371
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.38pt 3pt 1.38pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">NET ASSET VALUE, <FONT STYLE="font-weight: normal">per Common Share (par value $0.01 per Common Share)</FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: Black medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.38pt; padding-left: 3pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 11.85%">$<FONT STYLE="padding-left: 27.5pt"></FONT>15.19
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.38pt 3pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: Black medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 6pt; padding-left: 18pt; padding-top: 1.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">4,213,115
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 220pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 12</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOP-SOPfootnote-6_1">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Statement of Operations </DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">For the Six Months Ended
April 30, 2018 (Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%">INVESTMENT INCOME:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.5pt; padding-top: 6pt; text-align: right; vertical-align: bottom; width: 11.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Interest</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 6pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 11.48%">$&#8194;1,376,967
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.75pt 6pt 3pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Total investment income</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 16pt; padding-top: 1.75pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">1,376,967
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.75pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%">EXPENSES:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.5pt; padding-top: 1.75pt; text-align: right; vertical-align: bottom; width: 11.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Investment advisory fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 18.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;272,348
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Administrative fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 23.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;35,293
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Audit and tax fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 23.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;29,221
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Transfer agent fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 23.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;18,989
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Printing fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 23.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;16,007
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Legal fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 23.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;11,316
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Custodian fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 28.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;9,894
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Trustees&#8217; fees and expenses</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 28.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;8,095
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Financial reporting fees</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 28.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;4,625
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Other</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 23.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;16,737
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.75pt 6pt 3pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Total expenses</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 23.5pt; padding-top: 1.75pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">422,525
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.75pt 6pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">NET INVESTMENT INCOME (LOSS)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 23.5pt; padding-top: 1.75pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">954,442
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.75pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%">NET REALIZED AND UNREALIZED GAIN (LOSS):
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.5pt; padding-top: 1.75pt; text-align: right; vertical-align: bottom; width: 11.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%">Net realized gain (loss) on:
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-top: 1.5pt; text-align: right; vertical-align: bottom; width: 11.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Investments</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 45.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">6,247
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Futures</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 37.17pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">(27,924)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.75pt 6pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Net realized gain (loss)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 25.17pt; padding-top: 1.75pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">(21,677)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.75pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%">Net change in unrealized appreciation (depreciation) on:
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-top: 1.75pt; text-align: right; vertical-align: bottom; width: 11.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Investments</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 32.17pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">(490,830)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Futures</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 40.5pt; padding-top: 1.5pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">10,414
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.75pt 6pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Net change in unrealized appreciation (depreciation)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 20.17pt; padding-top: 1.75pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">(480,416)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.75pt 6pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">NET REALIZED AND UNREALIZED GAIN (LOSS)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 20.17pt; padding-top: 1.75pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">(502,093)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.75pt 6pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 6pt; padding-left: 6pt; padding-top: 1.75pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 11.48%">$<FONT STYLE="padding-left: 7.5pt"></FONT>&#8194;452,349
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 294pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">Page 13</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOC-SOCfooter-6_1">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Statements of Changes in
Net Assets </DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: separate; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 9pt; padding-bottom: 3pt; padding-right: 3pt; text-align: center; vertical-align: bottom; width: 76.85%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-right: 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 9.85%">Six Months<BR>
Ended<BR>
4/30/2018<BR>
(Unaudited)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.41%">Year<BR>
Ended<BR>
10/31/2017
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.38pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 76.85%">OPERATIONS:
</TD><TD STYLE="border-top: #000000 0.5pt solid; line-height: 10pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 2.38pt; text-align: center; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 2.38pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-top: #000000 0.5pt solid; line-height: 0pt; padding-bottom: 1.5pt; padding-top: 2.38pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net investment income (loss)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 9.85%">$<FONT STYLE="padding-left: 12.5pt"></FONT>&#8194;954,442
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 0pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.41%">$<FONT STYLE="padding-left: 12.5pt"></FONT>&#8194;729,049
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net realized gain (loss)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 22.17pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(21,677)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 28.5pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;57,249
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net change in unrealized appreciation (depreciation)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 17.17pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(480,416)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 16pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;2,259,231
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net increase (decrease) in net assets resulting from operations</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: Black 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 25.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">452,349
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: Black 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 21pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">3,045,529
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.75pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%">DISTRIBUTIONS TO SHAREHOLDERS FROM:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.75pt; text-align: center; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.75pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-top: 1.75pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net investment income</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 9.67pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(1,643,115)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 12.67pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(1,917,888)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Return of capital</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; color: #000000; color: #000000; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;&#8212;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 12.67pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(1,368,342)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Total distributions to shareholders</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 14.67pt; border-top: #000000 0.5pt solid; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">(1,643,115)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; border-top: #000000 0.5pt solid; color: #000000; padding-bottom: 3pt; padding-left: 17.67pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">(3,286,230)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.75pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Total increase (decrease) in net assets</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-top: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.75pt 6pt 1.5pt 9.67pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(1,190,766)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.75pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-top: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.5pt; padding-left: 20.17pt; padding-top: 1.75pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(240,701)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.5pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%">NET ASSETS:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-top: 1.5pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Beginning of period</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 8pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;65,196,137
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 11pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;65,436,838
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">End of period</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: Black medium double; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">$&#8194;64,005,371
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: Black medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.5pt; padding-left: 0pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">$&#8194;65,196,137
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Accumulated net investment income (loss) at end of period</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: Black medium double; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 9.85%">$<FONT STYLE="padding-left: 6.67pt"></FONT>(1,310,589)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: Black medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.5pt; padding-left: 0pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.41%">$<FONT STYLE="padding-left: 14.17pt"></FONT>(621,916)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.5pt 3pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%">COMMON SHARES:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.5pt; padding-top: 1.5pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Common Shares at end of period </DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 6pt 18pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">4,213,115
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 1.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 6pt; padding-left: 21pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">4,213,115
</TD></TR></TABLE>
</DIV>
</DIV>
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<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 14</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
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<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">Financial Highlights </DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 1pt; text-align: left; text-decoration: none; text-transform: none">For a Common Share
outstanding throughout each period</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: separate; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD ROWSPAN="2" STYLE="line-height: 9pt; padding-bottom: 2.12pt; padding-right: 1.5pt; text-align: left; vertical-align: bottom; width: 37.31%">&#160;
</TD><TD ROWSPAN="2" STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; color: #000000; padding-bottom: 2.12pt; padding-left: 1.5pt; padding-right: 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.54%">Six Months<BR>
Ended<BR>
4/30/2018<BR>
(Unaudited)
</TD><TD ROWSPAN="2" STYLE="line-height: 0pt; padding-bottom: 0.5pt; padding-right: 11.5pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="9" STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; color: #000000; padding-bottom: 2.12pt; padding-left: 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 54.28%">Year Ended October 31,
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2017
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">2016<FONT STYLE="font-size: 3pt; line-height: 6pt">&#8194;</FONT>(a)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2015
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2014
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 11.5pt; padding-top: 2.12pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">2013
