<SEC-DOCUMENT>0001445546-19-000060.txt : 20190107
<SEC-HEADER>0001445546-19-000060.hdr.sgml : 20190107
<ACCEPTANCE-DATETIME>20190104175256
ACCESSION NUMBER:		0001445546-19-000060
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		10
CONFORMED PERIOD OF REPORT:	20181031
FILED AS OF DATE:		20190107
DATE AS OF CHANGE:		20190104
EFFECTIVENESS DATE:		20190107

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21727
		FILM NUMBER:		19511394

	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-CSR
<SEQUENCE>1
<FILENAME>fmy_ncsr.htm
<DESCRIPTION>ANNUAL REPORT TO SHAREHOLDERS
<TEXT>
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<DIV
style="width:100%;"><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 INVESTMENT COMPANIES</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center">Investment Company Act file number<U>&#9;811-21727&#9;</U></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center"><U>&#9; First Trust Mortgage Income Fund&#9;</U><BR>
(Exact name of registrant as specified in charter)</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center">120 East Liberty Drive, Suite 400<BR>
<U>&#9; Wheaton, IL 60187&#9;</U><BR>
(Address of principal executive offices) (Zip code)</P>

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center">W. Scott Jardine, Esq.<BR>
First Trust Portfolios L.P.<BR>
120 East Liberty Drive, Suite 400<BR>
<U>&#9; Wheaton, IL 60187&#9;</U><BR>
(Name and address of agent for service)</P>

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center">registrant&rsquo;s telephone number,
including area code:<U>&#9;630-765-8000</U></P>

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center">Date of reporting period: <U>October
31, 2018</U></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; 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: 0 0 12pt; 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, 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.</P>


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<P STYLE="font: bold 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">Item 1. Reports to Stockholders.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><FONT STYLE="font-weight: normal">The Report to Shareholders
is attached herewith.</FONT></P>


</DIV>

<DIV STYLE="width: 100%">&nbsp;</DIV>

<DIV STYLE="width: 100%"><DIV
style="width:100%;" type="Block">
<DIV
style="margin-top:0pt;position:relative;text-align:Left;width:576pt;">
<IMG src="imge4cbbbbb1.jpg">
<DIV
style="color:#FFFFFF;font-family:Arial;font-size:40pt;font-style:Normal;font-variant:small-caps;font-weight:Normal;left:15pt;line-height:41pt;position:absolute;text-decoration:none;top:234pt;">First Trust</DIV><DIV
style="color:#FFFFFF;font-family:Arial;font-size:30pt;font-style:Normal;font-variant:small-caps;font-weight:Normal;left:15pt;line-height:31pt;position:absolute;text-decoration:none;top:274pt;">Mortgage Income
Fund (FMY)</DIV><DIV
style="color:#FFFFFF;font-family:Arial;font-size:40pt;font-style:Normal;font-variant:small-caps;font-weight:Normal;left:15pt;line-height:41pt;position:absolute;text-decoration:none;top:327pt;">Annual Report</DIV><DIV
style="color:#FFFFFF;font-family:Arial Narrow;font-size:30pt;font-style:Normal;font-variant:small-caps;font-weight:Normal;left:15pt;line-height:31pt;position:absolute;text-decoration:none;top:367pt;">For the
Year Ended</DIV><DIV
style="color:#FFFFFF;font-family:Arial Narrow;font-size:30pt;font-style:Normal;font-variant:small-caps;font-weight:Normal;left:15pt;line-height:31pt;position:absolute;text-decoration:none;top:397pt;">October 31,
2018</DIV><DIV
style="left:163pt;position:absolute;top:645pt;width:27.41%;"><DIV
style="color:#FFFFFF;font-family:Arial;font-size:40pt;font-style:Normal;font-variant:small-caps;font-weight:Normal;line-height:41pt;margin-top:0pt;position:relative;text-decoration:none;">&#8194;</DIV></DIV><DIV
style="color:#000000;font-family:Arial;font-size:40pt;font-style:Normal;font-variant:small-caps;font-weight:Normal;left:352pt;line-height:41pt;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="imgc180f3c72.jpg">
</DIV><DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:10pt;margin-top:0pt;position:relative;text-decoration:none;text-transform:none;">&#8201;</DIV></DIV></DIV>

</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
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<A name="TOC"></A>
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style="background-color:#003E87;height:15pt;width:100%;" type="OverlapColorBlock">
<DIV
style="padding-left:6pt;width:97.78%;" type="Block">
<DIV
style="color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:11.5pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;">Table of Contents</DIV>
</DIV>
</DIV>
<DIV
style="margin-top:16pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund
(FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;text-align:center;text-decoration:none;text-transform:none;">Annual Report</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:6pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#SHLetter-TOCshareholderletter-6_1">Shareholder Letter</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:11pt;padding-right:2pt;padding-top:6pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#FPO-TOCFPO-6_1">At a Glance</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:11pt;padding-right:2pt;padding-top:1.30pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#PC-TOCcommentary-6_1">Portfolio Commentary</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:11pt;padding-right:2pt;padding-top:1.30pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#SOI-SOIfooter-6_1">Portfolio of Investments</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:11pt;padding-right:2pt;padding-top:1.30pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#SAL-SALfooter-6_1">Statement of Assets and Liabilities</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#SOP-SOPfootnote-6_1">Statement of Operations</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#SOC-SOCfooter-6_1">Statements of Changes in Net Assets</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
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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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#FiHi-FiHifooter-6_1">Financial Highlights</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#NTF-TOCnotes-6_1">Notes to Financial Statements</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:4.07%;">17
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#Audit-TOCauditletter-6_1">Report of Independent Registered Public Accounting Firm</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:4.07%;">24
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#AI-TOCadditionalinfo-6_1">Additional Information</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:4.07%;">25
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#TO-TOCtrustees-6_1">Board of Trustees and Officers</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.30pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:4.07%;">31
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:2pt;padding-right:6pt;padding-top:1.30pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:96.30%;"><DIV
style="float:left;"><FONT
><A href="#PP-TOCprivacy-6_1">Privacy Policy</A></FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
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</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:2pt;padding-top:1.30pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:4.07%;">33
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:center;text-decoration:none;text-transform:none;">Caution Regarding
Forward-Looking Statements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:center;text-decoration:none;text-transform:none;">Performance and Risk
Disclosure</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:center;text-decoration:none;text-transform:none;">How to Read This
Report</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="SHLetter-TOCshareholderletter-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="background-color:#003E87;height:15pt;width:100%;" type="OverlapColorBlock">
<DIV
style="padding-left:6pt;width:97.78%;" type="Block">
<DIV
style="color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:11.5pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;">Shareholder Letter</DIV>
</DIV>
</DIV>
<DIV
style="margin-top:16pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund
(FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;text-align:center;text-decoration:none;text-transform:none;">Annual Letter from the Chairman and
CEO</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Dear Shareholders,</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">First Trust is pleased
to provide you with the annual report for the First Trust Mortgage Income Fund (the &#8220;Fund&#8221;), which contains detailed information about the Fund for the twelve months ended October 31, 2018, including a
market overview and a performance analysis. We encourage you to read this report carefully and discuss it with your financial advisor.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">As I mentioned in my
April 2018 letter, 2017 was a very strong year for U.S. and global markets. Investors were rewarded with rising markets and very little volatility. As 2018 began, investors were hoping for another strong year in the
markets. For the entire first quarter, however, increased market volatility was the norm for U.S. and global markets. The markets continued their volatility throughout the second quarter. During April and May, the Dow
Jones Industrial Average (&#8220;DJIA&#8221;) closed out each month slightly down, but ended both June and July slightly up. August was a strong month for stocks, and the DJIA finished August just under its previous
high in January of 2018. At the close of the third quarter in September, the markets had moved higher into positive territory. In fact, all three major U.S. indices (the Nasdaq Composite Index, the DJIA and the S&amp;
P 500<SUP
style="font-size:85%;font-style:Normal;text-transform:none;vertical-align:text-top;">&#174; </SUP>Index) hit record levels during the third quarter. In October, markets were again very volatile, surprising analysts
and investors alike. Both global and U.S. markets fell on fears of slowing growth, trade wars and higher interest rates. The DJIA was down 5% for October and the MSCI EAFE Index, an index of stocks in 21 developed
markets (excluding the U.S. and Canada), was down 9% for the same period.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Based on continued
strong job growth and the economic outlook in the U.S., the Federal Reserve (the &#8220;Fed&#8221;) raised interest rates in March, June and September. At their September meeting, the Fed also indicated the
possibility of one more rate hike in 2018 as well as three more rate hikes in 2019.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Trade tensions have had
an impact on markets around the world and could continue to do so in the future. However, our economists believe that the long-term impact of U.S. tariffs will be to encourage countries to come back to the table and
talk about more equal trade. Despite market volatility, we continue to believe that the combination of low interest rates, low inflation and strong corporate earnings still point to a positive economic environment and
further growth, though we understand that past performance can never guarantee future performance.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">We continue to believe
that you should invest for the long term and be prepared for market movements, which can happen at any time. You can do this by keeping current on your portfolio and by speaking regularly with your investment
professional. Markets go up and they also go down, but savvy investors are prepared for either through careful attention to investment goals.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Thank you for giving
First Trust the opportunity to be a part of your financial plan. We value our relationship with you and will report on the Fund again in six months.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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="img565f58b23.jpg">
</DIV>

<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">James A. Bowen</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">Chairman of the Board of Trustees</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">Chief Executive Officer of First Trust
Advisors L.P.</DIV>
</DIV>
<DIV
style="margin-top:142pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:right;text-decoration:none;text-transform:none;">Page 1</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="FPO-TOCFPO-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">&#8220;AT A GLANCE&#8221;
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">As of October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:5pt;">
<DIV
style="float:left;overflow:hidden;position:relative;width:48%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:97.67%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:4pt;padding-right:3pt;padding-top:4pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:80.95%;" bgcolor="#003E87">Fund Statistics
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:12pt;padding-top:4pt;text-align:center;vertical-align:bottom;width:17.86%;" bgcolor="#003E87">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:25.67pt;padding-right:12pt;padding-top:2pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:80.95%;">Common Share Price
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:21pt;padding-right:12pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:17.86%;">$13.01
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:21pt;padding-right:12pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:17.86%;">$14.96
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:22.34pt;padding-right:12pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:17.86%;">(13.03)%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:3pt;padding-right:12pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:17.86%;">$63,046,642
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:17pt;padding-right:12pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:17pt;padding-right:12pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:29pt;padding-right:12pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:17.86%;">5.53%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;
padding-top:1.25pt;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:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:29pt;padding-right:12pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:17.86%;">4.81%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="float:right;overflow:hidden;position:relative;width:48%;" type="Block">
<DIV
style="background-color:#003E87;border:2px Solid #003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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="img4d4ab88c4.jpg">
</DIV>

