<SEC-DOCUMENT>0001445546-20-000002.txt : 20200102
<SEC-HEADER>0001445546-20-000002.hdr.sgml : 20200102
<ACCEPTANCE-DATETIME>20200102093802
ACCESSION NUMBER:		0001445546-20-000002
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		10
CONFORMED PERIOD OF REPORT:	20191031
FILED AS OF DATE:		20200102
DATE AS OF CHANGE:		20200102
EFFECTIVENESS DATE:		20200102

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:		20500347

	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>
<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">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, 2019</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>


<!-- Field: Page; Sequence: 1 -->
    <DIV STYLE="margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <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: 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>



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

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

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


<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="margin-top: 0pt; position: relative; text-align: left; width: 576pt">
<IMG SRC="imgd17eadae1.jpg">
<DIV STYLE="color: #FFFFFF; font: normal small-caps 40pt/41pt Arial; text-decoration: none; left: 15pt; position: absolute; top: 234pt">First Trust</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 30pt/31pt Arial; text-decoration: none; left: 15pt; position: absolute; top: 274pt">Mortgage Income
Fund (FMY)</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 40pt/41pt Arial; text-decoration: none; left: 15pt; position: absolute; top: 327pt">Annual Report</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 30pt/31pt Arial Narrow; text-decoration: none; left: 15pt; position: absolute; top: 367pt">For the
Year Ended</DIV><DIV STYLE="color: #FFFFFF; font: normal small-caps 30pt/31pt Arial Narrow; text-decoration: none; left: 15pt; position: absolute; top: 397pt">October 31,
2019</DIV><DIV STYLE="left: 163pt; position: absolute; top: 645pt; width: 27.41%"><DIV STYLE="color: #FFFFFF; font: normal small-caps 40pt/41pt Arial; text-decoration: none; margin-top: 0pt; position: relative">&#8194;</DIV></DIV><DIV STYLE="color: #000000; font: normal small-caps 40pt/41pt Arial; text-decoration: none; left: 352pt; position: absolute; top: 645pt">&#8194;</DIV><DIV STYLE="left: 416pt; position: absolute; top: 694pt; width: 27.41%"><DIV STYLE="margin-top: 0pt; position: relative"><IMG SRC="imgd7fe38192.jpg">
</DIV><DIV STYLE="color: #000000; font: normal 9pt/10pt Times New Roman; text-decoration: none; margin-top: 0pt; position: relative; text-transform: none">&#8201;</DIV></DIV></DIV>

</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<DIV STYLE="width: 100%">
<A NAME="TOC"></A>
<DIV TYPE="OverlapColorBlock" STYLE="background-color: #003E87; height: 15pt; width: 100%">
<DIV TYPE="Block" STYLE="padding-left: 6pt; width: 97.78%">
<DIV STYLE="color: #FFFFFF; font: normal bold 10.5pt/11.5pt Times New Roman; text-decoration: none; padding-top: 3pt; text-align: left; text-transform: none">Table of Contents</DIV>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 16pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">First Trust Mortgage Income Fund
(FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">Annual Report</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">October 31, 2019</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SHLetter-TOCshareholderletter-6_1">Shareholder Letter</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 2pt 1.3pt 11pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#FPO-TOCFPO-6_1">At a Glance</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 11pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">2
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#PC-TOCcommentary-6_1">Portfolio Commentary</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 11pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">3
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SOI-SOIfooter-6_1">Portfolio of Investments</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 11pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">5
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SAL-SALfooter-6_1">Statement of Assets and Liabilities</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">13
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SOP-SOPfootnote-6_1">Statement of Operations</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">14
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#SOC-SOCfooter-6_1">Statements of Changes in Net Assets</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">15
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#FiHi-FiHifooter-6_1">Financial Highlights</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">16
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#NTF-TOCnotes-6_1">Notes to Financial Statements</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; 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: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#Audit-TOCauditletter-6_1">Report of Independent Registered Public Accounting Firm</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; 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: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#AI-TOCadditionalinfo-6_1">Additional Information</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; 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: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 1.3pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#TO-TOCtrustees-6_1">Board of Trustees and Officers</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 1.3pt 6pt; text-decoration: none; text-align: center; 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: normal 10pt/13pt Times New Roman; padding: 1.3pt 6pt 6pt 2pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 96.3%"><DIV STYLE="float: left"><FONT><A HREF="#PP-TOCprivacy-6_1">Privacy Policy</A></FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.3pt 2pt 6pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 4.07%">33
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: center; text-transform: none">Caution Regarding
Forward-Looking Statements</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">This report contains
certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. (&#8220;First Trust&#8221; or the &#8220;Advisor&#8221;) and its representatives, taking into account the information currently available to them.
Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as &#8220;anticipate,&#8221;
&#8220;estimate,&#8221; &#8220;intend,&#8221; &#8220;expect,&#8221; &#8220;believe,&#8221; &#8220;plan,&#8221; &#8220;may,&#8221; &#8220;should,&#8221; &#8220;would&#8221; or other words that convey uncertainty of
future events or outcomes.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 6pt; text-align: left; text-transform: none">Forward-looking
statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust Mortgage Income Fund (the &#8220;Fund&#8221;) to be materially
different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue
reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: center; text-transform: none">Performance and Risk
Disclosure</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">There is no assurance
that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund
shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See &#8220;Risk Considerations&#8221; in the Additional Information section of this report for a
discussion of certain other risks of investing in the Fund.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 6pt; text-align: left; text-transform: none">Performance data quoted
represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit <FONT STYLE="color: #0000FF; text-decoration: underline">www.ftportfolios.com</FONT> or speak with your financial advisor. Investment returns, net asset value and common share price will fluctuate and Fund shares, when sold,
may be worth more or less than their original cost.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 6pt; text-align: left; text-transform: none">The Advisor may also
periodically provide additional information on Fund performance on the Fund&#8217;s web page at <FONT STYLE="color: #0000FF; text-decoration: underline">www.ftportfolios.com</FONT>.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: center; text-transform: none">How to Read This
Report</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">This report contains
information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund&#8217;s performance and investment approach.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 6pt; text-align: left; text-transform: none">By reading the portfolio
commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund&#8217;s performance. The statistical information that follows may help you
understand the Fund&#8217;s performance compared to that of a relevant market benchmark.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 6pt; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="OverlapColorBlock" STYLE="background-color: #003E87; height: 15pt; width: 100%">
<DIV TYPE="Block" STYLE="padding-left: 6pt; width: 97.78%">
<DIV STYLE="color: #FFFFFF; font: normal bold 10.5pt/11.5pt Times New Roman; text-decoration: none; padding-top: 3pt; text-align: left; text-transform: none">Shareholder Letter</DIV>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 16pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">First Trust Mortgage Income Fund
(FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">Annual Letter from the Chairman and
CEO</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">October 31, 2019</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Dear Shareholders,</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; 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, 2019, 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">One of our
responsibilities as asset managers is to be good listeners. Perhaps the most effective way in which we do this continually is by paying close attention to mutual fund and exchange-traded fund (ETF) money flows. After
all, investors vote with their dollars, and money flows provide valuable feedback with respect to their biases. Over the past 12 months, we have learned that investors, in general, have grown more risk-averse. For the
12-month period ended October 31, 2019, investors funneled an estimated net $359.56 billion into bond mutual funds and ETFs, while liquidating an estimated net $56.86 billion from equity mutual funds and ETFs,
according to data from Morningstar. Over the same period, money market funds took in an estimated net $583.27 billion. Those figures were more balanced for the full-year 2018. Those estimated net flows were as
follows: $94.42 billion (equity mutual funds &amp; ETFs); $137.60 billion (bond mutual funds &amp; ETFs); and $161.60 billion (money market funds).</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">In addition to
monitoring fund flows, we watch the performance of all the asset classes. Market returns can either help validate or invalidate our interpretation of money flows. As we noted above, we believe that investors have
tempered their appetite for risk, and the returns on the major sectors that comprise the S&amp;P 500<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">&#174;</SUP> Index back it up. For the 12-month period ended October 31, 2019, as measured by total return, the top performers were
Real Estate and Utilities, up 26.72% and 23.71%, respectively, according to Bloomberg. The S&amp;P 500<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">&#174;</SUP> Index posted a total return of 14.33% for the period. These two sectors are defensive in nature. They also tend to
distribute cash dividends that are often well above those sectors that are more cyclical in nature. The higher dividend distributions likely drew the attention of fixed-income investors dissatisfied with the current
low-yield climate in the bond market, in our opinion.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">The absence of a new
trade deal between the U.S. and China has been a bit of a wet blanket on the global economy. Global growth projections have been trimmed over time by such organizations as the International Monetary Fund. The tariffs
have been in play for 19 months and counting as of October 2019. While the lack of any significant progress in the negotiations between the U.S. and China is a concern, we believe a remedy will be found. Remember, as
uncertain as things may appear in the current climate, investors with diversified investment portfolios were most likely rewarded over the past 12 months. Stay the course and stay engaged!</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Thank you for giving
First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Sincerely,</DIV>
<DIV STYLE="margin-top: 2pt; text-align: left; width: 144pt">
<IMG SRC="img2738cb4f3.jpg">
</DIV>

<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">James A. Bowen</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Chairman of the Board of Trustees</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Chief Executive Officer of First Trust
Advisors L.P.</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 154pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">&#8220;AT A GLANCE&#8221;
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">As of October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV STYLE="margin-top: 5pt">
<DIV TYPE="Block" STYLE="float: left; overflow: hidden; position: relative; width: 48%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 97.67%">
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 4pt 3pt 2pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Fund Statistics
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 12pt; padding-top: 4pt; text-align: center; vertical-align: bottom; width: 17.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Symbol on New York Stock Exchange
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 12pt 1.25pt 25.67pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">FMY
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Common Share Price
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 21pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$13.99
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Common Share Net Asset Value (&#8220;NAV&#8221;)
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 21pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$14.91
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Premium (Discount) to NAV
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 26.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">(6.17)%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Net Assets Applicable to Common Shares
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$62,831,539
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Current Distribution per Common Share<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(1)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 17pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$0.0600
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Current Annualized Distribution per Common Share
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 17pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">$0.7200
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Current Distribution Rate on Common Share Price<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(2)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 1.25pt 29pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">5.15%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; color: #000000; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Current Distribution Rate on NAV<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(2)</SUP>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.25pt 12pt 3pt 29pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 17.86%">4.83%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="float: right; overflow: hidden; position: relative; width: 48%">&nbsp;
<DIV STYLE="background-color: #003E87; border: #003E87 2px solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #FFFFFF; padding-left: 1.55%; text-align: left; 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="imgad1cf88a4.jpg">
</DIV>

