Form N-CSRS Northern Lights Fund For: Mar 31

united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-21720

 

Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive , Suite 450,Cincinnati, Ohio 45246

(Address of principal executive offices) (Zip code)

 

Richard Malinowski, Gemini Fund Services, LLC.

4221 North 203rd Street, Suite 100, Elkhorn, Nebraska 68022-3474

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2669

 

Date of fiscal year end: 09/30

 

Date of reporting period: 03/31/20

 

Item 1. Reports to Stockholders.

 

Deer Park Total Return Credit Fund

Class A Shares: DPFAX

Class C Shares: DPFCX

Class I Shares: DPFNX

Semi-Annual Report

March 31, 2020

www.deerparkfund.com

1-888-868-9501

Distributed by Northern Lights Distributors, LLC

Member FINRA

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website www.deerparkfund.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by following the instructions included with paper Fund documents that have been mailed to you.

 

May 31, 2020

 

Dear Investor,

 

The Deer Park Total Return Credit Fund (the “Fund”) is an open-end mutual fund that invests primarily in legacy non-agency mortgage backed securities (“RMBS”) and legacy asset backed securities (“ABS”) which we believe have a very attractive fundamental backdrop of an improving U.S. economy and housing market. The Fund seeks to provide a distribution yield of 3-6% and an attractive risk-adjusted total return with little correlation to both investment grade and high yield bonds. As of March 31, 2020, approximately 92% of the Fund is in floating-rate securities which we believe have the potential to provide uncorrelated returns regardless of interest rate direction.

 

Market Performance for the Six-Month Period Ending March 31, 2020

 

The Fund’s Class I Shares returned -13.58% over the six-month period ended March 31, 2020, and 3.41% annualized since the Fund’s inception on October 16, 2015. The Fund made quarterly distributions that amounted to approximately $0.32/share over the six-month period.

 

The Fund’s distribution policy is to make quarterly distributions to shareholders. The level of quarterly distributions (including return of capital) is not fixed. However, this distribution policy is subject to change. Shareholders should not assume that the source of a distribution from the Fund is net profit. A portion of the distributions consist of a return of capital based on the character of the distributions received from the underlying holdings. The final determination of the source and tax characteristics of all distributions will be made after the end of the year. Shareholders should note that return of capital will reduce the tax basis of their shares and potentially increase the taxable gain, if any, upon disposition of their shares. There is no assurance that the Fund will continue to declare distributions or that they will continue at these rates.

 

As of March 31, 2020	Q1 2020	Q4 2019	Six Months	One Year	Three Year	Since Inception*
DPFNX Class I (NAV)	-14.11%	0.61%	-13.58%	-10.55%	0.12%	3.41%
DPFAX Class A (NAV)	-14.18%	0.54%	-13.71%	-10.79%	-0.13%	3.15%
DPFAX Class A (Max Load)	-19.08%	-5.24%	-18.68%	-15.95%	-2.08%	1.79%
DPFCX Class C (NAV)	-14.39%	0.45%	-14.00%	-11.46%	n/a	-0.97%
Bloomberg Barclays US Aggregate	3.15%	0.18%	3.33%	8.93%	4.82%	3.79%
HFRX Fixed Income – Credit	-6.39%	2.54%	-4.01%	-1.84%	-0.17%	0.57%

 

*

Inception date for the I and A share classes is October 16, 2015. Inception date the C share class is April 6, 2017. Performance for periods longer than one year is annualized.

 

The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Past performance is no guarantee of future results. For performance information current to the most recent month-end, please call toll-free (888) 868-9501. The Fund’s total annual operating expenses are 2.36%, 3.11%, and 2.11% for the Class A, C, and I shares, respectively. The Fund’s investment advisor has contractually agreed to waive management fees and to make payments to limit Fund expenses. After this fee waiver, the expense ratios are 2.15%, 2.90%, and 1.90% for the Class A, C, and I shares, respectively. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years. The maximum sales load for the Class A shares is 5.75%. A fund’s performance, especially for very short periods of time, should not be the sole factor in making your investment decisions.

 

Market & Portfolio Update:

 

Q4 2019

 

We saw continued spread tightening across sectors in corporate credit products through the Fourth Quarter of 2019. While legacy non-agency RMBS performed well throughout 2019, on a relative basis they lagged the exuberant returns seen in corporate bonds markets. While the outperformance of corporate bonds was in part due to the lower starting levels as a result of the Q4 2018 selloff, the end result was a retracement of corporate spreads back to the tightest levels seen since 2007.

 

In the Fourth Quarter of 2019, legacy non-agency RMBS market price levels remained stable which led to somewhat muted returns of +0.61% for the quarter for the I Share Class. At the same time, these stable prices provided opportunities to trade out of lower yielding positions with limited upside return potential.