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1.5pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Net asset value, beginning of period</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt 1.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.54%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;15.47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;15.53
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;16.05
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;17.02
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;17.63
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 11.5pt; padding-top: 2.12pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;17.91
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%">Income from investment operations:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.54%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 10.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Net investment income (loss)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 20.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">0.23
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.18
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.02)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.02
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.02
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">1.25
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Net realized and unrealized gain (loss)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 17.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">(0.12)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.54
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.97)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.61)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 27.34pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(0.28)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Total from investment operations</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 20.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">0.11
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.72
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.05
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">0.97
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%">Distributions paid to shareholders from:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.54%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 10.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Net investment income</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 17.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">(0.39)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.46)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.54)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.47)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(1.02)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 27.34pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(1.25)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Return of capital</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.62pt; color: #000000; color: #000000; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">&#8212;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.32)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.37)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.55)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 37.62pt; color: #000000; color: #000000; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">&#8212;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; color: #000000; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 3pt; padding-left: 37.62pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Total distributions paid to Common Shareholders</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 17.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">(0.39)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.78)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.91)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(1.02)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(1.02)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 27.34pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(1.25)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Net asset value, end of period</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 1.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.54%">$<FONT STYLE="padding-left: 9.5pt"></FONT>15.19
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>15.47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>15.53
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>16.05
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>17.02
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.25pt; padding-left: 11.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>17.63
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Market value, end of period</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto"><DIV STYLE="float: left"></DIV>
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 1.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.54%">$<FONT STYLE="padding-left: 9.5pt"></FONT>13.47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>14.39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>14.00
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>14.58
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>15.12
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.25pt; padding-left: 11.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>15.79
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Total return based on net asset value<FONT STYLE="font-weight: normal"> (b)</FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto"><DIV STYLE="float: left"></DIV>
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 20.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">0.95%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">3.05%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.06%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.86%">3.01%<FONT STYLE="font-size: 4pt; line-height: 7pt">&#8194;</FONT>(c)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.25pt; padding-left: 12pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.86%">6.04%<FONT STYLE="font-size: 4pt; line-height: 7pt">&#8194;</FONT>(c)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Total return based on market value<FONT STYLE="font-weight: normal"> (b)</FONT></DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto"><DIV STYLE="float: left"></DIV>
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 17.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">(3.77)%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">8.60%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2.26%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">3.34%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2.17%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 18pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(10.47)%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%">Ratios to average net assets/supplemental data:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.54%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 10.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Net assets, end of period (in 000&#8217;s)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">$&#8194;64,005
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">$&#8194;65,196
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">$&#8194;65,437
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">$&#8194;67,639
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">$&#8194;71,708
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 11.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">$&#8194;74,259
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Ratio of total expenses to average net assets</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 4pt 1.25pt 18pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.54%">1.32%<FONT STYLE="font-size: 4pt; line-height: 7pt">&#8194;</FONT>(d)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.47%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.55%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.78%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">1.96%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Ratio of total expenses to average net assets excluding interest expense</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 4pt 1.25pt 18pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.54%">1.32%<FONT STYLE="font-size: 4pt; line-height: 7pt">&#8194;</FONT>(d)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.43%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.51%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.72%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">1.83%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Ratio of net investment income (loss) to average net assets</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 4pt 1.25pt 18pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.54%">2.98%<FONT STYLE="font-size: 4pt; line-height: 7pt">&#8194;</FONT>(d)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.11)%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">6.18%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">5.84%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">7.01%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 37.31%"><DIV STYLE="float: left">Portfolio turnover rate</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 27.62pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.54%">10%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 37.62pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">27%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 37.62pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">49%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 37.62pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 37.62pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 5pt; padding-left: 32.88pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">109%
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 6pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.71%">(a)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 6pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.84%">Effective September 19, 2016, the portfolio management of the Fund transitioned to the First Trust Mortgage Securities Team. Schroder Investment Management North America Inc. acquired
the portfolio management team of Brookfield Investment Management Inc. (&#8220;Brookfield&#8221;), previously responsible for the portfolio management of the Fund, resulting in the automatic termination of the
investment sub-advisory agreement among Brookfield, First Trust and the Fund. In connection with the change in portfolio management, First Trust agreed to lower the investment management fee payable by the Fund to a
rate of 0.85% of the Fund&#8217;s managed assets, a decrease from the Fund&#8217;s previous investment management fee of 1.00% of the Fund&#8217;s managed assets.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1.5pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.71%">(b)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1.5pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.84%">Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan, and
changes in net asset value per share for net asset value returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one
year. Past performance is not indicative of future results.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 3pt; padding-top: 1.5pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.71%">(c)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 3pt; padding-top: 1.5pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.84%">The Fund received reimbursements from Brookfield in connection with trade errors in the amount of $1,180 and $5,310 for the years ended October 31, 2014 and 2013, respectively. The
reimbursements from Brookfield represent less than $0.01 per share and had no effect on the Fund&#8217;s total return.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 3pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.71%">(d)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 3pt; padding-left: 3pt; padding-top: 1.5pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 97.84%">Annualized.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 191pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: center; text-decoration: none; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: right; text-decoration: none; text-transform: none">Page 15</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="NTF-TOCnotes-6_1">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Notes to Financial Statements<FONT STYLE="color: #000000"> </FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">1.&nbsp;Organization</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (the &#8220;Fund&#8221;) is a diversified, closed-end management investment company organized as a Massachusetts business trust on February 22, 2005, and is registered with the Securities and Exchange
Commission (&#8220;SEC&#8221;) under the Investment Company Act of 1940, as amended (the &#8220;1940 Act&#8221;). The Fund trades under the ticker symbol FMY on the New York Stock Exchange (&#8220;NYSE&#8221;).</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund&#8217;s primary
investment objective is to seek a high level of current income. As a secondary objective, the Fund seeks to preserve capital. The Fund will pursue its objectives by investing primarily in mortgage-backed securities
(&#8220;MBS&#8221;) representing part ownership in a pool of either residential or commercial mortgage loans that, in the opinion of First Trust Advisors L.P. (&#8220;First Trust&#8221; or the &#8220;Advisor&#8221;),
offer an attractive combination of credit quality, yield and maturity. There can be no assurance the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">2.&nbsp;Significant
Accounting Policies</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund is considered an
investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, &#8220;Financial Services-Investment Companies.&#8221; The
following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting
principles generally accepted in the United States of America (&#8220;U.S. GAAP&#8221;) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">A.&nbsp;Portfolio
Valuation</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The net asset value
(&#8220;NAV&#8221;) of the Common Shares of the Fund is determined daily as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes
early on a valuation day, the NAV is determined as of that time. Domestic debt securities and foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. The
Fund&#8217;s NAV per Common Share is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses, dividends declared but
unpaid and any borrowings of the Fund), by the total number of Common Shares outstanding.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund&#8217;s
investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a
national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained
from a third-party pricing service or are determined by the Advisor&#8217;s Pricing Committee, in accordance with valuation procedures adopted by the Fund&#8217;s Board of Trustees, and in accordance with provisions
of the 1940 Act. Investments valued by the Advisor&#8217;s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund&#8217;s investments are valued as follows:</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; padding-left: 4.44%; text-align: left; text-decoration: none; text-transform: none">U.S.