<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">&nbsp;&nbsp;<BR>
</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;">&nbsp;
<DIV
style="clear:both;padding-top:21pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-bottom:0.5pt solid #000000;border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:4pt;padding-right:6pt;padding-top:6pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:44.00%;" bgcolor="#003E87">Performance
</TD><TD
style="line-height:10pt;padding-bottom:2pt;padding-right:7pt;padding-top:6pt;text-align:center;vertical-align:bottom;width:12.29%;" bgcolor="#003E87">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:6pt;text-align:center;vertical-align:bottom;width:13.20%;" bgcolor="#003E87">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:6pt;text-align:center;vertical-align:bottom;width:14.12%;" bgcolor="#003E87">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:4pt;padding-top:6pt;text-align:center;vertical-align:bottom;width:16.94%;" bgcolor="#003E87">&#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:center;vertical-align:bottom;width:44.00%;">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 3pt 6pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 39.61%">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 3pt 6pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 39.61%">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:44.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2pt;padding-left:6pt;padding-right:7pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:12.29%;">1 Year Ended<BR>
10/31/18
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2pt;padding-left:7pt;padding-right:7pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:13.20%;">5 Years Ended<BR>
10/31/18
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2pt;padding-left:7pt;padding-right:7pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:14.12%;">10 Years Ended<BR>
10/31/18
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2pt;padding-left:7pt;padding-right:4pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:16.94%;">Inception (5/25/05)<BR>
to 10/31/18
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:6pt;padding-top:2pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:44.00%;" bgcolor="#B2B2B2">Fund Performance<SUP
style="font-size:85%;font-style:Normal;text-transform:none;vertical-align:text-top;">(3)</SUP>
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:2pt;text-align:center;vertical-align:bottom;width:12.29%;" bgcolor="#B2B2B2">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:2pt;text-align:center;vertical-align:bottom;width:13.20%;" bgcolor="#B2B2B2">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:2pt;text-align:center;vertical-align:bottom;width:14.12%;" bgcolor="#B2B2B2">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:4pt;padding-top:2pt;text-align:center;vertical-align:bottom;width:16.94%;" bgcolor="#B2B2B2">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:3pt;padding-right:6pt;padding-top:2pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:44.00%;">NAV
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:9.33pt;padding-right:7pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.29%;">2.13%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:7pt;padding-right:7pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:13.20%;">2.89%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:7pt;padding-right:7pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:14.12%;">5.96%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:7pt;padding-right:4pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:16.94%;">5.61%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:3pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:44.00%;">Market Value
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:6pt;padding-right:7pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.29%;">-4.52%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:7pt;padding-right:7pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:13.20%;">2.28%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:7pt;padding-right:7pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:14.12%;">5.95%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:7pt;padding-right:4pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:16.94%;">4.16%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:44.00%;" bgcolor="#B2B2B2">Index Performance
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:1.25pt;text-align:center;vertical-align:bottom;width:12.29%;" bgcolor="#B2B2B2">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:1.25pt;text-align:center;vertical-align:bottom;width:13.20%;" bgcolor="#B2B2B2">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:7pt;padding-top:1.25pt;text-align:center;vertical-align:bottom;width:14.12%;" bgcolor="#B2B2B2">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:4pt;padding-top:1.25pt;text-align:center;vertical-align:bottom;width:16.94%;" bgcolor="#B2B2B2">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:4pt;padding-left:9pt;padding-right:6pt;padding-top:2pt;text-align:left;
text-decoration:none;text-indent:-6pt;text-transform:none;vertical-align:bottom;width:44.00%;">Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:4pt;padding-left:6pt;padding-right:7pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.29%;">-1.52%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:4pt;padding-left:7pt;padding-right:7pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:13.20%;">1.75%
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:4pt;padding-left:7pt;padding-right:7pt;padding-top:2pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:4pt;padding-left:7pt;padding-right:4pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:16.94%;">3.70%
</TD></TR></TABLE>
</DIV>
</DIV>
</DIV>
<DIV
style="float:left;overflow:hidden;position:relative;width:48%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:97.67%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:4pt;padding-right:3pt;padding-top:4pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:80.95%;" bgcolor="#003E87">Portfolio Characteristics
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:12pt;padding-top:4pt;text-align:center;vertical-align:bottom;width:17.86%;" bgcolor="#003E87">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:80.95%;">Weighted Average Effective Duration
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.25pt;padding-left:3pt;padding-right:12pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:17.86%;">3.16%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;
padding-top:1.25pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:bottom;width:80.95%;">Weighted Average Effective Maturity
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:3pt;padding-right:12pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:17.86%;">5.38
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;text-align:left;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:4pt;padding-right:6pt;padding-top:6pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:74.87%;" bgcolor="#003E87">Asset Classification
</TD><TD
style="color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:6pt;padding-right:4pt;padding-top:6pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:24.36%;" bgcolor="#003E87">% of Total<BR>
Investments
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:2pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:74.87%;">Mortgage-Backed Securities
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:10pt;padding-right:4pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:24.36%;">57.7%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:10pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:24.36%;">37.3
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:74.87%;">Asset-Backed Securities
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:24.36%;">1.4
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:4pt;padding-right:6pt;
padding-top:1.12pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:bottom;width:74.87%;">Cash &amp; Cash Equivalents
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:14pt;padding-right:4pt;
padding-top:1.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:24.36%;">3.6
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.5pt;padding-left:16pt;padding-right:6pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:74.87%;">Total
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.5pt;padding-left:6pt;padding-right:4pt;
padding-top:1.88pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:24.36%;">100.0%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="float:right;overflow:hidden;position:relative;width:48%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:4pt;padding-right:6pt;padding-top:6pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:71.83%;" bgcolor="#003E87">Credit Quality<SUP
style="font-size:85%;font-style:Normal;text-transform:none;vertical-align:text-top;">(4)</SUP>
</TD><TD
style="color:#FFFFFF;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:6pt;padding-right:4pt;padding-top:6pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:27.39%;" bgcolor="#003E87">% of Total<BR>
Fixed-Income<BR>
Investments
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:2pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">AAA
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:2pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:27.39%;">2.2%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">AA+
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:10pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">11.9
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">AA
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">3.1
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">AA-
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">1.4
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">A+
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">3.6
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">A
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">2.4
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">A-
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">0.5
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">BBB+
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">0.6
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">BBB
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">0.5
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">BBB-
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">0.9
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">BB+
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">0.5
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">BB-
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">1.9
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">B+
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">1.1
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">B
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">0.8
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">B-
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">0.2
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">CCC
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">1.5
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">CC
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:14pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">5.7
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:71.83%;">Not Rated
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:10pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">20.3
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:4pt;padding-right:6pt;padding-top:1.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">Government
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.12pt;padding-left:10pt;padding-right:4pt;padding-top:1.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">37.3
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:4pt;padding-right:6pt;
padding-top:1.12pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:bottom;width:71.83%;">Cash &amp; Cash Equivalents
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:3pt;padding-left:14pt;padding-right:4pt;
padding-top:1.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">3.6
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.5pt;padding-left:16pt;padding-right:6pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:71.83%;">Total
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;padding-bottom:1.5pt;padding-left:6pt;padding-right:4pt;
padding-top:1.88pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:27.39%;">100.0%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="clear:both;">
<DIV
style="clear:both;width:94%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:5pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;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 10/31/2018. Subject to change in the future.
</TD></TR></TABLE>
</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:13pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Times New Roman;font-size:8pt;font-style:Normal;font-weight:Normal;line-height:11pt;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 10/31/2018.
Subject to change in the future.
</TD></TR></TABLE>
</DIV>
<DIV
style="text-align:left;">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 13pt; width: 100%">
<TR
style="page-break-inside:avoid;"><TD STYLE="color: #000000; font: normal 9pt/12pt 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
style="text-align:left;">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 13pt; width: 100%">
<TR
style="page-break-inside:avoid;"><TD STYLE="color: #000000; font: normal 9pt/12pt 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. &#8220;NR&#8221; 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 &#8220;Government&#8221;. Credit ratings are subject to change.
</TD></TR></TABLE>
</DIV>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:10pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 2</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="PC-TOCcommentary-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1.5pt;text-align:center;text-decoration:none;text-transform:none;">Annual Report</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1.5pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:11pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:center;text-decoration:none;text-transform:none;">Advisor</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Advisors L.P.
(&#8220;First Trust&#8221; or the &#8220;Advisor&#8221;) serves as the investment advisor to the First Trust Mortgage Income Fund (the &#8220;Fund&#8221; or &#8220;FMY&#8221;) and offers customized portfolio
management using its structured, quantitative approach to security selection.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:center;text-decoration:none;text-transform:none;">Portfolio Management
Team</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:center;text-decoration:none;text-transform:none;">Commentary</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:6pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income
Fund</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;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 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Market Recap</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">The fiscal year ended
October 31, 2018 was characterized 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 increases in Treasury supply issuance as forecasted 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 2.87%. As a result, the 2/30&#8217;s yield curve bear flattened rather dramatically, from 128 basis points (&#8220;bps&#8221;) to 52 bps to close the annual period. As expected, the
Fed raised rates in December 2017 and again three more times in 2018, continuing the path to normalization of monetary policy. Over the period, the concern of a more hawkish Fed grew, global trade wars intensified and
as a result, measures of volatility increased across broader fixed income markets. This injection of volatility coupled with the Fed formally ending its quantitative easing program and increasing the pace of balance
sheet reduction saw Agency Mortgage-Backed Securities (&#8220;Agency MBS&#8221;) option-adjusted spreads widen from a low of 19 bps to a wide of 42 bps, before closing the period at 41 bps.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Performance Analysis</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">For the 12-month period
ended October 31, 2018, the Fund returned 2.13% on a net asset value (&#8220;NAV&#8221;) basis and -4.52% on a market price basis.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">During the same period,
the Bloomberg Barclays U.S. MBS Index (the &#8220;Index&#8221;) returned -1.52%.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">For the same period, the
Fund outperformed the Index by 3.65% net of fees, on a NAV basis. Over the fiscal year, the Fund maintained a very defensive duration in the portfolio relative to the Index. 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 and increase in allocation to the Non-Agency Residential Mortgage-Backed
Securities (&#8220;Non-Agency RMBS&#8221;) sector, which performed well into the broader bond market yield backup. Additionally, the portfolio managers continued to deploy cash runoff into more stable and less credit
sensitive Agency 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 limit volatility and add
stability into the strategy as the yield curve flattening trend persisted throughout 2018 as the Fed raised short rates.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Fund and Market Outlook</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">Given that the Fed is
well into its process of interest rate normalization, we have, to-date, generally been positioned for rising rates. However, as the yield curve is now flatter than most historical periods, and interest rates are
significantly higher, we have begun to favor more intermediate fixed income maturities and believe extending duration will begin to deliver superior risk adjusted outcomes in the future. As such, we remain defensive
in managing interest rate risk, albeit less so than previously, and cautious with respect to credit risk, as we believe rising interest rates will likely slow U.S. housing in the future.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Although we have
increased the overall duration in the Fund over the last 12 months, given our outlook on the broader bond markets, we plan to continue to manage the Fund defensively versus the Index from a duration standpoint. From
an asset allocation perspective, we plan to maintain our ongoing strategy of reinvesting in higher yielding, higher quality Non-Agency RMBS assets allocated to the short end. Additionally, as highly liquid Agency MBS
pass-throughs have widened in spread, we will look to take advantage of wider</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:8pt;text-align:right;text-decoration:none;text-transform:none;">Page 3</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="PC-TOCcommentary-6_2">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Portfolio Commentary (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1.5pt;text-align:center;text-decoration:none;text-transform:none;">Annual Report</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1.5pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:11pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:23pt;text-align:left;text-decoration:none;text-transform:none;">spreads by allocating
additional capital to the sector and look to tactically deploy modest amounts of leverage to the sector. Lastly, we will continue to actively manage yield curve exposures, mindful that, in our opinion, the yield curve
flattening of the Fed&#8217;s hike cycle is nearing an end. We expect volatility to remain elevated, and as such, we will actively look for opportunities to increase investments in securities that benefit from these
conditions.</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:599pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 4</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_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:6pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">MORTGAGE-BACKED SECURITIES&#8201;&#8211; 59.6%
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Collateralized Mortgage Obligations&#8201;&#8211; 54.0%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">313,110</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT
style="padding-left:22.5pt;">319,837</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">878,486
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">469,103
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">80,644
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">82,561
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">51,506
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">45,196
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">210,346
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.69%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">210,233
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">166,730
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.16%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">169,710
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">131,369
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">132,912
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">279,945
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.68%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">284,943
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">61,223
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2009-10, Class 1A1 (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.32%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">62,382
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">686,270
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">692,332
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">COLT 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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">302,469
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-1, Class A1 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.61%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/03/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">300,380
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">319,039
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2018-1, Class A1 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.93%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">317,861
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">36,478
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">36,280
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">445,194
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.24%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">445,066
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">288,774
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">249,224
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">463,014
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.07%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">400,797
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">356,147
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.08%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">356,690
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">366,743
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.24%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">372,527
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">143,610
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.58%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">140,063
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">31,869
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">32,045
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">100,862
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">100,651
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">632,345
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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 + 0.74% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.02%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">637,352
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">746,284
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.42%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">735,251
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">111,072
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.20%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">109,938
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">12,122
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.42%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">12,226
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">183,779
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.02%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">177,551
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">403,303
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.49%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">400,344
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">54,300
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.92%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">54,971
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.69%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">517,841
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">241,945
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.06%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">238,005
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,114,060
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.44%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">398,141
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">955,464
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">896,788
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">801,129
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.48%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">811,454
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">195,005
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.24%
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">200,186
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:22pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:center;text-decoration:none;text-transform:none;">See Notes to Financial Statements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:15pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">JP Morgan Mortgage Trust&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">109,320</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-2, Class 1A1 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/29
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT
style="padding-left:22.5pt;">107,502</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">43,980
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">44,023
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">50,282
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.58%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">51,392
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,675,311
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.63%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">700,110
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">848,365
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.44%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">599,643
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,290,669
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.39%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">711,163
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">589,129
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.52%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">328,504
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">19,625
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">19,486
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">64,846
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">65,508
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">319,321
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.98%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">320,111
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">348,330
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.14%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">337,515
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">165,720
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.26%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">163,236
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">510,789
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.35%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">526,354
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">271,662
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.91%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">271,346
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">604,259
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">603,106
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">737,205
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">736,382
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,122,779
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.22%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,123,641
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,238,971
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.31%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,026,240
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Oakwood Mortgage Investors, Inc.&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">327,808
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2001-B, Class A2, 1 Mo. LIBOR + 0.38% (a) (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.65%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/15/30
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">325,322
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">440,508
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-NPL4, Class A1, steps up 8/27/20 to 6.25% (b) (d)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">436,870
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">89,502
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.01%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">90,660
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">183,950
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.64%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">184,880
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:31.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">7,596
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">7,603
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">RCO Mortgage LLC&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">403,669
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-1, Class A1, steps up 8/25/20 to 6.38% (b) (d)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/25/22
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">402,018
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">136,991
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.55%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">105,221
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,582,779
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.76%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">40,509
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">33,195
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">34,056
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">897,243
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.58%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">738,458
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Sequoia 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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">218,433
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-CH2, Class A10 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">219,417
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">302,829
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2018-CH2, Class A12 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">304,585
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">324,628
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">324,891
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:22pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 6</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:15pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:21.5pt;">66,112</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT
style="padding-left:27.5pt;">65,361</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">295,173
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.92%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">294,640
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">739,238
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-1, Class AES (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/53
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">734,256
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">400,033
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">400,550
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,376,416
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-3, Class A1B (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/54
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,365,439
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">916,571
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-1, Class A3B (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/55
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">902,776
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2018-NPL6, Class A1B, steps up 9/25/21 to 7.56% (b) (d)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.56%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/25/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">499,680
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">276,858
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">273,336
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">242,909
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.08%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">246,283
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">395,858
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">405,816
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">471,062
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.70%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">469,898
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">365,069
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">368,152
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">70,321
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.96%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">71,922
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">496,468
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.92%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">512,935
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">715,820
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">716,682
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">642,915
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.74%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">648,595
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">266,637
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.92%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">268,996
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">492,182
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">480,563
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">23,071
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">25.79%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">36,192
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">352,671
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">384,331
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">315,562
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.72%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">320,815
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">396,130
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.98%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">412,039
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">53,788
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.52%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">55,961
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">645,620
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.74%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">659,127
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">156,425
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.54%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">161,084
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">316,504
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.38%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">326,555
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:31.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,843
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.89%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">3,935
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">16,188
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.89%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">16,577
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">174,352
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.31%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">180,329
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">304,530
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.28%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">311,128
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">272,361
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.56%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">277,981
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">259,141
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.35%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">266,648
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">300,758
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">297,714
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">80,440
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">80,490
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">155,594
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">153,840
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">36,828
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">36,591
</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:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">34,067,810
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Commercial Mortgage-Backed Securities&#8201;&#8211; 5.6%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">355,340
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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 + 0.43% (a) (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.71%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">353,505
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.18%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">510,569
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Mortgage Stanley Capital I Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-CLS, Class D, 1 Mo. LIBOR + 1.40% (a) (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.68%
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/15/34
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">999,643
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:23pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:center;text-decoration:none;text-transform:none;">See Notes to Financial Statements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:15pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Commercial Mortgage-Backed Securities&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:4pt;">13,876,966</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.97%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT
style="padding-left:22.5pt;">470,507</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">188,436
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">189,555
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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) (f)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.63%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,004,311
</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:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">3,528,090
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:75.78%;" colspan="5"><DIV
style="float:left;">Total Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">37,595,900
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">(Cost $37,673,185)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;&#8211; 38.6%
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Collateralized Mortgage Obligations&#8201;&#8211; 27.0%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">11,587
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">17.81%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">12,322
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">30,410
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">33,481
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">28,859
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">5,340
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">86,326
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">20.20%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">116,463
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">193,531
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.72%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">26,787
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">326,536
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">65,899
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">749,314
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.17%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">130,354
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,469,907
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2973, Class SX, IO, 1 Mo. LIBOR x -1 + 6.60%, Capped at 1.60% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.60%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">29,352
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,752,015