<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">&nbsp;&nbsp;<BR>
</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both">&nbsp;
<DIV TYPE="Block" STYLE="clear: both; padding-top: 21pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-bottom: #000000 0.5pt solid; border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 2pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 44%">Performance
</TD><TD STYLE="background-color: #003E87; line-height: 10pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 12.29%">&#160;
</TD><TD STYLE="background-color: #003E87; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 13.2%">&#160;
</TD><TD STYLE="background-color: #003E87; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 14.12%">&#160;
</TD><TD STYLE="background-color: #003E87; line-height: 0pt; padding-bottom: 2pt; padding-right: 4pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 16.94%">&#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">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 3pt 6pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 3pt 6pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom">Average Annual Total Returns</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">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 7pt 2pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom">1 Year Ended<BR>
10/31/19
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 7pt 2pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom">5 Years Ended<BR>
10/31/19
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 7pt 2pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom">10 Years Ended<BR>
10/31/19
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 4pt 2pt 7pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom">Inception (5/25/05)<BR>
to 10/31/19
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="background-color: #B2B2B2; color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 6pt 2pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom">Fund Performance<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(3)</SUP>
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom">&#160;
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom">&#160;
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 2pt; text-align: center; vertical-align: bottom">&#160;
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 4pt; padding-top: 2pt; text-align: center; vertical-align: bottom">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 6pt 1.25pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap">NAV
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 1.25pt 11pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">5.08%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 1.25pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">3.30%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 1.25pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">4.72%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 1.25pt 7pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">5.57%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom">Market Value
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 7pt 1.25pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">13.37%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 7pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">4.43%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 7pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">5.01%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 4pt 1.25pt 7pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">4.78%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="background-color: #B2B2B2; color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 6pt 2pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom">Index Performance
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom">&#160;
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom">&#160;
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 7pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom">&#160;
</TD><TD STYLE="background-color: #B2B2B2; line-height: 0pt; padding-bottom: 2pt; padding-right: 4pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 6pt 4pt 9pt; text-decoration: none; text-align: left; text-indent: -6pt; text-transform: none; vertical-align: bottom">Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 4pt 11pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">8.87%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 4pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">2.67%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 7pt 4pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">3.10%
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2pt 4pt 4pt 7pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap">4.05%
</TD></TR></TABLE>
</DIV>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="float: left; overflow: hidden; position: relative; width: 48%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 97.67%">
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 4pt 3pt 2pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Portfolio Characteristics
</TD><TD BGCOLOR="#003E87" STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 12pt; padding-top: 4pt; text-align: center; vertical-align: bottom; width: 17.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 3pt 0.88pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Weighted Average Effective Duration
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 12pt 0.88pt 3pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 17.86%">2.54 Years
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 3pt 3pt 0pt; color: #000000; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.95%">Weighted Average Effective Maturity
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 12pt 3pt 3pt; color: #000000; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 17.86%">5.14 Years
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 2pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 74.87%">Asset Classification
</TD><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 4pt 2pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 24.36%">% of Total<BR>
Investments
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 6pt 1.12pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 74.87%">Mortgage-Backed Securities
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 4pt 1.12pt 10pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 24.36%">53.3%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.12pt 6pt 1.12pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 74.87%">U.S. Government Agency MBS
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.12pt 4pt 1.12pt 10pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">40.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.12pt 6pt 1.12pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 74.87%">Asset-Backed Securities
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.12pt 4pt 1.12pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">1.2
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.12pt 6pt 3pt 4pt; color: #000000; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 74.87%">Cash &amp; Cash Equivalents
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 1.12pt 4pt 3pt 14pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">5.1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 6pt 1.5pt 16pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 74.87%">Total
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 4pt 1.5pt 6pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 24.36%">100.0%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="float: right; overflow: hidden; position: relative; width: 48%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 2pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 71.83%">Credit Quality<SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(4)</SUP>
</TD><TD BGCOLOR="#003E87" STYLE="color: #FFFFFF; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 4pt 2pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 27.39%">% of Total<BR>
Fixed-Income<BR>
Investments
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">AAA
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 2pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 27.39%">4.6%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">AA+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">8.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">AA
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; 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: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">AA-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">2.1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">A+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">3.0
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">A
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; 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: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">A-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">0.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">BBB+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">0.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">BBB
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">0.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">BBB-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; 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: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">BB+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">0.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">BB-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">0.3
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">B+
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">2.6
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">B
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; 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: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">B-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; 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: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">CCC
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; 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: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">CCC-
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">0.1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">CC
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">4.8
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 71.83%">Not Rated
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 10pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">18.8
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 0.88pt 4pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">Government
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 0.88pt 10pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">40.4
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 6pt 3pt 4pt; color: #000000; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 71.83%">Cash &amp; Cash Equivalents
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 8pt/11pt Times New Roman; padding: 0.88pt 4pt 3pt 14pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">5.1
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 6pt 1.5pt 16pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 71.83%">Total
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 8pt/11pt Times New Roman; padding: 1.88pt 4pt 1.5pt 6pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 27.39%">100.0%
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV STYLE="clear: both">
<DIV TYPE="Block" STYLE="clear: both; padding-top: 11pt; width: 94%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 5pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 4.44%"><SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(1)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 95.56%">Most recent distribution paid or declared through 10/31/2019. 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: 3pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 4.44%"><SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(2)</SUP>
</TD><TD STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; 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 10/31/2019.
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: 3pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; 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; text-decoration: none; padding-left: 2pt; text-align: left; 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: 3pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; 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; text-decoration: none; padding-left: 2pt; text-align: left; 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. 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 TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Portfolio Commentary<FONT STYLE="color: #000000"> </FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1.5pt; text-align: center; text-transform: none">Annual Report</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1.5pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 11pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: center; text-transform: none">Advisor</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: center; text-transform: none">Portfolio Management
Team</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 9pt; text-align: left; text-transform: none">Jeremiah Charles &#8211;
Senior Vice President, Portfolio Manager</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">Jim Snyder &#8211; Senior
Vice President, Portfolio Manager</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: center; text-transform: none">Commentary</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 6pt; text-align: left; text-transform: none">First Trust Mortgage Income
Fund</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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 pursues its objectives by investing primarily in mortgage-backed securities
(&#8220;MBS&#8221;) representing part ownership in a pool of either residential or commercial mortgage loans that, in the opinion of the Fund&#8217;s investment advisor, offer an attractive combination of credit
quality, yield and maturity. There can be no assurance the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Market Recap</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The 12-month period ended
October 31, 2019 began with volatile bond and equity markets as slowing global growth scenarios and fallout from trade war escalations began to be priced into U.S. markets. As a result, in January 2019 the Federal
Reserve (the &#8220;Fed&#8221;) paused the well underway monetary policy normalization and subsequently in the spring, announced plans to abruptly end the runoff of its balance sheet. By mid-summer of 2019, the pause
turned to a reversal in monetary policy, and as a result of cross currents from the ongoing China-United States trade war escalation, the Fed began to cut interest rates, with a total of three 25 basis point cuts by
the end of October 2019. Additionally, the Fed once again began to reinvest its holdings of U.S. Treasuries and Agency Mortgage-Backed Securities (&#8220;Agency MBS&#8221;) and was forced to step in and provide
liquidity to the overnight repo markets as funding pressures intensified due to a confluence of events in September 2019. This eventually led the Fed to announce plans to provide ongoing repo market support alongside
a purchase program targeting $60 billion per month of U.S. Treasury bills to provide adequate reserves in the banking system. This aggressive change of course from the Fed had significant impacts on the U.S. Bond
markets, which saw yields decline dramatically over the period, led by the 5- and 10-Year treasuries, which saw yields fall 145 basis points (&#8220;bps&#8221;). Given the outperformance by the belly of the curve, the
yield curve inverted and remained as such for most of the period. With the inverted curve, faster than expected prepayments due to interest rates falling with such velocity, and heightened market volatility, Agency
MBS spreads gapped wider in August with the Treasury Option Adjusted Spread (&#8220;OAS&#8221;) reaching a post-crisis wide 73 bps, before settling 15 bps wider over the year, to close at 56 bps at the end of the
period.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Performance Analysis</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">During the 12-month
period ended October 31, 2019, the Fund underperformed the the Bloomberg Barclays U.S. MBS Index (the &#8220;Index&#8221;) by 3.79%, net of fees, on a net asset value (&#8220;NAV&#8221;) basis and outperformed by
4.50% on a market price basis. Although we had increased the overall duration in the Fund throughout 2018, over the 2019 fiscal year, the Fund maintained a defensive duration in the portfolio relative to its longer
benchmark. The Fund did benefit from the tactical use of treasury futures and options positions to partially offset some of the Fund&#8217;s structurally shorter duration, however the overall shorter duration
maintained by the Fund over the course of the 2019 fiscal year was the key driver of NAV underperformance as U.S. bond market yields fell rather significantly, with 5-Year Treasury yields falling 145 bps over the
period.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Fund and Market Outlook</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">After the dramatic
reversal in monetary policy seen in 2019, the Fed has stated that it intends to be on hold from both additional rate cuts, and also from any near-term interest rate hikes. We believe this will keep the front end of
the yield curve somewhat anchored in place while the Fed remains on hold and maintains data dependency. We believe consumer data will remain resilient and continued economic growth will persist into 2020, and as such,
we do not see an imminent recession. We believe that given the strength of the economy, and the consumer, we anticipate a slightly less dovish Fed than that which the market is pricing in and expectations are for
intermediate and longer maturity yields to move modestly higher over the short to intermediate term, especially as the pace of Treasury issuance increases. Measures of unemployment remain low; however, measures of
inflation appear to be well contained and we do not foresee 2+% symmetric inflation, which we believe will further reinforce the Fed&#8217;s current pause. We remain positive on MBS spread valuations over the longer
term and believe large steepening trends in the yield curve will prove to be catalysts for MBS spread</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Portfolio Commentary (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1.5pt; text-align: center; text-transform: none">Annual Report</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1.5pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 11pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 23pt; text-align: left; text-transform: none">compression. Lastly, it
is our opinion that interest rate volatility will remain elevated through year-end due to ongoing political and economic environments along with continued fallout from the trade war.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Given our outlook on the
broader bond markets, we plan to continue to manage the Fund defensively versus the Index from a duration standpoint, especially after a 145 bps rally in the 5-Year Treasury yields and no near-term interest rate cut
forecasted with the Fed on hold. From an asset allocation perspective, we plan to maintain our ongoing strategy of reinvesting legacy portfolio runoff into Non-Agency Residential Mortgage-Backed Securities
(&#8220;RMBS&#8221;) assets allocated to the shorter end of the curve. Additionally, as portfolio runoff continues, we expect to continue to allocate to Agency MBS and certain Agency Commercial Mortgage-Backed
Securities (&#8220;CMBS&#8221;) profiles. As part of the investment team&#8217;s Agency MBS strategy, a substantial portion of the agency securities have been invested in the Collateralized Mortgage Obligation
(&#8220;CMO&#8221;) and interest-only sectors in an effort to increase the income, economic earnings and tradability of the portfolio. In our opinion, this strategy can be very effective with proper security
selection, particularly when combined with appropriate yield curve management. We are also looking to tactically invest in the intermediate to longer segments of the treasury futures markets to better position the
portfolio for the reversal of the monetary policy cycle and to partially offset the generally short maturity sensitivity of the portfolio. We will continue to deploy appropriate yield curve management strategies
consistent with our market outlook.</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 476pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">MORTGAGE-BACKED SECURITIES&#8201;&#8211; 52.9%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;&#8211; 50.0%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Accredited Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 16.5pt">287,412</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-2, Class A1</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.98%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 22.5pt">302,123</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">ACE Securities Corp. Home Equity Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">825,887
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-ASAP6, Class A2D, 1 Mo. LIBOR + 0.22% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.04%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">411,527
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Asset Backed Securities Corp Home Equity Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">195,585
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-HE4, Class M4, 1 Mo. LIBOR + 0.95% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.77%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">196,807
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Banc of America Funding Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">42,245
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-R2, Class 1A4 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">42,837
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Banc of America Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">49,783
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2002-L, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.11%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">41,894
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">157,782
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-A, Class 2A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">161,162
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Chase Mortgage Finance Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">124,806
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-A1, Class 1A3 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.70%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">129,031
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Citigroup Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">210,666
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.84%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">218,344
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">44,111
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-10, Class 1A1 (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">45,387
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">527,039
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-7, Class 10A2 (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">541,628
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">140,729
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2018-1, Class A1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">141,185
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Countrywide Home Loan Mortgage Pass-Through Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">292,832
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-46, Class 2A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">295,983
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">93,298
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-HYB3, Class 2A6B (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.15%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">96,455
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">242,671
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-21, Class A8</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">206,715
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">409,362
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-HYB5, Class 3A1A (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">360,256
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Credit Suisse First Boston Mortgage Securities Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">342,351
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR2, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">351,502
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">175,091
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR8, Class 6A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.26%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">179,148
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">110,715
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-5, Class 3A2, 1 Mo. LIBOR + 0.30% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">107,353
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Credit Suisse Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">13,949
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-12R, Class 3A1 (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.11%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/27/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">14,030
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">45,539
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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 NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.16%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/27/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">45,557
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">391,248
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-FHA1, Class A1 (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">395,055
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Deutsche ALT-A Securities, Inc., Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,734
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-3, Class 3A1</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/25/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">2,733
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">DSLA Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">522,315
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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 NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.59%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/19/44
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">536,749
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">647,438
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.14% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.99%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/19/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">632,181
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Galton Funding Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">309,796
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2018-2, Class A41 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/58
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">318,095
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">GSR Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">8,978
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-10, Class 1A12 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">9,198
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">177,724
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR1, Class 4A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.57%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">178,355
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Harborview Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">356,450
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-6, Class 3A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">360,980
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Home Equity Asset Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">36,731
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-3, Class M4, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">37,061
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">508,003
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-9, Class M1, 1 Mo. LIBOR + 0.41% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.23%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">508,795
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Impac CMB Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">180,801
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-6, Class 1A2, 1 Mo. LIBOR + 0.78% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.60%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">181,518
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">IXIS Real Estate Capital Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,086,520
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-HE1, Class A3, 1 Mo. LIBOR + 0.16% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.98%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">379,396
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">JP Morgan Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">797,803
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-ALT1, Class 4A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.45%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">752,663
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">630,126
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-A2, Class 4A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">663,829
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 22pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: right; text-transform: none">Page 5</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_2">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 16.5pt">142,905</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-A2, Class 5A3 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 22.5pt">149,191</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">90,155
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2014-2, Class 1A1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">91,859
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Adjustable Rate Mortgages Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">35,127
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-13, Class 3A7B, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.74%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">36,176
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Alternative Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">3,587,347
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.17%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">561,162
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Asset Backed Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">784,627
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.98%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">552,193
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,247,185
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.11% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.93%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">651,782
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">569,280
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-NC2, Class A5, 1 Mo. LIBOR + 0.24% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.06%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">306,738
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">MASTR Asset Securitization Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">13,055
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-11, Class 5A2</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/23
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">13,059
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">52,382
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-11, Class 6A16</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">53,545
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Mellon Residential Funding Corp. Mortgage Pass-Through Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">258,096
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2001-TBC1, Class A1, 1 Mo. LIBOR + 0.70% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/15/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">262,203
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">260,469
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2002-TBC2, Class A, 1 Mo. LIBOR + 0.86% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.77%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/15/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">258,328
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Meritage Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,469
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-2, Class M3, 1 Mo. LIBOR + 0.98% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.80%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">2,394
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Mill City Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">314,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-2, Class M2 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/59
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">323,052
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Morgan Stanley Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">400,949
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-7AR, Class 2A6 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">416,890
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">MortgageIT Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">227,294
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.68%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">234,366
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">New Residential Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">496,832
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2014-2A, Class A2 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/54
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">507,298
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">588,677
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-1A, Class A1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/56
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">613,383
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">462,266
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-3A, Class A1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/56
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">482,207
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Nomura Asset Acceptance Corporation&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">822,498
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR4, Class M1, 1 Mo. LIBOR + 1.10% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">841,274
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Nomura Resecuritization Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,205,515
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-6R, Class 2A4 (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/02/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,002,293
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">183,009
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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 NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.29%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">182,473
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Provident Funding Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">59,345
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-1, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.84%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">60,039
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">85,726
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-1, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">88,021
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Residential Accredit Loans, Inc.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">128,972
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.27% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.09%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/25/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">98,936
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,372,046
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-QS6, Class 1AV, IO (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">36,176
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Residential Asset Securitization Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">29,637
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-A3, Class A7</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">30,987
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Saxon Asset Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">836,101
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-2, Class A2D, 1 Mo. LIBOR + 0.30% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">699,862
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Seasoned Credit Risk Transfer Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,315,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-2, Class M1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/56
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,323,959
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">755,735
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-CH2, Class A10 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">763,755
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">209,742
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2018-CH2, Class A12 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">212,445
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Structured Adjustable Rate Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">254,081
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-2, Class 4A2 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.11%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">259,952
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 44pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 6</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_3">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Structured Asset Securities Corp. Mortgage Pass-Through<BR>
Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 21.5pt">47,498</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2001-SB1, Class A2</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.38%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 27.5pt">47,064</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Thornburg Mortgage Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">237,287
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-4, Class A1, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/25/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">241,874
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Towd Point Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">775,065
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-1, Class AES (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">778,509
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,117,618
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-2, Class 2A1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/57
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,129,722
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">885,214
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-3, Class A1B (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">891,362
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">79,763
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-6, Class A1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/55
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">81,348
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">846,417
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-1, Class A3B (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">848,802
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">188,841
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-4, Class A1 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/56
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">188,977
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">647,951
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-3, Class A3 (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.78%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/57
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">656,139
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Wachovia Mortgage Loan Trust, LLC&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">161,339
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-A, Class 3A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">162,388
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">WaMu Mortgage Pass-Through Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">182,771
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-AR5, Class A7 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">189,914
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">290,825
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR1, Class A (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.85%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">300,001
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">368,675
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR10, Class A1B, 1 Mo. LIBOR + 0.42% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.24%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/44
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">369,304
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">297,727
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">305,191
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">50,717
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-AR3, Class A2 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">52,524
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">420,019
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR1, Class A1A, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">421,050
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">564,028
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR11, Class A1A, 1 Mo. LIBOR + 0.32% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.14%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">566,832
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">602,061
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR6, Class 2A1A, 1 Mo. LIBOR + 0.46% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.28%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">602,392
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">220,984
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR9, Class A1A, 1 Mo. LIBOR + 0.64% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.46%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">220,918
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">382,627
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-AR2, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">376,883
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Washington Mutual Alternative Mortgage Pass-Through Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">21,178
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">28.54%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">42,503
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Washington Mutual MSC Mortgage Pass-Through Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">293,884
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-RA1, Class 2A</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">317,207
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Wells Fargo Mortgage Backed Securities Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">185,955
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-H, Class A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.77%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">192,404
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">268,727
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-A, Class A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.97%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">282,080
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">36,704
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-EE, Class 3A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.66%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">38,270
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">501,448
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-R, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">521,845
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">104,143
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-S, Class A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.89%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">108,914
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">122,976
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR10, Class 2A17 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.93%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">129,193
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">160,509
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR16, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.95%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">162,190
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">183,603
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR3, Class 2A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.84%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">190,784
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">178,450
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-AR8, Class 1A1 (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.96%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">180,705
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">57,264
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-16, Class 1A1</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/04/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">57,526
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">WinWater Mortgage Loan Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">442,282
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-3, Class B1 (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.90%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">465,065
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">334,664
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-5, Class A5 (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">338,923
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">31,420,333
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Commercial Mortgage-Backed Securities&#8201;&#8211; 2.9%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Hudsons Bay Simon JV Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">510,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.90% (a) (b)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.97%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/05/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">511,103
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Morgan 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 14pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-decoration: none; text-align: left; 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 NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.31%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,002,659
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 67pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: right; text-transform: none">Page 7</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_4">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">UBS-Barclays Commercial Mortgage Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 4pt">13,508,328</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-C5, Class XA, IO (b) (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">0.95%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 22.5pt">346,488</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%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 23pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,860,250
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 75.78%"><DIV STYLE="float: left">Total Mortgage-Backed Securities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">33,280,583
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">(Cost $33,395,116)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;&#8211; 40.2%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;&#8211; 28.6%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,417
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1007, Class H, 1 Mo. LIBOR x -1.35 + 20.88% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">18.29%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/15/20
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,474
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">19,564
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">9.57%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/15/22
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">21,367
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">20,296
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/24
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">2,994
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">72,306
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">21.45%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/15/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">107,646
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">284,313
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">51,736
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">631,076
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.53%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/15/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">102,231
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">725,493
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/15/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">3,161
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,495,606
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.73%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/15/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">226,249
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">304,203
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">16.10%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/15/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">521,492
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">226,587
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3108, Class QZ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">333,096
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">13,874
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">33.66%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/15/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">48,994
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">308,525
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3210, Class ZA</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">401,235
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">152,257
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3410, Class HC</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">170,345
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">107,693
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.11%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/15/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">11,853
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">506,455
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/15/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">80,655
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">345,390
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3784, Class BI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">5,041
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">250,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3797, Class KB</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">291,491
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">88,139
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3898, Class NI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">985
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">621,075
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 3985, Class GI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/26
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">25,690
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">53,209
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4021, Class IP, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/27
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">3,301
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">777,073
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4057, Class YI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">58,677
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,475,101
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4082, Class PI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">107,559
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">894,445
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4206, Class IA, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">99,119
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">477,081
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/15/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">489,086
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">5,586,270
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 4619, Class IB, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">330,547
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp. Structured Pass-Through<BR>
Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">50,535
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series T-56, Class APO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14.4pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">(e)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">46,767
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp., STRIPS&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">82,586
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 177, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/17/26
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">12,083
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">677,354
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 243, Class 2, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">113,336
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">4,610,165
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 303, Class C17, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">694,244
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">77,449
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1996-46, Class ZA</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">86,208
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">301,376
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1997-85, Class M, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/27
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">28,779
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">50,308
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2002-80, Class IO, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">6,909
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">94,031
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/25/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">15,123
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">118,634
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-44, Class IU, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">27,396
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">697,173
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2003-62, Class PO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14.4pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">(e)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">636,145
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">616,577
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.28%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/25/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">86,985
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">18,114
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-74, Class SW, 1 Mo. LIBOR x -2 + 15.50% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/25/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">24,112
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 17pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 8</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_5">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 16.5pt">432,155</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-W10, Class A6</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 22.5pt">482,101</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">273,214
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">21.31%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/25/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">482,748
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">29,676
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-59 SU, 1 Mo. LIBOR x -5 + 25.50% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">16.39%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">45,362
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">107,047
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.88%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/25/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">19,508
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">408,572
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-74, Class NZ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">533,377
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">222,078
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-105, Class ZA</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">303,223
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">718,590
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2006-5, Class 3A2, 1 Mo. LIBOR + 2.08% (a)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.40%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">756,366
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">68,687
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.63%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">11,758
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">233,651
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-30, Class ZM</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">274,472
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">318,345
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.93%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/25/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">65,390
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-17, Class BE</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">363,294
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">182,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-2, Class PH</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">224,414
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">469,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-28, Class HX</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">579,903
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">183,374
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-37, Class NZ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.71%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">239,411
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,447,862
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-103, Class ID, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">311,926
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">87,738
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-104, Class CI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/20
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">648
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">49,382
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-145, Class TI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/20
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">500
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">86,686
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">14.84%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">146,164
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">33,450
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-5, Class IK, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">8.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">02/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 45pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">908
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-52, Class LB</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">945,638
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">745,139
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-66, Class QI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">16,362
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,106,811
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-81, Class PI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">128,813
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">120,812
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-111, Class B</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">140,754
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,671,837
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-112, Class BI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/31
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">114,891
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,895,301
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-125, Class MI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">241,922
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">23,328
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-74, Class OA</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14.4pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">(e)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">21,476
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">23,328
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2012-75, Class AO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14.4pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">(e)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/42
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">21,476
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">149,284
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/44
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">171,897
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">581,160
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-28, Class AQ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">2.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">578,766
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,771,133
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-32, Class IG, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">205,484
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">450,688
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-51, Class PI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/32
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">39,965
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">3,160,681
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.33%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/25/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">566,135
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,167,207
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-76, Class BI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">97,580
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">3,350,132
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2015-97, Class AI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">299,282
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">168,142
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-74, Class LI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">54,309
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association, STRIPS&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">56,308
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 305, Class 12, IO (f)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/29
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">9,594
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">64,052
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 355, Class 18, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">7.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/33
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">14,964
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">2,267,098
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 387, Class 10, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">406,122
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,369,806
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 406, Class 6, IO (f)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">196,166
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Government National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">195,423
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-95, Class QZ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">216,462
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">256,729
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-33, Class AY</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">284,748
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">104,157
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11.82%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/17/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">127,459
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">356,400
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.45%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/20/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">74,472
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">41,880
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">63.10%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/20/36
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">129,013
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">562,155
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2007-14, Class PB</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.40%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">614,874
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">89,888
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.93%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/20/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">18,182
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">299,534
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.80%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/20/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">42,194
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">100,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-2, Class HB</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">119,911
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2008-32, Class JD</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">344,632
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">252,261
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.89%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/20/38
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">32,663
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">627,830
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 8pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.61%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/16/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">25,372
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">208,684
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-12, Class IE, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 8pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">03/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">37,440
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 22pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: right; text-transform: none">Page 9</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_6">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 15pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.56%">Principal<BR>
Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 51.33%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Coupon
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Stated<BR>
Maturity
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Government National Mortgage Association&#8201;(Continued)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 8.56%">$<FONT STYLE="padding-left: 21.5pt">39,071</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-65, Class NJ, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 0pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 32.5pt">1,342</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">129,638
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2009-79, Class PZ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">171,428
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2010-61, Class KE</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">883,595
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">156,872
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2011-131, Class EI, IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">2,145
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">452,626
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; 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% (d)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.26%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/16/43
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">81,105
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">71,844
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-139, Class MZ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/45
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">60,481
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">143,337
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-4, Class CZ</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">151,329
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">110,019
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2017-H18, Class DZ (f)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.59%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/67
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">137,739
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">17,943,766
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Commercial Mortgage-Backed Securities&#8201;&#8211; 4.3%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp. Multifamily Structured<BR>
Pass-Through Certificates&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">19,970,910
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series K087, Class X1, IO (c)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">0.36%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/28
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">621,834
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Government National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">218,000
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2013-57, Class D (f)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">06/01/46
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">213,955
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">5,131,210
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-11, Class IO (f)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">0.88%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/56
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">309,824
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">8,294,776
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-143, Class IO</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">0.96%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">10/01/56
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">650,634
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">11,772,571
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2016-166, Class IO (f)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">1.09%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/58
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">939,372
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 23pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">2,735,619
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Pass-through Security&#8201;&#8211; 7.3%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1.88pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal Home Loan Mortgage Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">174,649
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool A94738</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">183,846
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">530,349
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool K36017</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">09/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">558,880
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">929,142
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool U99176</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">4.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">992,043
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Federal National Mortgage Association&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 31.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">6,084
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool 535919</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">05/01/21
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 37.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">6,777
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">757,146
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool 831145</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">12/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">870,291
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">643,996
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool 843971</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.00%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">11/01/35
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">737,056
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 14pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">1,158,143
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Pool AB5688</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">3.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">07/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 20pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">1,214,365
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: bottom; width: 75.78%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 23pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">4,563,258
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 75.78%"><DIV STYLE="float: left">Total U.S. Government Agency Mortgage-Backed Securities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 18pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">25,242,643
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">(Cost $25,828,663)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="9" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">ASSET-BACKED SECURITIES&#8201;&#8211; 1.2%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Green Tree Financial Corp.&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 26.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">48,059
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 1998-4, Class A7</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.87%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">04/01/30
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 32.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">50,233
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">Mid-State Capital Corp. Trust&#8201;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">304,531
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 1pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2004-1, Class M1</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">6.50%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">08/01/37
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">330,312
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 21.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">331,609
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 9pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%"><DIV STYLE="float: left">Series 2005-1, Class A</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">5.75%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.22%">01/01/40
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 27.5pt; padding-top: 1pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">362,886
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.88pt 3pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 75.78%"><DIV STYLE="float: left">Total Asset-Backed Securities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1.88pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 30.5pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">743,431
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 51.33%">(Cost $687,774)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-top: 1pt; text-align: center; vertical-align: bottom; width: 12.22%">&#160;
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; 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: 3pt; 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 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 75.77%"><DIV STYLE="float: left">Total Investments &#8211; 94.3%</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD>
    <TD STYLE="width: 2%">&nbsp;</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 2pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">59,266,657
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 6pt; 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 6pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom">(Cost $59,911,553) (g)
</TD>
    <TD>&nbsp;</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-top: 1pt; text-align: right; vertical-align: bottom">&#160;
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 116pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 113pt; text-align: left; text-transform: none">Page 10</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="SOI-SOIfooter-6_7">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: separate; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt 2pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.56%">Number of Contracts
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 39.11%">Description
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Notional Amount
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Exercise Price
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 2pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.22%">Expiration Date
</TD><TD STYLE="line-height: 0pt; padding-bottom: 2pt; padding-right: 3pt; padding-top: 2pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 1pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2pt; padding-left: 3pt; padding-top: 2pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="11" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 1.75pt; text-align: left; text-transform: none; vertical-align: top; width: 100%">CALL OPTIONS PURCHASED&#8201;&#8211; 0.1%
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: top; white-space: nowrap; width: 8.56%">10
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 39.11%"><DIV STYLE="float: left">U.S. Treasury Long Term Bond Futures</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 10.22%">$<FONT STYLE="padding-left: 22.5pt">160,190</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 10.22%">$<FONT STYLE="padding-left: 27.5pt">158.00</FONT>
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 10.22%">Jan 2020
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 1pt; text-align: right; text-transform: none; vertical-align: bottom; width: 12.22%">$<FONT STYLE="padding-left: 27.5pt">35,156</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 8.56%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 39.11%">(Cost $19,262)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: bottom; width: 10.22%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: right; vertical-align: top; width: 2%">&#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: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; 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: 3pt; 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 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 75.77%"><DIV STYLE="float: left">Net Other Assets and Liabilities &#8211; 5.6%</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD>
    <TD STYLE="width: 2%">&nbsp;</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 23pt; padding-top: 2pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.22%">3,529,726