government securities, mortgage-backed securities, asset-backed securities and other debt securities are fair valued on the basis of valuations provided by dealers who make markets in such securities or by a
third-party pricing service approved by the Fund&#8217;s Board of Trustees, which may use the following valuation inputs when available:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 7.78%; margin-top: 10pt; width: 92.22%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">benchmark yields;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">reported trades;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">3)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">broker/dealer quotes;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">4)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">issuer spreads;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">5)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">benchmark securities;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">6)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">bids and offers; and
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">7)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">reference data including market research publications.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; padding-left: 4.44%; text-align: left; text-decoration: none; text-transform: none">Exchange-traded futures contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded futures contracts are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; padding-left: 4.44%; text-align: left; text-decoration: none; text-transform: none">Fixed
income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the
Advisor&#8217;s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 17pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 16</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="NTF-TOCnotes-6_2">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 4.44%; text-align: left; text-decoration: none; text-transform: none">conditions existing
at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 7.78%; margin-top: 10pt; width: 92.22%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">the credit conditions in the relevant market and changes thereto;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">the liquidity conditions in the relevant market and changes thereto;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">3)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">4)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">issuer-specific conditions (such as significant credit deterioration); and
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.61%">5)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.39%">any other market-based data the Advisor&#8217;s Pricing Committee considers relevant. In this regard, the Advisor&#8217;s Pricing Committee may use last-obtained market-based data to assist it when
valuing portfolio securities using amortized cost.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Certain securities may
not be able to be priced by pre-established pricing methods. Such securities may be valued by the Fund&#8217;s Board of Trustees or its delegate, the Advisor&#8217;s Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended (the &#8220;1933 Act&#8221;)) for which a
third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source;
 a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund&#8217;s NAV or make it difficult
or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security&#8217;s fair value. As a general principle, the current
fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market
quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="1" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 9pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the fundamental business data relating to the issuer;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">an evaluation of the forces which influence the market in which these securities are purchased and sold;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">3)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the type, size and cost of security;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">4)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the financial statements of the issuer;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">5)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the credit quality and cash flow of the issuer, based on the Advisor&#8217;s or external analysis;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">6)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the information as to any transactions in or offers for the security;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">7)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">8)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the coupon payments;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 5pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 3.49%">9)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the quality, value and salability of collateral, if any, securing the security;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">10)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer&#8217;s management;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">11)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">the prospects for the issuer&#8217;s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; and
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">12)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">other relevant factors.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund is subject to
fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="8" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 2pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">Level 1 &#8211; Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">Level 2 &#8211; Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
</TD></TR></TABLE>
</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 6.77%; margin-top: 9pt; width: 93.33%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 7pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.24%">Quoted prices for similar investments in active markets.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 7pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.24%">Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or
price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 7pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.24%">Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss
severities, credit risks, and default rates).
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 7pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.24%">Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; margin-top: 9pt; text-align: right; text-decoration: none; text-transform: none">Page 17</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="NTF-TOCnotes-6_3">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 8pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">Level 3 &#8211; Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity&#8217;s own assumptions about the assumptions that market participants would use in pricing
the investment.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The inputs or
methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund&#8217;s investments as of April
30, 2018, is included with the Fund&#8217;s Portfolio of Investments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">B.&nbsp;Securities
Transactions and Investment Income</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">Securities transactions
are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and
accretion of discounts are recorded using the effective interest method.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund invests in
interest-only securities. For these securities, if there is a change in the estimated cash flows, based on an evaluation of current information, then the estimated yield is adjusted. Additionally, if the evaluation of
current information indicates a permanent impairment of the security, the cost basis of the security is written down and a loss is recognized. Debt obligations may be placed on non-accrual status and the related
interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt
obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Securities purchased or
sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At April 30, 2018, the Fund had no when-issued,
delayed-delivery or forward purchase commitments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">C.&nbsp;Restricted
Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund invests in
restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions
exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of April 30, 2018, the Fund held restricted securities as shown in the following table that the Advisor has
deemed illiquid pursuant to procedures adopted by the Fund&#8217;s Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is
determined based on security-specific factors and assumptions, which require subjective judgment. The Fund does not have the right to demand that such securities be registered. These securities are valued according to
the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no unrestricted securities with
the same maturity dates and yields for these issuers.</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt 0pt; color: #000000; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 42.77%">Security
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 11.27%">Acquisition<BR>
Date
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.56%">Principal<BR>
Value
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.24%">Price
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.56%">Carrying<BR>
Cost
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.56%">Value
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 0; padding-top: 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 7.16%">% of<BR>
Net<BR>
Assets
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 6pt; text-align: left; text-decoration: none; text-indent: -6pt; text-transform: none; vertical-align: bottom; width: 42.77%">Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class E
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.27%">7/12/16
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.56%">$1,000,000
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 8.24%">$100.17
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.56%">$1,000,000
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.56%">$1,001,749
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 6pt; padding-top: 2.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 7.16%">1.57%
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">D.&nbsp;Futures
Contracts</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund may purchase or
sell (i.e., is long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Fund and a counterparty to buy or sell a
specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying
instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a
matching futures contract. If the Fund is not able to enter into an offsetting transaction, the Fund will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or
expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included
in &#8220;Net realized gain (loss) on futures&#8221; on the Statement of Operations.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Upon entering into a
futures contract, the Fund must deposit funds, called margin, with its custodian in the name of the clearing broker equal to a specified percentage of the current value of the contract. Open futures contacts are
marked to market daily with the change in value recognized as a component of &#8220;Net change in unrealized appreciation (depreciation) on futures&#8221; on the Statement of Operations. Pursuant to the contract, the
Fund agrees to receive from or pay to the broker an amount of cash equal to the daily</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 9pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 18</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
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<A NAME="NTF-TOCnotes-6_4">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">fluctuation in value of the contract.
Such receipts or payments are known as variation margin and are included in &#8220;Variation margin&#8221; payable or receivable on the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">If market conditions
change unexpectedly, the Fund may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price
of the futures contracts, interest rates and the underlying instruments.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Restricted cash
segregated as collateral for futures contracts in the amount of $50,000 is shown as &#8220;Restricted Cash&#8221; on the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">E.&nbsp;Inverse
Floating-Rate Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">An inverse floating-rate
security is one where the coupon is inversely indexed to a short-term floating interest rate multiplied by a specific factor. As the floating rate rises, the coupon is reduced. Conversely, as the floating rate