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.37%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">199,250
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">334,672
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">14.49%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">430,740
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">213,423
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">262,974
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">31.33%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">39,873
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">290,602
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">338,077
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">100,151
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">108,329
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">147,937
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">10,905
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">603,819
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.80%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">69,066
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">950,153
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">41,963
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">977,542
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">25,857
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">259,513
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">208,501
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">8,371
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">861,728
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">49,422
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">73,152
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">5,454
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">998,011
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4057, Class YI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/27
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">85,261
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,888,296
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4082, Class PI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/27
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">170,615
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,013,996
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">136,842
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">483,637
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">373,276
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">6,701,958
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">928,110
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">52,604
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:13.84pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">39,583
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">102,842
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 177, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">16,999
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">796,789
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">164,298
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">102,106
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 1996-46, Class ZA</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/26
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">111,315
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">419,274
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">50,886
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">63,410
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2002-80, Class IO, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">12,238
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:17pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 8</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:15pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">113,886</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.72%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT
style="padding-left:27.5pt;">18,811</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">146,653
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">35,032
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">755,032
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.82%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">84,650
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">21,074
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10.93%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">25,356
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">535,074
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">295,013
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">19.47%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">449,575
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">36,624
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">14.09%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">48,310
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">127,929
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.42%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">16,688
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">209,177
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">248,969
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">108,008
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.96%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">113,187
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">87,147
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.17%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">10,436
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">223,946
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">223,812
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">363,440
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.47%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">55,244
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">294,177
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">325,202
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">201,179
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:31.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,842
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 50pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">34
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">145,045
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.37%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">21,756
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">444,684
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">173,219
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">203,532
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">61,052
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 55pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">4
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,741,352
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">393,514
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">414,425
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">8,888
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,018,566
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">67,632
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">52,185
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">168
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">154,792
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">3,643
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">13.72%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">112,976
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">78,023
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">454
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">100,369
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">5,552
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">825,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">900,334
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,598,449
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">58,576
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,388,899
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2011-81, Class PI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/01/26
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">197,452
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">149,103
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">168,699
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,965,595
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">195,860
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,642,407
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">363,160
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">28,344
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:13.84pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">25,271
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">396,818
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.37%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">43,343
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">28,344
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:13.84pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">24,592
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.65%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">133,947
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">72,199
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.65%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">55,371
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">828,122
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-28, Class AQ</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/38
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">803,547
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,091,683
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">297,101
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">534,502
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">59,248
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,701,682
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">539,297
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,513,431
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">196,793
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,144,633
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">701,140
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">54,985
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">71,260
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">12,826
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">75,788
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">17,824
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,559,779
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 387, Class 10, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">376,467
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,283,658
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">266,788
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">186,839
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">195,656
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">290,493
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">314,059
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:22pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:center;text-decoration:none;text-transform:none;">See Notes to Financial Statements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:15pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">136,855</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10.94%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT
style="padding-left:22.5pt;">149,263</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">418,060
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.02%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">48,279
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">47,821
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">57.46%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">125,331
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">661,036
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">692,814
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">107,812
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">11,381
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">342,261
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.37%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">44,975
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">109,987
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">279,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">319,289
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">295,876
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.46%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">32,904
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">941,017
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.22%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">38,191
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">249,164
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">49,857
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">88,470
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">4,546
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">122,107
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">148,778
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">592,698
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">19,704
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">786,238
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">336,586
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">15,577
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">529,648
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">63,348
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">10,351,329
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">54,726
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">70,775
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">37,631
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">139,106
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">113,904
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">105,089
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">106,008
</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:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">16,988,644
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">181,932
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Pass-through Security&#8201;&#8211; 11.3%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: right; 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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">388,859
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool A94738</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">398,515
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">538,383
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool K36017</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">553,076
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">13,332
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool 535919</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">14,520
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">874,227
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool 831145</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">954,830
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">841,175
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool 843971</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">926,998
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,295,186
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool AB5688</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,268,849
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool TBA (i)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">2,000,078
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool TBA (i)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/48
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,023,978
</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:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">7,140,844
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:75.78%;" colspan="5"><DIV
style="float:left;">Total U.S. Government Agency Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">24,311,420
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">(Cost $26,113,165)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">ASSET-BACKED SECURITIES&#8201;&#8211; 1.4%
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">70,714
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">74,947
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">370,617
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:6pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">402,888
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:102pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 10</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:15pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:2pt;
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:2.00%;">&#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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">ASSET-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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Mid-State Capital Corp. Trust&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">380,626</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:2.00%;">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 0pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT
style="padding-left:22.5pt;">412,296</FONT>
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:75.78%;" colspan="5"><DIV
style="float:left;">Total Asset-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#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: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">890,131
</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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">(Cost $841,168)
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#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:2.00%;">&#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:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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; 99.6%</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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%">62,797,451
</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 $64,627,518) (j)
</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; 0.4%</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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: 30.5pt; padding-top: 1pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">249,191
</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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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;">63,046,642</FONT>
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;
padding-top:5pt;text-align:left;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:5pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:5pt;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:5pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:5pt;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:5pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:5pt;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:5pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:5pt;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:5pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-top:5pt;
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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1.88pt;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:1pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:5.49%;">Short
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:7.82%;">2
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:7.65%;">Dec 2018
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:7.44%;">$<FONT
style="padding-left:4.17pt;"></FONT> (224,766)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-top:1.88pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:12.78%;">$<FONT
style="padding-left:10.83pt;"></FONT>937
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.38%;">U.S. Treasury 10-Year Notes
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:7.82%;">2
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:7.65%;">Dec 2018
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:13pt;
line-height:13pt;padding-bottom:1pt;padding-left:12.5pt;padding-right:3pt;padding-top:1pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;vertical-align:bottom;
white-space:nowrap;width:7.44%;">236,875
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:13pt;
line-height:13pt;padding-bottom:1pt;padding-left:15.5pt;padding-top:1pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;vertical-align:bottom;white-space:nowrap;
width:12.78%;">(250)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.38%;">U.S. Treasury Long Bond Futures
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;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:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:7.82%;">9
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:7.65%;">Dec 2018
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:13pt;line-height:13pt;padding-bottom:3pt;padding-left:5pt;padding-right:3pt;padding-top:1pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:7.44%;">1,243,125
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:13pt;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-top:1pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;
vertical-align:bottom;white-space:nowrap;width:12.78%;">(8,250)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:12pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.38%;">Total Futures Contracts
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:5.49%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:7.82%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:7.65%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:3pt;
padding-top:1.88pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:7.44%;">$ 1,255,234
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:3pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.78%;">$(7,563)
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:right;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:100%;" colspan="2"><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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">(a)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">(b)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 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. (the &#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 October 31, 2018, securities noted as such amounted to $12,038,205 or 19.1% of net assets.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 October 31, 2018.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">(i)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:3pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.78%;">All or portion of this security is part of a mortgage dollar roll agreement (see Note 2H - Mortgage Dollar Rolls and TBA Transactions in the Notes to Financial Statements).
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;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%;">(j)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 federal income tax purposes was $64,917,813. As of October 31, 2018, the aggregate gross unrealized appreciation for all investments in which
there was an excess of value over tax cost was $1,481,210 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,609,135. The net unrealized
depreciation was $2,127,925. The amounts presented are inclusive of derivative contracts.
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">STRIP
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:6pt;padding-right:3pt;padding-top:1pt;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>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;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%;">TBA
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;width:93.34%;">To-Be-Announced Security
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:75pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:center;text-decoration:none;text-transform:none;">See Notes to Financial Statements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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="SOI-SOIfooter-6_8">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:2pt;width:100%;" type="Block">
<HR
noshade="noshade" style="background-color:#000000;border-bottom:0pt;border-left:0pt;border-right:0pt;border-top:0.5pt solid #000000;height:0.5pt;width:22%;" align="Left">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">Valuation Inputs</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 October 31, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-top:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:100%;" colspan="5">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:49.70%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:1pt;padding-right:5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">Total<BR>
Value at<BR>
10/31/2018
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:5pt;padding-right:3.5pt;
padding-top:1.25pt;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:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3.5pt;padding-right:3pt;
padding-top:1.25pt;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:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:1pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.70%;"><DIV
style="float:left;">Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:1pt;padding-right:5pt;padding-top:2.12pt;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>37,595,900
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:5pt;padding-right:3.5pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:10.62%;">$<FONT
style="padding-left:15.83pt;"></FONT><FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>&#8212;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:3.5pt;padding-right:3pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>37,595,900
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:1pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.70%;"><DIV
style="float:left;">U.S. Government Agency Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:6pt;padding-right:5pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">24,311,420</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
line-height:8pt;padding-bottom:1.25pt;padding-left:25.83pt;padding-right:3.5pt;padding-top:1.25pt;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-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:8.5pt;padding-right:3pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">24,311,420</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:1pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.70%;"><DIV
style="float:left;">Asset-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:18.5pt;padding-right:5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">890,131</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;line-height:8pt;padding-bottom:3pt;padding-left:25.83pt;padding-right:3.5pt;padding-top:1.25pt;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:0.5pt solid #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:21.0pt;padding-right:3pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">890,131</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:1pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.70%;"><DIV
style="float:left;">Total Investments</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:6pt;padding-right:5pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">62,797,451</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
line-height:8pt;padding-bottom:1.25pt;padding-left:25.83pt;padding-right:3.5pt;padding-top:2.12pt;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-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:8.5pt;padding-right:3pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">62,797,451</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
line-height:8pt;padding-bottom:1.25pt;padding-left:8pt;padding-top:2.12pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:1pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:49.70%;"><DIV
style="float:left;">Futures</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:36pt;padding-right:5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">937</FONT>
</TD><TD
style="border-bottom:0.5pt solid #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:20.83pt;padding-right:3.5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.62%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">937</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;line-height:8pt;padding-bottom:3pt;padding-left:43.5pt;padding-right:3pt;padding-top:1.25pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;
text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:0pt;padding-right:1pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:49.70%;"><DIV
style="float:left;">Total</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:1pt;padding-right:5pt;
padding-top:2.12pt;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>62,798,388
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:5pt;padding-right:3.5pt;
padding-top:2.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.62%;">$<FONT
style="padding-left:10.83pt;"></FONT><FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>937
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:3.5pt;padding-right:3pt;
padding-top:2.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>62,797,451
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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%;" colspan="5"><P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>
                                                                   <P STYLE="margin-top: 0; margin-bottom: 0">LIABILITIES TABLE</P></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:49.70%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:1pt;padding-right:5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">Total<BR>
Value at<BR>
10/31/2018
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:5pt;padding-right:3.5pt;
padding-top:1.25pt;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:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3.5pt;padding-right:3pt;
padding-top:1.25pt;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:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:1pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:49.70%;"><DIV
style="float:left;">Futures</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:1pt;padding-right:5pt;
padding-top:2.12pt;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>(8,500)
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:5pt;padding-right:3.5pt;
padding-top:2.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.62%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>(8,500)
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:3.5pt;padding-right:3pt;
padding-top:2.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">$<FONT
style="padding-left:35pt;"></FONT><FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>&#8212;
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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>
<DIV
style="margin-top:396pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 12</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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="SAL-SALfooter-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Statement of Assets and
Liabilities </DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:6pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;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:1.25pt;text-align:center;vertical-align:bottom;width:11.85%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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;&nbsp;(Cost $64,627,518)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:3pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">$&#8194;62,797,451
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">2,317,203
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Restricted Cash</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">50,000
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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:1.25pt;padding-top:1.25pt;text-align:center;vertical-align:bottom;width:11.85%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Investment securities sold</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:25.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">701,885
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:25.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">312,496
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Variation margin</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">32,012
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Prepaid expenses</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:35.5pt;padding-top:1.25pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">3,551
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:12pt;padding-right:3pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Total Assets</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:13pt;padding-top:2.12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">66,214,598
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;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:1.25pt;padding-top:2.12pt;text-align:center;vertical-align:bottom;width:11.85%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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:1.25pt;padding-top:1.25pt;text-align:center;vertical-align:bottom;width:11.85%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Investment securities purchased</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">3,026,745
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">50,948
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Investment advisory fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">45,516
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Administrative fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">18,207
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Shareholder reporting fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">11,574
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Custodian fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:35.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">5,405
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Transfer agent fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:35.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">3,566
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Legal fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:35.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">3,061
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:35.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">1,332
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Financial reporting fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:43pt;padding-top:1.25pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Other liabilities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:43pt;padding-top:1.25pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">831
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:12pt;padding-right:3pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Total Liabilities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:18pt;padding-top:2.12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">3,167,956
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2.75pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">NET ASSETS</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:3pt;padding-top:2.12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:11.85%;">$<FONT
style="padding-left:5pt;"></FONT>63,046,642
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2.75pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;">NET ASSETS consist of:
</TD><TD
style="line-height:10pt;padding-bottom:1.25pt;padding-top:2.75pt;text-align:center;vertical-align:bottom;width:11.85%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Paid-in capital</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:3pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">$&#8194;67,531,458
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Par value</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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:11.85%;">42,131
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">Accumulated distributable earnings (loss)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:14.67pt;padding-top:1.25pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.85%;">(4,526,947)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2.75pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.26%;"><DIV
style="float:left;">NET ASSETS</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:3pt;padding-top:2.12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:11.85%;">$<FONT
style="padding-left:5pt;"></FONT>63,046,642
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2.75pt;padding-left:0pt;padding-right:3pt;padding-top:2.75pt;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 $0.01 per Common Share)</FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:3pt;padding-top:2.75pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:11.85%;">$<FONT
style="padding-left:27.5pt;"></FONT>14.96
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:3pt;padding-top:2.75pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:18pt;padding-top:2.75pt;
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
style="margin-top:248pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:center;text-decoration:none;text-transform:none;">See Notes to Financial Statements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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="SOP-SOPfootnote-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Statement of Operations </DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">For the Year Ended October
31, 2018</DIV>
</DIV>
<DIV
style="margin-top:6pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:6pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2">INVESTMENT INCOME:
</TD><TD
style="line-height:10pt;padding-bottom:1.25pt;padding-top:6pt;text-align:right;vertical-align:bottom;width:11.48%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:89.63%;" colspan="2"><DIV
style="float:left;">Interest</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:6pt;padding-top:1.25pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;width:11.48%;">$&#8194;2,904,140
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:12pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Total investment income</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:16pt;padding-top:2.12pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">2,904,140
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:89.63%;" colspan="2">EXPENSES:
</TD><TD
style="line-height:10pt;padding-bottom:1.25pt;padding-top:2.12pt;text-align:right;vertical-align:bottom;width:11.48%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Investment advisory fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:18.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;544,631
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Legal fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:18.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;150,274
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Audit and tax fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:23.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;80,615
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Administrative fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:23.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;71,085
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Shareholder reporting fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:23.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;48,501
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Transfer agent fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:23.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;37,374
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Custodian fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:23.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;21,123
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Trustees&#8217; fees and expenses</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:23.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;16,057
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Financial reporting fees</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:28.5pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;9,250
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:89.63%;" colspan="2"><DIV
style="float:left;">Other</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:23.5pt;padding-top:1.25pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">&#8194;38,076
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:12pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Total expenses</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:16pt;padding-top:2.12pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">1,016,986
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">NET INVESTMENT INCOME (LOSS)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:16pt;padding-top:2.12pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">1,887,154
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2">NET REALIZED AND UNREALIZED GAIN (LOSS):
</TD><TD
style="line-height:10pt;padding-bottom:1.25pt;padding-top:2.12pt;text-align:right;vertical-align:bottom;width:11.48%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2">Net realized gain (loss) on:
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-top:1.25pt;text-align:right;vertical-align:bottom;width:11.48%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:89.63%;" colspan="2"><DIV
style="float:left;">Investments</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:32.17pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">(211,742)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:12pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:89.63%;" colspan="2"><DIV