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom"><DIV STYLE="float: left">Net Assets &#8211; 100.0%</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD>
    <TD>&nbsp;</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.5pt; padding-left: 3pt; padding-top: 1.88pt; text-align: right; text-transform: none; vertical-align: bottom">$<FONT STYLE="padding-left: 10pt">62,831,539</FONT>
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Futures Contracts<FONT STYLE="font-weight: normal"> (See Note 2C - Futures Contracts in the Notes to Financial Statements):</FONT></DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 5pt 3pt 3pt 0pt; color: #000000; text-decoration: none; text-align: left; 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%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 5pt 3pt 3pt; color: #000000; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 5pt 3pt 3pt; color: #000000; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 5pt 3pt 3pt; color: #000000; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 5pt 3pt 3pt; color: #000000; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 5pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.78%">Unrealized<BR>
Appreciation<BR>
(Depreciation)/<BR>
Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt 0pt; text-decoration: none; text-align: left; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-decoration: none; text-align: center; 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: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 7.65%">Dec 2019
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 7.44%">$<FONT STYLE="padding-left: 7.5pt"></FONT> 238,406
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1pt; padding-right: 3pt; padding-top: 1.88pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1pt; padding-left: 3pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.78%">$<FONT STYLE="padding-left: 1.67pt"></FONT>(1,000)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.38%">U.S. Treasury CME Ultra Long Term 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7.82%">5
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 7.65%">Dec 2019
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 12.5pt; color: #000000; color: #000000; text-decoration: none; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7.44%">948,750
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 3pt; padding-top: 1pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; color: #000000; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 3pt; padding-left: 8pt; padding-top: 1pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.78%">26,656
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1.5pt 12pt; text-decoration: none; text-align: left; 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%">&#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%">&#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%">&#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%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.88pt 3pt 1.5pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7.44%">$1,187,156
</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%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.5pt; padding-left: 3pt; padding-top: 1.88pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.78%">$25,656
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: right; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; text-align: left; text-transform: none; vertical-align: top; width: 100%"><HR NOSHADE ALIGN="LEFT" STYLE="background-color: #000000; border-bottom-width: 0pt; border-left-width: 0pt; border-right-width: 0pt; border-top: #000000 0.5pt solid; height: 0.5pt; width: 22%">
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(a)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-top: 1pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(b)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-top: 1pt; text-align: left; 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, 2019, securities noted as such amounted to $14,285,595 or 22.7% of net assets.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(c)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 97.78%">Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment&#8217;s underlying collateral. The interest rate resets periodically.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(d)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 97.78%">Inverse floating rate security.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(e)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 97.78%">Zero coupon security.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(f)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 97.78%">Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 6pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.78%">(g)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 97.78%">Aggregate cost for federal income tax purposes was $60,845,622. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which
there was an excess of value over tax cost was $2,449,746 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,967,899. The net unrealized
depreciation was $1,518,153. The amounts presented are inclusive of derivative contracts.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-right: 6pt; padding-top: 7pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 7.18%">IO
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 3pt; padding-top: 7pt; text-align: left; text-transform: none; vertical-align: top; width: 92.82%">Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-right: 6pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 7.18%">LIBOR
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 3pt; padding-top: 1pt; text-align: left; text-transform: none; vertical-align: top; width: 92.82%">London Interbank Offered Rate
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 6pt 3pt 3pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 7.18%">STRIPS
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1pt 3pt 3pt 6pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; width: 92.82%">Separate Trading of Registered Interest and Principal of Securities
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 219pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Portfolio of Investments
(Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 7pt; width: 100%">
<HR NOSHADE ALIGN="LEFT" STYLE="background-color: #000000; border-bottom-width: 0pt; border-left-width: 0pt; border-right-width: 0pt; border-top: #000000 0.5pt solid; height: 0.5pt; width: 22%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Valuation Inputs</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">A summary of the inputs
used to value the Fund&#8217;s investments as of October 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 0pt; padding-top: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 100%">ASSETS TABLE
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 1pt; padding-top: 1.25pt; text-align: left; vertical-align: bottom; width: 49.39%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 5pt 3pt 1pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">Total<BR>
Value at<BR>
10/31/2019
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3.5pt 3pt 5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.93%">Level 1<BR>
Quoted<BR>
Prices
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 3.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">Level 2<BR>
Significant<BR>
Observable<BR>
Inputs
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; width: 14.68%">Level 3<BR>
Significant<BR>
Unobservable<BR>
Inputs
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.39%"><DIV STYLE="float: left">Mortgage-Backed Securities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 5pt 1.25pt 1pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>33,280,583
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3.5pt 1.25pt 5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.93%">$<FONT STYLE="padding-left: 17.5pt"></FONT><FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>&#8212;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.25pt 3.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>33,280,583
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; width: 14.68%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.39%"><DIV STYLE="float: left">U.S. Government Agency Mortgage-Backed Securities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 5pt 1.25pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">25,242,643</FONT>
</TD><TD STYLE="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; padding: 1.25pt 3.5pt 1.25pt 27.5pt; font-size: 5pt; text-decoration: none; font-style: normal; font-weight: normal; line-height: 8pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 10.93%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3pt 1.25pt 8.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">25,242,643</FONT>
</TD><TD STYLE="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; text-decoration: none; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; padding-bottom: 1.25pt; padding-left: 8pt; padding-top: 1.25pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 14.68%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.39%"><DIV STYLE="float: left">Asset-Backed Securities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 5pt 3pt 18.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">743,431</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3.5pt 3pt 27.5pt; color: #000000; color: #000000; text-decoration: none; font-family: Times New Roman; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 10.93%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3pt 3pt 21pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">743,431</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; text-decoration: none; color: #000000; color: #000000; font-family: Times New Roman; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; padding-bottom: 3pt; padding-left: 8pt; padding-top: 1.25pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 14.68%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.39%"><DIV STYLE="float: left">Total Investments</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 2.12pt 5pt 1.25pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">59,266,657</FONT>
</TD><TD STYLE="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; padding: 2.12pt 3.5pt 1.25pt 27.5pt; font-size: 5pt; text-decoration: none; font-style: normal; font-weight: normal; line-height: 8pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 10.93%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 2.12pt 3pt 1.25pt 8.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">59,266,657</FONT>
</TD><TD STYLE="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; text-decoration: none; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; padding-bottom: 1.25pt; padding-left: 8pt; padding-top: 2.12pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 14.68%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.39%"><DIV STYLE="float: left">Call Options Purchased</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 5pt 1.25pt 23.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">35,156</FONT>
</TD><TD STYLE="color: #000000; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3.5pt 1.25pt 10pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.93%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">35,156</FONT>
</TD><TD STYLE="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; padding: 1.25pt 3pt 1.25pt 43.5pt; font-size: 5pt; text-decoration: none; font-style: normal; font-weight: normal; line-height: 8pt; text-align: center; text-decoration-line: 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="color: #000000; color: #000000; font: normal 5pt/8pt Times New Roman; font-family: Times New Roman; text-decoration: none; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; padding-bottom: 1.25pt; padding-left: 8pt; padding-top: 1.25pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 14.68%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.39%"><DIV STYLE="float: left">Futures Contracts</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 5pt 3pt 23.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">26,656</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3.5pt 3pt 10pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.93%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">26,656</FONT>
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; padding: 1.25pt 3pt 3pt 43.5pt; color: #000000; color: #000000; text-decoration: none; font-family: Times New Roman; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; text-align: center; text-decoration-line: 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: #000000 0.5pt solid; font: normal 5pt/8pt Times New Roman; text-decoration: none; color: #000000; color: #000000; font-family: Times New Roman; font-size: 5pt; font-style: normal; font-weight: normal; line-height: 8pt; padding-bottom: 3pt; padding-left: 8pt; padding-top: 1.25pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; width: 14.68%">&#8194;<FONT STYLE="font-size: 10pt; line-height: 13pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1pt 2.75pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 49.39%"><DIV STYLE="float: left">Total</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 5pt 2.75pt 1pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>59,328,469
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3.5pt 2.75pt 5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.93%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>61,812
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 2.75pt 3.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">$<FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>59,266,657
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2.75pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; width: 14.68%">$<FONT STYLE="padding-left: 2.5pt"></FONT>&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="5" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 0pt; padding-top: 2.75pt; text-align: center; text-transform: none; vertical-align: bottom; width: 100%"><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: 49.39%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 5pt 3pt 1pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 13.06%">Total<BR>
Value at<BR>
10/31/2019
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3.5pt 3pt 5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.93%">Level 1<BR>
Quoted<BR>
Prices
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 3.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">Level 2<BR>
Significant<BR>
Observable<BR>
Inputs
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; width: 14.68%">Level 3<BR>
Significant<BR>
Unobservable<BR>
Inputs
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 1pt 1.5pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.39%"><DIV STYLE="float: left">Futures Contracts</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 5pt 1.5pt 1pt; color: #000000; text-decoration: none; text-align: center; 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>(1,000)
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3.5pt 1.5pt 5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 10.93%">$<FONT STYLE="padding-left: 1.67pt"></FONT><FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>(1,000)
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.5pt 3.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 14.17%">$<FONT STYLE="padding-left: 35pt"></FONT><FONT STYLE="font-size: 5pt; line-height: 8pt">&#8194;</FONT>&#8212;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.5pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; 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 TYPE="Block" STYLE="margin-top: 378pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 12</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Statement of Assets and
Liabilities </DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 0pt; padding-right: 3pt; text-align: left; 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: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Investments, at value</DIV><BR>
<DIV STYLE="float: left">(Cost $59,911,553)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 3pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">$&#8194;59,266,657
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%"><DIV STYLE="float: left">Cash</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 18pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">3,174,527
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Restricted Cash</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 25.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">171,469
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Options purchased, at value</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">35,156
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; 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: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.26%"><DIV STYLE="float: left">Interest</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 25.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">310,207
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Variation margin</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">28,666
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Prepaid expenses</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 35.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">6,695
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 3pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Total Assets</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 13pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">62,993,377
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; 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: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; 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: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Audit and tax fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">67,605
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Investment advisory fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">45,309
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Administrative fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">18,570
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Shareholder reporting fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 35.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">6,624
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Transfer agent fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 35.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">6,226
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Trustees&#8217; fees and expenses</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 35.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">5,432
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Custodian fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 35.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">5,305
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Legal fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 35.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">4,199
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Financial reporting fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 43pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">771
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Other liabilities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 35.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">1,797
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 3pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Total Liabilities</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 25.5pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">161,838
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 3pt 2.75pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">NET ASSETS</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2.75pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; width: 11.85%">$<FONT STYLE="padding-left: 5pt"></FONT>62,831,539
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.75pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%">NET ASSETS consist of:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-top: 2.75pt; text-align: center; vertical-align: bottom; width: 11.85%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Paid-in capital</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 3pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">$&#8194;66,607,906
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Par value</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">42,131
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Accumulated distributable earnings (loss)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 14.67pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">(3,818,498)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 3pt 2.75pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">NET ASSETS</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2.75pt; padding-left: 3pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; width: 11.85%">$<FONT STYLE="padding-left: 5pt"></FONT>62,831,539
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.75pt 3pt 2.75pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">NET ASSET VALUE, <FONT STYLE="font-weight: normal">per Common Share (par value $0.01 per Common Share)</FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2.75pt; padding-left: 3pt; padding-top: 2.75pt; text-align: center; text-transform: none; vertical-align: bottom; width: 11.85%">$<FONT STYLE="padding-left: 27.5pt"></FONT>14.91
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.75pt 3pt 2.75pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2.75pt; padding-left: 18pt; padding-top: 2.75pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.85%">4,213,115
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.75pt 3pt 1.5pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.26%"><DIV STYLE="float: left">Premiums paid on options purchased</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.5pt; padding-left: 3pt; padding-top: 2.75pt; text-align: center; text-transform: none; vertical-align: bottom; width: 11.85%">$<FONT STYLE="padding-left: 22.5pt"></FONT>19,262
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 242pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Statement of Operations </DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">For the Year Ended October
31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%">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 COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Interest</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 6pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; width: 11.48%">$&#8194;2,283,773
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Total investment income</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 16pt; padding-top: 2.12pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">2,283,773
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%">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 COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Investment advisory fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 18.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;535,334
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Audit and tax fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;79,811
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Administrative fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;72,042
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Transfer agent fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;36,241
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Shareholder reporting fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;27,112
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Custodian fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;21,665
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Listing expense</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;21,283
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Trustees&#8217; fees and expenses</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;16,221
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Financial reporting fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 28.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;9,250
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Legal fees</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 28.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;5,333
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Other</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 23.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;14,665
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Total expenses</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 23.5pt; padding-top: 2.12pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">838,957
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">NET INVESTMENT INCOME (LOSS)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 16pt; padding-top: 2.12pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">1,444,816
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%">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 COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%">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 COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Investments</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 40.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">36,649
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Futures</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 40.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">96,774
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Purchased options</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 45.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">5,816
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Net realized gain (loss)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 18.5pt; padding-top: 2.12pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;139,239
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%">Net change in unrealized appreciation (depreciation) on:
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 2.12pt; text-align: right; vertical-align: bottom; width: 11.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Investments</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 28pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">1,185,171
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 89.63%"><DIV STYLE="float: left">Futures</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 40.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">33,219
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 12pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Purchased options</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 40.5pt; padding-top: 1.25pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">15,894
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">Net change in unrealized appreciation (depreciation)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 11pt; padding-top: 2.12pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">&#8194;1,234,284
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">NET REALIZED AND UNREALIZED GAIN (LOSS)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 16pt; padding-top: 2.12pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">1,373,523
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD COLSPAN="2" STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.5pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 89.63%"><DIV STYLE="float: left">NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.5pt; padding-left: 6pt; padding-top: 2.12pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.48%">$&#8194;2,818,339
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 260pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 14</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Statements of Changes in
Net Assets </DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: separate; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 9pt; padding-bottom: 3pt; padding-right: 3pt; text-align: center; vertical-align: bottom; width: 76.85%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 3pt; padding-right: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 9.85%">Year<BR>
Ended<BR>
10/31/2019
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.41%">Year<BR>
Ended<BR>
10/31/2018
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; 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: center; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 2.12pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net investment income (loss)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 0pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 9.85%">$<FONT STYLE="padding-left: 5pt"></FONT>&#8194;1,444,816
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 0pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; width: 12.41%">$<FONT STYLE="padding-left: 5pt"></FONT>&#8194;1,887,154
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net realized gain (loss)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 20.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;139,239
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 20.17pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(229,462)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net change in unrealized appreciation (depreciation)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 13pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;1,234,284
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 20.17pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(647,350)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Net increase (decrease) in net assets resulting from operations</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 18pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">2,818,339
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 21pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">1,010,342
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; 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: center; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 2.12pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Investment operations</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.25pt 9.67pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(2,109,890)
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 12.67pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(1,767,839)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Return of capital</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 17.17pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(923,552)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 12.67pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(1,391,998)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Total distributions to shareholders</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 3pt 14.67pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">(3,033,442)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 17.67pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">(3,159,837)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Total increase (decrease) in net assets</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt 17.17pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;(215,103)
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 12.67pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;(2,149,495)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; 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: center; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Beginning of period</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 3pt 8pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">&#8194;63,046,642
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 11pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">&#8194;65,196,137
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 3pt 2.75pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">End of period</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 2.75pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 9.85%">$&#8194;62,831,539
</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%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 2.75pt; padding-left: 0pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">$&#8194;63,046,642
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; padding: 2.75pt 3pt 1.25pt 0pt; text-decoration: none; text-align: left; 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: center; 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%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 2.75pt; text-align: center; vertical-align: bottom; width: 12.41%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 3pt 1.5pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 76.85%"><DIV STYLE="float: left">Common Shares at end of period </DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 1.5pt 18pt; color: #000000; text-decoration: none; text-align: center; 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%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.5pt; padding-left: 21pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 12.41%">4,213,115
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 414pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">See Notes to Financial Statements</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">Financial Highlights </DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 1pt; text-align: left; text-transform: none">For a Common Share
outstanding throughout each period</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: separate; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD ROWSPAN="2" STYLE="line-height: 9pt; padding-bottom: 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; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 1.5pt; text-align: center; text-transform: none; vertical-align: bottom; width: 52.43%">Year Ended October 31,
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt 1.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">2019
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2018
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2017
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; padding: 2.12pt 11.5pt 3pt 31.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">2016<FONT STYLE="font-size: 3pt; line-height: 6pt">&#8194;</FONT>(a)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 11.5pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">2015
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Net asset value, beginning of period</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt 1.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 7%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;14.96
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;15.47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;15.53
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 11.5pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;16.05
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 11.5pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; width: 10.86%">$<FONT STYLE="padding-left: 4.75pt"></FONT>&#8194;17.02
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%">Income from investment operations:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 7%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 10.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Net investment income (loss)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 20.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">0.34
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">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; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.18
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.02)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">1.02
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Net realized and unrealized gain (loss)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 20.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">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; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(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; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.54
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.41
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 27.34pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(0.97)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Total from investment operations</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 20.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">0.67
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">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; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.72
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 30.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">0.39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">0.05
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%">Distributions paid to shareholders from:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 7%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 10.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Net investment income</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 17.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">(0.50)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(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; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.46)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.54)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 27.34pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(0.47)
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Return of capital</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 17.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">(0.22)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(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; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.32)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.37)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 27.34pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(0.55)
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Total distributions paid to Common Shareholders</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 17.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">(0.72)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(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; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.78)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 3pt 27.34pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.91)
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 27.34pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">(1.02)
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Net asset value, end of period</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 1.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 7%">$<FONT STYLE="padding-left: 9.5pt"></FONT>14.91
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<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; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>15.47
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>15.53
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.25pt; padding-left: 11.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; width: 10.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>16.05
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Market value, end of period</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto"><DIV STYLE="float: left"></DIV>
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 1.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; width: 7%">$<FONT STYLE="padding-left: 9.5pt"></FONT>13.99
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>13.01
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>14.39
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; width: 8.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>14.00
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.25pt; padding-left: 11.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; width: 10.86%">$<FONT STYLE="padding-left: 9.5pt"></FONT>14.58
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Total return based on net asset value<FONT STYLE="font-weight: normal"> (b)</FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto"><DIV STYLE="float: left"></DIV>
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 20.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">5.08%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">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; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">5.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; color: #000000; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">3.05%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">1.06%
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Total return based on market value<FONT STYLE="font-weight: normal"> (b)</FONT></DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto"><DIV STYLE="float: left"></DIV>
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 15.75pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">13.37%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(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; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">8.60%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">2.26%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">3.34%
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%">Ratios to average net assets/supplemental data:
</TD><TD STYLE="line-height: 10pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 7%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 8.86%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-top: 1.25pt; text-align: center; vertical-align: bottom; width: 10.86%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 1.5pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Net assets, end of period (in 000&#8217;s)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 1.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">$&#8194;62,832
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">$&#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; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">$&#8194;65,196
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">$&#8194;65,437
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 11.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">$&#8194;67,639
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Ratio of total expenses to average net assets</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 20.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">1.33%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">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; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.47%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">1.55%
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Ratio of total expenses to average net assets excluding interest expense</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 20.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">1.33%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">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; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.25%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.43%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">1.51%
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Ratio of net investment income (loss) to average net assets</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 20.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">2.29%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">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; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 30.5pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">1.12%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 1.25pt 27.34pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">(0.11)%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 30.5pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">6.18%
</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-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 49.7%"><DIV STYLE="float: left">Portfolio turnover rate</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 27.62pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 7%">69%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 37.62pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">30%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 37.62pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">27%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 11.5pt 5pt 37.62pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 8.86%">49%
</TD><TD STYLE="line-height: 0pt; padding-bottom: 5pt; padding-right: 11.5pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 5pt; padding-left: 37.62pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.86%">46%
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: right; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 3pt; padding-top: 6pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.71%">(a)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 3pt; padding-top: 6pt; text-align: left; 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: normal 10pt/13pt Times New Roman; padding: 1.5pt 3pt 3pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.71%">(b)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 3pt; padding-left: 3pt; padding-top: 1.5pt; text-align: left; 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></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 255pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 16</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: center; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Notes to Financial Statements<FONT STYLE="color: #000000"> </FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">1.&nbsp;Organization</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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 &#8220;FMY&#8221; on the New York Stock Exchange
(&#8220;NYSE&#8221;).</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 pursues its objectives by investing primarily in mortgage-backed securities
(&#8220;MBS&#8221;) representing part ownership in a pool of either residential or commercial mortgage loans that, in the opinion of First Trust Advisors L.P. (&#8220;First Trust&#8221; or the &#8220;Advisor&#8221;),
offer an attractive combination of credit quality, yield and maturity. There can be no assurance the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">2.&nbsp;Significant
Accounting Policies</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">A.&nbsp;Portfolio
Valuation</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The net asset value
(&#8220;NAV&#8221;) of the Common Shares of the Fund is determined daily as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes
early on a valuation day, the NAV is determined as of that time. Domestic debt securities and foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. The
Fund&#8217;s NAV per Common Share is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses, dividends declared but
unpaid and any borrowings of the Fund), by the total number of Common Shares outstanding.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The Fund&#8217;s
investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a
national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained
from a third-party pricing service or are determined by the Advisor&#8217;s Pricing Committee, in accordance with valuation procedures adopted by the Fund&#8217;s Board of Trustees, and in accordance with provisions
of the 1940 Act. Investments valued by the Advisor&#8217;s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund&#8217;s investments are valued as follows:</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; padding-left: 4.44%; text-align: left; text-transform: none">U.S.
government securities, mortgage-backed securities, asset-backed securities and other debt securities are fair valued on the basis of valuations provided by dealers who make markets in such securities or by a
third-party pricing service approved by the Fund&#8217;s Board of Trustees, which may use the following valuation inputs when available:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 7.78%; margin-top: 9pt; width: 92.22%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">benchmark yields;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">reported trades;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">3)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">broker/dealer quotes;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">4)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">issuer spreads;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">5)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">benchmark securities;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">6)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">bids and offers; and
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">7)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">reference data including market research publications.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; padding-left: 4.44%; text-align: left; text-transform: none">Exchange-traded futures contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded futures contracts are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; padding-left: 4.44%; text-align: left; text-transform: none">Exchange-traded options contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded options contracts are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; padding-left: 4.44%; text-align: left; 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</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 9pt; text-align: right; 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">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 4.44%; text-align: left; text-transform: none">has determined that
the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the
appropriateness of the use of amortized cost include, but are not limited to, the following:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 7.78%; margin-top: 10pt; width: 92.22%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">the credit conditions in the relevant market and changes thereto;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">the liquidity conditions in the relevant market and changes thereto;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">3)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">4)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">issuer-specific conditions (such as significant credit deterioration); and
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.61%">5)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.39%">any other market-based data the Advisor&#8217;s Pricing Committee considers relevant. In this regard, the Advisor&#8217;s Pricing Committee may use last-obtained market-based data to assist it when
valuing portfolio securities using amortized cost.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Certain securities may
not be able to be priced by pre-established pricing methods. Such securities may be valued by the Fund&#8217;s Board of Trustees or its delegate, the Advisor&#8217;s Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended (the &#8220;1933 Act&#8221;)) for which a
third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source;
 a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund&#8217;s NAV or make it difficult
or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security&#8217;s fair value. As a general principle, the current
fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market
quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="1" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 8pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the fundamental business data relating to the issuer;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">an evaluation of the forces which influence the market in which these securities are purchased and sold;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">3)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">4)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the financial statements of the issuer;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">5)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the credit quality and cash flow of the issuer, based on the Advisor&#8217;s or external analysis;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">6)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the information as to any transactions in or offers for the security;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">7)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">8)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the coupon payments;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 5pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 3.49%">9)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the quality, value and salability of collateral, if any, securing the security;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">10)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer&#8217;s management;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">11)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">the prospects for the issuer&#8217;s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; and
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">12)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">other relevant factors.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The Fund is subject to
fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="8" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 1pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 97.67%">Level 1 &#8211; Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 97.67%">Level 2 &#8211; Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
</TD></TR></TABLE>
</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 6.77%; margin-top: 9pt; width: 93.33%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 7pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 95.24%">Quoted prices for similar investments in active markets.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 7pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 95.24%">Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or
price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 7pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 95.24%">Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss
severities, credit risks, and default rates).
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 7pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 4.76%">o
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 95.24%">Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 9pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 8pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 97.67%">Level 3 &#8211; Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity&#8217;s own assumptions about the assumptions that market participants would use in pricing
the investment.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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, 2019, is included with the Fund&#8217;s Portfolio of Investments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">B.&nbsp;Securities
Transactions and Investment Income</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">Securities transactions
are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and
accretion of discounts are recorded using the effective interest method.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The Fund invests in
interest-only securities. For these securities, if there is a change in the estimated cash flows, based on an evaluation of current information, then the estimated yield is adjusted. Additionally, if the evaluation of
current information indicates a permanent impairment of the security, the cost basis of the security is written down and a loss is recognized. Debt obligations may be placed on non-accrual status and the related
interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt
obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 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, 2019, the Fund had no when-issued,
delayed-delivery or forward purchase commitments.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">On July 27, 2017, the
Financial Conduct Authority (&#8220;FCA&#8221;) announced that it will no longer persuade or compel banks to submit rates for the calculations of the London Interbank Offered Rates (&#8220;LIBOR&#8221;) after 2021
(the &#8220;FCA Announcement&#8221;). Furthermore, in the United States, efforts to identify a set of alternative U.S. dollar reference interest rates include proposals by the Alternative References Rates Committee of
the Federal Reserve Board and the Federal Reserve Bank of New York. On August 24, 2017, the Federal Reserve Board requested public comment on a proposal by the Federal Reserve Bank of New York, in cooperation with the
Office of Financial Research, to produce three new reference rates intended to serve as alternatives to LIBOR. These alternative rates are based on overnight repurchase agreement transactions secured by U.S. Treasury
Securities. On December 12, 2017, following consideration of public comments, the Federal Reserve Board concluded that the public would benefit if the Federal Reserve Bank of New York published the three proposed
reference rates as alternatives to LIBOR (the &#8220;Federal Reserve Board Notice&#8221;).</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">At this time, it is not
possible to predict the effect of the FCA Announcement, the Federal Reserve Board Notice, or other regulatory changes or announcements, any establishment of alternative reference rates of any other reforms to LIBOR
that may be enacted in the United Kingdom, the United States or elsewhere. As such, the potential effect of any such event on the Fund cannot yet be determined.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">C.&nbsp;Futures
Contracts</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Fund may purchase or
sell (i.e., is long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Fund and a counterparty to buy or sell a
specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying
instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a
matching futures contract. If the Fund is not able to enter into an offsetting transaction, the Fund will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or
expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included
in &#8220;Net realized gain (loss) on futures&#8221; on the Statement of Operations.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 contracts 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 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>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 19pt; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">If market conditions
change unexpectedly, the Fund may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price
of the futures contracts, interest rates and the underlying instruments.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Restricted cash
segregated as collateral for futures contracts in the amount of $171,469 is shown as &#8220;Restricted Cash&#8221; on the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">D.&nbsp;Inverse
Floating-Rate Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">An inverse floating-rate
security is one where the coupon is inversely indexed to a short-term floating interest rate multiplied by a specific factor. As the floating rate rises, the coupon is reduced. Conversely, as the floating rate
declines, the coupon is increased. The price of these securities may be more volatile than the price of a comparable fixed-rate security. These instruments are typically used to enhance the yield of the portfolio and
have the effect of creating leverage. These securities, if any, are identified on the Portfolio of Investments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">E.&nbsp;Stripped
Mortgage-Backed Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">F.&nbsp;Interest-Only
Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">An IO Security is the
interest-only portion of a mortgage-backed security that receives some or all of the interest portion of the underlying mortgage-backed security and little or no principal. A reference principal value called a
notional value is used to calculate the amount of interest due to the IO Security. IO Securities are sold at a deep discount to their notional principal amount. Generally speaking, when interest rates are falling and
prepayment rates are increasing, the value of an IO Security will fall. Conversely, when interest rates are rising and prepayment rates are decreasing, generally the value of an IO Security will rise. These
securities, if any, are identified on the Portfolio of Investments.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">G.&nbsp;Dividends and
Distributions to Shareholders</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Fund will distribute
to holders of its Common Shares monthly dividends of all or a portion of its net income after the payment of interest and dividends in connection with leverage, if any. Distributions of any net long-term capital gains
earned by the Fund are distributed at least annually. Distributions will automatically be reinvested into additional Common Shares pursuant to the Fund&#8217;s Dividend Reinvestment Plan unless cash distributions are
elected by the shareholder.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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, 2019, resulting in book and tax accounting differences, have been reclassified at year end to reflect an
increase in accumulated net investment income (loss) of $89,675 and a decrease in accumulated net realized gain (loss) of $89,675. Accumulated distributable earnings (loss) consists of accumulated net investment
income (loss), accumulated net realized gain (loss) on investments, and unrealized appreciation (depreciation) on investments. Net assets were not affected by these reclassifications.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The tax character of
distributions paid by the Fund during the fiscal years ended October 31, 2019 and 2018, was as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 72.22%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 6pt 1.5pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 56.92%">Distributions paid from:
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.5pt; padding-left: 9pt; padding-top: 6pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 20%">2019
</TD><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.5pt; padding-left: 9pt; padding-top: 6pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 20.77%">2018
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 56.92%"><DIV STYLE="float: left">Ordinary income</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 9pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 20%">$<FONT STYLE="padding-left: 18pt">2,109,890</FONT>
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 9pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 20.77%">$<FONT STYLE="padding-left: 18pt">1,767,839</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 56.92%"><DIV STYLE="float: left">Capital gains</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 9pt 1.5pt 0pt; text-decoration: none; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; text-align: right; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 20%">&#8212;
</TD><TD STYLE="padding: 1.5pt 9pt 1.5pt 0pt; color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; font-family: Times New Roman; font-size: 10pt; font-style: normal; line-height: 13pt; text-align: right; text-decoration-line: 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: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 6pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 56.92%"><DIV STYLE="float: left">Return of capital</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 9pt 6pt 36.5pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 20%">923,552
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 9pt 6pt 32pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 20.77%">1,391,998
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 44pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">As of October 31, 2019,
the components of distributable earnings and net assets on a tax basis were as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 56.67%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 6pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Undistributed ordinary income</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.5pt; padding-left: 6pt; padding-top: 6pt; text-align: right; text-transform: none; vertical-align: bottom; width: 25.49%">$<FONT STYLE="padding-left: 48pt">&#8212;</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Undistributed capital gains</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; color: #000000; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 3pt; padding-left: 59pt; padding-top: 1.5pt; text-align: right; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Total undistributed earnings</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 1.5pt; padding-left: 59pt; padding-top: 2.38pt; text-align: right; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Accumulated capital and other losses</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.5pt; padding-left: 25.67pt; padding-top: 1.5pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">(2,300,345)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Net unrealized appreciation (depreciation)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 25.67pt; padding-top: 1.5pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">(1,518,153)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Total accumulated earnings (losses)</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.5pt; padding-left: 25.67pt; padding-top: 2.38pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">(3,818,498)
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 72.55%"><DIV STYLE="float: left">Other</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="color: #000000; color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; font-family: Times New Roman; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 1.5pt; padding-left: 59pt; padding-top: 1.5pt; text-align: right; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">&#8212;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.5pt 6pt 3pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Paid-in capital</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 24pt; padding-top: 1.5pt; text-align: right; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 25.49%">66,650,037
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.38pt 6pt 1.5pt 0pt; text-decoration: none; text-align: right; text-transform: none; vertical-align: bottom; width: 72.55%"><DIV STYLE="float: left">Total net assets</DIV><HR NOSHADE STYLE="background-color: transparent; border-bottom: Black medium dotted; border-left-color: transparent; border-right-color: transparent; border-top-color: transparent; margin-bottom: -5pt; margin-top: 5pt; padding-top: 3pt; vertical-align: auto">
</TD><TD STYLE="border-bottom: #000000 medium double; font: normal 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 1.5pt; padding-left: 6pt; padding-top: 2.38pt; text-align: right; text-transform: none; vertical-align: bottom; width: 25.49%">$<FONT STYLE="padding-left: 13pt">62,831,539</FONT>
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">H.&nbsp;Income Taxes</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Fund intends to
continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to
an excise tax of 4% of the amount by which approximately 98% of the Fund&#8217;s taxable income exceeds the distributions from such taxable income for the calendar year.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Under the Regulated
Investment Company Modernization Act of 2010 (the &#8220;Act&#8221;), net capital losses arising in taxable years 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, 2019, the Fund had no pre-enactment net capital losses for federal income tax purposes. At October 31, 2019, the Fund had post-enactment net
capital losses for federal income tax purposes of $2,300,345 to be carried forward indefinitely.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The Fund is subject to
certain limitations under the U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Certain losses realized
during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended October 31, 2019, the Fund did not incur
any net ordinary losses.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 2016, 2017, 2018,
and 2019 remain open to federal and state audit. As of October 31, 2019, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the
Fund&#8217;s financial statements for uncertain tax positions.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">I.&nbsp;Expenses</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Fund will pay all
expenses directly related to its operations.</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 10pt; text-align: left; text-transform: none">J.&nbsp;New Accounting
Pronouncements</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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 to the security&#8217;s maturity date. 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
adoption 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>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 14pt; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">3.&nbsp;Investment
Advisory Fee, Affiliated Transactions and Other Fee Arrangements</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">First Trust, the
investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the Fund&#8217;s investment portfolio, managing the Fund&#8217;s business
affairs and providing certain administrative services necessary for the management of the Fund. For these investment management services, First Trust is entitled to a monthly fee calculated at an annual rate of 0.85%
of the Fund&#8217;s Managed Assets (the average daily total asset value of the Fund minus the sum of the Fund&#8217;s liabilities other than the principal amount of borrowings or reverse repurchase agreements, if
any). First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">BNY Mellon Investment
Servicing (US) Inc. (&#8220;BNYM IS&#8221;) serves as the Fund&#8217;s transfer agent in accordance with certain fee arrangements. As transfer agent, BNYM IS is responsible for maintaining shareholder records for the
Fund. The Bank of New York Mellon (&#8220;BNYM&#8221;) serves as the Fund&#8217;s administrator, fund accountant, and custodian in accordance with certain fee arrangements. As administrator and fund accountant, BNYM
is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund&#8217;s books of account, records of the Fund&#8217;s securities transactions, and certain other
books and records. As custodian, BNYM is responsible for custody of the Fund&#8217;s assets. BNYM IS and BNYM are subsidiaries of The Bank of New York Mellon Corporation, a financial holding company.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Each Trustee who is not
an officer or employee of First Trust, any sub-advisor or any of their affiliates (&#8220;Independent Trustees&#8221;) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Additionally, the Lead
Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata
among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and
Committee Chairmen rotate every three years. The officers and &#8220;Interested&#8221; Trustee receive no compensation from the Fund for acting in such capacities.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">4.&nbsp;Purchases and
Sales of Securities</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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, 2019, were $33,930,501 and $8,882,234, 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, 2019, were $32,061,839 and $13,347,276, respectively.</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 163pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 183pt; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Notes to Financial Statements (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 10.5pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">5.&nbsp;Derivative
Transactions</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The following table
presents the type of derivatives held by the Fund at October 31, 2019, the primary underlying risk exposure and the location of these instruments as presented on the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="text-align: center">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: auto; margin-right: auto; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="line-height: 10pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 9.69%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 16.75%">&#160;
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="3" STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 6pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 34.62%">Asset Derivatives
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 6pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD COLSPAN="3" STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 6pt; padding-top: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 35.69%">Liability Derivatives
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt 0pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 9.69%">Derivative<BR>
Instrument
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 16.75%">Risk<BR>
Exposure
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 22.19%">Statement of Assets and<BR>
Liabilities Location
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.42%">Value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 1.62pt 6pt 3pt; color: #000000; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; width: 22.19%">Statement of Assets and<BR>
Liabilities Location
</TD><TD STYLE="line-height: 0pt; padding-bottom: 3pt; padding-right: 6pt; padding-top: 1.62pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; color: #000000; padding-bottom: 3pt; padding-left: 6pt; padding-top: 1.62pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.5%">Value
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 9.69%">Futures
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 6pt; padding-top: 2.12pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; width: 16.75%">Interest Rate Risk
</TD><TD STYLE="line-height: 0pt; padding-bottom: 1.25pt; padding-right: 6pt; padding-top: 2.12pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 22.19%">Unrealized appreciation<BR>
on futures contracts*
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.42%">$&#8194;26,656
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 2.12pt 6pt 1.25pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 22.19%">Unrealized depreciation<BR>
on futures contracts*
</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%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 1.25pt; padding-left: 6pt; padding-top: 2.12pt; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.5%">$&#8194;1,000
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 6pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 9.69%">Options
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 1.25pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 6pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; width: 16.75%">Interest Rate Risk
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 1.25pt; text-align: left; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 22.19%">Options contracts<BR>
purchased, at value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 6pt 16pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 10.42%">35,156
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 6pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; width: 22.19%">Options contracts<BR>
written, at value
</TD><TD STYLE="line-height: 0pt; padding-bottom: 6pt; padding-right: 6pt; padding-top: 1.25pt; text-align: center; vertical-align: top; width: 2%">&#160;
</TD><TD STYLE="color: #000000; color: #000000; font: normal 10pt/13pt Times New Roman; font-family: Times New Roman; text-decoration: none; font-size: 10pt; font-style: normal; font-weight: normal; line-height: 13pt; padding-bottom: 6pt; padding-left: 28.5pt; padding-top: 1.25pt; text-align: center; text-decoration-line: none; text-transform: none; text-transform: none; vertical-align: bottom; white-space: nowrap; width: 11.5%">&#8212;
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 8pt/11pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">* Includes cumulative
appreciation (depreciation) on futures contracts as reported in the Portfolio of Investments. Only the current day&#8217;s variation margin is reported within the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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, 2019, on derivative instruments, as well as the primary
underlying risk exposure associated with each instrument.</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 72.26%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="border-bottom: #000000 0.5pt solid; font: normal bold 10pt/13pt Times New Roman; padding: 6pt 18pt 3pt 0pt; color: #000000; text-decoration: none; text-align: left; text-transform: none; vertical-align: bottom; width: 80.91%">Statement of Operations Location
</TD><TD STYLE="border-bottom: #000000 0.5pt solid; line-height: 0pt; padding-bottom: 3pt; padding-top: 6pt; text-align: center; vertical-align: bottom; width: 14.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 18pt; padding-top: 2.12pt; text-align: left; text-transform: none; vertical-align: top; width: 80.91%">Interest Rate Risk Exposure
</TD><TD STYLE="line-height: 0pt; padding-top: 2.12pt; text-align: center; vertical-align: top; width: 14.48%">&#160;
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 18pt; padding-top: 1.25pt; text-align: left; text-transform: none; vertical-align: top; width: 80.91%">Net realized gain (loss) on futures
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 18pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 14.48%">$96,774
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 18pt; padding-top: 1.25pt; text-align: left; text-transform: none; vertical-align: top; width: 80.91%">Net realized gain (loss) on purchased options
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 28pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 14.48%">5,816
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 18pt; padding-top: 1.25pt; text-align: left; text-transform: none; vertical-align: top; width: 80.91%">Net change in unrealized appreciation (depreciation) on futures
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 23pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 14.48%">33,219
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; padding: 1.25pt 18pt 6pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; width: 80.91%">Net change in unrealized appreciation (depreciation) on purchased options
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 23pt; padding-top: 1.25pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 14.48%">15,894
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">During the fiscal year
ended October 31, 2019, the notional value of futures contracts opened and closed were $8,899,421 and $9,000,718, respectively.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">During the fiscal year
ended October 31, 2019, the premiums for purchased options contracts opened were $28,737, and the premiums for purchased options contracts closed, exercised and expired were $9,475.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The Fund does not have
the right to offset financial assets and liabilities related to futures contracts on the Statement of Assets and Liabilities.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New
Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">6.&nbsp;Indemnification</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Fund has a variety of
indemnification obligations under contracts with its service providers. The Fund&#8217;s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">7.&nbsp;Subsequent
Events</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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 TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 161pt; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="OverlapColorBlock" STYLE="background-color: #003E87; height: 15pt; width: 100%">
<DIV TYPE="Block" STYLE="padding-left: 6pt; width: 97.78%">
<DIV STYLE="color: #FFFFFF; font: normal bold 10.5pt/11.5pt Times New Roman; text-decoration: none; padding-top: 3pt; text-align: left; text-transform: none">Report of Independent
Registered Public Accounting Firm</DIV>
</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 16pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">To the Shareholders and the
Board of Trustees of First Trust Mortgage Income Fund:</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Opinion on the Financial
Statements and Financial Highlights</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">We have audited the
accompanying statement of assets and liabilities of First Trust Mortgage Income Fund (the &#8220;Fund&#8221;), including the portfolio of investments, as of October 31, 2019, 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, 2019, 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Basis for Opinion</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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, 2019, by correspondence with the custodian and brokers. 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="img845935535.jpg">
</DIV>