 

Q1 2020

 

The First Quarter of 2020 proved to be an extraordinary time in the markets and for societies the world over. Stock markets endured their worst declines since the 2008 crisis, with the Dow diving -22.7% and the S&P 500 losing -19.6% in the First Quarter of 2020. In a dramatic shift in sentiment, US markets officially entered into correction territory, for reference this reflects the fastest decline from peak of markets to correction ever. The dramatic market shift led to numerous liquidity events in credit markets as well. Portfolio managers that had taken on excess leverage, moved into positions we believe were poor quality credit sectors, or who did both were blindsided by this event and pushed into forced selling. This has resulted in both justified price declines in sectors that we believe will face mounting default exposure (e.g. Agency CRT, CMBS, CLO, HY Corporate etc.) and more technical price declines in sectors we believe are fundamentally sound assets like legacy non-agency RMBS. Legacy non-agency RMBS has a notable advantage of substantial homeowner equity that we believe will insulate the asset class from permanent default risk. After the dramatic decline began, the US Federal Reserve (“Fed”) and central banks globally have thrown the kitchen sink at the market to “backstop” the selloff, increasing the Fed balance sheet to the tune of almost $2 trillion in just one month. The immediate impact has been to quell market fear and provide needed liquidity. But ultimately, we believe these efforts will have limited effect on mitigating the substantial default risk that many of the above-mentioned sectors may face.

 

As the impact of the coronavirus expands, we have seen extreme uncertainty and significant changes in public and business behavior which may have a dramatic impact on corporate debt instruments. Public events of all types have been suspended or cancelled, travel restrictions have had a dramatic impact on cruise lines, airlines and other transportation and hospitality businesses. As these preventative actions continue to be implemented (closing schools, instructing work-from-home policies, limitations being placed on gatherings, etc.) there is undoubtedly going to be clear effects on associated businesses and revenue, resulting in a decline in GDP forecasts, potentially significantly.

 

The Current Opportunity in Non-Agency Legacy RMBS:

 

The core principals of the Deer Park Total Return Credit Fund (“Fund”) are founded on our approach to managing investments through all phases of credit cycles. Our strategy begins with fundamental analysis to source opportunities across all categories of structured credit and other markets and importantly to attempt to manage risk through avoiding sectors/asset classes we view as demonstrating adverse risk/return prospects. We have been concerned with what we believe are excesses across many speculative and risky markets, particularly those related to corporate credit and newer issue CMBS as well as new-issue mortgage products.

 

Non-Agency Legacy RMBS

 

●

The $400bn market for non-agency legacy RMBS, which has benefitted from a decade of deleveraging of risk (e.g. declining delinquency rates, increasing borrower home equity, and beneficial effects of low interest rates) has also been impacted by a severe technical selloff due to forced and indiscriminate selling in the markets.

 

●

Given what we believe are strong fundamental performance characteristics of these seasoned mortgage pools, it is our belief we are now seeing one of the best opportunities in this market in over ten years.

 

●

The best opportunity to produce outsized returns for investors is to be able to provide liquidity to markets demonstrating what we believe are attractive levels of pricing.

 

Why the Opportunity Exists

 

In recent years we have witnessed several elements of risk developing in the credit markets. Cheap debt fostered by unprecedented Fed and Central Bank activity along with what we believe were irresponsible corporate uses of capital and massive private debt funds chasing yield in highly levered corporations created a susceptible heap of dry tinder primed to ignite. Alongside this, and within the asset backed space, new mortgage credit products emerged. An example of this are RMBS 2.0 securities which are new production, non-agency mortgages and Credit Risk Transfers (CRTs), which are risk sharing bonds where the buyer underwrites credit risk from FNMA and FHLMC. By nature, these securities are extremely leveraged. Utilizing these and other products in an effort to stretch for yields and invest capital we believe many REITs, hedge funds and other mutual funds began to make investments in these products.

 

We chose to specifically avoid these asset classes in anticipation of this scenario. Many funds have experienced redemptions and were forced to sell these securities as well as what we believe are coveted non-agency legacy RMBS bonds at discounts we haven’t seen in over 10+ years.

 

Why Non-Agency Legacy RMBS

 

Of the Fund’s $509 million of assets, roughly 84% of the holdings are in non-agency RMBS (as of 03/31/2020). We have frequently articulated our belief in the risk-adjusted returns and fundamental value of these assets on both a relative and absolute basis. This market consists of 2000-2007 vintage securities that have survived the global financial crisis and now contain mortgages which have loan-to-values of 40

 

or more and are on the back-end of their amortization schedule. A large majority of the underlying loans have been through modification and the emotional attachment of the borrower to their home cannot be understated. Fundamentally we believe there has been little in the way of impact to these securities and ultimately Fed and Government economic support efforts will likely support these homeowners through this crisis.