declines, the coupon is increased. The price of these securities may be more volatile than the price of a comparable fixed-rate security. These instruments are typically used to enhance the yield of the portfolio and
have the effect of creating leverage. These securities, if any, are identified on the Portfolio of Investments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">F.&nbsp;Stripped
Mortgage-Backed Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">Stripped Mortgage-Backed
Securities are created by segregating the cash flows from underlying mortgage loans or mortgage securities to create two or more new securities, each with a specified percentage of the underlying security&#8217;s
principal or interest payments. Mortgage securities may be partially stripped so that each investor class receives some interest and some principal. When securities are completely stripped, however, all of the
interest is distributed to holders of one type of security known as an interest-only security ("IO Security") and all of the principal is distributed to holders of another type of security known as a principal-only
security. These securities, if any, are identified on the Portfolio of Investments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">G.&nbsp;Interest-Only
Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">An IO Security is the
interest-only portion of a mortgage-backed security that receives some or all of the interest portion of the underlying mortgage-backed security and little or no principal. A reference principal value called a
notional value is used to calculate the amount of interest due to the IO Security. IO Securities are sold at a deep discount to their notional principal amount. Generally speaking, when interest rates are falling and
prepayment rates are increasing, the value of an IO Security will fall. Conversely, when interest rates are rising and prepayment rates are decreasing, generally the value of an IO Security will rise. These
securities, if any, are identified on the Portfolio of Investments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">H.&nbsp;Dividends and
Distributions to Shareholders</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund will distribute
to holders of its Common Shares monthly dividends of all or a portion of its net income after the payment of interest and dividends in connection with leverage, if any. Distributions of any net long-term capital gains
earned by the Fund are distributed at least annually. Distributions will automatically be reinvested into additional Common Shares pursuant to the Fund&#8217;s Dividend Reinvestment Plan unless cash distributions are
elected by the shareholder.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Distributions from net
investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically
adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and
have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will
reverse at some point in the future.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The tax character of
distributions paid by the Fund during the fiscal year ended October 31, 2017, was as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 56.67%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 6pt 1.5pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%">Distributions paid from:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.5pt; padding-top: 6pt; text-align: left; vertical-align: bottom; width: 25.49%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Ordinary income</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 6pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 25.49%">$<FONT STYLE="padding-left: 18pt">1,917,888</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Capital gains</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; color: #000000; font: normal 10pt/13pt Times New Roman; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 1.5pt; padding-left: 59pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 6pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Return of capital</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 29pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">1,368,342
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; margin-top: 60pt; text-align: right; text-decoration: none; text-transform: none">Page 19</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="NTF-TOCnotes-6_5">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">As of October 31, 2017,
the distributable earnings and net assets on a tax basis were as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 56.67%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Undistributed ordinary income</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 6pt; padding-top: 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 25.49%">$<FONT STYLE="padding-left: 48pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Undistributed capital gains</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; color: #000000; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 3pt; padding-left: 59pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Total undistributed earnings</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; color: #000000; font: normal 10pt/13pt Times New Roman; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 1.5pt; padding-left: 59pt; padding-top: 2.38pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Accumulated capital and other losses</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 25.67pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">(3,395,063)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Net unrealized appreciation (depreciation)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 25.67pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">(1,796,274)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Total accumulated earnings (losses)</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.5pt; padding-left: 25.67pt; padding-top: 2.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">(5,191,337)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 72.55%"><DIV STYLE="float: left">Other</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; color: #000000; font: normal 10pt/13pt Times New Roman; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 1.5pt; padding-left: 59pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-decoration: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Paid-in capital</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 24pt; padding-top: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">70,387,474
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 1.5pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Net assets</DIV><HR NOSHADE="noshade" STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.5pt; padding-left: 6pt; padding-top: 2.38pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 25.49%">$<FONT STYLE="padding-left: 13pt">65,196,137</FONT>
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">I.&nbsp;Income Taxes</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund intends to
continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to
an excise tax of 4% of the amount by which approximately 98% of the Fund&#8217;s taxable income exceeds the distributions from such taxable income for the calendar year.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Under the Regulated
Investment Company Modernization Act of 2010 (the &#8220;Act&#8221;), net capital losses arising in taxable years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained
as short-term and/or long-term losses. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital
losses be used before pre-enactment net capital losses. At October 31, 2017, the Fund had pre-enactment net capital losses for federal income tax purposes of $1,421,887. At October 31, 2017, the Fund had
post-enactment net capital losses for federal income tax purposes of $1,973,176 to be carried forward indefinitely. The pre-enactment net capital losses for federal income tax purposes of $1,421,887 will expire on
October 31, 2018.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">At October 31, 2017,
$1,927,985 of the Fund&#8217;s capital loss carryforward expired.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">During the taxable year
ended October 31, 2017, the Fund did not utilize any pre-enactment capital loss carry forwards.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund is subject to
certain limitations under the U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund is subject to
accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2014, 2015, 2016,
and 2017 remain open to federal and state audit. As of April 30, 2018, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the
Fund&#8217;s financial statements for uncertain tax positions.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">J.&nbsp;Expenses</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund pays all
expenses directly related to its operations.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; margin-top: 10pt; text-align: left; text-decoration: none; text-transform: none">K.&nbsp;New and Amended
Financial Reporting Rules and Forms</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">On October 13, 2016, the
SEC adopted new rules and forms, and amended existing rules and forms. The new and amended rules and forms are intended to modernize the reporting of information provided by funds and to improve the quality and type
of information that funds provide to the SEC and investors. In part, the new and amended rules and forms amend Regulation S-X and require standardized, enhanced disclosures about derivatives in a fund&#8217;s
financial statements, as well as other amendments. The compliance date for the amendments of Regulation S-X was August 1, 2017, which resulted in additional disclosure for variable interest rate securities and
derivative instruments within the Portfolio of Investments. The new form types and other rule amendments will be effective for the First Trust funds, including the Fund, for reporting periods beginning on and after
June 1, 2018. Management is evaluating the new form types and other rule amendments that are effective on and after June 1, 2018 to determine the impact to the Fund.</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
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<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Page 20</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
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<A NAME="NTF-TOCnotes-6_6">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">3.&nbsp;Investment
Advisory Fee, Affiliated Transactions and Other Fee Arrangements</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">First Trust, the
investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the Fund&#8217;s investment portfolio, managing the Fund&#8217;s business
affairs and providing certain administrative services necessary for the management of the Fund. For these investment management services, First Trust is entitled to a monthly fee calculated at an annual rate of 0.85%
of the Fund&#8217;s Managed Assets (the average daily total asset value of the Fund minus the sum of the Fund&#8217;s liabilities other than the principal amount of borrowings or reverse repurchase agreements, if
any). First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">BNY Mellon Investment
Servicing (US) Inc. (&#8220;BNYM IS&#8221;) serves as the Fund&#8217;s transfer agent in accordance with certain fee arrangements. As transfer agent, BNYM IS is responsible for maintaining shareholder records for the
Fund. The Bank of New York Mellon (&#8220;BNYM&#8221;) serves as the Fund&#8217;s administrator, fund accountant, and custodian in accordance with certain fee arrangements. As administrator and fund accountant, BNYM
is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund&#8217;s books of account, records of the Fund&#8217;s securities transactions, and certain other
books and records. As custodian, BNYM is responsible for custody of the Fund&#8217;s assets. BNYM IS and BNYM are subsidiaries of The Bank of New York Mellon Corporation, a financial holding company.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Each Trustee who is not
an officer or employee of First Trust, any sub-advisor or any of their affiliates (&#8220;Independent Trustees&#8221;) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Additionally, the Lead
Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata
among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and
Committee Chairmen rotate every three years. The officers and &#8220;Interested&#8221; Trustee receive no compensation from the Fund for acting in such capacities.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">4.&nbsp;Purchases and
Sales of Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The cost of purchases of
U.S. Government securities and non-U.S. Government securities, excluding short-term investments, for the six months ended April 30, 2018, were $3,471,729 and $4,315,946, respectively. The proceeds from sales and