style="float:left;">Futures</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:37.17pt;padding-top:1.25pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">(17,720)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Net realized gain (loss)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:20.17pt;padding-top:2.12pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">(229,462)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2">Net change in unrealized appreciation (depreciation) on:
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-top:2.12pt;text-align:right;vertical-align:bottom;width:11.48%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:12pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:89.63%;" colspan="2"><DIV
style="float:left;">Investments</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:32.17pt;padding-top:1.25pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">(655,709)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:12pt;padding-right:6pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:89.63%;" colspan="2"><DIV
style="float:left;">Futures</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:45.5pt;padding-top:1.25pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">8,359
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">Net change in unrealized appreciation (depreciation)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:20.17pt;padding-top:2.12pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">(647,350)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">NET REALIZED AND UNREALIZED GAIN (LOSS)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:20.17pt;padding-top:2.12pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">(876,812)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:89.63%;" colspan="2"><DIV
style="float:left;">NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:6pt;padding-top:2.12pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:11.48%;">$&#8194;1,010,342
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:296pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 14</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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="SOC-SOCfooter-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Statements of Changes in
Net Assets </DIV>
</DIV>
<DIV
style="margin-top:6pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:separate;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<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%">Year<BR>
Ended<BR>
10/31/2018
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:6pt;text-align:center;vertical-align:top;width:2.00%;">&#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: 12.41%">Year<BR>
Ended<BR>
10/31/2017
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:76.85%;">OPERATIONS:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-right: 6pt; padding-top: 2.12pt; text-align: right; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:2.12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 2.12pt; text-align: right; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 9.85%">$<FONT
style="padding-left:5pt;"></FONT>&#8194;1,887,154
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 0pt; padding-top: 1.25pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; width: 12.41%">$<FONT
style="padding-left:12.5pt;"></FONT>&#8194;729,049
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 17.17pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(229,462)
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 28.5pt; padding-top: 1.25pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 17.17pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(647,350)
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#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: 1.25pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 18pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">1,010,342
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:6pt;padding-top:2.12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 21pt; padding-top: 2.12pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;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: 1.25pt; padding-right: 6pt; padding-top: 2.12pt; text-align: right; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:2.12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 2.12pt; text-align: right; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:76.85%;"><DIV
style="float:left;">Investment operations</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 9.67pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(1,767,839)
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: right; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:76.85%;"><DIV
style="float:left;">Net investment income</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 6pt; padding-top: 1.25pt; text-align: right; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 12.67pt; padding-top: 1.25pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:76.85%;"><DIV
style="float:left;">Return of capital</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 9.67pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(1,391,998)
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#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: 1.25pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 14.67pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">(3,159,837)
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:6pt;padding-top:2.12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 17.67pt; padding-top: 2.12pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt 9.67pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(2,149,495)
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:2.12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 1.25pt; padding-left: 20.17pt; padding-top: 2.12pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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: 1.25pt; padding-right: 6pt; padding-top: 1.25pt; text-align: right; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: right; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:76.85%;"><DIV
style="float:left;">Beginning of period</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 8pt; color: #000000; text-align: right; 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:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#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: 1.25pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:0pt;padding-right:3pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:76.85%;"><DIV
style="float:left;">End of period</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 2.75pt 0pt; color: #000000; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">$&#8194;63,046,642
</TD><TD
style="line-height:0pt;padding-bottom:2.75pt;padding-right:6pt;padding-top:2.12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2.75pt; padding-left: 0pt; padding-top: 2.12pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">$&#8194;65,196,137
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:2.75pt;padding-left:0pt;padding-right:3pt;padding-top:2.75pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2.75pt; padding-right: 6pt; padding-top: 2.75pt; text-align: right; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:2.75pt;padding-right:6pt;padding-top:2.75pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 2.75pt; padding-left: 0pt; padding-top: 2.75pt; text-align: right; 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:3pt;padding-top:2.75pt;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: 1.25pt; padding-right: 6pt; padding-top: 2.75pt; text-align: right; vertical-align: bottom; width: 9.85%">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.25pt;padding-right:6pt;padding-top:2.75pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 2.75pt; text-align: right; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:3pt;padding-top:1.25pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.5pt 18pt; color: #000000; text-align: right; 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:1.5pt;padding-right:6pt;padding-top:1.25pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.5pt; padding-left: 21pt; padding-top: 1.25pt; text-align: right; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">4,213,115
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:384pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:center;text-decoration:none;text-transform:none;">See Notes to Financial Statements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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="FiHi-FiHifooter-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Financial Highlights </DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">For a Common Share
outstanding throughout each period</DIV>
</DIV>
<DIV
style="margin-top:6pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:separate;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD ROWSPAN="2" STYLE="line-height: 9pt; padding-bottom: 3pt; padding-right: 1.5pt; text-align: left; vertical-align: bottom; width: 49.7%">&#160;
</TD><TD COLSPAN="9" STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 1.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; width: 52.43%">Year Ended October 31,
</TD>
    <TD>&nbsp;</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 1.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">2018
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top">&#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">2017
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt 31.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">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">&#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">2015
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top">&#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">2014
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Net asset value, beginning of period</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">$<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">&#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">$<FONT
style="padding-left:4.75pt;"></FONT>&#8194;15.53
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">$<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">&#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">$<FONT
style="padding-left:4.75pt;"></FONT>&#8194;17.02
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 11.5pt; padding-top: 2.12pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">$<FONT
style="padding-left:4.75pt;"></FONT>&#8194;17.63
</TD>
    <TD>&nbsp;</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">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">&#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">&#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">&#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">&#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">&#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">&#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">&#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">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom">&#160;
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Net investment income (loss)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">0.45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">(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">&#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">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">&#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">1.02
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Net realized and unrealized gain (loss)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">(0.21)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">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">&#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">(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">&#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">(0.61)
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Total from investment operations</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">0.24
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">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">&#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">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">&#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">0.41
</TD>
    <TD>&nbsp;</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">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">&#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">&#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">&#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">&#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">&#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">&#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">&#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">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom">&#160;
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Net investment income</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">(0.42)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">(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">&#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">(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">&#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">(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">&#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">(1.02)
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Return of capital</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">(0.33)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">(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">&#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">(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">&#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">(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">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 3pt; padding-left: 37.62pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">&#8212;
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Total distributions paid to Common Shareholders</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">(0.75)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">(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">&#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">(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">&#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">(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">&#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">(1.02)
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Net asset value, end of period</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">$<FONT
style="padding-left:9.5pt;"></FONT>14.96
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">$<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">&#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">$<FONT
style="padding-left:9.5pt;"></FONT>15.53
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">$<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">&#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">$<FONT
style="padding-left:9.5pt;"></FONT>17.02
</TD>
    <TD>&nbsp;</TD></TR>
<TR
style="page-break-inside:avoid;"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom"><DIV
style="float:left;">Market value, end of period</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade"><DIV
style="float:left;"></DIV>
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 1.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">$<FONT
style="padding-left:9.5pt;"></FONT>13.01
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">$<FONT
style="padding-left:9.5pt;"></FONT>14.39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">$<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">&#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">$<FONT
style="padding-left:9.5pt;"></FONT>14.58
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.25pt; padding-left: 11.5pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">$<FONT
style="padding-left:9.5pt;"></FONT>15.12
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Total return based on net asset value<FONT
style="font-weight:Normal;"> (b)</FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade"><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">2.13%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">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">&#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">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">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.25pt; padding-left: 24pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom">3.01%</TD>
    <TD STYLE="font: normal 10pt/13pt Times New Roman; color: #000000; padding-bottom: 1.25pt; padding-left: 2pt; padding-top: 1.25pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: bottom">(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"><DIV
style="float:left;">Total return based on market value<FONT
style="font-weight:Normal;"> (b)</FONT></DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade"><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">(4.52)%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">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">&#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">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">&#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">2.17%
</TD>
    <TD>&nbsp;</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">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">&#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">&#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">&#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">&#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">&#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">&#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">&#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">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom">&#160;
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Net assets, end of period (in 000&#8217;s)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">$&#8194;63,047
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">$&#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">&#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">$&#8194;65,437
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">$&#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">&#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">$&#8194;71,708
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Ratio of total expenses to average net assets</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">1.59%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">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">&#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">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">&#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">1.78%
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Ratio of total expenses to average net assets excluding interest expense</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">1.59%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">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">&#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">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">&#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">1.72%
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Ratio of net investment income (loss) to average net assets</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">2.95%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">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">&#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">(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">&#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">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">&#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">5.84%
</TD>
    <TD>&nbsp;</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"><DIV
style="float:left;">Portfolio turnover rate</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</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">30%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">27%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">49%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#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">46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding-bottom: 5pt; padding-left: 37.62pt; padding-top: 1.25pt; text-align: center; text-decoration: none; text-transform: none; vertical-align: bottom; white-space: nowrap">54%
</TD>
    <TD>&nbsp;</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:right;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 Securitized Products Group of First Trust, formerly known as 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;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 a reimbursement from Brookfield in connection with a trade error in the amount of $1,180 for the year ended October 31, 2014. The reimbursement
from Brookfield represented less than $0.01 per share and had no effect on the Fund&#8217;s total return.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="margin-top:220pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 16</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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="NTF-TOCnotes-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:10.5pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">1.&nbsp;Organization</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">2.&nbsp;Significant
Accounting Policies</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 (&#8220;FASB&#8221;) Accounting Standards Codification (&#8220;ASC&#8221;) 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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">A.&nbsp;Portfolio
Valuation</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-left:7.78%;margin-top:10pt;width:92.22%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:17pt;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_2">
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<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Notes to Financial Statements (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:10.5pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-left:7.78%;margin-top:10pt;width:92.22%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-left:4.44%;margin-top:9pt;width:95.56%;" cellpadding="1" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:96.51%;">the type, size and cost of the security;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-left:4.44%;margin-top:2pt;width:95.56%;" cellpadding="8" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-left:6.77%;margin-top:9pt;width:93.33%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:9pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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;">
<!--PAGE BREAK-->
<A name="NTF-TOCnotes-6_3">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Notes to Financial Statements (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:10.5pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-left:4.44%;margin-top:8pt;width:95.56%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 October
31, 2018, is included with the Fund&#8217;s Portfolio of Investments.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 October 31, 2018, the Fund had no when-issued or
delayed-delivery securities. At October 31, 2018, the Fund held $3,024,056 of forward purchase commitments.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">C.&nbsp;Restricted
Securities</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 October 31, 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
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;
padding-top:6pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:37.62%;">Security
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:11.27%;">Acquisition<BR>
Date
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.56%;">Principal<BR>
Value
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.40%;">Current Price
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.56%;">Carrying<BR>
Cost
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.56%;">Value
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.38pt;text-align:left;
text-decoration:none;text-indent:-6pt;text-transform:none;vertical-align:bottom;width:37.62%;">Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class E
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.38pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.38pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.38pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:13.40%;">$100.43
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.38pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:10.56%;">$1,000,000
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.38pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:10.56%;">$1,004,311
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">1.59%
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">D.&nbsp;Futures
Contracts</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:9pt;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_4">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Notes to Financial Statements (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:10.5pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">E.&nbsp;Inverse
Floating-Rate Securities</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">F.&nbsp;Stripped
Mortgage-Backed Securities</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 (&#8220;IO Security&#8221;) 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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">G.&nbsp;Interest-Only
Securities</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">H.&nbsp;Mortgage Dollar
Rolls and TBA Transactions</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">The Fund may invest,
without limitation, in mortgage dollar rolls. The Fund intends to enter into mortgage dollar rolls only with high quality securities dealers and banks, as determined by the Fund&#8217;s investment advisor. In a
mortgage dollar roll, the Fund will sell (or buy) mortgage-backed securities for delivery on a specified date and simultaneously contract to repurchase (or sell) substantially similar (same type, coupon and maturity)
securities on a future date. Mortgage dollar rolls are recorded as separate purchase and sales in the Fund. The Fund may also invest in TBA Transactions. A TBA Transaction is a method of trading mortgage-backed
securities. TBA Transactions generally are conducted in accordance with widely-accepted guidelines which establish commonly observed terms and conditions for execution, settlement and delivery. In a TBA Transaction,
the buyer and the seller agree on general trade parameters such as agency, settlement date, par amount and price.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">I.&nbsp;Dividends and
Distributions to Shareholders</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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. Permanent differences incurred during the fiscal year ended October 31, 2018, resulting in book and tax accounting differences, have been reclassified at year end to reflect an
increase in accumulated net investment income (loss) of $204,743, an increase in accumulated net realized gain (loss) of $1,217,144 and a decrease to paid-in capital of $1,421,887.</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:9pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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;">
<!--PAGE BREAK-->
<A name="NTF-TOCnotes-6_5">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Notes to Financial Statements (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:10.5pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">Accumulated distributable earnings
(loss) consists of accumulated net investment income (loss), acccumulated net realized gain (loss) on investments, and unrealized appreciation (depreciation) on investments. Net assets were not affected by this
reclassification.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">The tax character of
distributions paid by the Fund during the fiscal years ended October 31, 2018 and 2017, was as follows:</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:72.22%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:6pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:56.92%;">Distributions paid from:
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.5pt;padding-left:6pt;padding-right:9pt;padding-top:6pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:20.0%;">2018
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.5pt;padding-left:9pt;padding-top:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:20.77%;">2017
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:56.92%;"><DIV
style="float:left;">Ordinary income</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:9pt;padding-top:1.5pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:20.0%;">$<FONT
style="padding-left:18pt;">1,767,839</FONT>
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-top:1.5pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:20.77%;">$<FONT
style="padding-left:18pt;">1,917,888</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:56.92%;"><DIV
style="float:left;">Capital gains</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:13pt;
line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:9pt;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:20.0%;">&#8212;
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:13pt;
line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;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:20.77%;">&#8212;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:56.92%;"><DIV
style="float:left;">Return of capital</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:29pt;padding-right:9pt;padding-top:1.5pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:20.0%;">1,391,998
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:32pt;padding-top:1.5pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:20.77%;">1,368,342
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">As of October 31, 2018,
the components of distributable earnings and net assets on a tax basis were as follows:</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:56.67%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:6pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:72.55%;"><DIV
style="float:left;">Undistributed ordinary income</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:72.55%;"><DIV
style="float:left;">Undistributed capital gains</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:2.38pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:72.55%;"><DIV
style="float:left;">Total undistributed earnings</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:13pt;
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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">(2,399,022)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:25.67pt;padding-top:1.5pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:25.49%;">(2,127,925)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:2.38pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">(4,526,947)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;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
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:13pt;
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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:1.5pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:72.55%;"><DIV
style="float:left;">Paid-in capital</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #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:24pt;padding-top:1.5pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:25.49%;">67,573,589
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:6pt;padding-top:2.38pt;text-align:right;
text-decoration:none;text-transform:none;vertical-align:bottom;width:72.55%;"><DIV
style="float:left;">Total net assets</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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;">63,046,642</FONT>
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">J.&nbsp;Income Taxes</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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, 2018, for federal income tax purposes, $1,421,887 of the Fund&#8217;s capital loss carryforward expired in the current year. At October 31, 2018,
the Fund had post-enactment net capital losses for federal income tax purposes of $2,399,022 to be carried forward indefinitely.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 ended 2015, 2016, 2017,
and 2018 remain open to federal and state audit. As of October 31, 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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">K.&nbsp;Expenses</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">The Fund will pay all
expenses directly related to its operations.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:10pt;text-align:left;text-decoration:none;text-transform:none;">L.&nbsp;New Accounting
Pronouncements</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">On March 30, 2017, the
FASB issued Accounting Standards Update (&#8220;ASU&#8221;) 2017-08 &#8220;Premium Amortization on Purchased Callable Debt Securities&#8221;, which amends the amortization period for certain purchased callable debt
securities held at a premium by shortening such period to the earliest call date. The new guidance requires an entity to amortize the premium on a callable debt security within its scope to the earliest call date,
unless the guidance for considering estimated prepayments is applied. If the call option is not exercised at the earliest call date, the yield is reset to the effective yield using the payment terms of the security.
If the security has more than one call date and the premium was amortized to a call price greater than the next call price, any excess of the amortized cost basis over the amount repayable at the next call date will
be amortized to that date. If there are no other call dates, any excess of the amortized cost basis over the par amount will be amortized to maturity. Discounts on purchased callable debt securities will continue to
be amortized</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:9pt;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_6">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Notes to Financial Statements (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:10.5pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">to the security&#8217;s maturity date.
The ASU 2017-08 is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Earlier application is permitted for all entities,
including adoption in an interim period. If an entity early adopts the ASU in an interim period, any adjustments must be reflected as of the beginning of the fiscal year that includes that interim period. Management
is still assessing the impact of the adoption of ASU 2017-08 on the financial statements but does not expect it to have a material impact.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">On August 28, 2018, the
FASB issued ASU 2018-13, &#8220;Disclosure Framework &#8211; Changes to the Disclosure Requirements for Fair Value Measurement,&#8221; which amends the fair value measurement disclosure requirements of ASC 820. The
amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating
disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance
of this ASU. The Fund has early adopted ASU 2018-13 for these financial statements, which did not result in a material impact.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 (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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 year ended October 31, 2018, were $9,202,929 and $14,055,565, respectively. The proceeds from sales and paydowns
of U.S. Government securities and non-U.S. Government securities, excluding short-term investments, for the year ended October 31, 2018, were $4,146,167 and $14,191,716, respectively.</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:98pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:117pt;text-align:left;text-decoration:none;text-transform:none;">Page 22</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-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Notes to Financial Statements (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018</DIV>
</DIV>
<DIV
style="margin-top:10.5pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">5.&nbsp;Derivative
Transactions</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 October 31, 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
style="border-collapse:collapse;empty-cells:show;margin-left:auto;margin-right:auto;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<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:2.00%;">&#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:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:33.46%;" colspan="3">Asset Derivatives
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:6pt;padding-top:6pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-top:6pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:36.15%;" colspan="3">Liability Derivatives
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;
padding-top:1.62pt;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:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:1.62pt;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:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:1.62pt;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:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:1.62pt;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:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-right:6pt;
padding-top:1.62pt;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:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:0pt;padding-right:6pt;padding-top:2.12pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.12pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.12pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:8.58%;">$ 937
</TD><TD
style="line-height:0pt;padding-bottom:6pt;padding-right:6pt;padding-top:2.12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.12pt;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:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:6pt;padding-top:2.12pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:11.26%;">$ 8,500
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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 fiscal year ended October 31, 2018, on derivative instruments, as well as the primary
underlying risk exposure associated with each instrument.</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:64.59%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:18pt;
padding-top:6pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:bottom;width:77.69%;">Statement of Operations Location
</TD><TD
style="border-bottom:0.5pt solid #000000;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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 Exposure
</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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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%;">$(17,720)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;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 change in unrealized appreciation (depreciation) on futures
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:31.33pt;padding-top:1.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:17.15%;">8,359
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">During the fiscal year
ended October 31, 2018, the notional value of futures contracts opened and closed were $17,211,615 and $17,720,756, respectively.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New
Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">6.&nbsp;Indemnification</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">7.&nbsp;Subsequent
Events</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:239pt;text-align:right;text-decoration:none;text-transform:none;">Page 23</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="Audit-TOCauditletter-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="background-color:#003E87;height:15pt;width:100%;" type="OverlapColorBlock">
<DIV
style="padding-left:6pt;width:97.78%;" type="Block">
<DIV
style="color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:11.5pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;">Report of Independent
Registered Public Accounting Firm</DIV>
</DIV>
</DIV>
<DIV
style="margin-top:16pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">To the Shareholders and the
Board of Trustees of First Trust Mortgage Income Fund:</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Opinion on the Financial
Statements and Financial Highlights</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">We have audited the
accompanying statement of assets and liabilities, including the portfolio of investments of First Trust Mortgage Income Fund (the &#8220;Fund&#8221;), as of October 31, 2018, the related statement of operations for
the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In
our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2018, and the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles
generally accepted in the United States of America.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Basis for Opinion</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">These financial
statements and financial highlights are the responsibility of the Fund&#8217;s management. Our responsibility is to express an opinion on the Fund&#8217;s financial statements and financial highlights based on our
audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S.
federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">We conducted our audits
in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of
material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required
to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund&#8217;s internal control over financial reporting. Accordingly,
we express no such opinion.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Our audits included
performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used
and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October
31, 2018, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our
opinion.</DIV>
<DIV
style="margin-top:18pt;text-align:Left;width:204pt;">
<IMG src="img48495fb95.jpg">
</DIV>