 

Market Outlook

 

In terms of our positioning, we are confident in the diversified long bond holdings that we have accumulated in predominantly legacy Non-Agency RMBS. We believe fundamental performance characteristics remain sound and we see attractive additional new purchases opportunities. Meanwhile, we believe our dedicated approach to prudent risk management, through attempting to avoid high risk sectors will enable the strategy to perform well during this transition in markets.

 

Again, we want to thank everyone for your commitment to Deer Park during these challenging times. We are very positive about the positioning of the Fund and its ability to generate attractive near-term gains during periods of market dislocation, while still benefitting from core strength of our long holdings. Broader potential macro effects on financial markets and volatility levels are evolving daily and we believe this will offer us opportunities moving forward.

 

Important Risk Disclosures:

 

Investors should carefully consider the investment objectives, risks, charges and expenses of the Deer Park Total Return Credit Fund. This and other important information about the Fund is contained in the Prospectus, which can be obtained by contacting your financial advisor, or by calling (888) 868-9501. The Prospectus should be read carefully before investing. The Deer Park Total Return Credit Fund is distributed by Northern Lights Distributors, LLC member FINRA/SIPC. Princeton Fund Advisors, LLC, and Northern Lights Distributors are not affiliated. Mutual Funds involve risk including the possible loss of principal.

 

ABS, RMBS and CMBS are subject to credit risk because underlying loan borrowers may default. Additionally, these securities are subject to prepayment risk because the underlying loans held by the issuers may be paid off prior to maturity. The value of these securities may go down as a result of changes in prepayment rates on the underlying mortgages or loans. During periods of declining interest rates, prepayment rates usually increase and the Fund may have to reinvest prepayment proceeds at a lower interest rate. CMBS are less susceptible to this risk because underlying loans may have prepayment penalties or prepayment lock out periods. There is a risk that issuers and counterparties will not make payments on securities and other investments held by the Fund, resulting in losses to the Fund. In addition, the credit quality of securities held by the Fund may be lowered if an issuer’s financial condition changes.

 

Standard Deviation measures the average deviations of a return series from its mean. Gain Deviation is the Standard Deviation of all positive returns. Loss Deviation is the Standard Deviation of all negative returns. Sharpe Ratio is a statistical measure that uses standard deviation and excess return over a risk-free rate of return to determine reward per unit of risk. A higher Sharpe ratio implies a better historical risk-adjusted performance. The Sharpe ratio has been calculated using the Citi 3-month Treasury Bill Index for the risk-free rate of return. Correlation is a statistic that measures the degree to which two return series move in relation to each other.

 

The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. investment grades bond market.

 

The value of the Fund’s investments in fixed income securities will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities. HFRX Fixed Income - Credit Index includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, and Asset Backed. Investment thesis across all strategies is predicated on realization of a valuation discrepancy between the related credit instruments. The Bloomberg Barclays U.S. Municipal Index covers the USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds.

 

Foreign investing involves risks not typically associated with U.S. investments, including adverse fluctuations in foreign currency values, adverse political, social and economic developments, less liquidity, greater volatility, less developed or less efficient trading markets, political instability and differing auditing and legal standards. Investing in emerging markets imposes risks different from, or greater than, risks of investing in foreign developed countries.

 

Lower-quality fixed income securities, known as “high yield” or “junk” bonds, present greater risk than bonds of higher quality, including an increased risk of default. An economic downturn or period of rising interest rates could adversely affect the market for these bonds and reduce the Fund’s ability to sell its bonds. The lack of a liquid market for these bonds could decrease the Fund’s share price.

 

Repayment of defaulted securities and obligations of distressed issuers (including insolvent issuers or issuers in payment or covenant default, in workout or restructuring or in bankruptcy or in solvency proceedings) is subject to significant uncertainties. Investments in defaulted securities and obligations of distressed issuers are considered speculative as are junk bonds in general.

 

The value of a specific security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. The value of securities of smaller issuers can be more volatile than those of larger issuers. The value of certain types of securities can be more volatile due to increased sensitivity to adverse issuer, political, regulatory, market, or economic developments. Liquidity risk exists when particular investments of the Fund would be difficult to purchase or sell, possibly preventing the Fund from selling such illiquid securities at an advantageous time or price, or possibly requiring the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations.

 

The advisor’s and sub-advisors’ judgments about the attractiveness, value and potential appreciation of particular asset classes and securities in which the Fund invests (long or short) may prove to be incorrect and may not produce the desired results. Additionally, the advisor’s judgments about the potential performance of the sub-advisor may also prove incorrect and may not produce the desired results. Overall equity and fixed income securities and derivatives market risks may affect the value of individual instruments in which the Fund invests. Factors such as domestic and foreign economic growth and market conditions, interest rate levels, and political events affect the securities and derivatives markets. When the value of the Fund’s investments goes down, your investment in the Fund decreases in value and you could lose money.