paydowns of U.S. Government securities and non-U.S. Government securities, excluding short-term investments, for the six months ended April 30, 2018, were $880,481 and $4,993,283, respectively.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">5.&nbsp;Derivative
Transactions</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The following table
presents the type of derivatives held by the Fund at April 30, 2018, the primary underlying risk exposure and the location of these instruments as presented on the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="text-align: center">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: auto; margin-right: auto; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 10pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 10.03%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 17.44%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="3" STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 33.46%">Asset Derivatives
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="3" STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 6pt; padding-top: 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 36.15%">Liability Derivatives
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt 0pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 10.03%">Derivative<BR>
Instrument
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 17.44%">Risk<BR>
Exposure
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 22.89%">Statement of Assets and<BR>
Liabilities Location
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.58%">Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 22.89%">Statement of Assets and<BR>
Liabilities Location
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 6pt; padding-top: 1.62pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.26%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 10.03%">Futures
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 2.12pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 6pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 17.44%">Interest Rate Risk
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 2.12pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 22.89%">Unrealized appreciation<BR>
on futures contracts*
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 8.58%">$ &#8212;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 6pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; width: 22.89%">Unrealized depreciation<BR>
on futures contracts*
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 6pt; padding-top: 2.12pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 11.26%">$5,508
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">*Includes cumulative
appreciation (depreciation) on futures contracts as reported in the Portfolio of Investments. Only the current day&#8217;s variation margin is reported within the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The following table
presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended April 30, 2018, on derivative instruments, as well as the primary underlying
risk exposure associated with each instrument.</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 64.59%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 18pt 3pt 0pt; color: #000000; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom; width: 77.69%">Statement of Operations Location
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; line-height: 0pt; padding-bottom: 3pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 17.15%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 18pt; padding-top: 2.12pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 77.69%">Interest Rate Risk
</TD><TD STYLE="line-height: 0pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 17.15%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 18pt; padding-top: 1.25pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 77.69%">Net realized gain (loss) on futures
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 18pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 17.15%">$(27,924)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 18pt 6pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 77.69%">Net change in unrealized appreciation (depreciation) on futures
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 6pt; padding-left: 26.33pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 17.15%">10,414
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; margin-top: 15pt; text-align: right; text-decoration: none; text-transform: none">Page 21</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="NTF-TOCnotes-6_7">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">During the six months
ended April 30, 2018, the amount of notional values of futures contracts opened and closed were $8,016,602 and $8,534,446, respectively.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund does not have
the right to offset financial assets and liabilities related to futures contracts on the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New
Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">6.&nbsp;Indemnification</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund has a variety of
indemnification obligations under contracts with its service providers. The Fund&#8217;s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">7.&nbsp;Subsequent
Events</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">Management has evaluated
the impact of all subsequent events to the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial
statements that have not already been disclosed.</DIV>
</DIV>
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<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Additional Information<FONT STYLE="color: #000000"> </FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">Dividend Reinvestment
Plan</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">If your Common Shares are
registered directly with the Fund or if you hold your Common Shares with a brokerage firm that participates in the Fund&#8217;s Dividend Reinvestment Plan (the &#8220;Plan&#8221;), unless you elect, by written notice
to the Fund, to receive cash distributions, all dividends, including any capital gain distributions, on your Common Shares will be automatically reinvested by BNY Mellon Investment Servicing (US) Inc. (the &#8220;Plan
Agent&#8221;), in additional Common Shares under the Plan. If you elect to receive cash distributions, you will receive all distributions in cash paid by check mailed directly to you by the Plan Agent, as the dividend
paying agent.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">If you decide to
participate in the Plan, the number of Common Shares you will receive will be determined as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="8" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 2pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">(1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">If Common Shares are trading at or above net asset value (&#8220;NAV&#8221;) at the time of valuation, the Fund will issue new shares at a price equal to the greater of (i) NAV per Common Share on that
date or (ii) 95% of the market price on that date.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">(2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 96.51%">If Common Shares are trading below NAV at the time of valuation, the Plan Agent will receive the dividend or distribution in cash and will purchase Common Shares in the open market,
on the NYSE or elsewhere, for the participants&#8217; accounts. It is possible that the market price for the Common Shares may increase before the Plan Agent has completed its purchases. Therefore, the average
purchase price per share paid by the Plan Agent may exceed the market price at the time of valuation, resulting in the purchase of fewer shares than if the dividend or distribution had been paid in Common Shares
issued by the Fund. The Plan Agent will use all dividends and distributions received in cash to purchase Common Shares in the open market within 30 days of the valuation date except where temporary curtailment or
suspension of purchases is necessary to comply with federal securities laws. Interest will not be paid on any uninvested cash payments.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">You may elect to opt-out
of or withdraw from the Plan at any time by giving written notice to the Plan Agent, or by telephone at (866) 340-1104, in accordance with such reasonable requirements as the Plan Agent and the Fund may agree upon. If
you withdraw or the Plan is terminated, you will receive a certificate for each whole share in your account under the Plan, and you will receive a cash payment for any fraction of a share in your account. If you wish,
the Plan Agent will sell your shares and send you the proceeds, minus brokerage commissions.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Plan Agent maintains
all Common Shareholders&#8217; accounts in the Plan and gives written confirmation of all transactions in the accounts, including information you may need for tax records. Common Shares in your account will be held by
the Plan Agent in non-certificated form. The Plan Agent will forward to each participant any proxy solicitation material and will vote any shares so held only in accordance with proxies returned to the Fund. Any proxy
you receive will include all Common Shares you have received under the Plan.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">There is no brokerage
charge for reinvestment of your dividends or distributions in Common Shares. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market
purchases.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Automatically reinvesting
dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Capital gains and income are realized although cash is not received by you. Consult
your financial advisor for more information.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">If you hold your Common
Shares with a brokerage firm that does not participate in the Plan, you will not be able to participate in the Plan and any dividend reinvestment may be effected on different terms than those described above.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">The Fund reserves the
right to amend or terminate the Plan if in the judgment of the Board of Trustees the change is warranted. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend
the Plan to include a service charge payable by the participants. Additional information about the Plan may be obtained by writing BNY Mellon Investment Servicing (US) Inc., 301 Bellevue Parkway, Wilmington, Delaware
19809.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">Proxy Voting Policies
and Procedures</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">A description of the
policies and procedures that the Fund uses to determine how to vote proxies and information on how the Fund voted proxies relating to portfolio investments during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund&#8217;s website at <FONT STYLE="color: #0000FF; text-decoration: underline">www.ftportfolios.com</FONT>; and (3) on the Securities and Exchange Commission&#8217;s (&#8220;SEC&#8221;) website at <FONT STYLE="color: #0000FF; text-decoration: underline">www.sec.gov.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">Portfolio Holdings</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund files its
complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund&#8217;s Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Fund&#8217;s
website at <FONT STYLE="color: #0000FF; text-decoration: underline">www.ftportfolios.com</FONT>;</DIV>
</DIV>
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</DIV>
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<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">(3) on the SEC&#8217;s website at <FONT STYLE="color: #0000FF; text-decoration: underline">www.sec.gov</FONT>; and (4) for review and copying at the SEC&#8217;s Public Reference Room (&#8220;PRR&#8221;) in Washington, DC. Information regarding the operation
of the PRR may be obtained by calling (800) SEC-0330.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">Submission of Matters to
a Vote of Shareholders</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The Fund held its Annual
Meeting of Shareholders (&#8220;Annual Meeting&#8221;) on April 23, 2018. At the Annual Meeting, Richard E. Erickson and Thomas R. Kadlec were elected by the Common Shareholders of First Trust Mortgage Income Fund as
Class I Trustees for a three-year term expiring at the Fund&#8217;s annual meeting of shareholders in 2021. The number of votes cast in favor of Mr. Erickson was 3,731,286, the number of votes against was 165,661 and
the number of broker non-votes was 316,168. The number of votes cast in favor of Mr. Kadlec was 3,734,407, the number of votes against was 162,540 and the number of broker non-votes was 316,168. James A. Bowen, Robert
F. Keith and Niel B. Nielson are the other current and continuing Trustees.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">At the Annual Meeting,
shareholders of the Fund voted against a shareholder&#8217;s proposal requesting the Board of Trustees to authorize a self-tender offer for all outstanding common shares of the Fund at or within 2% of net asset value.