<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Chicago, Illinois</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">December 20, 2019</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">We have served as the
auditor of one or more First Trust investment companies since 2001.</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 225pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Additional Information<FONT STYLE="color: #000000"> </FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">Dividend Reinvestment
Plan</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">If your Common Shares are
registered directly with the Fund or if you hold your Common Shares with a brokerage firm that participates in the Fund&#8217;s Dividend Reinvestment Plan (the &#8220;Plan&#8221;), unless you elect, by written notice
to the Fund, to receive cash distributions, all dividends, including any capital gain distributions, on your Common Shares will be automatically reinvested by BNY Mellon Investment Servicing (US) Inc. (the &#8220;Plan
Agent&#8221;), in additional Common Shares under the Plan. If you elect to receive cash distributions, you will receive all distributions in cash paid by check mailed directly to you by the Plan Agent, as the dividend
paying agent.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">If you decide to
participate in the Plan, the number of Common Shares you will receive will be determined as follows:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="8" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 2pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">(1)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">If Common Shares are trading at or above net asset value (&#8220;NAV&#8221;) at the time of valuation, the Fund will issue new shares at a price equal to the greater of (i) NAV per Common Share on that
date or (ii) 95% of the market price on that date.
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 3.49%">(2)
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 96.51%">If Common Shares are trading below NAV at the time of valuation, the Plan Agent will receive the dividend or distribution in cash and will purchase Common Shares in the open market,
on the NYSE or elsewhere, for the participants&#8217; accounts. It is possible that the market price for the Common Shares may increase before the Plan Agent has completed its purchases. Therefore, the average
purchase price per share paid by the Plan Agent may exceed the market price at the time of valuation, resulting in the purchase of fewer shares than if the dividend or distribution had been paid in Common Shares
issued by the Fund. The Plan Agent will use all dividends and distributions received in cash to purchase Common Shares in the open market within 30 days of the valuation date except where temporary curtailment or
suspension of purchases is necessary to comply with federal securities laws. Interest will not be paid on any uninvested cash payments.
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">You may elect to opt-out
of or withdraw from the Plan at any time by giving written notice to the Plan Agent, or by telephone at (866) 340-1104, in accordance with such reasonable requirements as the Plan Agent and the Fund may agree upon. If
you withdraw or the Plan is terminated, you will receive a certificate for each whole share in your account under the Plan, and you will receive a cash payment for any fraction of a share in your account. If you wish,
the Plan Agent will sell your shares and send you the proceeds, minus brokerage commissions.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The Plan Agent maintains
all Common Shareholders&#8217; accounts in the Plan and gives written confirmation of all transactions in the accounts, including information you may need for tax records. Common Shares in your account will be held by
the Plan Agent in non-certificated form. The Plan Agent will forward to each participant any proxy solicitation material and will vote any shares so held only in accordance with proxies returned to the Fund. Any proxy
you receive will include all Common Shares you have received under the Plan.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">There is no brokerage
charge for reinvestment of your dividends or distributions in Common Shares. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market
purchases.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Automatically reinvesting
dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Capital gains and income are realized although cash is not received by you. Consult
your financial advisor for more information.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">If you hold your Common
Shares with a brokerage firm that does not participate in the Plan, you will not be able to participate in the Plan and any dividend reinvestment may be effected on different terms than those described above.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">The Fund reserves the
right to amend or terminate the Plan if in the judgment of the Board of Trustees the change is warranted. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend
the Plan to include a service charge payable by the participants. Additional information about the Plan may be obtained by writing BNY Mellon Investment Servicing (US) Inc., 301 Bellevue Parkway, Wilmington, Delaware
19809.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">Proxy Voting Policies
and Procedures</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">A description of the
policies and procedures that the Fund uses to determine how to vote proxies and information on how the Fund voted proxies relating to portfolio investments during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund&#8217;s website at <FONT STYLE="color: #0000FF; text-decoration: underline">www.ftportfolios.com</FONT>; and (3) on the Securities and Exchange Commission&#8217;s (&#8220;SEC&#8221;) website at <FONT STYLE="color: #0000FF; text-decoration: underline">www.sec.gov</FONT>.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">Portfolio Holdings</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Fund files portfolio
holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be
publicly available on the</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">SEC&#8217;s website at <FONT STYLE="color: #0000FF; text-decoration: underline">www.sec.gov</FONT>. The Fund&#8217;s complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and
annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The
Fund&#8217;s Forms N-PORT and Forms N-CSR are available on the SEC&#8217;s website listed above.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">Federal Tax
Information</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">Distributions paid to
foreign shareholders during the Fund&#8217;s fiscal year ended October 31, 2019, 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Of the ordinary income
(including short-term capital gain) distributions made by the Fund during the period ended October 31, 2019, none qualify for the corporate dividends received deduction available to corporate shareholders or as
qualified dividend income.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">NYSE Certification
Information</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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 11, 2019, 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">Submission of Matters to
a Vote of Shareholders</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Fund held its Annual
Meeting of Shareholders (the &#8220;Annual Meeting&#8221;) on April 8, 2019. At the Annual Meeting, James A. Bowen and Niel B. Nielson were elected by the Common Shareholders of First Trust Mortgage Income Fund as
Class III Trustees for a three-year term expiring at the Fund&#8217;s annual meeting of shareholders in 2022. The number of votes cast in favor of Mr. Bowen was 3,816,599, the number of votes against was 153,157 and
the number of broker non-votes was 243,359. The number of votes cast in favor of Mr. Nielson was 3,816,599, the number of votes against was 153,157 and the number of broker non-votes was 243,359. Robert F. Keith,
Richard E. Erickson and Thomas R. Kadlec are the other current and continuing Trustees.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">Risk Considerations</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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. The order of the below risk factors does not indicate the significance of any particular
risk factor.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Credit Agency Risk.<FONT STYLE="font-weight: normal"> Credit ratings are determined by credit rating agencies and are only the opinions of such entities. Ratings assigned by a rating agency are not absolute standards of credit quality and do
not evaluate market risk or the liquidity of securities. Any shortcomings or inefficiencies in credit rating agencies&#8217; processes for determining credit ratings may adversely affect the credit ratings of
securities held by the Fund and, as a result, may adversely affect those securities&#8217; perceived or actual credit risk.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 dividends or interest or repay principal when due. Below-investment grade
instruments, including instruments that are not rated but judged to be of comparable quality, 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 dividends or interest and repay principal and are susceptible to default or decline in market value due to adverse economic and business developments. High-yield securities are
often unsecured and subordinated to other creditors of the issuer. The market values for high-yield securities tend to be very volatile, and these securities are generally less liquid than investment grade securities.
For these reasons, an investment in the Fund is subject to the following specific risks: (i) increased price sensitivity to changing interest rates and to a deteriorating economic environment; (ii) greater risk of
loss due to default or declining credit quality; (iii) adverse company specific events more likely to render the issuer unable to make dividend, interest and/or principal payments; (iv) negative perception of the
high-yield market which may depress the price and liquidity of high-yield securities; (v) volatility; and (vi) liquidity.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Cyber Security Risk.<FONT STYLE="font-weight: normal"> The Fund is 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</FONT></DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 8pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">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.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Fixed-Income Securities
Risk. <FONT STYLE="font-weight: normal">An investment in fixed-income securities is subject to certain risks, including:</FONT></DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="3" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 2pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal italic 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 97.67%">Issuer Risk.<FONT STYLE="font-style: normal"> The value of fixed-income securities may decline for a number of reasons which directly relate to the issuer, such as management performance, leverage and reduced demand for the
issuer&#8217;s goods and services.</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal italic 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 97.67%">Prepayment Risk.<FONT STYLE="font-style: normal"> During periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Fund to reinvest the proceeds from such
prepayment in lower yielding securities, which may result in a decline in the Fund&#8217;s income and distributions to common shareholders.</FONT>
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal italic 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 97.67%">Reinvestment Risk.<FONT STYLE="font-style: normal"> Reinvestment risk is the risk that income from the Fund&#8217;s portfolio will decline if the Fund invests the proceeds from matured, traded or called bonds at market interest rates that
are below the Fund portfolio&#8217;s current earnings rate.</FONT>
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 or indices underlying the futures
contracts and the price of the futures contracts; (b) possible lack of a liquid secondary market for a futures contract and the resulting inability to close a futures contract when desired; (c) losses caused by
unanticipated market movements, which are potentially unlimited; (d) the investment adviser&#8217;s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other
economic factors; and (e) the possibility that the counterparty will default in the performance of its obligations.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Illiquid and Restricted
Securities Risk.<FONT STYLE="font-weight: normal"> Investments in restricted securities could have the effect of increasing the amount of the Fund&#8217;s assets invested in illiquid securities if qualified institutional buyers are
unwilling to purchase these securities. Illiquid and restricted securities may be difficult to dispose of at a fair price at the times when the Fund believes it is desirable to do so. The market price of illiquid and
restricted securities generally is more volatile than that of more liquid securities, which may adversely affect the price that the Fund pays for or recovers upon the sale of such securities. Illiquid and restricted
securities are also more difficult to value, especially in challenging markets.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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. Many financial
institutions use or may use a floating rate based upon the London Interbank Offered Rate (LIBOR), which is being phased out by the end of 2021. There remains some uncertainty regarding the future utilization of LIBOR
and the nature of any replacement rate.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">In the case of stripped
mortgage-backed securities, in general, when interest rates are falling and prepayment rates are increasing, the value of a principal only security (&#8220;PO Security&#8221;) will rise and the value of an interest
only security (&#8220;IO Security&#8221;) will fall. Conversely, when interest rates are rising and prepayment rates are decreasing, in general, the value of a PO Security will fall and the value of an IO Security
will rise.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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</FONT></DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: right; text-transform: none">Page 27</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_4">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">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.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Market Discount from Net
Asset Value. <FONT STYLE="font-weight: normal">Shares of closed-end investment companies such as the Fund frequently trade at a discount from their net asset value. The Fund cannot predict whether its common shares will trade at, below
or above net asset value.</FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">A portion of the
Fund&#8217;s managed assets may be invested in subordinated classes of mortgage-backed securities. Such subordinated classes are subject to a greater degree of non-payment risk than are senior classes of the same
issuer or agency. In addition, under certain market conditions, the market for subordinated classes of mortgage-backed securities may not be as liquid as the market for other fixed income securities.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Given its focus in
mortgage-backed securities, the Fund may be more susceptible to adverse economic, political and regulatory events that affect the value of real estate.</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 15pt; text-align: center; text-transform: none">Investment Management
Agreement</DIV>
<DIV STYLE="color: #000000; font: italic bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; text-transform: none">Board Considerations
Regarding Approval of Continuation of Investment Management Agreement</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The Board of Trustees 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;). The Board approved the continuation of the Agreement for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. 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>
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 8pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 28</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_5">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 18, 2019 and June 2, 2019, the Board, including the
Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of 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 (the &#8220;Expense Group&#8221;) and a broad peer universe of funds (the &#8220;Expense Universe&#8221;), each assembled by Broadridge Financial Solutions, Inc.
(&#8220;Broadridge&#8221;), an independent source, and as compared to fees charged to other clients of the Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund&#8217;s Expense
Group and Expense Universe; performance information for the Fund, including comparisons of the Fund&#8217;s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and
a broad performance universe of funds (the &#8220;Performance Universe&#8221;), each assembled by Broadridge; 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 18, 2019, 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 2, 2019 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 noted the Board&#8217;s prior meetings with members of the team. 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 18, 2019 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 Expense Group, the Board, at the April 18, 2019 meeting, discussed with Broadridge its
methodology for assembling peer groups and 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; and (ii) certain peer fund assets are larger than those of the Fund, in which case the comparison causes the fixed expenses of the Fund to be larger on a percentage
basis. The Board took these limitations into account in considering the peer data, and noted that the advisory fee rate payable by the Fund, based on average net assets, was above the median advisory fee of the peer
funds in the Expense 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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.</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: right; text-transform: none">Page 29</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_6">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Additional Information (Continued)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">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, 2018 to the performance of funds
in the Performance Universe and to that of a benchmark index. In reviewing the Fund&#8217;s performance as compared to the performance of the Performance Universe, 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 Performance Universe median for the
one and five year periods ended December 31, 2018 but underperformed the Performance Universe median for the three and ten year periods ended December 31, 2018. The Board also noted that the Fund outperformed the
benchmark index for the one-, three-, five-, and ten-year periods ended December 31, 2018. The Board also received information on the Fund&#8217;s annual distribution rate as of December 31, 2018 and the Fund&#8217;s
average trading discount for various periods and comparable information for a peer group.</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 hire personnel and build infrastructure, including technology, to improve the services to the Fund. 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, 2018 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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 TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 320pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 30</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_1">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Board of Trustees and Officers<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">The following tables
identify the Trustees and Officers of the Fund. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 0pt; padding-right: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 23.33%">Name, Year of Birth and Position with the Fund
</TD><TD STYLE="color: #000000; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 6pt; padding-right: 6pt; text-align: center; 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: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 6pt; padding-right: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 34.44%">Principal Occupations<BR>
During Past 5 Years
</TD><TD STYLE="color: #000000; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 6pt; padding-right: 6pt; text-align: center; 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: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 6pt; text-align: center; 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 BGCOLOR="#D9E2ED" COLSPAN="5" STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 2.25pt; text-align: center; text-transform: none; vertical-align: top; width: 100%">INDEPENDENT TRUSTEES
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 2.25pt; text-align: left; text-transform: none; vertical-align: top; width: 23.33%">Richard E. Erickson, Trustee<BR>
(1951)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 14pt; padding-right: 6pt; padding-top: 2.25pt; text-align: left; text-indent: -8pt; text-transform: none; vertical-align: top; width: 14.44%">&#8226;&#8194;Three Year Term&#8226;&#8194;Since Fund Inception
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 2.25pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 2.25pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 13.33%">162
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 2.25pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 23.33%">Thomas R. Kadlec, Trustee<BR>
(1957)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 14pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-indent: -8pt; text-transform: none; vertical-align: top; width: 14.44%">&#8226;&#8194;Three Year Term&#8226;&#8194;Since Fund Inception
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 34.44%">President, ADM Investor Services, Inc. (Futures Commission Merchant)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 13.33%">162
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 23.33%">Robert F. Keith, Trustee<BR>
(1956)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 14pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-indent: -8pt; text-transform: none; vertical-align: top; width: 14.44%">&#8226;&#8194;Three Year Term&#8226;&#8194;Since June 2006
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 34.44%">President, Hibs Enterprises (Financial and Management Consulting)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 13.33%">162
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 23.33%">Niel B. Nielson, Trustee<BR>
(1954)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 14pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-indent: -8pt; text-transform: none; vertical-align: top; width: 14.44%">&#8226;&#8194;Three Year Term&#8226;&#8194;Since Fund Inception
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 13.33%">162
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 15.56%">None
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD BGCOLOR="#D9E2ED" COLSPAN="5" STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 2.25pt; text-align: center; text-transform: none; vertical-align: top; width: 100%">INTERESTED TRUSTEE
</TD></TR>
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; padding: 2.25pt 6pt 6pt 0pt; text-decoration: none; text-align: left; 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: normal 9pt/12pt Times New Roman; padding: 2.25pt 6pt 6pt 14pt; text-decoration: none; text-align: left; text-indent: -8pt; text-transform: none; vertical-align: top; width: 14.44%">&#8226;&#8194;Three Year Term&#8226;&#8194;Since Fund Inception
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; padding: 2.25pt 6pt 6pt; text-decoration: none; text-align: left; 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: normal 9pt/12pt Times New Roman; padding: 2.25pt 6pt 6pt; text-decoration: none; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 13.33%">162
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 6pt; padding-top: 2.25pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 15.56%">None
</TD></TR></TABLE>
</DIV>
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 93pt; width: 94%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 7pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 4.44%"><SUP STYLE="font-size: 85%; font-style: normal; text-transform: none; vertical-align: text-top">(1)</SUP>
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; text-transform: none; vertical-align: top; width: 95.56%">Currently, 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. James A. Bowen and Niel B. Nielson, as Class III Trustees, are serving as trustees until the Fund&#8217;s 2022 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: 3pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; 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; text-decoration: none; padding-left: 2pt; text-align: left; 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 TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 9pt; text-align: right; 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: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Board of Trustees and Officers (Continued)<BR>
</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY)</DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 6pt; width: 100%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 0pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 0pt; padding-right: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 18.89%">Name and Year of Birth
</TD><TD STYLE="color: #000000; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 6pt; padding-right: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 20%">Position and Offices with Fund
</TD><TD STYLE="color: #000000; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 6pt; padding-right: 6pt; text-align: center; text-transform: none; vertical-align: bottom; width: 15.56%">Term of Office and Length of Service
</TD><TD STYLE="color: #000000; font: normal bold 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 2.25pt; padding-left: 6pt; text-align: center; 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 BGCOLOR="#D9E2ED" COLSPAN="4" STYLE="color: #003E87; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-top: 2.25pt; text-align: center; text-transform: none; vertical-align: top; white-space: nowrap; width: 100%">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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 2.25pt; text-align: left; text-transform: none; vertical-align: top; width: 18.89%">James M. Dykas<BR>
(1966)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 2.25pt; text-align: left; text-transform: none; vertical-align: top; width: 20%">President and Chief Executive Officer
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 2.25pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 2.25pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 18.89%">Donald P. Swade<BR>
(1972)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 20%">Treasurer, Chief Financial Officer and Chief Accounting Officer
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 18.89%">W. Scott Jardine<BR>
(1960)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 20%">Secretary and Chief Legal Officer
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 18.89%">Daniel J. Lindquist<BR>
(1970)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; text-transform: none; vertical-align: top; width: 20%">Vice President
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-right: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 6pt; padding-top: 3pt; text-align: left; 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: normal 9pt/12pt Times New Roman; padding: 3pt 6pt 6pt 0pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; width: 18.89%">Kristi A. Maher<BR>
(1966)
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; padding: 3pt 6pt 6pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; width: 20%">Chief Compliance Officer and Assistant Secretary
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; padding: 3pt 6pt 6pt; text-decoration: none; text-align: left; text-transform: none; vertical-align: top; width: 15.56%">&#8226;&#8194;Indefinite Term<BR>
&#8194;<BR>
&#8226;&#8194;Chief Compliance Officer Since January 2011&#8226;&#8194;Assistant Secretary Since Fund Inception
</TD><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-bottom: 6pt; padding-left: 6pt; padding-top: 3pt; text-align: left; 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: 93.96%">
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-top: 7pt; width: 100%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; 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 9pt/12pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; 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 TYPE="Block" STYLE="width: 100%">
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 9pt; width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; text-align: left; text-transform: none">Page 32</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="PP-TOCprivacy-6_1">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="background-color: #003E87; color: #FFFFFF; font: normal bold 10.5pt/13.5pt Times New Roman; text-decoration: none; margin-top: 5pt; text-align: left; text-transform: none">Privacy Policy<FONT STYLE="color: #000000"> </FONT></DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 11pt; text-align: center; text-transform: none">First Trust Mortgage
Income Fund (FMY) </DIV>
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 2pt; text-align: center; text-transform: none">October 31, 2019
(Unaudited)</DIV>
</DIV>
<DIV TYPE="Block" STYLE="margin-top: 13pt; width: 100%">
<DIV STYLE="color: #000000; font: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: center; text-transform: none">Privacy Policy</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Sources of Information</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; text-transform: none">We collect nonpublic
personal information about you from the following sources:</DIV>
<DIV STYLE="text-align: left">
<TABLE CELLPADDING="3" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 2pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 2pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Information Collected</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Disclosure of
Information</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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 CELLPADDING="3" CELLSPACING="0" STYLE="border-collapse: collapse; empty-cells: show; margin-left: 4.44%; margin-top: 1pt; width: 95.56%">
<TR STYLE="page-break-inside: avoid"><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-left: 2pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 0pt; padding-right: 2pt; text-align: left; text-transform: none; vertical-align: top; white-space: nowrap; width: 2.33%">&#8226;
</TD><TD STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; padding-bottom: 0pt; padding-left: 2pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Use of Website
Analytics</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Confidentiality and
Security</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: normal bold 10pt/13pt Times New Roman; text-decoration: none; margin-top: 12pt; text-align: left; text-transform: none">Policy Updates and
Inquiries</DIV>
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 3pt; text-align: left; 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: normal 10pt/13pt Times New Roman; text-decoration: none; margin-top: 6pt; text-align: left; text-transform: none">March 2019</DIV>
</DIV>
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 9pt/12pt Times New Roman; text-decoration: none; margin-top: 8pt; text-align: right; text-transform: none">Page 33</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="PP-TOCprivacy-6_2">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">This page intentionally left blank</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="PP-TOCprivacy-6_3">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">This page intentionally left blank</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="PP-TOCprivacy-6_4">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
<DIV STYLE="color: #000000; font: normal 10pt/13pt Times New Roman; text-decoration: none; text-align: center; text-transform: none">This page intentionally left blank</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="BC-Backcoverlogo-6_1">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 29.53%">
<DIV STYLE="margin-top: 0pt; text-align: left; width: 145pt">
<IMG SRC="imgd7fe38192.jpg">
</DIV>