 

Smaller companies may have limited product lines, markets or financial resources, and they may be dependent on a limited management group. Securities of smaller companies may be subject to more abrupt or erratic market movements than those of larger, more established companies or the market averages in general. Underlying funds are subject to investment advisory and other expenses, which will be indirectly paid by the Fund. As a result, the cost of investing in the Fund will be higher than the cost of investing directly in an underlying fund and may be higher than other mutual funds that invest directly in stocks and bonds. Underlying funds are subject to specific risks, depending on the nature of the fund.

3616-NLD-5/26/2020                

Deer Park Total Return Credit Fund

PORTFOLIO REVIEW (Unaudited)

March 31, 2020

The Fund’s performance figures* for the period ended March 31, 2020, compared to its benchmarks:

 

				Annualized	Annualized
			Annualized	Inception** -	Inception*** -
	Six Months	One Year	Three Year	March 31, 2020	March 31, 2020
Class A Shares	(13.71)%	(10.79)%	(0.13)%	3.15%	–
Class A Shares with load	(18.68)%	(15.95)%	(2.08)%	1.79%	–
Class C Shares	(14.00)%	(11.46)%	–	–	(0.97)%
Class I Shares	(13.58)%	(10.55)%	0.12%	3.41%	–
Bloomberg Barclays Capital U.S. Aggregate Bond Index	3.33%	8.93%	4.82%	3.79%	4.74%
HFRX Fixed Income - Credit Index	(4.01)%	(1.84)%	(0.17)%	0.57%	1.23%

 

*

The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and distributions and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investors’ shares, when redeemed, may be worth more or less than the original cost. The returns shown do not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or on the redemption of the Fund shares. The Fund’s total annual operating expenses, including underlying funds, are 2.36%, 3.11% and 2.11%, respectively, for Class A, Class C and Class I shares per the January 28, 2020 prospectus. Class A shares are subject to a maximum sales charge of 5.75% imposed on purchases. For certain of the periods shown, the Fund’s adviser waived and/or reimbursed certain expenses of the Fund. Absent this arrangement, the Fund’s performance would have been lower. For performance information current to the most recent month-end, please call toll free (888) 868-9501.

 

**

Commencement of operations is October 16, 2015.

 

***

Commencement of operations is April 6, 2017.

 

The Bloomberg Barclays Capital U.S. Aggregate Bond Index is commonly used as a benchmark by both passive and active investors to measure portfolio performance relative to the U.S. dollar-denominated investment grade fixed-rate taxable bond market. It is also an informational measure of broad market returns commonly applied to fixed income instruments. The index contains approximately 10,100 fixed income issues and is valued at around $20 trillion, representing 43% of the total U.S. bond market. Investors cannot invest directly in the index.

 

HFRX Fixed Income - Credit Index includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, Distressed, Convertible, Asset Backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Driven sub-strategies. Investment thesis across all strategies is predicated on realization of a valuation discrepancy between the related credit instruments. Strategies may also include and utilize equity securities, credit derivatives, government fixed income, commodities, currencies or other hybrid securities. Investors cannot invest directly in the index.

 

The Fund’s top asset classes and industry sectors as of March 31, 2020, are as follows:

 

		Percent of
Portfolio Composition:		Net Assets
Non-Agency Residential Mortgage Backed Securities			83.3	%
Short Term Investments			12.2	%
Commercial Mortgage Backed Securities			10.0	%
Other Mortgage Backed Securities			1.3	%
Liabilities in Excess of Other Assets			(6.80	)%
			100.00	%