<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Chicago, Illinois</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">December 20, 2018</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">We have served as the
auditor of one or more First Trust investment companies since 2001.</DIV>
</DIV>
<DIV
style="margin-top:225pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 24</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="AI-TOCadditionalinfo-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">Dividend Reinvestment
Plan</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-left:4.44%;margin-top:2pt;width:95.56%;" cellpadding="8" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">Proxy Voting Policies
and Procedures</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:47pt;text-align:right;text-decoration:none;text-transform:none;">Page 25</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="AI-TOCadditionalinfo-6_2">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Additional Information (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">Portfolio Holdings</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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> and (3) on the SEC&#8217;s website at <FONT
style="color:#0000FF;text-decoration:underline;">www.sec.gov.</FONT></DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Beginning in April 2019,
the Fund will cease to disclose its holdings on Form N-Q and will file Form N-PORT with the SEC on a monthly basis. Part F of Form N-PORT, which contains the complete schedule of the Fund&#8217;s portfolio holdings,
will be made available in the same manner as Form N-Q discussed above.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">Federal Tax
Information</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">Distributions paid to
foreign shareholders during the Fund&#8217;s fiscal year ended October 31, 2018, that were properly designated by the Fund as &#8220;interest-related dividends&#8221; or &#8220;short-term capital gain
dividends,&#8221; may not be subject to federal income tax provided that the income was earned by such foreign shareholders.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Of the ordinary income
(including short-term capital gain) distributions made by the Fund during the period ended October 31, 2018, none qualify for the corporate dividends received deduction available to corporate shareholders or as
qualified dividend income.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">NYSE Certification
Information</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">In accordance with
Section 303A-12 of the New York Stock Exchange (&#8220;NYSE&#8221;) Listed Company Manual, the Fund&#8217;s President has certified to the NYSE that, as of April 26, 2018, he was not aware of any violation by the Fund
of NYSE corporate governance listing standards. In addition, the Fund&#8217;s reports to the SEC on Forms N-CSR and N-Q contain certifications by the Fund&#8217;s principal executive officer and principal financial
officer that relate to the Fund&#8217;s public disclosure in such reports and are required by Rule 30a-2 under the 1940 Act.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">The Fund held its Annual
Meeting of Shareholders (the &#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 II 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">Risk Considerations</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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 the issuer of one or more securities in the Fund&#8217;s portfolio 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</FONT></DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:8pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 26</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="AI-TOCadditionalinfo-6_3">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Additional Information (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">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.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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
style="border-collapse:collapse;empty-cells:show;margin-left:4.44%;margin-top:2pt;width:95.56%;" cellpadding="3" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Interest Rate and Duration
Risk.<FONT
style="font-weight:Normal;"> Interest rate risk is the risk that securities will decline in value because of changes in market interest rates. For fixed income securities, 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. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually
making them more volatile than securities with shorter durations. 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">The interest rates
payable on floating rate securities are not fixed and may fluctuate based upon changes in market rates. As short-term interest rates decline, interest payable on floating rate securities typically decreases.
Alternatively, during periods of rising interest rates, interest payable on floating rate securities typically increases. Changes in interest rates on floating rate securities may lag behind changes in market rates or
may have limits on the maximum increases in interest rates. The value of floating rate securities may decline if their interest rates do not rise as much, or as quickly, as interest rates in general.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">In general, income on
inverse floating rate securities will decrease when interest rates increase and increase when interest rates decrease. Inverse floating rate securities generally will underperform the market for fixed rate securities
in a rising interest rate environment. An inverse floating rate security&#8217;s price may be more volatile than that of a fixed rate security.</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:8pt;text-align:right;text-decoration:none;text-transform:none;">Page 27</DIV>
</DIV>
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<HR
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<A name="AI-TOCadditionalinfo-6_4">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Additional Information (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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, 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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 prepayment risk, which is the risk that the borrowers under the mortgage loans underlying a
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.</FONT></DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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 objectives 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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;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 markets, unreliable reference data, lack of
transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing.</FONT></DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:27pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 28</DIV>
</DIV>
</DIV>
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</DIV>
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<A name="AI-TOCadditionalinfo-6_5">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Additional Information (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:15pt;text-align:center;text-decoration:none;text-transform:none;">Investment Management
Agreement</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Board Considerations
Regarding Approval of Continuation of Investment Management Agreement</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">The Board of Trustees
(&#8220;the Board&#8221;) of First Trust Mortgage Income Fund (the &#8220;Fund&#8221;), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the
&#8220;Agreement&#8221;) between the Fund and First Trust Advisors L.P. (the &#8220;Advisor&#8221;) for a one-year period ending June 30, 2019 at a meeting held on June 11, 2018. The Board determined that the
continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of
its reasonable business judgment.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">To reach this
determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the &#8220;1940 Act&#8221;), as well as under the general principles of state law, in reviewing and approving
advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether
investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 23, 2018 and June 11, 2018, the Board, including the
Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees that, among other things, outlined the services provided by the Advisor
to the Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by the Fund as compared to fees charged to a peer group of funds compiled by Management
Practice, Inc. (&#8220;MPI&#8221;), an independent source (the &#8220;Peer Group&#8221;), and as compared to fees charged to other clients of the Advisor; expenses of the Fund as compared to expense ratios of the
funds in the Peer Group; performance information for the Fund; the nature of expenses incurred in providing services to the Fund and the potential for economies of scale, if any; financial data on the Advisor; any
fall out benefits to the Advisor; and information on the Advisor&#8217;s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 23, 2018, prior to which the Independent
Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain
clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel
held prior to the June 11, 2018 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Fund and the Advisor continues to be a
reasonable business arrangement from the Fund&#8217;s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information
to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor manages the Fund.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">In reviewing the
Agreement, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and
administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the Fund, as well as the background and experience of the persons responsible for such services. The Board noted
that the Advisor&#8217;s Mortgage Securities Team is responsible for the day-to-day management of the Fund&#8217;s investments. The Board considered the background and experience of the members of the Mortgage
Securities Team and received a presentation from the Team at the April 23, 2018 meeting. The Board considered the Advisor&#8217;s statement that it applies the same oversight model internally with its Mortgage
Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been
developed by the Advisor and considered that it includes a robust program for monitoring the Advisor&#8217;s and the Fund&#8217;s compliance with the 1940 Act, as well as the Fund&#8217;s compliance with its
investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the
Board&#8217;s consideration of the Advisor&#8217;s services, the Advisor, in its written materials and at the April 23, 2018 meeting, described to the Board the scope of its ongoing investment in additional
infrastructure and personnel to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made,
the Board concluded that the nature, extent and quality of the services provided to the Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed the
Fund consistent with its investment objectives, policies and restrictions.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">The Board considered the
advisory fee rate payable under the Agreement for the services provided. The Board received and reviewed information showing the advisory fee rates and expense ratios of the peer funds in the Peer Group, as well as
advisory and unitary fee rates charged by the Advisor to other fund and non-fund clients, as applicable. With respect to the Peer Group, the Board noted its prior discussions with the Advisor and MPI regarding the
assembly of the Peer Group and, at the April 23, 2018 meeting, discussed with the Advisor limitations in creating a relevant peer group for the Fund, including that (i) the Fund is unique in its composition, which
makes assembling peers with similar strategies and asset mix difficult; (ii) peer funds may use different amounts and types of leverage with different costs associated with them; (iii) all of the peer funds are larger
than the Fund, which causes the Fund&#8217;s fixed expenses to be higher on a percentage basis as compared to the larger peer funds; and (iv) some of the peer funds are part of a larger fund complex that may allow for
additional economies of scale. The Board took these limitations into account in considering the peer</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:8pt;text-align:right;text-decoration:none;text-transform:none;">Page 29</DIV>
</DIV>
</DIV>
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style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
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<A name="AI-TOCadditionalinfo-6_6">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Additional Information (Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">data, and noted that the advisory fee
rate payable by the Fund, based on average net assets, was below the median of the Peer Group. With respect to fees charged to other clients, the Board considered differences between the Fund and other clients that
limited their comparability. In considering the advisory fee rate overall, the Board also considered the Advisor&#8217;s statement that it seeks to meet investor needs through innovative and value-added investment
solutions and the Advisor&#8217;s description of its long-term commitment to the Fund.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">The Board considered
performance information for the Fund. The Board noted the process it has established for monitoring the Fund&#8217;s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting
from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund&#8217;s performance. The Board received and reviewed information comparing the Fund&#8217;s
performance for periods ended December 31, 2017 to the performance of the peer funds in the Peer Group and to that of a benchmark index. In reviewing the Fund&#8217;s performance as compared to the performance of the
Peer Group, the Board took into account the limitations described above with respect to creating a relevant peer group for the Fund. Based on the information provided on net asset value performance, the Board noted
that the Fund outperformed the benchmark index for the one-, three- and five-year periods ended December 31, 2017 but underperformed the Peer Group average for the one-, three- and five-year periods ended December 31,
2017. The Board also received information on the Fund&#8217;s annual distribution rate as of December 31, 2017 and the Fund&#8217;s average trading discount for various periods and comparable information for a peer
group.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">On the basis of all the
information provided on the fees, expenses and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee continues to be reasonable and appropriate in light of the
nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">The Board considered
information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund and noted the Advisor&#8217;s statement that it believes its expenses
will likely increase over the next twelve months as the Advisor continues to make investments in additional infrastructure and personnel. The Board determined that due to the Fund&#8217;s closed-end structure, the
potential for realization of economies of scale as Fund assets grow was not a material factor to be considered. The Board considered the revenues and allocated costs (including the allocation methodology) of the
Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2017 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as
complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor&#8217;s
profitability level for the Fund was not unreasonable. In addition, the Board considered fall out benefits described by the Advisor that may be realized from its relationship with the Fund, including the
Advisor&#8217;s compensation for fund reporting services pursuant to a separate Fund Reporting Services Agreement. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were
not unreasonable.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">Based on all of the
information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of the Fund. No single factor was determinative in the Board&#8217;s analysis.</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:255pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 30</DIV>
</DIV>
</DIV>
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style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
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<A name="TO-TOCtrustees-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Board of Trustees and Officers<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">The following tables
identify the Trustees and Officers of the Fund. Unless otherwise indicated, the address of all persons is 120 E. Liberty Drive, Suite 400, Wheaton, IL 60187.</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:0pt;padding-right:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:23.33%;">Name, Year of Birth and Position with the Fund
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:6pt;padding-right:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:14.44%;">Term of Office and Year First Elected or Appointed<SUP
style="font-size:85%;font-style:Normal;text-transform:none;vertical-align:text-top;">(1)</SUP>
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:6pt;padding-right:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:34.44%;">Principal Occupations<BR>
During Past 5 Years
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:6pt;padding-right:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:13.33%;">Number of Portfolios in the First Trust Fund Complex Overseen by Trustee
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:6pt;text-align:center;text-decoration:none;text-transform:none;
vertical-align:bottom;width:15.56%;">Other Trusteeships or Directorships Held by Trustee During Past 5 Years
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:2.25pt;text-align:center;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" bgcolor="#D9E2ED" colspan="5">INDEPENDENT TRUSTEES
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:23.33%;">Richard E. Erickson, Trustee<BR>
(1951)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:14pt;padding-right:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;
text-indent:-8pt;text-transform:none;vertical-align:top;width:14.44%;"><P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Three Year Term</P>
                                                                       <P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Since Fund Inception</P></TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:34.44%;">Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007
to November 2015)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:2.25pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:13.33%;">159
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;white-space:nowrap;width:15.56%;">None
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:23.33%;">Thomas R. Kadlec, Trustee<BR>
(1957)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:14pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-indent:-8pt;text-transform:none;vertical-align:top;width:14.44%;"><P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Three Year Term</P>
                                                                       <P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Since Fund Inception</P></TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:34.44%;">President, ADM Investor Services, Inc. (Futures Commission Merchant)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:13.33%;">159
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:15.56%;">Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:23.33%;">Robert F. Keith, Trustee<BR>
(1956)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:14pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-indent:-8pt;text-transform:none;vertical-align:top;width:14.44%;"><P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Three Year Term</P>
                                                                       <P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Since June 2006</P></TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:34.44%;">President, Hibs Enterprises (Financial and Management Consulting)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:13.33%;">159
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:15.56%;">Director of Trust Company of Illinois
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:23.33%;">Niel B. Nielson, Trustee<BR>
(1954)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:14pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-indent:-8pt;text-transform:none;vertical-align:top;width:14.44%;"><P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Three Year Term</P>
                                                                       <P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Since Fund Inception</P></TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:34.44%;">Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation
(Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012
to September 2014), Dew Learning LLC (Educational Products and Services)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:13.33%;">159
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:15.56%;">Director of Covenant Transport, Inc. (May 2003 to May 2014)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:2.25pt;text-align:center;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" bgcolor="#D9E2ED" colspan="5">INTERESTED TRUSTEE
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:0pt;padding-right:6pt;padding-top:2.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;width:23.33%;">James A. Bowen<SUP
style="font-size:85%;font-style:Normal;text-transform:none;vertical-align:text-top;">(2)</SUP>, Trustee and<BR>
Chairman of the Board<BR>
(1955)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:14pt;padding-right:6pt;padding-top:2.25pt;text-align:left;
text-decoration:none;text-indent:-8pt;text-transform:none;vertical-align:top;width:14.44%;"><P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Three Year Term</P>
                                                                                <P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Since Fund Inception</P></TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;width:34.44%;">Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software
Development Company) and Stonebridge Advisors LLC (Investment Advisor)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:2.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:13.33%;">159
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:15.56%;">None
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 93pt; width: 100%">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:7pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:95.56%;">Currently, James A. Bowen and Niel B. Nielson, as Class III Trustees, are serving as trustees until the Fund&#8217;s 2019 annual meeting of shareholders. Robert F. Keith, as a Class I Trustee, is
serving as a trustee until the Fund&#8217;s 2020 annual meeting of shareholders. Richard E. Erickson and Thomas R. Kadlec, as Class II Trustees, are serving as trustees until the Fund&#8217;s 2021 annual meeting of
shareholders.
</TD></TR></TABLE>
</DIV>
<DIV
style="text-align:left;">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 12pt; width: 100%">
<TR
style="page-break-inside:avoid;"><TD STYLE="color: #000000; font: normal 9pt/12pt 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 9pt/12pt Times New Roman; padding-left: 2pt; text-align: left; text-decoration: none; text-transform: none; vertical-align: top; width: 95.56%">Mr. Bowen is deemed an &#8220;interested person&#8221; of the Fund due to his position as CEO of First Trust Advisors L.P., investment advisor of the Fund.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:9pt;text-align:right;text-decoration:none;text-transform:none;">Page 31</DIV>
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<A name="TO-TOCtrustees-6_2">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Board of Trustees and Officers (Continued)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:6pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:0pt;padding-right:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:18.89%;">Name and Year of Birth
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:6pt;padding-right:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:20.0%;">Position and Offices with Fund
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:6pt;padding-right:6pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:15.56%;">Term of Office and Length of Service
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:bold;line-height:12pt;padding-bottom:2.25pt;padding-left:6pt;text-align:center;text-decoration:none;text-transform:none;
vertical-align:bottom;width:46.67%;">Principal Occupations<BR>
During Past 5 Years
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:2.25pt;text-align:center;text-decoration:none;text-transform:none;
vertical-align:top;white-space:nowrap;width:100%;" bgcolor="#D9E2ED" colspan="4">OFFICERS<SUP
style="font-size:85%;font-style:Normal;text-transform:none;vertical-align:text-top;">(3)</SUP>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:18.89%;">James M. Dykas<BR>
(1966)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:20.0%;">President and Chief Executive Officer
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:15.56%;">&#8226;&#8194;Indefinite Term<BR>
&#8194;<BR>
&#8226;&#8194;Since January 2016
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:2.25pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:46.67%;">Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust
Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:18.89%;">Donald P. Swade<BR>
(1972)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:20.0%;">Treasurer, Chief Financial Officer and Chief Accounting Officer
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:15.56%;">&#8226;&#8194;Indefinite Term<BR>
&#8194;<BR>
&#8226;&#8194;Since January 2016
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:46.67%;">Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:18.89%;">W. Scott Jardine<BR>
(1960)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:20.0%;">Secretary and Chief Legal Officer
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:15.56%;">&#8226;&#8194;Indefinite Term<BR>
&#8194;<BR>
&#8226;&#8194;Since Fund Inception
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:46.67%;">General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:0pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:18.89%;">Daniel J. Lindquist<BR>
(1970)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:20.0%;">Vice President
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:15.56%;">&#8226;&#8194;Indefinite Term<BR>
&#8194;<BR>
&#8226;&#8194;Since Fund Inception
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:6pt;padding-top:3pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:46.67%;">Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:0pt;padding-right:6pt;padding-top:3pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;width:18.89%;">Kristi A. Maher<BR>
(1966)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;width:20.0%;">Chief Compliance Officer and Assistant Secretary
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:6pt;padding-right:6pt;padding-top:3pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;width:15.56%;"><P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Indefinite Term<BR> &#8194;<BR> &#8226;&#8194;Chief Compliance Officer Since January 2011</P>
                                                                           <P STYLE="margin-top: 0; margin-bottom: 0">&#8226;&#8194;Assistant Secretary Since Fund Inception</P></TD><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-bottom:6pt;padding-left:6pt;padding-top:3pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:46.67%;">Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 269pt; width: 100%">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:7pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;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-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:95.56%;">The term &#8220;officer&#8221; means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
<DIV
style="margin-top:9pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;text-align:left;text-decoration:none;text-transform:none;">Page 32</DIV>
</DIV>
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style="clear:both;font-size:12pt;height:0pt;">
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style="margin-bottom:0pt;">
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<A name="PP-TOCprivacy-6_1">
</A>
<DIV
style="font-family:Arial;font-size:7pt;line-height:10pt;font-weight:Normal;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
style="width:100%;" type="Block">
<DIV
style="background-color:#003E87;color:#FFFFFF;font-family:Times New Roman;font-size:10.5pt;font-style:Normal;font-weight:bold;line-height:13.5pt;margin-top:5pt;text-align:left;text-decoration:none;text-transform:none;
">Privacy Policy<FONT
style="color:#000000;"> </FONT></DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:11pt;text-align:center;text-decoration:none;text-transform:none;">First Trust Mortgage
Income Fund (FMY) </DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:2pt;text-align:center;text-decoration:none;text-transform:none;">October 31, 2018
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:center;text-decoration:none;text-transform:none;">Privacy Policy</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">First Trust values our
relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Sources of Information</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">We collect nonpublic
personal information about you from the following sources:</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-left:4.44%;margin-top:2pt;width:95.56%;" cellpadding="3" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:97.67%;">Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:97.67%;">Information about your transactions with us, our affiliates or others;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:97.67%;">Information we receive from your inquiries by mail, e-mail or telephone; and
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:0pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.67%;">Information we collect on our website through the use of &#8220;cookies&#8221;. For example, we may identify the pages on our website that your browser requests or visits.
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Information Collected</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">The type of data we
collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal information.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Disclosure of
Information</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">We do not disclose any
nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses
may also include the disclosure of such information to unaffiliated companies for the following reasons:</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-left:4.44%;margin-top:1pt;width:95.56%;" cellpadding="3" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:97.67%;">In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as
trustees, banks, financial representatives, proxy services, solicitors and printers.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;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-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:0pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.67%;">We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your
account from fraud).
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">In addition, in order to
alert you to our other financial products and services, we may share your personal information within First Trust.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Use of Website
Analytics</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">We currently use third
party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust&#8217;s website and marketing our products and services to you. These tools employ cookies, which are
small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs
viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web
navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust&#8217;s website better and more useful to our users. The
information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in
order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: <FONT
style="color:#0000FF;text-decoration:underline;">Google Analytics</FONT> and <FONT
style="color:#0000FF;text-decoration:underline;">AddThis</FONT>.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Confidentiality and
Security</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">With regard to our
internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic personal information.</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:12pt;text-align:left;text-decoration:none;text-transform:none;">Policy Updates and
Inquiries</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:3pt;text-align:left;text-decoration:none;text-transform:none;">As required by federal
law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to <FONT
style="color:#0000FF;text-decoration:underline;">www.ftportfolios.com</FONT>, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:6pt;text-align:left;text-decoration:none;text-transform:none;">May 2017</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:Normal;font-weight:Normal;line-height:12pt;margin-top:8pt;text-align:right;text-decoration:none;text-transform:none;">Page 33</DIV>
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<A href="#TOC">
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</A>
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<DIV
style="margin-top:0pt;text-align:Left;width:145pt;">
<IMG src="imgc180f3c72.jpg">
</DIV>