</DIV>
<DIV TYPE="Block" STYLE="margin-top: 68pt; width: 100%">
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; text-decoration: none; margin-top: 60pt; text-align: left; text-transform: none">INVESTMENT ADVISOR</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">First Trust Advisors L.P.</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">120 East Liberty Drive, Suite
400</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">Wheaton, IL 60187</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; text-decoration: none; margin-top: 15pt; text-align: left; text-transform: none">ADMINISTRATOR,<BR>
FUND ACCOUNTANT,<BR>
AND CUSTODIAN</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">The Bank of New York Mellon</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">240 Greenwich Street</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">New York, NY 10286</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; text-decoration: none; margin-top: 15pt; text-align: left; text-transform: none">TRANSFER AGENT</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">BNY Mellon Investment Servicing
(US) Inc.</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">301 Bellevue Parkway</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">Wilmington, DE 19809</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; text-decoration: none; margin-top: 15pt; text-align: left; text-transform: none">INDEPENDENT REGISTERED<BR>
PUBLIC ACCOUNTING FIRM</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">Deloitte &amp; Touche LLP</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">111 S. Wacker Drive</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">Chicago, IL 60606</DIV>
<DIV STYLE="color: #003E87; font: normal bold 12pt/15pt Arial; text-decoration: none; margin-top: 15pt; text-align: left; text-transform: none">LEGAL COUNSEL</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">Chapman and Cutler LLP</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">111 W. Monroe Street</DIV>
<DIV STYLE="color: #000000; font: normal 11pt/14pt Arial; text-decoration: none; margin-top: 2pt; text-align: left; text-transform: none">Chicago, IL 60603</DIV>
</DIV>
</DIV>
<DIV STYLE="clear: both; font-size: 12pt; height: 0pt">
</DIV>
<HR STYLE="margin-bottom: 0pt">
<!--PAGE BREAK-->
<A NAME="BC-Backcoverlogo-6_2">
</A>
<DIV STYLE="font: normal 7pt/10pt Arial; text-transform: none; text-align: left; vertical-align: bottom; padding-bottom: 10pt">
<A HREF="#TOC">
Table of Contents
</A>
</DIV>
<DIV STYLE="width: 100%">
<DIV TYPE="Block" STYLE="width: 100%">
</DIV>
</DIV>