Please refer to the Portfolio of Investments in this Semi-Annual Report for a detailed listing of the Fund’s holdings.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3%
	172,537			ABFC 2004-HE1 Trust, 1M Libor + 2.55%		3.497		10/25/2033		$	138,728
	176,034			ABFC 2004-OPT1 Trust, 1M Libor + 5.25%		6.197		12/25/2032			136,983
	1,208,860			ABFC 2004-OPT3 Trust, 1M Libor + 0.75%		1.697		9/25/2033			1,152,897
	481,733			ABFC 2004-OPT4 Trust, 1M Libor + 2.18%		3.122		8/25/2033			374,009
	625,577			ABFC 2005-HE1 Trust, 1M Libor + 0.74%		1.682		3/25/2035			472,529
	562,272			Accredited Mortgage Loan Trust 2005-3, 1M Libor +0.70%		1.647		9/25/2035			292,126
	338,700			ACE Securities Corp Home Equity Loan Trust Series 2003-FM1, 1M Libor + 5.25%		6.197		11/25/2032			241,283
	447,512			ACE Securities Corp Home Equity Loan Trust Series 2003-HE1, 1M Libor + 5.25%		6.197		11/25/2033			378,810
	29,125			ACE Securities Corp Home Equity Loan Trust Series 2003-NC1, 1M Libor + 2.85%		3.797		7/25/2033			29,733
	165,477			ACE Securities Corp Home Equity Loan Trust Series 2003-NC1, 1M Libor +5.25%		6.197		7/25/2033			128,509
	1,142,649			ACE Securities Corp Home Equity Loan Trust Series 2004-OP1, 1M Libor + 3.00%		3.947		4/25/2034			734,028
	245,351			ACE Securities Corp Home Equity Loan Trust Series 2004-OP1, 1M Libor + 3.38%		4.322		4/25/2034			145,604
	73,566			ACE Securities Corp Home Equity Loan Trust Series 2004-OP1, 1M Libor + 5.25%		6.197		4/25/2034			42,230
	857,202			ACE Securities Corp Home Equity Loan Trust Series 2004-RM2, 1M Libor + 1.40%		2.342		1/25/2035			539,966
	1,291,069			ACE Securities Corp Home Equity Loan Trust Series 2005-WF1, 1M Libor + 3.50%		4.447		5/25/2035			975,263
	78,321			Adjustable Rate Mortgage Trust 2005-4 (A)		4.262		8/25/2035			70,580
	1,478,980			Adjustable Rate Mortgage Trust 2007-1, 1M Libor + 0.15%		1.097		3/25/2037			1,277,780
	372,476			Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-1, 1M Libor + 2.33%		3.277		4/25/2034			259,926
	209,021			Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-1, 1M Libor + 2.78%		3.727		4/25/2034			144,202
	1,193,603			Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-3, 1M Libor + 2.85%		3.797		9/25/2034			886,882
	865,185			AFC Home Equity Loan Trust, 1M Libor + 0.81%		1.757		6/25/2029			680,541
	1,741,881			Alliance Bancorp Trust 2007-OA1, 1M Libor + 0.24%		1.187		7/25/2037			1,325,862
	530,159			Alternative Loan Trust 2005-22T1, 1M Libor +5.07%		4.123		6/25/2035			90,328
	39,401			Alternative Loan Trust 2005-24, Federal Reserve U.S. 12 month +1.31%		3.276		7/20/2035			11,187
	91,195			Alternative Loan Trust 2005-36 (A)		4.053		5/25/2033			14,567
	747,018			Alternative Loan Trust 2005-45, 1M Libor +2.05%		4.016		10/20/2035			545,638
	1,443,538			Alternative Loan Trust 2005-50CB		6.000		11/25/2035			905,009
	540,692			Alternative Loan Trust 2005-56, 1M Libor + 0.32%		1.267		11/25/2035			423,975
	2,107,720			Alternative Loan Trust 2005-61, 1M Libor +0.42%		1.367		12/25/2035			1,473,418
	1,021,909			Alternative Loan Trust 2005-65CB		5.500		12/25/2035			868,555
	529,993			Alternative Loan Trust 2005-65CB, 1M Libor + 0.75%		1.697		1/25/2036			361,469
	623,498			Alternative Loan Trust 2006-36T2, 1M Libor + 0.90%		1.847		12/25/2036			203,390
	414,992			Alternative Loan Trust 2006-HY10 (A)		4.039		5/25/2036			343,680