The shareholder&#8217;s proposal also stated that, &#8220;If more than 50% of the Fund&#8217;s outstanding common shares are submitted for tender, the Board is requested to cancel the tender offer and take those steps
that the Board is required to take to cause the Fund to be liquidated or converted to (or merged with) an exchange traded fund or an open-end mutual fund&#8221; (the &#8220;Shareholder Proposal&#8221;). 123,539 shares
of the Fund voted for the Shareholder Proposal, 2,803,201 shares of the Fund voted against the Shareholder Proposal, and 15,741 shares of the Fund abstained.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 15pt; text-align: center; text-decoration: none; text-transform: none">Risk Considerations</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 3pt; text-align: left; text-decoration: none; text-transform: none">The following discussion
summarizes certain (but not all) of the principal risks associated with investing in the Fund. The Fund is subject to the informational requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940 and, in accordance therewith, files reports, proxy statements and other information that is available for review.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Credit Agency Risk.<FONT STYLE="font-weight: normal"> Credit ratings are determined by credit rating agencies and are only the opinions of such entities. Ratings assigned by a rating agency are not absolute standards of credit quality and do
not evaluate market risk or the liquidity of securities. Any shortcomings or inefficiencies in credit rating agencies&#8217; processes for determining credit ratings may adversely affect the credit ratings of
securities held by the Fund and, as a result, may adversely affect those securities&#8217; perceived or actual credit risk.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Credit and Below-Investment
Grade Securities Risk.<FONT STYLE="font-weight: normal"> Credit risk is the risk that one or more securities in the Fund&#8217;s portfolio will decline in price, or the issuer thereof will fail to pay interest or repay principal when due.
Below-investment grade instruments are commonly referred to as high-yield securities or &#8220;junk&#8221; bonds and are considered speculative with respect to the issuer&#8217;s capacity to pay interest and repay
principal and are susceptible to default or decline in market value due to adverse economic and business developments. High-yield securities are often unsecured and subordinated to other creditors of the issuer. The
market values for high-yield securities tend to be very volatile, and these securities are generally less liquid than investment grade securities. For these reasons, an investment in the Fund is subject to the
following specific risks: (i) increased price sensitivity to changing interest rates and to a deteriorating economic environment; (ii) greater risk of loss due to default or declining credit quality; (iii) adverse
company specific events more likely to render the issuer unable to make interest and/or principal payments; (iv) negative perception of the high-yield market which may depress the price and liquidity of high-yield
securities; (v) volatility; and (vi) liquidity.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Cyber Security Risk.<FONT STYLE="font-weight: normal"> As the use of Internet technology has become more prevalent in the course of business, the Fund has become more susceptible to potential operational risks through breaches in cyber
security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could
cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the
Fund&#8217;s digital information systems through &#8220;hacking&#8221; or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services
unavailable to intended users. In addition, cyber security breaches of the Fund&#8217;s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in
which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. The Fund has established risk management systems designed to reduce the risks associated with
cyber security. However, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third party service providers.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Fixed-Income Securities
Risk. <FONT STYLE="font-weight: normal">An investment in fixed-income securities is subject to certain risks, including:</FONT></DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="3" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 1pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal italic 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">Issuer Risk.<FONT STYLE="font-style: normal"> The value of fixed-income securities may decline for a number of reasons which directly relate to the issuer, such as management performance, leverage and reduced demand for the
issuer&#8217;s goods and services.</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal italic 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">Interest Rate Risk.<FONT STYLE="font-style: normal"> Interest rate risk is the risk that fixed-income securities will decline in value because of changes in market interest rates. When market interest rates rise, the market value of such
securities generally will fall. Market value generally</FONT>
</TD></TR></TABLE>
</DIV>
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Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
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<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="3" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 0pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; vertical-align: top; width: 2.33%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">falls further for securities with longer duration. During periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected prepayments.
This may lock in a below-market yield, increase the security&#8217;s duration and further reduce the value of the security. Investments in debt securities with long-term maturities may experience significant price
declines if long-term interest rates increase.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal italic 10pt/13pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">Prepayment Risk.<FONT STYLE="font-style: normal"> During periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Fund to reinvest the proceeds from such
prepayment in lower yielding securities, which may result in a decline in the Fund&#8217;s income and distributions to common shareholders.</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal italic 10pt/13pt Times New Roman; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 97.67%">Reinvestment Risk.<FONT STYLE="font-style: normal"> Reinvestment risk is the risk that income from the Fund&#8217;s portfolio will decline if the Fund invests the proceeds from matured, traded or called bonds at market interest rates that
are below the Fund portfolio&#8217;s current earnings rate.</FONT>
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Futures Contracts
Risk.<FONT STYLE="font-weight: normal"> The primary risks associated with the use of futures contracts are (a) the imperfect correlation between the change in market value of the instruments held by the Fund and the price of the
futures contract; (b) possible lack of a liquid secondary market for a futures contract and the resulting inability to close a futures contract when desired; (c) losses caused by unanticipated market movements, which
are potentially unlimited; (d) the investment adviser&#8217;s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic factors; and (e) the
possibility that the counterparty will default in the performance of its obligations.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Illiquid and Restricted
Securities Risk.<FONT STYLE="font-weight: normal"> Investments in restricted securities could have the effect of increasing the amount of the Fund&#8217;s assets invested in illiquid securities if qualified institutional buyers are
unwilling to purchase these securities. Illiquid and restricted securities may be difficult to dispose of at a fair price at the times when the Fund believes it is desirable to do so. The market price of illiquid and
restricted securities generally is more volatile than that of more liquid securities, which may adversely affect the price that the Fund pays for or recovers upon the sale of such securities. Illiquid and restricted
securities are also more difficult to value, especially in challenging markets.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Interest Rate Risk.<FONT STYLE="font-weight: normal"> Interest rate risk is the risk that fixed rate securities will decline in value because of changes in market interest rates. When market interest rates rise, the market value of such
securities generally will fall. During periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected prepayments. This may lock in a below-market
yield, increase the security&#8217;s duration and further reduce the value of the security. Investments in fixed rate securities with long-term maturities may experience significant price declines if long-term
interest rates increase.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">In the case of stripped
mortgage-backed securities, in general, when interest rates are falling and prepayment rates are increasing, the value of a principal only security (&#8220;PO Security&#8221;) will rise and the value of an interest
only security (&#8220;IO Security&#8221;) will fall. Conversely, when interest rates are rising and prepayment rates are decreasing, in general, the value of a PO Security will fall and the value of an IO Security
will rise.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Leverage Risk.<FONT STYLE="font-weight: normal"> The use of leverage by the Fund can magnify the effect of any losses. If the income and gains from the securities and investments purchased with leverage proceeds do not cover the cost of
leverage, the return to the common shares will be less than if leverage had not been used. Leverage involves risks and special considerations for common shareholders including: the likelihood of greater volatility of
net asset value and market price of the common shares than a comparable portfolio without leverage; the risk that fluctuations in interest rates on borrowings will reduce the return to the common shareholders or will
result in fluctuations in the dividends paid on the common shares; in a declining market, the use of leverage is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not
leveraged, which may result in a greater decline in the market price of the common shares; and when the Fund uses certain types of leverage, the investment advisory fee payable to the Advisor and by the Advisor to the
Sub-Advisor will be higher than if the Fund did not use leverage.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Management Risk and
Reliance on Key Personnel.<FONT STYLE="font-weight: normal"> The implementation of the Fund&#8217;s investment strategy depends upon the continued contributions of certain key employees of the Advisor and Sub-Advisor, some of whom have unique
talents and experience and would be difficult to replace. The loss or interruption of the services of a key member of the portfolio management team could have a negative impact on the Fund.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Market Discount from Net
Asset Value. <FONT STYLE="font-weight: normal">Shares of closed-end investment companies such as the Fund frequently trade at a discount from their net asset value. The Fund cannot predict whether its common shares will trade at, below
or above net asset value.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Mortgage-Backed Securities
Risk.<FONT STYLE="font-weight: normal"> A mortgage-backed security may be negatively affected by the quality of the mortgages underlying such security and the structure of its issuer. For example, if a mortgage underlying a
particular mortgage-backed security defaults, the value of that security may decrease. Moreover, a downturn in the markets for residential or commercial real estate or a general economic downturn could negatively
affect both the price and liquidity of privately issued mortgage-backed securities. Mortgage-backed securities are subject to pre-payment risk, which is the risk that the borrowers under the mortgage loans underlying
a</FONT></DIV>
</DIV>
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<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; margin-top: 5pt; text-align: left; text-decoration: none; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 11pt; text-align: center; text-decoration: none; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 2pt; text-align: center; text-decoration: none; text-transform: none">April 30, 2018