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

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

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

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

<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">(a)</TD><TD STYLE="width: 5pt"></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>

<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">(c)</TD><TD STYLE="width: 5pt"></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>

<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">(d)</TD><TD STYLE="width: 5pt"></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 0 0.5in; 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: 15pt; text-align: right">(e)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Not applicable.</TD>
</TR></TABLE>

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

<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: 30pt; text-align: left; vertical-align: top">(a)</TD><TD STYLE="width: 6pt"></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, 2018 and $45,000 for the fiscal year ended October 31,
2019.</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: 30pt; text-align: left; vertical-align: top">(b)</TD><TD STYLE="width: 6pt"></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, 2018 and $0 for the fiscal year ended October 31, 2019.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 36pt; text-indent: 0pt; 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, 2018 and $0 for the fiscal
year ended October 31, 2019.</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: 30pt; text-align: left; vertical-align: top">(c)</TD><TD STYLE="width: 6pt"></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
$21,700 for the fiscal year ended October 31, 2018 and $19,560 for the fiscal year ended October 31, 2019. These fees were for
tax return preparation and review.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 36pt; text-indent: 0pt; 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, 2018
and $0 for the fiscal year ended October 31, 2019.</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: 30pt; text-align: left; vertical-align: top">(d)</TD><TD STYLE="width: 6pt"></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, 2018 and $0 for the fiscal year ended
October 31, 2019.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 36pt; text-indent: 0pt; 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, 2018 and $0 for the fiscal year ended October 31, 2019.</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: 30pt; text-align: left; vertical-align: top">(e)(1)</TD><TD STYLE="width: 6pt"></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>

<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: 30pt; text-align: left; vertical-align: top">(e)(2)</TD><TD STYLE="width: 6pt"></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>

<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: 30pt; text-align: left; vertical-align: top">(f)</TD><TD STYLE="width: 6pt"></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>

<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="text-align: left; vertical-align: top; width: 30pt">(g)</TD><TD STYLE="width: 6pt"></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, 2018 were $21,700 for the Registrant and $48,190 for the Registrant&rsquo;s investment adviser and
for the Registrant&rsquo;s fiscal year ended October 31, 2019 were $19,560 for the Registrant and $28,500 for the Registrant&rsquo;s
investment adviser.</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="text-align: left; vertical-align: top; width: 30pt">(h)</TD><TD STYLE="width: 6pt"></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>