	294,588			Alternative Loan Trust 2006-J3		4.750		12/25/2020			225,863
	339,468			Alternative Loan Trust 2006- J5		6.500		9/25/2036			189,673
	4,559,402			Alternative Loan Trust 2006-OA2, 1M Libor + 0.21%		0.983		5/20/2046			3,149,159
	22,870,480			Alternative Loan Trust 2006-OA2 (A)(C)		1.966		5/20/2046			1,274,993
	5,732,916			Alternative Loan Trust 2006-OA6, 1M Libor + 0.27%		1.217		7/25/2046			3,320,671
	1,383,864			Alternative Loan Trust 2006-OA7, Federal Reserve U.S. 12 month + 0.94%		2.906		6/25/2046			1,148,950
	3,136,551			Alternative Loan Trust 2006-OA7, Federal Reserve U.S. 12 month + 0.94%		2.906		6/25/2046			2,416,545
	37,568,435			Alternative Loan Trust 2006-OA10 (A)(C)		1.841		8/25/2046			3,443,865
	1,742,966			Alternative Loan Trust 2006-OA11, 1M Libor + 0.19%		1.137		9/25/2046			1,470,457
	2,071,850			Alternative Loan Trust 2006-OA12, 1M Libor + 0.21%		0.983		9/20/2046			1,490,473
	7,365,392			Alternative Loan Trust 2006-OA17 (A)(C)		1.243		12/20/2046			523,769
	378,855			Alternative Loan Trust 2006-OA19, 1M Libor + 0.18%		0.953		2/20/2047			257,071
	2,076,600			Alternative Loan Trust 2006-OC6, 1M Libor + 0.16%		1.107		7/25/2036			1,950,157
	238,220			Alternative Loan Trust Resecuritization 2006-22R		6.250		5/25/2036			186,785
	1,584,341			American Home Mortgage Assets Trust 2005-1, 1M Libor + 0.66%		1.607		11/25/2035			1,017,341
	881,028			American Home Mortgage Assets Trust 2006-1, 1M Libor + 0.19%		1.137		5/25/2046			677,860
	304,596			American Home Mortgage Assets Trust 2006-2, Federal Reserve U.S. 12 month + 0.96%		2.926		9/25/2046			243,448
	243,432			American Home Mortgage Assets Trust 2006-2, 1M Libor + 0.19%		1.137		9/25/2046			188,495
	1,124,221			American Home Mortgage Assets Trust 2006-4, 1M Libor + 0.21%		1.157		10/25/2046			674,308
	4,007,282			American Home Mortgage Assets Trust 2006-6, 1M Libor + 0.19%		1.137		12/25/2046			2,856,985
	7,248,635			American Home Mortgage Assets Trust 2007-1, Federal Reserve U.S. 12 month + 0.70%		2.753		2/25/2047			3,254,882
	253,700			American Home Mortgage Assets Trust 2007-5, 1M Libor + 0.19%		1.137		6/25/2047			189,699
	4,263,125			American Home Mortgage Investment Trust 2005-4, 1M Libor + 0.76%		1.707		11/25/2045			3,058,140
	731,775			American Home Mortgage Investment Trust 2006-3, 1M Libor + 0.46%		1.407		12/25/2046			521,761
	5,550,998			American Home Mortgage Investment Trust 2007-2, 1M Libor + 0.27%		1.217		3/25/2037			2,996,456
	675,141			Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, 1M Libor + 4.88%		5.287		12/25/2033			463,412
	614,850			Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2003-AR2, 1M Libor + 3.05%		3.992		5/25/2033			375,977
	1,322,847			Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004 R3, 1M Libor + 2.76%		3.707		5/25/2034			1,058,163
	198,688			Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004-R11, 1M Libor + 2.10%		3.047		11/25/2034			137,564
	1,171,717			Amortizing Residential Collateral Trust 2001-BC6, 1M Libor + 1.20%		2.147		10/25/2031			848,221
	201,887			Amortizing Residential Collateral Trust 2001-BC6, 1M Libor + 2.03%		2.972		10/25/2031			131,647
	80,248			Amortizing Residential Collateral Trust 2002-BC5, 1M Libor + 1.80%		2.747		7/25/2032			75,144
	621,894			Argent Securities Inc Asset Back Pass Thr Certs Ser 2003-W4, 1M Libor +5.25%, 144A		4.919		10/25/2033			456,919