</DIV>
<DIV
style="margin-top:68pt;width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Arial;font-size:12pt;font-style:Normal;font-weight:bold;line-height:15pt;margin-top:60pt;text-align:left;text-decoration:none;text-transform:none;">INVESTMENT ADVISOR</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Advisors L.P.</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">120 E. Liberty Drive, Suite 400</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">Wheaton, IL 60187</DIV>
<DIV
style="color:#003E87;font-family:Arial;font-size:12pt;font-style:Normal;font-weight:bold;line-height:15pt;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-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">The Bank of New York Mellon</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">240 Greenwich Street</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">New York, NY 10286</DIV>
<DIV
style="color:#003E87;font-family:Arial;font-size:12pt;font-style:Normal;font-weight:bold;line-height:15pt;margin-top:15pt;text-align:left;text-decoration:none;text-transform:none;">TRANSFER AGENT</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">BNY Mellon Investment Servicing
(US) Inc.</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">301 Bellevue Parkway</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">Wilmington, DE 19809</DIV>
<DIV
style="color:#003E87;font-family:Arial;font-size:12pt;font-style:Normal;font-weight:bold;line-height:15pt;margin-top:15pt;text-align:left;text-decoration:none;text-transform:none;">INDEPENDENT REGISTERED<BR>
PUBLIC ACCOUNTING FIRM</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">Deloitte &amp; Touche LLP</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">111 S. Wacker Drive</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">Chicago, IL 60606</DIV>
<DIV
style="color:#003E87;font-family:Arial;font-size:12pt;font-style:Normal;font-weight:bold;line-height:15pt;margin-top:15pt;text-align:left;text-decoration:none;text-transform:none;">LEGAL COUNSEL</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">Chapman and Cutler LLP</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">111 W. Monroe Street</DIV>
<DIV
style="color:#000000;font-family:Arial;font-size:11pt;font-style:Normal;font-weight:Normal;line-height:14pt;margin-top:2pt;text-align:left;text-decoration:none;text-transform:none;">Chicago, IL 60603</DIV>
</DIV>
</DIV>
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</DIV>
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<A href="#TOC">
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</DIV>
<DIV
style="width:100%;"><P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 2. Code of Ethics.</B></P>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(a)</TD><TD STYLE="text-align: justify">The registrant, as of the end of the period covered by this report, has adopted a code of ethics
that applies to the registrant&rsquo;s principal executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or
a third party.</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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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(c)</TD><TD STYLE="text-align: justify">There have been no amendments, during the period covered by this report, to a provision of the
code of ethics that applies to the registrant&rsquo;s principal executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant
or a third party, and that relates to any element of the code of ethics description.</TD></TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: justify; text-indent: -0.25in">&nbsp;</P>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(d)</TD><TD STYLE="text-align: justify">The registrant has not granted any waivers, including an implicit waiver, from a provision of the
code of ethics that applies to the registrant&rsquo;s principal executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant
or a third party, that relates to one or more of the items set forth in paragraph (b) of this item&rsquo;s instructions.</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 3. Audit Committee Financial Expert.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: justify">As of the end of the period covered by the
report, the Registrant&rsquo;s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve
as audit committee financial experts serving on its audit committee and that each of them is &ldquo;independent,&rdquo; as defined
by Item 3 of Form N-CSR.</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"><B>Item 4. Principal Accountant Fees and Services.</B></P>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(a)</TD><TD STYLE="text-align: justify"><I>Audit Fees (Registrant) -- </I>The aggregate fees billed for each of the last two fiscal years
for professional services rendered by the principal accountant for the audit of the registrant&rsquo;s annual financial statements
or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for
those fiscal years were $45,000 for the fiscal year ended October 31, 2017 and $45,000 for the fiscal year ended October 31, 2018.</TD></TR></TABLE>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(b)</TD><TD STYLE="text-align: justify"><I>Audit-Related Fees (Registrant)</I> -- The aggregate fees billed in each of the last two fiscal
years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit
of the registrant&rsquo;s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year
ended October 31, 2017 and $0 for the fiscal year ended October 31, 2018.</TD></TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 0.5in; text-align: justify"><I>Audit-Related Fees (Investment
Advisor)</I> -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal
accountant that are reasonably related to the performance of the audit of the registrant&rsquo;s financial statements and are not
reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2017 and $0 for the fiscal year ended October
31, 2018.</P>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(c)</TD><TD STYLE="text-align: justify"><I>Tax Fees (Registrant)</I> -- The aggregate fees billed in each of the last two fiscal years
for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $17,067 for
the fiscal year ended October 31, 2017 and $21,700 for the fiscal year ended October 31, 2018. These fees were for tax return preparation
and review.</TD></TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 0.5in; text-align: justify"><I>Tax Fees (Investment Advisor)</I>
-- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant
for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended October 31, 2017 and $0 for the fiscal year
ended October 31, 2018.</P>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(d)</TD><TD STYLE="text-align: justify"><I>All Other Fees (Registrant)</I> -- The aggregate fees billed in each of the last two fiscal
years for products and services provided by the principal accountant to the Registrant, other than the services reported in paragraphs
(a) through (c) of this Item were $0 for the fiscal year ended October 31, 2017 and $0 for the fiscal year ended October 31, 2018.</TD></TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 0.5in; text-align: justify"><I>All Other Fees (Investment
Adviser) </I>The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal
accountant to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal
year ended October 31, 2017 and $0 for the fiscal year ended October 31, 2018.</P>