(Unaudited)</DIV>
</DIV>
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<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-align: left; text-decoration: none; text-transform: none">Fund&#8217;s mortgage-backed securities
might pay off their mortgage loans sooner than expected, which could happen when interest rates fall or for other reasons, which could cause the value of the Fund&#8217;s mortgage-backed securities to fall. Moreover,
if the underlying mortgage loans are paid off sooner than expected, the Fund may have to reinvest the proceeds in other securities that have lower yields. Mortgage-backed securities are also subject to extension risk,
which is the risk that rising interest rates could cause mortgages underlying the securities to be prepaid more slowly than expected, resulting in slower prepayments of the securities. This would, in effect, convert a
short or medium-duration mortgage-backed security into a longer-duration security, increasing its sensitivity to interest rate changes and likely causing its price to decline. Mortgage-backed securities issued by a
private issuer, such as commercial mortgage-backed securities, generally entail greater risk than obligations directly or indirectly guaranteed by the U.S. government or a government-sponsored entity.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">A portion of the
Fund&#8217;s managed assets may be invested in subordinated classes of mortgage-backed securities. Such subordinated classes are subject to a greater degree of non-payment risk than are senior classes of the same
issuer or agency. In addition, under certain market conditions, the market for subordinated classes of mortgage-backed securities may not be as liquid as the market for other fixed income securities.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Given its focus in
mortgage-backed securities, the Fund may be more susceptible to adverse economic, political and regulatory events that affect the value of real estate.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Potential Conflicts of
Interest Risk.<FONT STYLE="font-weight: normal"> First Trust and the portfolio managers have interests which may conflict with the interests of the Fund. In particular, First Trust currently manages and may in the future manage and/or
advise other investment funds or accounts with the same or substantially similar investment objective and strategies as the Fund. In addition, while the Fund is using leverage, the amount of the fees paid to First
Trust for investment advisory and management services are higher than if the Fund did not use leverage because the fees paid are calculated based on managed assets. Therefore, First Trust has a financial incentive to
leverage the Fund.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; margin-top: 8pt; text-align: left; text-decoration: none; text-transform: none">Valuation Risk.<FONT STYLE="font-weight: normal"> The valuation of mortgage-backed securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial market, unreliable reference data, lack of
transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing.</FONT></DIV>
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<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; margin-top: 60pt; text-align: left; text-decoration: none; text-transform: none">INVESTMENT ADVISOR</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">First Trust Advisors L.P.</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">120 E. Liberty Drive, Suite 400</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">Wheaton, IL 60187</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; margin-top: 15pt; text-align: left; text-decoration: none; text-transform: none">ADMINISTRATOR,<BR>
FUND ACCOUNTANT,<BR>
AND CUSTODIAN</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">The Bank of New York Mellon</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">101 Barclay Street, 20th Floor</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">New York, NY 10286</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; margin-top: 15pt; text-align: left; text-decoration: none; text-transform: none">TRANSFER AGENT</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">BNY Mellon Investment Servicing
(US) Inc.</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">301 Bellevue Parkway</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">Wilmington, DE 19809</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; margin-top: 15pt; text-align: left; text-decoration: none; text-transform: none">INDEPENDENT REGISTERED<BR>
PUBLIC ACCOUNTING FIRM</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">Deloitte &amp; Touche LLP</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">111 S. Wacker Drive</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">Chicago, IL 60606</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; margin-top: 15pt; text-align: left; text-decoration: none; text-transform: none">LEGAL COUNSEL</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">Chapman and Cutler LLP</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">111 W. Monroe Street</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; margin-top: 2pt; text-align: left; text-decoration: none; text-transform: none">Chicago, IL 60603</DIV>
</DIV>
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<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 2. Code of Ethics.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">Not applicable.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 3. Audit Committee Financial Expert.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">Not applicable.&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 4. Principal Accountant Fees and Services.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">Not applicable.&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 5. Audit Committee of Listed registrants.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">Not applicable.<B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 6. Investments.</B></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-weight: normal">(a)</FONT></TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify"><FONT STYLE="font-weight: normal">Schedule of Investments in securities of unaffiliated
issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Not applicable.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 40.5pt; text-indent: -40.5pt"><B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 40.5pt; text-indent: -40.5pt"><B>Item 7. Disclosure
of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">Not applicable.<B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 8. Portfolio Managers of Closed-End Management Investment
Companies.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">There has been no change, as of the date of this filing, in any
of the portfolios managers identified in response to paragraph (a)(1) of this Item in the Registrant&rsquo;s most recently filed
annual report on Form&nbsp;N-CSR.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 40.5pt; text-indent: -40.5pt"><B>Item 9. Purchases of Equity
Securities by Closed-End Management Investment Company and Affiliated Purchasers.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">Not applicable.<B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 10. Submission of Matters to a Vote of Security Holders.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">There have been no material changes to the procedures by which the
shareholders may recommend nominees to the registrant&rsquo;s board of directors, where those changes were implemented after the
registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as
required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 11. Controls and Procedures.</B></P>

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<TD STYLE="width: 35pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The registrant&rsquo;s principal executive and principal financial officers, or persons
performing similar functions, have concluded that the registrant&rsquo;s disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the &ldquo;1940 Act&rdquo;) (17 CFR 270.30a-3(c))) are effective,
as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on
their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules
13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 0.5in; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">There were no changes in the registrant&rsquo;s internal control over financial reporting
(as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant&rsquo;s second fiscal
quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant&rsquo;s
internal control over financial reporting.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 12. Exhibits.</B></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(a)(1)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Not applicable.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(a)(2)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the
Sarbanes-Oxley Act of 2002 are attached hereto.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(a)(3)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Not applicable.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the
Sarbanes-&#9;Oxley Act of 2002 are attached hereto.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify">&nbsp;</P>


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<P STYLE="margin: 0"></P>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 18pt; text-align: center"><B>SIGNATURES</B><BR>
<BR>
</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 18pt; margin-left: 0; text-indent: 0; text-align: justify">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.</P>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 12pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 10%; text-align: left; vertical-align: bottom">(registrant)</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 89%; text-align: center; vertical-align: bottom; border-bottom: Black 0.5pt solid">First Trust Mortgage Income Fund</TD></TR>
</TABLE>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 12pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 24%">By (Signature and Title)*</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 75%; border-bottom: Black 0.5pt solid; padding-left: 10pt">/s/ James M. Dykas</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-left: 10pt">James M. Dykas, President and Chief Executive Officer<BR>
(principal executive
officer)

</TD></TR>
</TABLE>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 12pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 18pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 4%; text-align: left; vertical-align: top">Date:</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: center; vertical-align: top; width: 19%">July 5, 2018</TD>
    <TD STYLE="width: 76%">&nbsp;</TD></TR>
</TABLE>



<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 18pt; margin-left: 0; text-indent: 0; text-align: justify">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.</P>




<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 12pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 24%">By (Signature and Title)*</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; padding-left: 10pt; width: 75%">/s/ James M. Dykas</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-left: 10pt">James M. Dykas, President and Chief Executive Officer<BR>
(principal executive
officer)

</TD></TR>
</TABLE>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 12pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 18pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 4%; text-align: left; vertical-align: top">Date:</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: center; vertical-align: top; width: 19%">July 5, 2018</TD>
    <TD STYLE="width: 76%">&nbsp;</TD></TR>
</TABLE>




<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 12pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 24%">By (Signature and Title)*</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; padding-left: 10pt; width: 75%">/s/ Donald P. Swade</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-left: 10pt">Donald P. Swade, Treasurer, Chief Financial Officer <BR>
and Chief Accounting Officer<BR>
(principal financial officer)
</TD></TR>