<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">(a)</TD><TD STYLE="width: 5pt"></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>

<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"><FONT STYLE="font-weight: normal">(a)</FONT></TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify"><FONT STYLE="font-weight: normal">Schedule of Investments in securities of unaffiliated
issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 15pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Not applicable.</TD>
</TR></TABLE>

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

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

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

<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: 30pt; text-align: right"><B>(a)(1)</B></TD><TD STYLE="width: 6pt"></TD><TD STYLE="text-align: justify"><B>Identification of Portfolio Manager(s) or Management Team Members and Description
of Role of Portfolio Manager(s) or Management Team Members.</B></TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: justify">Information provided as of October 31,
2019.</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" 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="text-align: right; width: 30pt"><B>(2)</B></TD><TD STYLE="width: 6pt"></TD><TD STYLE="text-align: justify"><B>Other Accounts Managed by Portfolio Managers or Management Team Member and Potential
Conflicts of Interest</B></TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 6pt">Information provided as of October 31, 2019.</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">5</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">$4,640,948,073</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 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">5</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">$4,640,948,073</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">0</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font-size: 10pt">$ 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>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>

<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: 30pt; text-align: right"><B>(3)</B></TD><TD STYLE="width: 6pt"></TD><TD STYLE="text-align: justify"><B>Compensation Structure of Portfolio Managers or Management Team Members</B></TD>
</TR></TABLE>

<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, 2019.</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 Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">Salaries are determined by management and are based upon an individual&rsquo;s
position and overall value to the firm. The compensation structure for internal portfolio managers is based upon a fixed salary
as well as a discretionary bonus determined by the management of FTA. 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 generally based
upon an individual&rsquo;s overall contribution to the success of the firm and the profitability of the firm; however, assets under
management may be a factor in determining bonus pool size for certain portfolio manager groups. Salaries and bonuses are not based</P>

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

<P STYLE="font: bold 11pt Times New Roman, Times, Serif; margin: 0 0 6pt">&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: 30pt; text-align: right"><B>(4)</B></TD><TD STYLE="width: 6pt"></TD><TD STYLE="text-align: justify"><B>Disclosure of Securities Ownership</B></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 0 12pt">Information provided as of October 31, 2019.</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: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center; text-indent: 1in"><FONT STYLE="font-size: 10pt"><B>Name </B></FONT></TD>
    <TD STYLE="width: 42%; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 0.5in"><FONT STYLE="font-size: 11pt"><B>Dollar Range of Fund Shares Beneficially Owned</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center; text-indent: 1in"><FONT STYLE="font-size: 10pt">Jeremiah Charles</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">$0</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center; text-indent: 1in"><FONT STYLE="font-size: 10pt">James Snyder</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-bottom: 12pt; padding-left: 5.4pt; text-align: center">$0</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" 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">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">The registrant&rsquo;s principal executive and principal financial officers, or persons
performing similar functions, have concluded that the registrant&rsquo;s disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the &ldquo;1940 Act&rdquo;) (17 CFR 270.30a-3(c))) are effective,
as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on
their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules
13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt 0.5in; text-align: justify">&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">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">There were no changes in the registrant&rsquo;s internal control over financial reporting
(as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the 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 0.5in">&nbsp;</P>

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt"><B>Item 12. Disclosure of Securities Lending Activities for
Closed-End Management Investment Companies.</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: 15pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Not applicable.</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">(b)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">Not applicable.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt; text-align: justify"><B>Item 13. 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: 15pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">(1) &#9;Code of ethics, or any amendment thereto, that is the subject of disclosure
required by Item 2 is&#9;attached hereto.</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">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">(2)&#9;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>

<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">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">(3)&#9;Not applicable.</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">(a)</TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: justify">(4) Not applicable.</TD>
</TR></TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><B></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: 15pt; 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-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>


<!-- Field: Page; Sequence: 1 -->
    <DIV STYLE="margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <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; 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; text-align: justify">&nbsp;</P>

<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: 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>January 2, 2020</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"></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>January 2, 2020</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>January 2, 2020</U></TD>
</TR></TABLE>



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

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

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



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

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

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

</BODY>
</HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CODE ETH
<SEQUENCE>2
<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>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>3
<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" 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"></TD><TD STYLE="width: 0.5in">1.</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" 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"></TD><TD STYLE="width: 0.5in">2.</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" 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"></TD><TD STYLE="width: 0.5in">3.</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" 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"></TD><TD STYLE="width: 0.5in">4.</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(a)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(b)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(c)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(d)</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 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" 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"></TD><TD STYLE="width: 0.5in">5.</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(a)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(b)</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%">January 2, 2020</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>


<!-- Field: Page; Sequence: 1 -->
    <DIV STYLE="margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <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" 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"></TD><TD STYLE="width: 0.5in">1.</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" 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"></TD><TD STYLE="width: 0.5in">2.</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" 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"></TD><TD STYLE="width: 0.5in">3.</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" 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"></TD><TD STYLE="width: 0.5in">4.</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(a)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(b)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(c)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(d)</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 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" 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"></TD><TD STYLE="width: 0.5in">5.</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(a)</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in">(b)</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%">January 2, 2020</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="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>4
<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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt">1.</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt">2.</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%">January 2, 2020</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt">1.</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" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt">2.</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%">January 2, 2020</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"></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
<SEQUENCE>5
<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>
<DOCUMENT>
<TYPE>GRAPHIC
<SEQUENCE>6
<FILENAME>img2738cb4f3.jpg
<DESCRIPTION>GRAPHIC
<TEXT>
begin 644 img2738cb4f3.jpg
M_]C_X  02D9)1@ ! 0$ 9 !D  #_X@H@24-#7U!23T9)3$4  0$   H0
M  (0  !M;G1R4D="(%A96B                !A8W-P05!03
M                        ]M4  0    #3+
M                                              ID97-C    _
M 'QC<')T   !>    "AW='!T   !H    !1B:W!T   !M    !1R6%E:   !
MR    !1G6%E:   !W    !1B6%E:   !\    !1R5%)#   "!   " QG5%)#
M   "!   " QB5%)#   "!   " QD97-C         ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4              ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4
M            =&5X=     !#;W!Y<FEG:'0@07)T:69E>"!3;V9T=V%R92 R
M,#$Q %A96B        #S40 !     1;,6%E:(                     !8
M65H@        ;Z(  #CU   #D%A96B        !BF0  MX4  !C:6%E:(
M     "2@   /A   ML]C=7)V        !      %  H #P 4 !D '@ C "@
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M,C(R,C(R,O_  !$( %  R ,!(@ "$0$#$0'_Q  ?   !!0$! 0$! 0
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MM]4U&[L9V0.L=UIEU$Q7)&0&C!QD$9]C0!VE%<__ ,)WX/\ ^AKT/_P8P_\
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G %%%% !1110 4444 %%%% !1110 4444 %%%% !1110 4444 ?_9

end
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>GRAPHIC
<SEQUENCE>7
<FILENAME>img845935535.jpg
<DESCRIPTION>GRAPHIC
<TEXT>
begin 644 img845935535.jpg
M_]C_X  02D9)1@ ! 0$ 9 !D  #_X@H@24-#7U!23T9)3$4  0$   H0
M  (0  !M;G1R4D="(%A96B                !A8W-P05!03
M                        ]M4  0    #3+
M                                              ID97-C    _
M 'QC<')T   !>    "AW='!T   !H    !1B:W!T   !M    !1R6%E:   !
MR    !1G6%E:   !W    !1B6%E:   !\    !1R5%)#   "!   " QG5%)#
M   "!   " QB5%)#   "!   " QD97-C         ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4              ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4
M            =&5X=     !#;W!Y<FEG:'0@07)T:69E>"!3;V9T=V%R92 R
M,#$Q %A96B        #S40 !     1;,6%E:(                     !8
M65H@        ;Z(  #CU   #D%A96B        !BF0  MX4  !C:6%E:(
M     "2@   /A   ML]C=7)V        !      %  H #P 4 !D '@ C "@
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M,C(R,C(R,O_  !$( #$!&P,!(@ "$0$#$0'_Q  ?   !!0$! 0$! 0
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MIM*DDL3CY>5Z_,< !XJ;6KF_TKP%X#OX]/BM;?;JERBF1K"WV!8EWGH[+N(
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!V0$!

end
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>GRAPHIC
<SEQUENCE>8
<FILENAME>imgad1cf88a4.jpg
<DESCRIPTION>GRAPHIC
<TEXT>
begin 644 imgad1cf88a4.jpg
M_]C_X  02D9)1@ ! 0$ 9 !D  #_X@H@24-#7U!23T9)3$4  0$   H0
M  (0  !M;G1R4D="(%A96B                !A8W-P05!03
M                        ]M4  0    #3+
M                                              ID97-C    _
M 'QC<')T   !>    "AW='!T   !H    !1B:W!T   !M    !1R6%E:   !
MR    !1G6%E:   !W    !1B6%E:   !\    !1R5%)#   "!   " QG5%)#
M   "!   " QB5%)#   "!   " QD97-C         ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4              ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4
M            =&5X=     !#;W!Y<FEG:'0@07)T:69E>"!3;V9T=V%R92 R
M,#$Q %A96B        #S40 !     1;,6%E:(                     !8
M65H@        ;Z(  #CU   #D%A96B        !BF0  MX4  !C:6%E:(
M     "2@   /A   ML]C=7)V        !      %  H #P 4 !D '@ C "@
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M,C(R,C(R,O_  !$( +(!2P,!(@ "$0$#$0'_Q  ?   !!0$! 0$! 0
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M0VO_ ,]#^0H;_6)]3_*GT ,VO_ST/Y"C:_\ ST/Y"GT4 ,VO_P ]#^0HVO\
M\]#^0I]% #-K_P#/0_D*-K_\]#^0I]% #-K_ //0_D*-K_\ /0_D*?10 S:_
M_/0_D*-K_P#/0_D*?10 S:__ #T/Y"C:_P#ST/Y"GT4 ,VO_ ,]#^0HVO_ST
M/Y"GT4 ,VO\ \]#^0HVO_P ]#^0I]% #-K_\]#^0HVO_ ,]#^0I]% #-K_\
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MC?ZQ/J?Y4^@ HHHH **** "BBB@ HHHH **** "BBB@ HHHH **** "BBB@
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M1SPYV[W0AARK*2K ^X8$?A5JJ=K8PV,*6\>YE,LDI+X)+.S.Q_[Z8U9\J/\
MYYK^5 #Z*9Y4?_/-?RH\J/\ YYK^5 #Z*9Y4?_/-?RH\J/\ YYK^5 #Z*9Y4
M?_/-?RH\J/\ YYK^5 #Z*9Y4?_/-?RH\J/\ YYK^5 #Z*9Y4?_/-?RH\J/\
MYYK^5 #Z*9Y4?_/-?RH\J/\ YYK^5 #Z*9Y4?_/-?RH\J/\ YYK^5 #Z*9Y4
M?_/-?RH\J/\ YYK^5 #Z*9Y4?_/-?RH\J/\ YYK^5 #Z*9Y4?_/-?RH\J/\
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MP'#6VD2%YYO7,S ; ?11G'>M[0O"FA^&XV72M.A@=_\ 638W2R'U9SEF_$T
M8@\=:CJ.!H'@[6;T'I->!;*$CU!D^8CZ+39+3X@ZU&(;F\TC0;9S^\:RWW%R
M%]%9@$4GUP<=?:NVHH Q_#_AG3/#-M+%81R&6=M]Q<SR&2:=_P"\[GDG]!V
MK8HHH **** "BBB@"AJ^B:7KUD;/5K"WO+<_P3(&P?4>A]Q7+>%P_AGQCJ/A
M-Y[B2PE@6_TO[1,TA1/N2Q!F))"L%8#/1J[BN+^(D;V%IIOBJW5C-H5R)Y0O
M5[9_DF7_ +Y.[_@% &CXB\4R:1J-EI.G:7+JNK7B/)':QRK$$C7&7=VX5<D#
MW/2LTV'CS7>+[4['P]:,.8M.7[1<$>AD<!5/NJG_  7P';S:I)?^,KY'6XU=
M@+2-QS#9H3Y2X[%LESZ[A7:4 <UH_@/0-'O!?BU>]U,<F_OY#<3D^H9L[?\
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M ->C$G]Y?^^?_KT /HIF)/[R_P#?/_UZ,2?WE_[Y_P#KT /HIF)/[R_]\_\
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M^C?]\FCS%]&_[Y- #Z*9YB^C?]\FCS%]&_[Y- #Z*9YB^C?]\FCS%]&_[Y-
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MLRZ:(RLB+(P.02-CA6##JOWE(S]X-D=#6M4%O:B%(3([3SQ1>7Y\@&]AQDG
M Y(!./05/0!#<74%JJM/,D89E1=QQDL0H'XD@?C6?H^O0:Q-<11QE&A2.0\@
M_*^[ /\ =<%&!4\C'N*H0>')%U">.266?3GBEA9+@("?-PS%2@!/*J/FYZG/
M3.]:VHMXUW.TTWEK&\[@;Y-O0G  [D\<<F@">H;FZ@L[>2>YF2**-2SNYP
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M **** "BBB@ HHHH **** "BBB@ HHHH **** "BBB@ HHHH **** "BBB@
..HHHH **** "BBB@#_]D!