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<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in">(e)(1)</TD><TD STYLE="text-align: justify">Disclose the audit committee&rsquo;s pre-approval policies and procedures described in paragraph
(c)(7) of Rule 2-01 of Regulation S-X.</TD></TR></TABLE>

<P STYLE="font: 12pt/14pt Times New Roman, Times, Serif; margin: 14pt 0 0; text-align: justify; text-indent: 0.5in">Pursuant to
its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the <I>&ldquo;Committee&rdquo;</I>)
is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof)
to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals
on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.</P>

<P STYLE="font: 12pt/14pt Times New Roman, Times, Serif; margin: 14pt 0 0; text-align: justify; text-indent: 0.5in">The Committee
is also responsible for the pre-approval of the independent auditor&rsquo;s engagements for non-audit services with the registrant&rsquo;s
adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another
investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides
ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant,
subject to the <I>de minimis </I>exceptions for non-audit services described in Rule&nbsp;2-01 of Regulation S-X. If the independent
auditor has provided non-audit services to the registrant&rsquo;s adviser (other than any sub-adviser whose role is primarily portfolio
management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under
common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant
to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor&rsquo;s
independence.</P>

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

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<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in">(e)(2)</TD><TD STYLE="text-align: justify">The percentage of services described in each of paragraphs (b) through (d) for the Registrant and
the Registrant&rsquo;s investment adviser of this Item that were approved by the audit committee pursuant to the pre-approval exceptions
included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:</TD></TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 1in; text-align: justify; text-indent: 0.5in">(b) 0%</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 1in; text-align: justify; text-indent: 0.5in">(c) 0%</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 1in; text-align: justify; text-indent: 0.5in">(d) 0%</P>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(f)</TD><TD STYLE="text-align: justify">The percentage of hours expended on the principal accountant&rsquo;s engagement to audit the registrant&rsquo;s
financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal
accountant&rsquo;s full-time, permanent employees was less than fifty percent.</TD></TR></TABLE>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(g)</TD><TD STYLE="text-align: justify">The aggregate non-audit fees billed by the registrant&rsquo;s accountant for services rendered
to the registrant, and rendered to the registrant&rsquo;s investment adviser (not including any sub-adviser whose role is primarily
portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled
by, or under common control with the adviser that provides ongoing services to the registrant for the Registrant&rsquo;s fiscal
year ended October 31, 2017 were $17,067 for the Registrant and $44,000 for the Registrant&rsquo;s investment adviser and for the
Registrant&rsquo;s fiscal year ended October 31, 2018 were $21,700 for the Registrant and $48,190 for the Registrant&rsquo;s investment
adviser.</TD></TR></TABLE>

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<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(h)</TD><TD STYLE="text-align: justify">The registrant&rsquo;s audit committee of the board of directors has considered whether the provision
of non-audit services that were rendered to the registrant&rsquo;s investment adviser (not including any sub-adviser whose role
is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not
pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant&rsquo;s
independence.</TD></TR></TABLE>

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

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<TD STYLE="width: 0"></TD><TD STYLE="width: 27pt">(a)</TD><TD STYLE="text-align: justify">The Registrant has a separately designated audit committee consisting of all the independent directors
of the Registrant. The members of the audit committee are: Thomas R. Kadlec, Niel B. Nielson, Richard E. Erickson and Robert F.
Keith.</TD></TR></TABLE>

<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 6. Investments.</B></P>

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<TD STYLE="width: 0"></TD><TD STYLE="width: 22.5pt"><FONT STYLE="font-weight: normal">(a)</FONT></TD><TD><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>

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<TD STYLE="width: 0"></TD><TD STYLE="width: 22.5pt">(b)</TD><TD>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></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">The Proxy Voting Policies are attached herewith.</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 8. Portfolio Managers of Closed-End Management Investment
Companies.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 6pt"><B>(a)(1)&#9;Identification of Portfolio Manager(s) or Management
Team Members and Description of Role of Portfolio Manager(s) or Management Team Members.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: justify">Information provided as of January 3,
2018.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: justify">The Securitized Products Group of First
Trust Advisors L.P. is responsible for the day&ndash;to-day management of the registrant&rsquo;s portfolio. The Securitized Products
group is led by Jim Snyder and Jeremiah Charles and was previously known as the Mortgage Securities Team.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: justify"><B>Jim Snyder.</B> Mr. Snyder is a Portfolio
Manager for the First Trust Securitized Products Group. Prior to joining First Trust in 2013, Mr. Snyder worked as a Senior Portfolio
Manager at Fort Sheridan Advisors where he managed mortgage portfolios for institutional clients. Mr. Snyder has led several mortgage
trading and portfolio groups at Deerfield Capital, Spyglass Capital &amp; Trading and American Express Financial Advisors. Mr.
Snyder managed AXP Federal Income Fund and developed mortgage trading strategies for Spyglass Capital and Deerfield&rsquo;s Mortgage
REIT and Opportunity Fund. Mr. Snyder holds a B.S. and M.A. in Economics from DePaul University and an MBA from University of Chicago
Booth School of Business.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: justify"><B>Jeremiah Charles. </B> Mr. Charles
is a Portfolio Manager for the First Trust Securitized Products Group. Prior to joining First Trust in 2013, Mr. Charles worked
as a Vice President of Mortgage Product Sales for CRT Capital where he advised pension funds, hedge funds, and institutional money
managers. Before joining CRT in 2011, Mr. Charles spent 6 years with Deerfield Capital Management LLC as a Senior Vice President
and Senior Portfolio Manager for the Mortgage Trading team. He began his professional career as an Analyst at Piper Jaffray. Mr.
Charles holds a B.S. in Finance from the Leeds School of Business at the University of Colorado, and a M.S. in Real Estate Finance
with Honors from the Charles H. Kellstadt Graduate School of Business at DePaul University.</P>

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

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: bold 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 12pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in">(2)</TD><TD>Other Accounts Managed by Portfolio Managers or Management Team Member and Potential Conflicts of Interest</TD></TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 6pt">Information provided as of October 31, 2018.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 6pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 12pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 23%; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">Name of Portfolio Manager or Team Member</FONT></TD>
    <TD STYLE="width: 31%; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"><U>Type of Accounts*</U></FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center">Total</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: center"># of Accounts Managed</P></TD>
    <TD STYLE="width: 13%; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">Total Assets</FONT></TD>
    <TD STYLE="width: 13%; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"># of Accounts Managed for which Advisory Fee is Based on Performance</FONT></TD>
    <TD STYLE="width: 11%; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">Total Assets for which Advisory Fee is Based on Performance</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">1. Jeremiah Charles </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"><U>Registered Investment Companies:</U></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">4</FONT></TD>
    <TD STYLE="vertical-align: top; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$2,144,657,501</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"><U>Other Pooled Investment Vehicles:</U></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"><U>Other Accounts:</U></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">2. James Snyder</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"><U>Registered Investment Companies:</U></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">4</FONT></TD>
    <TD STYLE="vertical-align: top; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$2,144,657,501</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"><U>Other Pooled Investment Vehicles:</U></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt"><U>Other Accounts:</U></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 0</FONT></TD></TR>
</TABLE>
<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>Portfolio Manager Material Conflicts of Interest</B></P>

<P STYLE="font: 12pt/14pt Times New Roman, Times, Serif; margin: 14pt 0 0; text-align: justify; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Potential
conflicts of interest may arise when a portfolio manager of the Registrant has day-to-day management responsibilities with respect
to one or more other funds or other accounts. The First Trust </FONT>Securitized Products Group <FONT STYLE="font-family: Times New Roman, Times, Serif">adheres
to its trade allocation policy utilizing a pro-rata methodology to address this conflict.</FONT></P>

<P STYLE="font: 12pt/14pt Times New Roman, Times, Serif; margin: 14pt 0 0; text-align: justify; text-indent: 0in">First Trust and
its affiliate, First Trust Portfolios L.P. (&ldquo;FTP&rdquo;), have in place a joint Code of Ethics and Insider Trading Policies
and Procedures that are designed to (a) prevent First Trust personnel from trading securities based upon material inside information
in the possession of such personnel and (b) ensure that First Trust personnel avoid actual or potential conflicts of interest or
abuse of their positions of trust and responsibility that could occur through such activities as front running securities trades
for the Registrant. Personnel are required to have duplicate confirmations and account statements delivered to First Trust and
FTP compliance personnel who then compare such trades to trading activity to detect any potential conflict situations.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 12pt 0 6pt"><B>&nbsp;</B></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 12pt 0 6pt"><B>(3) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Compensation
Structure of Portfolio Managers or Management Team Members</B></P>

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 6pt">Information provided as of October 31, 2018.</P>

<P STYLE="font: 12pt/14pt Times New Roman, Times, Serif; margin: 14pt 0 0; text-align: justify; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif">The
compensation structure for the </FONT>Securitized Products Group <FONT STYLE="font-family: Times New Roman, Times, Serif">of First
Trust is based upon a fixed salary as well as a discretionary bonus determined by the management of First Trust. </FONT></P>

<P STYLE="font: 12pt/14pt Times New Roman, Times, Serif; margin: 14pt 0 0; text-align: justify; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Salaries
are determined by management and are based upon an individual&rsquo;s position and overall value to the firm. Bonuses are also
determined by management and are based upon an individual&rsquo;s overall contribution to the success of the firm and the profitability
of the firm. Salaries and bonuses for members of the </FONT>Securitized Products Group <FONT STYLE="font-family: Times New Roman, Times, Serif">are
not based upon criteria such as performance of the Registrant and are not directly tied to the value of assets of the Fund.</FONT></P>

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

<P STYLE="font: bold 11pt Times New Roman, Times, Serif; margin: 0 0 6pt">&nbsp;</P>

<P STYLE="font: bold 11pt Times New Roman, Times, Serif; margin: 0 0 6pt">(4)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Disclosure
of Securities Ownership</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 0 12pt">Information provided as of October 31, 2018.</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 58%; padding-right: 0; padding-bottom: 12pt; padding-left: 0; text-align: center; text-indent: 0; vertical-align: bottom"><FONT STYLE="font-size: 12pt"><B>Name
    </B></FONT></TD>
    <TD STYLE="width: 42%; padding-right: 0; padding-bottom: 12pt; padding-left: 0; text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 11pt"><B>Dollar Range of Fund Shares <BR>
Beneficially Owned</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 0; padding-bottom: 12pt; padding-left: 0; text-align: center"><FONT STYLE="font-size: 12pt">Jeremiah
    Charles</FONT></TD>
    <TD STYLE="padding-right: 0; padding-bottom: 12pt; padding-left: 0; text-align: center"><FONT STYLE="font-size: 12pt">$0</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 0; padding-bottom: 12pt; padding-left: 0; text-align: center"><FONT STYLE="font-size: 12pt">James
    Snyder</FONT></TD>
    <TD STYLE="padding-right: 0; padding-bottom: 12pt; padding-left: 0; text-align: center">$10,001-$50,000</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>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 12pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><B>(b)</B></TD><TD>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>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.</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; text-align: justify">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>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(a)</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">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in">(b)</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">Code of ethics, or any amendment thereto, that is the subject of disclosure required
by Item 2 &#9;is attached hereto.</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 0.75in; 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">(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="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>SIGNATURES</B><BR>
<BR>
</P>

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

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&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: 7%; text-align: right">(registrant)</TD><TD STYLE="width: 3%"></TD><TD STYLE="text-align: center; border-bottom: Black 1pt solid; vertical-align: top; width: 80%">First Trust Mortgage Income Fund</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 7%">&nbsp;</TD>
</TR></TABLE>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR>
<TD STYLE="width: 27%; text-align: left; vertical-align: top">By (Signature and Title)*</TD><TD STYLE="width: 3%">&nbsp;</TD><TD STYLE="text-align: left; width: 60%; vertical-align: top; border-bottom: Black 1pt solid">/s/
James M. Dykas</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 7%">&nbsp;</TD>
</TR>     <TR>
<TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="text-align: left; vertical-align: top">James M. Dykas, President and Chief Executive Officer <BR>
(principal executive officer)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></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: left">
<TD STYLE="width: 15pt; text-align: right">Date</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify"><U>December 20, 2018</U></TD>
</TR></TABLE>