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	385,295			Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W7, 1M Libor +2.78%		4.202		1/25/2034		$	362,314
	1,538,032			Argent Securities Trust 2006-M1, 1M Libor + 0.15%		1.097		7/25/2036			1,188,740
	326,986			Argent Securities Trust 2006-M2, 1M Libor + 0.15%		1.097		9/25/2036			122,692
	65,919			Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE4, 1M Libor + 3.00%		3.705		8/15/2033			61,834
	85,099			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3, 1M Libor + 2.10%		3.047		6/25/2034			82,171
	266,316			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3, 1M Libor + 2.55%		3.497		6/25/2034			238,042
	517,096			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3, 1M Libor + 4.13%		5.072		6/25/2034			368,151
	426,906			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, 1M Libor + 2.81%		3.752		9/25/2034			332,280
	578,030			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, 1M Libor + 3.00%		3.947		9/25/2034			378,373
	66,359			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE8, 1M Libor + 1.05%		1.997		12/25/2034			58,080
	303,449			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE10, 1M Libor + 1.90%, 144A		2.847		9/25/2034			224,024
	418,538			Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE10, 1M Libor + 2.75%, 144A		3.697		9/25/2034			271,877
	199,370			Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, 1M Libor + 1.23%		2.177		2/25/2035			160,583
	783,872			Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, 1 M Libor + 1.88%		2.822		2/25/2035			629,518
	1,359,509			Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, 1M Libor + 2.03%		2.972		5/25/2035			909,487
	1,612,897			Asset-Backed Pass Through Certificates Series 2002-3, 1M Libor + 3.23%		4.172		8/25/2032			1,077,771
	2,199,781			Asset-Backed Pass-Through Certificates Series 2004-R12, 1M Libor + 1.68%		2.627		1/25/2035			1,741,323
	27,276			Banc of America Funding 2004-C Trust (A)		4.408		12/20/2034			22,858
	91,048			Banc of America Funding 2005-F Trust, 1M Libor + 0.31%		1.083		9/20/2035			59,415
	162,324			Banc of America Funding 2005-F Trust (A)		4.179		9/20/2035			131,470
	1,765,991			Banc of America Funding 2006-D Trust, 1M Libor + 0.56%		1.333		5/20/2036			760,066
	1,450,689			BankUnited Trust 2005-1, 1M Libor + 0.78%		1.727		9/25/2045			1,191,744
	500,000			Bayview Financial Acquisition Trust (B)		6.096		12/28/2036			488,055
	4,725,919			Bayview Financial Mortgage Pass-Through Certificates Series 2004-D, 1M Libor + 5.25%		6.191		8/28/2044			4,686,628
	2,430,000			Bayview Financial Mortgage Pass-Through Trust 2005-C, 1M Libor + 1.35%		2.291		6/28/2044			1,740,598
	362,835			Bayview Koitere Fund Trust 2019-RN3 Trust (B), 144A		3.967		7/28/2033			362,240
	171,091			Bayview Opportunity Master Fund IVa Trust 2019-RN2 (B), 144A		3.967		3/28/2034			170,465
	670,631			BCAP LLC Trust 2006-AA2, 1M Libor + 0.17%		1.117		1/25/2037			609,312
	599,168			BCMSC Trust 2001-A (A)		8.265		12/15/2030			271,876
	1,499,016			Bear Stearns ALT-A Trust 2003-5 (A)		3.921		12/25/2033			1,321,052
	467,493			Bear Stearns ALT-A Trust 2003-6 (A)		3.811		1/25/2034			257,862
	384,495			Bear Stearns ALT-A Trust 2005-3 (A)		3.549		4/25/2035			329,277
	3,433,202			Bear Stearns ALT-A Trust 2005-10, 1M Libor + 0.50%		1.447		1/25/2036			4,181,685
	1,626,855			Bear Stearns ALT-A Trust 2006-4 (A)		3.716		8/25/2036			1,328,295
	619,786			Bear Stearns ALT-A Trust 2007-2, 1M Libor + 0.17%		1.117		4/25/2037			469,484
	85,688			Bear Stearns ARM Trust 2002-1 (A)		4.416		2/25/2024			83,192
	212,389			Bear Stearns ARM Trust 2004-6 (A)		3.914		9/25/2034			183,981
	128,151			Bear Stearns ARM Trust 2004-7 (A)		4.250		10/25/2034			106,935
	161,406			Bear Stearns ARM Trust 2007-4 (A)		4.054		6/25/2047			134,945
	56,237			Bear Stearns Asset Backed Securities I Trust 2004-AC5, 1M Libor + 0.40%		1.347		10/25/2034			43,755
	643,000			Bear Stearns Asset Backed Securities I Trust 2004-BO1, 1M Libor + 4.00%		4.947		10/25/2034			544,109
	293,321			Bear Stearns Asset Backed Securities I Trust 2004-FR2, 1M Libor + 2.85%		3.797		6/25/2034			203,835
	499,190			Bear Stearns Asset Backed Securities I Trust 2004-FR3, 1M Libor + 2.70%		3.647		9/25/2034			349,149
	912,695			Bear Stearns Asset Backed Securities I Trust 2004-FR3, 1M Libor + 2.85%		3.797		9/25/2034			503,716
	149,983			Bear Stearns Asset Backed Securities I Trust 2004-HE6, 1M Libor + 4.13%		5.677		8/25/2034			42,713
	195,968			Bear Stearns Asset Backed Securities I Trust 2004-HE7, 1M Libor + 2.10%		3.047		8/25/2034			191,616
	182,516			Bear Stearns Asset Backed Securities I Trust 2004-HE7, 1M Libor + 5.63%		6.572		8/25/2034			139,952
	587,353			Bear Stearns Asset Backed Securities I Trust 2004-HE8, 1M Libor + 2.10%		3.047		9/25/2034			484,406
	566,048			Bear Stearns Asset Backed Securities I Trust 2004-HE8, 1M Libor + 2.63%		3.572		9/25/2034			369,438
	1,816,009			Bear Stearns Asset Backed Securities I Trust 2004-HE9, 1M Libor + 2.10%		3.047		11/25/2034			1,244,255
	301,146			Bear Stearns Asset Backed Securities I Trust 2004-HE9, 1M Libor + 2.63%		3.572		11/25/2034			167,224
	981,225			Bear Stearns Asset Backed Securities I Trust 2004-HE10, 1M Libor + 2.70%		3.647		11/25/2034			834,663
	850,481			Bear Stearns Asset Backed Securities I Trust 2005-HE4, 1M Libor + 1.88%		2.822		12/25/2035			819,054
	386,133			Bear Stearns Asset Backed Securities I Trust 2007-HE2, 1M Libor + 0.17%		1.117		3/25/2037			722,244
	122,747			Bear Stearns Asset Backed Securities Trust (B)		8.410		10/25/2029			122,042
	248,269			Bear Stearns Asset Backed Securities Trust (B)		8.220		10/25/2029			230,336
	51,739			Bear Stearns Asset Backed Securities Trust, 1M Libor + 5.63%		6.572		7/25/2034			40,579
	240,924			Bear Stearns Asset Backed Securities Trust 2003-AC4 (B)		5.658		9/25/2033			215,504
	137,533			Bear Stearns Asset Backed Securities Trust 2003-AC5, 1M Libor + 4.88%		5.822		10/25/2033			133,526
	81,814			Bear Stearns Asset Backed Securities Trust 2003-AC6, 1M Libor + 2.65%		3.597		11/25/2033			63,335