end
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>GRAPHIC
<SEQUENCE>9
<FILENAME>imgd17eadae1.jpg
<DESCRIPTION>GRAPHIC
<TEXT>
begin 644 imgd17eadae1.jpg
M_]C_X  02D9)1@ ! 0$ 9 !D  #_X@H@24-#7U!23T9)3$4  0$   H0
M  (0  !M;G1R4D="(%A96B                !A8W-P05!03
M                        ]M4  0    #3+
M                                              ID97-C    _
M 'QC<')T   !>    "AW='!T   !H    !1B:W!T   !M    !1R6%E:   !
MR    !1G6%E:   !W    !1B6%E:   !\    !1R5%)#   "!   " QG5%)#
M   "!   " QB5%)#   "!   " QD97-C         ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4              ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4
M            =&5X=     !#;W!Y<FEG:'0@07)T:69E>"!3;V9T=V%R92 R
M,#$Q %A96B        #S40 !     1;,6%E:(                     !8
M65H@        ;Z(  #CU   #D%A96B        !BF0  MX4  !C:6%E:(
M     "2@   /A   ML]C=7)V        !      %  H #P 4 !D '@ C "@
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M,C(R,C(R,O_  !$(!!H#( ,!(@ "$0$#$0'_Q  ?   !!0$! 0$! 0
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MBB@ HHHH *:O?ZTZFKU/UH =2'M]:6D/;ZT +1110 4444 %/7[C4RG+]QJ
M&T]O]6M,I[?ZM:0#*3&:6BF F/0T<^E+10 T$9-.I/6C'O0 &EI#10 M%%%
M!1110 4444 %%%% !1110 444E "TAI:2@!:*** "BBB@ HHHH **** "BBB
M@ HHHH **** "BBB@ HHHH **** "BBB@!O_ "T'TIU,_P"6@^E/H :OWF^M
M.IJ_>;ZTZ@0444A8+U- RWIW_(1@_P!\4W42!J%QDX^<TFG%VU"#'R_/U-)?
M(!J$^3N.\\FEU#H3:6Q,LNT9_=MR?I5#:3]YOP%:6E_ZV7_KFW\JH4=0>P@
M X&*6BBF 4444 %-/^L'T-.II_U@^E #J:OWV_"G4U?OM^% AU%%% PHHHH
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M#_K!]* 'TU?OM^%.IJ_?:@!U%%% !1110 4U^@^HIU-?H/J* '4444 %%%%
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M0T .7[S?6GU N0S!G8'/M4FQO^>C?I0 ^BF;&_YZ-^E&QO\ GHWZ4#+NF_\
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M]31D^M !@T8-'/K1SZT &**.?6CGUH ,&C!H_&C- !@T8-%&: #!HP:,T9H
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M04444 %%%% #4_B^M(OWG^M*G\7UI%^\_P!:!"C[[?A3J:/OM^%.H&%6=/\
M^/Z+ZG^55JLZ?_Q_1?4_RI/8$17'_'S+_OG^=3V'WY?]PU!<?\?,O^^?YU-8
M_?E_W#1T&MRK31]YOPIU-'WVIB'4444 %%%% !2#J?K2T@[_ %H 6D/;ZTM(
M>WUH 6BBB@ HHHH *<O^K:FT]?\ 5M0 RG'[HIM./W10 VBBB@ HHHH 2EI*
M6@!#2TAI: "BBB@ HHHH **** "BBB@ HHHH **** "DI:2@!:*** "BBB@
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M!1110 4444 -3^+ZTB_>?ZTJ?Q?6D7[S_7^E A1]]OPIU-'WV_"G4 %6=/\
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M HHHH :G\7U-(OWG^M*G\7UI%^\_UH 4??;\*=31_K&_"G4 %6=/_P"/Z/\
M'^55JLZ?_P ?T?X_RI/8$17'_'S+_OG^=36/WI?^N9J&X_X^9?\ ?/\ .IK'
MK+_N&CH/J5::/O&G4T?>:F(=1110 4444 %(._UI:0=_K0 M(>WUI:0]OK0
MM%%% !1110 4Y?\ 5M3:<O\ JVH ;2G[HI*<?NB@!M%%% !1110 @[TM(*6@
M!*6D-% "T444 %%%% !1110 4444 %%%% !1110 4444 %%%% !24M% !112
M4 +1124 +1110 4444 %%%% !VHHHH **** "BBB@ HHHH ;_P M!]*=3?\
MEH/I3J &K]YOK0RY]CV-"_>;ZTZ@0U3GKU'6G4U@?O#J/UI00PR*!EW2O^0G
M!]3_ "-17G_']/\ ]=&_G4NE?\A.#ZG^50WG_'[/_P!=&_G2ZCZ%C3?N7/\
MUS/\C5&K^F_<N?\ KF?Y&J%'43V"BBBF 4E+10 5$RXE!7K@\>M2TT_ZP?0T
M  8-]>XH7[[?A0RYY'!IJ-EV!X/'% B2BBB@85H:+_R$D_W3_*L^M#1?^0DO
M^Z?Y4GL-;E&3_6M]35VW_P"0/>?[R_SJE)_K&^IJ[;_\@>\_WEH8(H4444Q!
M1110 4444 -3^+ZTB_>?ZTJ?Q?6D7[S_ %H$*/\ 6-^%.IH^^WX4Z@ JUIW_
M !_1_C_*JM6=._X_H_Q_E2>PUN17'_'Q+_OG^=3V/WIO^N9J"?\ X^)?]X_S
MJ>QZS?\ 7,T/8%N5*:/O-3J:/O-3 =1110 4444 %(._UI:0=_K0 M(>WUI:
M0]OK0(6BBB@84444 %.7_5M3:<O^K:@!M*?NBDI3]T4 )1110 4444 )2TE+
M0 AI:2EH **** "BBB@ HHHH **** "BBB@ HHHH **** "BBB@ HHHH ***
M* "BBB@ HHHH **** "BBB@ HHHH 2EHHH **** "BF;V_YYG\Q1O;_GF?S%
M A?^6@^E.J+>WF#]V>GJ*=O;_GF?S% "K]YOK3JB5VW-^[/7U%.WM_SS/YB@
M!],/R-N['K1O;_GF?S%&YL?ZL_F*!E_2O^0E!]3_ "-0WG_'[/\ ]=&_G1I+
MNNIPKY9/)QR/2F7CM]MG_=G_ %C=QZTNH="WIWW+G_KF?Y&J-6].=]ES^[/^
MK/<>AJCO;_GF?S%"W!CZ*9O;_GF?S%&]O^>9_,4P'T4S>W_/,_F*-[?\\S^8
MH$/IA_U@^AHWM_SS/YBFEV\P?NST]10!+4>W<[=B.AI=[?\ /,_F*:KMN;]V
M?S% #U;G!X-.J)BS#_5G/8Y% D?.#&<_44 2UH:)_P A%?\ =-9F]O\ GF?S
M%:&BNXU$8B8_*>XI/8:W*C_ZQOJ:NV__ "![S_>7^=9SNWF-^[/4]Q5ZW=_[
M'N_W9^\O<>M#!%.BF;V_YYG\Q1O;_GF?S%,!]%,WM_SS/YBC>W_/,_F*!#Z*
M9O;_ )YG\Q1O;_GF?S% Q4_B^M(OWG^M-1V^;]V>OJ*17;<W[L]?44")!]]O
MPIU1!VWM^[/;N*=O;_GF?S% #ZM:=_Q_1_C_ "JEN;_GF?S%6M/=OMT?[L]^
MX]*3V&MR.?\ X^)?]X_SJQ8]9O\ KF:JSLWVB3Y#]X]QZU8L6;]]\A_U9[T/
M8%N5J:/O'\*3<W]PT@8[F^4_G3 DHINYO[I_.C)_NF@!U%-R?[IHR?[IH =2
M#O\ 6DR?[II 3S\IZT /I#V^M)D_W302>..] #J*3)]*,GTH 6BDR?2C)]*
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M&E?\_<O_ 'S_ /6IA@TKSE_TN7&#_#_]:J%,/^L'THL%S5^SZ5_S]R_]\_\
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M !1110 4444 %%%% !1110 4444 %%%% !1110 4444 %%%% !1110 444E
M"T444 %%%% !24M% !1110 W_EH/I3J9_P M!]*?0 Q?O-]:?35^^WUIU !1
M110 4444 6+2\%HYS$) _!!..QJ?^T;59,_V=%M;W[_E6<WWE^M*PW BE9!<
MU/[2M?\ H'1?G_\ 6I/[2M?^@=%^?_UJRU.1SU'!IU%D.YI?VE:?] Z+\_\
MZU+_ &E:?] Z+\__ *U9E%%D%V:7]HVG_0.B_/\ ^M3#J%IYJG^SH^A[_P#U
MJH4P_P"L'T-%D%S5_M"S_P"@='_WU_\ 6IBW]GO<_P!G)V_B_P#K50IJ_?;\
M*+!<U/[0LO\ H')_WU_]:C^T++_H')_WU_\ 6K-HHL@N:7V^R_Z!R?\ ?57]
M(O;-[["6*J=IYW5SU:.B?\A$?[AI-: GJ/:_L=Y_XER]?[U6HKRR&DW4BV
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MV_"G4U?OM^% #J*** "M'1/^/\_[AK.K2T3_ (_S_P!<S2>PUN9K?>-7X?\
MD!W7_71?YBJ!ZFK\/_(#NO\ KHO\Q0Q(H4444P"FL,C'Y4ZB@!JG(YZCK3J8
MWRMN[=Z?0 U/XOK2+]Y_K2I_%]32+]Y_K0 H^^WX4ZFC[[?A3J "K>F_\?R?
M0_RJI5O3/^/Y/H?Y4GL-;E:7_6O_ +QJS9?ZNX_ZYFJTO^M?_>-6;+_5W/\
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M,BX&1ZBAM DS$HJ[_9-]_P \#_WT/\:/[)OO^>!_[Z'^-.Z"S*5%7/[)OO\
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M **,'THQ0 448HYH **** "BBB@ HHHH **** "BBB@ HHHH **** "BBB@
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M: #_ ):#Z4ZHPW[W#=<?G4E #%^\WUI]-7[S?6G4"-*\_P"0/8_C6;6E>_\
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M$+1244#%HI** %HI** %HI** %HI**!"T444#"BBB@ HHHH **** "E'0TE
MZ&@ I?X:2E_AH 2BBB@ HHHH **** "BBB@ HHHH ****!!1110,**** &_\
MM!]*=3?^6@^E.H 8%#%P?6A2<[6Z]CZTJ_>?ZTK ,,4"-.^_Y!-C]#6;6A>/
MG2[%6X8 _C6?213.FN_O1_\ 7,5GWO\ QZM^%:%W]Z/_ '!6?>_\>K?A4(IF
M.WWE^M.IC?>7ZT^M" HHHH **** "HI/OJ?2I:CD&3_P$T")*:OWV_"E'(I%
M^^U #J***!FSIW_'FOU-:5MUD_W#6=IW_'FOU-:-M_RT_P!PUFRT<I6@G_(
MG_ZZK_2L^M!/^0!/_P!=E_I5LA&?1113 **2EH **** &I_%]:1?O/\ 6A/X
MOK0OWG^M "C[[?A0_3/IS0/OM^%+0(6KFF?\?H_W35%/NX].*O:7_P ?H_W3
M2>PUN5&^^WUJU9_ZBY_W*JM]]OK5JS_U%S_N4/8%N5*:/O-3J:/O-3 =1110
M 44E+0(*0=_K2T@[_6@8M(>WUI:0]OK0(6BBB@84444 %%%% !1110 4444
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MU-'WFI@.HHHH **** "D'?ZTM(._UH 6D/;ZTM(>WUH 6BBB@ HHHH ****
M"BBB@ HHHH **** $[TM)2T %%%)0 M%%% !1110 4444 %%%% !1110 44E
M+0 4444 %%%% !0.AHH'0T %':BCM0 4444 %%%% !1110 4444 %%%% !11
M10 4444 %%%% #?^6@^E.IO_ "T'TIU #%^\WUI]-7[S?6G4"-*^_P"058?0
MUFCK6G?_ /(+L/\ =/\ 2LP=:2*9TMVH$BX[J":S[[_CU;\*T;S_ %B?[@K.
MOO\ CU;ZBH13,AOO+]:=36^\OUIU:$!1110 4444 %-/^L'T-.II_P!8/H:
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M^%.H *MZ9QJ ]T-5*M:?Q=J?04GL-;E9OO'ZU:M/^/:Y_P!VJC?>/UJW:?\
M'M=?[M#$BI31]YJ=31]YJ8#J*** "DI:* "D'?ZTM(._UH 6D/;ZTM(>WUH
M6BBB@ HHHH **** "BBB@ HHHH **** $I:2EH **** "BBB@ HHHH ****
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M %%%% !1110 4444 %%%% !1110 4=C11VH *7M24=J "BBB@ HHHH ****
M"BBB@ HH[44 %%%% !1110 4444 -_Y:#Z4ZF_\ +3\*=0 U?O/]:=35^\WU
MIU C2U'_ )!]A_N'^E9P^\/K6CJ/_'A8?[A_I6<OWA]:2V*>YHZW_P ?X_W!
M6;6CK?\ R$/^ "LZA; ]QK?>7ZTZFM]Y?K3J8@HHHH 8_&&':G=J*:G&5]*
M'TP\./H:?4<G!_X": ')]P?2A?OM^%*!@ 4U?OM^% A]%%% PHHHH *:_0?4
M4ZFOT'U% AU%%% PHHHH **** &IW^II%^\_UI4_B^M(OWG^M A1_K&_"G4T
M??;\*=0 5=TO_CZ/^X:I5=TO_CZ/^X:3V&MR@_4?6KMK_P >EU_NBJ3]/QJ[
M:_\ 'I<_[HH8+<J4T?>:G4T?>;\*8#J*** "BBB@ I!W^M+2#O\ 6@!:0]OK
M2TA[?6@!:*** "BBB@ HHHH **** "BBDH *6BB@!!WI:2EH **** "BBB@
MHHHH **** "BBB@ HHHH **** "BBB@ HHHH *!T-%'8T %+VI*7M0 E%%%
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MR?:C % !R:*6B@ HHHH **** "BBB@!*6D]:6@ HHHH **** "BBB@ HHHH
M**** $I:** "BBB@ HHHH **** "CM11VH *#T%%'84 %%%% !1110 4444
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M0 M%)N%&10 M%)D49% "T4F11D4 +129%&10 M%)D49H .]+29HH 6BDS10
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M%% !1110 4444 %%%% !1VHH[4 %*>@I*4]!0 VEHHH **** "BBB@ HHHH
M**** "BBB@ HHHH **** &_\M!]*=3?^6@^E.H 8OWF^M/IJ_>?ZTZ@#2U7_
M %%C_P!<1_2L^+_7)_O#^=:.J_ZBR_ZXC^E9\7^N3_>'\ZE;#>Y<UG_D)/\
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M+110 E%+10 E%+10 E'XTM% "44M% "4M%% !1110 4444 %%%% !1VHI>U
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M+DXH 2E["DR:4DX% "44N329- !12Y-&30 E%&XTN: $HI<FC)H 2BC-+DT
M)12Y-&30 E%+DT9- "4444 -_P"6@^E.IO\ RT'TIU #%^\_UI]-7[S?6G4
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M <G1OI3:<G1OI3: "BBB@ HHHH **** "BBB@!*6DI: "BBB@ HHHH ****
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MA[?6@!\?WZ:>M.C^_33U- #DZ-]*;3D^ZWTIM !1110 4444 %%%% !1110
MGK2TE+0 4444 %%%% !1110 4444 %%%% !1110 4444 %%%% !1110 4=J*
M7M0 E!Z"B@]!0 4444 %%%% !1110 4444 %%%% !1110 4444 %%,\I/3]:
M/*3T_6@0?\M!]*?47E)Y@X[>M.\I/3]: %7[S?6G5$L2;FX[^M.\I/3]: -;
M6?\ 66W_ %Q%4;7_ (_(?]]?YU:UB",26^%_Y8CO5*UA0W<(Q_&._O26Q3W+
M6K?\A.;ZC^0JG5G5(8QJ4P"]QW]JI^4GI^M"V$]Q6^\OUIU1-$FY>._K3O*3
MT_6F(?13/*3T_6CRD]/UH&/HIGE)Z?K2-&BJ3M_6@0J\N3Z<"E/^L'T--6%
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M44 +1110 4444 %%%% !1110 4444 %%%% !1110 4O\-)2]J $H/044'H*
M"BBB@ HHHH **** "BBB@ HHHH 2EHHH **** "BBB@!O_+0?2G4W_EH/I3J
M &K]YOK3J:OWF^M.H T]9_UEO_UQ%4K3_C\@_P"NB_SJYK/^MM_^N(JG9_\
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M?OM]:=35^\WUIU &GK7^MM_^N(JE9_\ '[!_UT7^=7-9_P!=;_\ 7$53L_\
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MBB@ HHHH **** "BBDH 6BBB@ HHHH **** "BBB@ I>U)1VH *4]!24'M0
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M "T'TIU #5^\WUIU-7[S?6G4 :6M_P#'U%_UR']:J67_ !_0?]=%_G5O6_\
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M,?\ ?0H_L:]_YYC_ +Z%'NAJ-_M:^_Y[G_OD?X4?VM??\]S_ -\BG?V->_\
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MO;^\?SIC?>7ZTZ@!=S?WC^=&]O[Q_.DHH 7>W]X_G1YC_P!YOSI** '>8_\
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M,T44 %%%% !1110 4444 %%%% !1110 4444 %%%% !12%@O4TPNQ.%&#[T
M#N%D'KBA<DY R?4TBQ@2Y)W-CJ:EH$1JGSL6Y.:DIB_>;ZT^@ HHHH&%%%%
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M HHHH **** "BBB@ HI*6@04444#"BBB@ HHHH **** "BBB@ HHHH ****
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M0 4444 %%%% !1110 4444 %%%% !1110 4444 %%%% !1110 4444 %%%%
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MR)@<]QVH$2T4SS4]?TH\U/7]*!CZ*9YJ>OZ4>:GK^E #Z*9YJ>OZ4>:GK^E
M"I_%]:1?O/\ 6FI(GS<]_2A94W-SW]*!#Q]]OPIU1"1-[<^G:G>:GK^E #Z*
M9YJ>OZ4>8GK0,?13/,3UI?,7UH =31]YJ-Z^M-#KN/- $E%-WKZT;U]: '44
MW>OK1O7UH =2#O\ 6DWKZT@8<\]Z 'TA[?6DW#UI"PXY[T 31_>/TIE+$P+'
MGM3=P]: 'K_JVIM.5AY;<TS<* %HI,BC(H 6BDW#UHW#UH 6BBB@ HHHH 2E
MHHH 0TM)2T %%%% !1110 4444 %%)10 M%)BEH **** "BBD- "T444 %%%
M% !1110 4444 %%%% !1124 +1110 4444 %%%% !1110 4444 -_P"6@^E.
MIO\ RT'TIU #%^\WUI2@SD<'VH7[S?6G4"&;F7[PR/44X$$<'-+32@)R.#ZB
M@8ZBF99>HW#VIP8-T- "-]Y?K3J:WWE^M.H **** "BDI: "F'_6#Z&GTT_Z
MP?0T .IJ_?;\*=35^^U AU%%% PHHHH *:_0?44ZFOT'U% #J*** "BBB@ H
MHHH :G\7U-(OWG^M"?Q?6E7[S_6@ 'WV_"G4T??;\*=0 4444 %%%% !31]X
MTZFC[S4 .HHHH **** "D'?ZTM(._P!: %I#V^M+2'M]: )(^2?I3*DA^\WT
MJ.D ]?\ 5M3*<O\ JVIM, HHI* %HHHH **** "BBB@!!2T@ZFEH 2EI#VI:
M "BBB@ HI,T<T %%%+0 E+110 4444 %%%% !2&EI#0 M%%% !1110 4444
M%%%% !1110 4444 %%%% !1110 4444 %%%% !1110 W_EI^%.IO_+3\*=0
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MBB@ HHHH **** "BBB@ HHHH **3O2T %%%% !1110 4444 -_Y:#Z4ZF_\
M+0?2G4 -7[S_ %IU-7[S?6G4 %%%% !1110 UOO+]:=36^\OUIU !1110 A
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M2+NYY'6@8^D/;ZT8/]ZD*].3UH FBZM]*BW#UJ2%?F;'I3* 'JW[E\ U'SZ
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M:#JW^[4520=6_P!VHZ0$J?ZAZBJ1/]0]14 +110*8!1124 +1124 +1124
M[_6EI!U/UI: $;M]:6D;M]:6@ HHHH **** "BBB@ HH[T4 %%%)0 M%%% !
M2'I10W2@!:*** "BBB@ HI*6@ HHHH **** "BBB@ HHI.] !WI:3O\ A2T
+%%%% !1110!__]D!

end
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>GRAPHIC
<SEQUENCE>10
<FILENAME>imgd7fe38192.jpg
<DESCRIPTION>GRAPHIC
<TEXT>
begin 644 imgd7fe38192.jpg
M_]C_X  02D9)1@ ! 0$ 9 !D  #_X@H@24-#7U!23T9)3$4  0$   H0
M  (0  !M;G1R4D="(%A96B                !A8W-P05!03
M                        ]M4  0    #3+
M                                              ID97-C    _
M 'QC<')T   !>    "AW='!T   !H    !1B:W!T   !M    !1R6%E:   !
MR    !1G6%E:   !W    !1B6%E:   !\    !1R5%)#   "!   " QG5%)#
M   "!   " QB5%)#   "!   " QD97-C         ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4              ")!<G1I9F5X(%-O9G1W
M87)E('-21T(@24-#(%!R;V9I;&4
M            =&5X=     !#;W!Y<FEG:'0@07)T:69E>"!3;V9T=V%R92 R
M,#$Q %A96B        #S40 !     1;,6%E:(                     !8
M65H@        ;Z(  #CU   #D%A96B        !BF0  MX4  !C:6%E:(
M     "2@   /A   ML]C=7)V        !      %  H #P 4 !D '@ C "@
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M,C(R,C(R,O_  !$( !P R ,!(@ "$0$#$0'_Q  ?   !!0$! 0$! 0
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M.1NQD[L@GZBOI72=(L=#TF#3+" 16D"[43K]2?4DY)H X#X$L#\/Y ""1?2
JX[?*E%>:>-Q=?#SQ1=67AG4[^QM;@^8T23849 . !Z9P,Y..]% 6/__9

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