</TABLE>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 12pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 18pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 4%; text-align: left; vertical-align: top">Date:</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 19%; border-bottom: Black 0.5pt solid; text-align: center; vertical-align: top">July 5, 2018</TD>
    <TD STYLE="width: 76%">&nbsp;</TD></TR>
</TABLE>



<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><SUP>*</SUP> Print the name and title of each signing officer under
his or her signature.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><B>&nbsp;</B></P>


<!-- Field: Page; Sequence: 3 -->


<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0">&nbsp;</P>

</BODY>
</HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>certs_302.htm
<DESCRIPTION>SECTION 302 CERTIFICATIONS
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center"><B>Certification Pursuant to Rule 30a-2(a)
under the 1940 Act and Section 302 of the Sarbanes-Oxley Act</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">I, James M. Dykas, certify that:</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">1.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">I have reviewed this report on Form N-CSR of First Trust Mortgage Income Fund;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">2.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Based on my knowledge, this report does not contain any untrue statement of a material
fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this report;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">3.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Based on my knowledge, the financial statements, and other financial information included
in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets,
and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for,
the periods presented in this report;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">4.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The registrant&rsquo;s other certifying officer(s) and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and
internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant
and have:</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Designed such disclosure controls and procedures, or caused such disclosure controls
and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including
its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this
report is being prepared;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Designed such internal control over financial reporting, or caused such internal control
over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(c)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Evaluated the effectiveness of the registrant&rsquo;s disclosure controls and procedures
and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within
90 days prior to the filing date of this report based on such evaluation; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.75in; text-align: justify; text-indent: -0.25in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(d)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Disclosed in this report any change in the registrant&rsquo;s internal control over
financial reporting 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&rsquo;s internal control over financial reporting; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">5.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The registrant&rsquo;s other certifying officer(s) and I have disclosed to the registrant&rsquo;s
auditors and the audit committee of the registrant&rsquo;s board of directors (or persons performing the equivalent functions):</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.75in; text-align: justify; text-indent: -0.25in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">All significant deficiencies and material weaknesses in the design or operation of
internal control over financial reporting which are reasonably likely to adversely affect the registrant&rsquo;s ability to record,
process, summarize, and report financial information; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.75in; text-align: justify; text-indent: -0.25in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Any fraud, whether or not material, that involves management or other employees who
have a significant role in the registrant&rsquo;s internal control over financial reporting.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 11pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 36pt; margin-top: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%">Date:</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left; padding-left: 10pt; width: 20%">July 5, 2018</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; padding-left: 10pt; width: 55%">/s/ James M. Dykas</TD>
    <TD STYLE="width: 8%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-left: 10pt">James M. Dykas, President and Chief Executive Officer<BR>
(principal executive officer)</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<!-- Field: Page; Sequence: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt"></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center"><B>Certification Pursuant to Rule 30a-2(a)
under the 1940 Act and Section 302 of the Sarbanes-Oxley Act</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">I, Donald P. Swade, certify that:</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">1.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">I have reviewed this report on Form N-CSR of First Trust Mortgage Income Fund;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">2.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Based on my knowledge, this report does not contain any untrue statement of a material
fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this report;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">3.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Based on my knowledge, the financial statements, and other financial information included
in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets,
and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for,
the periods presented in this report;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">4.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The registrant&rsquo;s other certifying officer(s) and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and
internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant
and have:</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Designed such disclosure controls and procedures, or caused such disclosure controls
and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including
its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this
report is being prepared;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Designed such internal control over financial reporting, or caused such internal control
over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(c)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Evaluated the effectiveness of the registrant&rsquo;s disclosure controls and procedures
and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within
90 days prior to the filing date of this report based on such evaluation; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.75in; text-align: justify; text-indent: -0.25in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(d)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Disclosed in this report any change in the registrant&rsquo;s internal control over
financial reporting 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&rsquo;s internal control over financial reporting; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">5.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The registrant&rsquo;s other certifying officer(s) and I have disclosed to the registrant&rsquo;s
auditors and the audit committee of the registrant&rsquo;s board of directors (or persons performing the equivalent functions):</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.75in; text-align: justify; text-indent: -0.25in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">All significant deficiencies and material weaknesses in the design or operation of
internal control over financial reporting which are reasonably likely to adversely affect the registrant&rsquo;s ability to record,
process, summarize, and report financial information; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.75in; text-align: justify; text-indent: -0.25in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Any fraud, whether or not material, that involves management or other employees who
have a significant role in the registrant&rsquo;s internal control over financial reporting.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">&nbsp;</P>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 11pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 36pt; margin-top: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%">Date:</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left; padding-left: 10pt; width: 20%">July 5, 2018</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; padding-left: 10pt; width: 55%">/s/ Donald P. Swade</TD>
    <TD STYLE="width: 8%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-left: 10pt">Donald P. Swade, Treasurer, Chief Financial Officer <BR>
and
Chief Accounting Officer<BR>
(principal financial officer)</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

</BODY>
</HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>certs_906.htm
<DESCRIPTION>SECTION 906 CERTIFICATIONS
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Certification Pursuant to Rule 30a-2(b) under
the 1940 Act and Section 906 of the Sarbanes-Oxley Act</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: justify">I, James M. Dykas, President and Chief Executive
Officer of First Trust Mortgage Income Fund (the &ldquo;Registrant&rdquo;), certify that:</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 63pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">1.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The Form N-CSR of the Registrant (the &ldquo;Report&rdquo;) fully complies with the
requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 63pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">2.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The information contained in the Report fairly presents, in all material respects,
the financial condition and results of operations of the Registrant.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 11pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 36pt; margin-top: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%">Date:</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left; padding-left: 10pt; width: 20%">July 5, 2018</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; padding-left: 10pt; width: 55%">/s/ James M. Dykas</TD>
    <TD STYLE="width: 8%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-left: 10pt">James M. Dykas, President and Chief Executive Officer<BR>
(principal executive officer)</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: justify">I, Donald P. Swade, Treasurer, Chief Financial
Officer and Chief Accounting Officer of First Trust Mortgage Income Fund (the &ldquo;Registrant&rdquo;), certify that:</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 63pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">1.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The Form N-CSR of the Registrant (the &ldquo;Report&rdquo;) fully complies with the
requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 63pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 35pt; text-align: right">2.</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The information contained in the Report fairly presents, in all material respects,
the financial condition and results of operations of the Registrant.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 11pt Times New Roman, Times, Serif; width: 100%; margin-bottom: 36pt; margin-top: 12pt">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%">Date:</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left; padding-left: 10pt; width: 20%">July 5, 2018</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; padding-left: 10pt; width: 55%">/s/ Donald P. Swade</TD>
    <TD STYLE="width: 8%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-left: 10pt">Donald P. Swade, Treasurer, Chief Financial Officer <BR>
and
Chief Accounting Officer<BR>
(principal financial officer)</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></P>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0">&nbsp;</P>

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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