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

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%">
<TR>
<TD STYLE="text-align: left; vertical-align: top; width: 27%">By (Signature and Title)*</TD><TD STYLE="width: 3%">&nbsp;</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid; vertical-align: top; width: 60%">/s/
James M. Dykas</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 7%">&nbsp;</TD>
</TR>
<TR>
<TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="text-align: left; vertical-align: top">James M. Dykas, President and Chief Executive Officer <BR>
(principal executive officer)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</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: 15pt; text-align: right">Date</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify"><U>December 20, 2018</U></TD>
</TR></TABLE>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%">
<TR>
<TD STYLE="text-align: left; vertical-align: top; width: 27%">By (Signature and Title)*</TD><TD STYLE="width: 3%">&nbsp;</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid; vertical-align: top; width: 60%">/s/
Donald P. Swade</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 7%">&nbsp;</TD>
</TR>
<TR>
<TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="text-align: left; vertical-align: top">Donald P. Swade, Treasurer, Chief Financial Officer <BR>
and Chief Accounting Officer <BR>
(principal financial officer)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</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: 15pt; text-align: right">Date</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify"><U>December 20, 2018</U></TD>
</TR></TABLE>

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

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


</DIV>

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style="width:100%;" type="Block">
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style="clear:both;font-size:12pt;height:0pt;">
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</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 <BR>
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: center; padding-left: 0; vertical-align: middle; width: 20%">December 20, 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"></P>


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    <DIV STYLE="page-break-before: always; margin-top: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<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 <BR>
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: center; padding-left: 0; vertical-align: middle; width: 20%">December 20, 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 0 12pt">&nbsp;</P>

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

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



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

<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-99.906 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 <BR>
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: center; padding-left: 0; vertical-align: middle; width: 20%">December 20, 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: center; padding-left: 0; vertical-align: middle; width: 20%">December 20, 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">&nbsp;</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"></P>



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

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

</BODY>
</HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CODE ETH
<SEQUENCE>4
<FILENAME>ethics.txt
<DESCRIPTION>CODE OF ETHICS
<TEXT>
                            SENIOR FINANCIAL OFFICER
                                 CODE OF CONDUCT

I.   INTRODUCTION

     This code of conduct is being adopted by the investment companies advised
by First Trust Advisors L.P., from time to time, (the "FUNDS"). The reputation
and integrity of the Funds are valuable assets that are vital to the Funds'
success. Each officer of the Funds, and officers and employees of the investment
adviser to the Funds who work on Fund matters, including each of the Funds'
senior financial officers ("SFOs"), is responsible for conducting each Fund's
business in a manner that demonstrates a commitment to the highest standards of
integrity. SFOs include the Principal Executive Officer (who is the President),
the Controller (who is the principal accounting officer), and the Treasurer (who
is the principal financial officer), and any person who performs a similar
function.

     The Funds, First Trust Advisors L.P. and First Trust Portfolios have
adopted Codes of Ethics under Rule 17j-1 under the Investment Company Act of
1940 (the "RULE 17J-1 CODE"). These Codes of Ethics are designed to prevent
certain conflicts of interest that may arise when officers, employees, or
directors of the Funds and the foregoing entities know about present or future
Fund transactions and/or have the power to influence those transactions, and
engage in transactions with respect to those same securities in their personal
account(s) or otherwise take advantage of their position and knowledge with
respect to those securities. In an effort to prevent these conflicts and in
accordance with Rule 17j-1, the Funds adopted their Rule 17j-1 Code to prohibit
transactions and conduct that create conflicts of interest, and to establish
compliance procedures.

     The Sarbanes-Oxley Act of 2002 was designed to address corporate
malfeasance and to help assure investors that the companies in which they invest
are accurately and completely disclosing financial information. Under Section
406 of the Act, all public companies (including the Funds) must either have a
code of ethics for their SFOs, or disclose why they do not. The Act was intended
to prevent future situations (such as occurred in well-reported situations
involving such companies as Enron and WorldCom) where a company creates an
environment in which employees are afraid to express their opinions or to
question unethical and potentially illegal business practices.

     The Funds have chosen to adopt a senior financial officer Code of Conduct
to encourage their SFOs, and other Fund officers and employees of First Trust
Advisors or First Trust Portfolios to act ethically and to question potentially
unethical or illegal practices, and to strive to ensure that the Funds'
financial disclosures are complete, accurate, and understandable.

<PAGE>

II.  PURPOSES OF THIS CODE OF CONDUCT

     The purposes of this Code are:

          A. To promote honest and ethical conduct, including the ethical
     handling of actual or apparent conflicts of interest between personal and
     professional relationships;

          B. To promote full, fair, accurate, timely, and understandable
     disclosure in reports and documents that the Funds file with, or submits
     to, the SEC and in other public communications the Funds make;

          C. To promote compliance with applicable governmental laws, rules and
     regulations;

          D. To encourage the prompt internal reporting to an appropriate person
     of violations of the Code; and

          E. To establish accountability for adherence to the Code.

III. QUESTIONS ABOUT THIS CODE

     The Funds' Boards of Trustees have designated W. Scott Jardine or other
appropriate officer designated by the President of the respective Funds to be
the Compliance Coordinator for the implementation and administration of the
Code.

IV.  HANDLING OF FINANCIAL INFORMATION

     The Funds have adopted guidelines under which its SFOs perform their
duties. However, the Funds expect that all officers or employees of the adviser
or distributor who participate in the preparation of any part of any Fund's
financial statements follow these guidelines with respect to each Fund:

          A. Act with honesty and integrity and avoid violations of this Code,
     including actual or apparent conflicts of interest with the Fund in
     personal and professional relationships.

          B. Disclose to the Fund's Compliance Coordinator any material
     transaction or relationship that reasonably could be expected to give rise
     to any violations of the Code, including actual or apparent conflicts of
     interest with the Fund. You should disclose these transactions or
     relationships whether you are involved or have only observed the
     transaction or relationship. If it is not possible to disclose the matter
     to the Compliance Coordinator, it should be disclosed to the Fund's
     Principal Financial Officer or Principal Executive Officer.

<PAGE>

          C. Provide information to the Fund's other officers and appropriate
     employees of service providers (adviser, administrator, outside auditor,
     outside counsel, custodian, etc.) that is accurate, complete, objective,
     relevant, timely, and understandable.

          D. Endeavor to ensure full, fair, timely, accurate, and understandable
     disclosure in the Fund's periodic reports.

          E. Comply with the federal securities laws and other applicable laws
     and rules, such as the Internal Revenue Code.

          F. Act in good faith, responsibly, and with due care, competence and
     diligence, without misrepresenting material facts or allowing your
     independent judgment to be subordinated.

          G. Respect the confidentiality of information acquired in the course
     of your work except when you have Fund approval to disclose it or where
     disclosure is otherwise legally mandated. You may not use confidential
     information acquired in the course of your work for personal advantage.

          H. Share and maintain skills important and relevant to the Fund's
     needs.

          I. Proactively promote ethical behavior among peers in your work
     environment.

          J. Responsibly use and control all assets and resources employed or
     entrusted to you.

          K. Record or participate in the recording of entries in the Fund's
     books and records that are accurate to the best of your knowledge.

V.   WAIVERS OF THIS CODE

     SFOs and other parties subject to this Code may request a waiver of a
provision of this Code (or certain provisions of the Fund's Rule 17j-1 Code) by
submitting their request in writing to the Compliance Coordinator for
appropriate review. An executive officer of the Fund or the Audit Committee will
decide whether to grant a waiver. All waivers of this Code must be disclosed to
the Fund's shareholders to the extent required by SEC rules. A good faith
interpretation of the provisions of this Code, however, shall not constitute a
waiver.

VI.  ANNUAL CERTIFICATION

     Each SFO will be asked to certify on an annual basis that he/she is in full
compliance with the Code and any related policy statements.

<PAGE>

VII. REPORTING SUSPECTED VIOLATIONS

     A. SFOs or other officers of the Funds or employees of the First Trust
group who work on Fund matters who observe, learn of, or, in good faith, suspect
a violation of the Code MUST immediately report the violation to the Compliance
Coordinator, another member of the Funds' or First Trust's senior management, or
to the Audit Committee of the Fund Board. An example of a possible Code
violation is the preparation and filing of financial disclosure that omits
material facts, or that is accurate but is written in a way that obscures its
meaning.

     B. Because service providers such as an administrator, outside accounting
firm, and custodian provide much of the work relating to the Funds' financial
statements, you should be alert for actions by service providers that may be
illegal, or that could be viewed as dishonest or unethical conduct. You should
report these actions to the Compliance Coordinator even if you know, or think,
that the service provider has its own code of ethics for its SFOs or employees.

     C. SFOs or other officers or employees who report violations or suspected
violations in good faith will not be subject to retaliation of any kind.
Reported violations will be investigated and addressed promptly and will be
treated confidentially to the extent possible.

VIII. VIOLATIONS OF THE CODE

     A. Dishonest, unethical or illegal conduct will constitute a violation of
this Code, regardless of whether this Code specifically refers to that
particular conduct. A violation of this Code may result in disciplinary action,
up to and including termination of employment. A variety of laws apply to the
Funds and their operations, including the Securities Act of 1933, the Investment
Company Act of 1940, state laws relating to duties owed by Fund directors and
officers, and criminal laws. The federal securities laws generally prohibit the
Funds from making material misstatements in its prospectus and other documents
filed with the SEC, or from omitting to state a material fact. These material
misstatements and omissions include financial statements that are misleading or
omit materials facts.

     B. Examples of criminal violations of the law include stealing, embezzling,
misapplying corporate or bank funds, making a payment for an expressed purpose
on a Fund's behalf to an individual who intends to use it for a different
purpose; or making payments, whether corporate or personal, of cash or other
items of value that are intended to influence the judgment or actions of
political candidates, government officials or businesses in connection with any
of the Funds' activities. The Funds must and will report all suspected criminal
violations to the appropriate authorities for possible prosecution, and will
investigate, address and report, as appropriate, non-criminal violations.

Amended: June 1, 2009
</TEXT>
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end
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99
<SEQUENCE>10
<FILENAME>proxyinst.txt
<DESCRIPTION>PROXY VOTING GUIDELINES
<TEXT>
                           FIRST TRUST ADVISORS L.P.
                            PROXY VOTING GUIDELINES

      First Trust Advisors L.P. (the "Adviser") serves as investment adviser
providing discretionary investment advisory services for separate managed
accounts, ERISA accounts and open- and closed-end investment companies (the
"Clients"). As part of these services, the Adviser may have responsibility for
proxy voting and related duties. In fulfilling these duties, the Adviser has
adopted the following policies and procedures:

      1. It is the Adviser's policy to seek and to ensure that proxies are voted
on securities in a Client's account consistently and solely in the best economic
interests of the Client.

      2. The Adviser shall be responsible for the oversight of Client proxy
voting processes and shall assign a senior member of its staff to be responsible
for this oversight.

      3. The Adviser has engaged the services of Institutional Shareholder
Services, Inc. ("ISS") to make recommendations to the Adviser on the voting of
proxies related to securities held by Clients. ISS provides voting
recommendations based on established guidelines and practices. The Adviser has
adopted these ISS Proxy Voting Guidelines.

      4. The Adviser shall review the ISS recommendations and generally will
vote proxies in accordance with such recommendations. Notwithstanding the
foregoing, the Adviser may not vote in accordance with the ISS recommendations
if the Adviser believes that the specific ISS recommendation is not in the best
interests of the Client. In addition, whenever a conflict of interest arises
between ISS and a company subject to a proxy vote, the Adviser will vote the
proxy without using the analyses of ISS and will consider the recommendation of
the company and what the Adviser believes to be in the best interests of the
Client. In addition, if the Adviser has actual knowledge of any other type of
material conflict of interest between itself and the respective Client with
respect to the voting of a proxy, the Adviser shall vote the applicable proxy in
accordance with the ISS recommendations to avoid such conflict of interest. With
respect to open- and closed-end funds and variable annuity sub-accounts, if
there is a conflict of interest between fund shareholders and FTA, the fund's
principal underwriter, or sub-adviser, if applicable, FTA will vote the proxy
based on the recommendations of ISS to avoid such conflict of interest.

      5. If the Adviser manages the assets or pension fund of a company and any
of the Adviser's Clients hold any securities in that company, the Adviser will
vote proxies relating to such company's securities in accordance with the ISS
recommendations to avoid any conflict of interest.

      6. If a Client requests the Adviser to follow specific voting guidelines
or additional guidelines, the Adviser shall review the request and follow such
guidelines, unless the Adviser determines that it is unable to follow such
guidelines. In such case, the Adviser shall inform the Client that it is not
able to follow the Client's request.

      7. FTA will monitor changes to the ISS guidelines to determine that such
guidelines continue to result in a voting policy that is in the best interests
of Clients.

      8. In certain circumstances, where FTA has determined that it is
consistent with the Client's best interest, FTA will not take steps to ensure
that proxies are voted on securities in the Client's accounts. The following are
circumstances where this may occur:

            (a) Limited Value. Proxies will not be required to be voted on
      securities in a Client's account if the value of the Client's economic
      interest in the securities is indeterminable or insignificant (less than
      $1,000). Proxies will also not be required to be voted for any securities
      that are no longer held by the Client's account.

            (b) Securities Lending Program. When securities are out on loan,
      they are transferred into the borrower's name and are voted by the
      borrower, in its discretion. In most cases, FTA will not take steps to see
      that loaned securities are voted. However, where FTA determines that a
      proxy vote, or other shareholder action, is materially important to the
      Client's account, FTA will make a good faith effort to recall the security
      for purposes of voting, understanding that in certain cases, the attempt
      to recall the security may not be effective in time for voting deadlines
      to be met.

            (c) Unjustifiable Costs. In certain circumstances, after doing a
      cost-benefit analysis, FTA may choose not to vote where the cost of voting
      a Client's proxy would exceed any anticipated benefits to the Client of
      the proxy proposal (e.g. foreign securities).

      9. For certain open- or closed-end funds relying on Section 12(d)(1)(F) of
the 1940 Act or applicable exemptive relief, FTA will vote on proxies of
securities of investment companies held by such funds in the same proportion as
all other holders of such securities (i.e. mirror or echo voting) to the extent
possible.

Adopted:      September 15, 2003
Amended:      December 10, 2007
Amended:      September 21, 2009
Amended:      September 12, 2016

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