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	86,246			Bear Stearns Asset Backed Securities Trust 2003-HE1, 1M Libor + 2.85%		3.797		1/25/2034		$	55,580
	87,869			Bear Stearns Asset Backed Securities Trust 2003-HE1, 1M Libor + 3.38%		4.322		1/25/2034			22,202
	112,358			Bear Stearns Asset Backed Securities Trust 2004-HE1, 1M Libor + 6.00%		6.002		2/25/2034			88,353
	147,707			Bear Stearns Asset Backed Securities Trust 2004-HE2, 1M Libor + 2.10%		3.047		3/25/2034			127,857
	57,410			Bear Stearns Asset Backed Securities Trust 2004-HE2, 1M Libor + 2.63%		3.572		3/25/2034			46,512
	331,640			Bear Stearns Asset Backed Securities Trust 2004-HE2, 1M Libor + 4.88%		5.857		3/25/2034			244,667
	33,302			Bear Stearns Asset Backed Securities Trust 2004-SD1 (B)		6.000		12/25/2042			7,309
	650,305			Bear Stearns Asset Backed Securities Trust 2005-SD2, 1M Libor + 3.75%		4.697		12/25/2044			582,963
	119,323			Bear Stearns Asset Backed Securities Trust 2007-SD2		6.000		9/25/2046			108,872
	316,221			Bear Stearns Mortgage Funding Trust 2006-AR1, 1M Libor + 0.26%		1.207		8/25/2036			575,066
	662,463			Bear Stearns Mortgage Funding Trust 2006-AR5, 1M Libor + 0.16%		1.107		12/25/2046			555,240
	369,291			Bear Stearns Mortgage Funding Trust 2006-AR5, 1M Libor + 0.21%		1.157		12/25/2046			534,459
	284,129			Bear Stearns Mortgage Funding Trust 2007-AR3, 1M Libor + 0.14%		1.087		3/25/2037			234,587
	57,519			Bear Stearns Mortgage Funding Trust 2007-SL1, 1M Libor + 0.32%		1.267		3/25/2037			51,726
	250,000			Bravo Mortgage Asset Trust		1.347		7/25/2036			193,070
	736,447			Business Loan Express Business Loan Trust 2007-A, 1M Libor + 1.10%, 144A		1.873		10/20/2040			471,371
	122,249			Carrington Mortgage Loan Trust Series 2004-NC1, 1M Libor + 2.33%		3.272		5/25/2034			122,075
	5,337,273			Carrington Mortgage Loan Trust Series 2005-FRE1, 1M Libor + 0.62%		1.567		12/25/2035			1,671,711
	1,262,364			Carrington Mortgage Loan Trust Series 2005-NC1, 1M Libor + 1.17%		2.117		2/25/2035			818,188
	1,439,801			Carrington Mortgage Loan Trust Series 2006-NC4, 1M Libor + 0.16%		1.107		10/25/2036			1,287,783
	1,876,634			Carrington Mortgage Loan Trust Series 2006-NC5, 1M Libor + 0.11%		1.057		1/25/2037			1,810,969
	500,000			Carrington Mortgage Loan Trust Series 2007-FRE1, 1M Libor + 0.26%		1.207		2/25/2037			415,068
	280,740			C-BASS 2007-CB1 TRUST, 1M Libor + 0.07%		1.017		1/25/2037			104,524
	949,036			C-BASS 2007-CB1 TRUST (B)		5.721		1/25/2037			413,270
	2,599,019			C-BASS 2007-CB1 TRUST (B)		5.835		1/25/2037			1,131,522
	1,007,879			C-BASS Mortgage Loan Trust 2007-CB3		3.761		3/25/2037			469,481
	792,273			CDC Mortgage Capital Trust 2003-HE2, 1M Libor + 2.85%		3.797		10/25/2033			677,029
	91,108			CDC Mortgage Capital Trust 2003-HE3, 1M Libor + 2.63%		3.572		11/25/2033			91,039
	581,470			CDC Mortgage Capital Trust 2004-HE1, 1M Libor + 1.80%		2.747		6/25/2034			534,142
	1,566,683			CDC Mortgage Capital Trust 2004-HE3, 1M Libor + 0.92%		1.862		11/25/2034			1,449,098
	887,071			CDC Mortgage Capital Trust 2004-HE3, 1M Libor + 1.80%		2.747		11/25/2034			718,984
	369,907			Centex Home Equity Loan Trust 2001-B (B)		7.330		7/25/2032			303,825
	950,203			Centex Home Equity Loan Trust 2004-B, 1M Libor + 1.58%		2.522		3/25/2034			751,792
	293,289			Centex Home Equity Loan Trust 2004-D, 1M Libor + 0.69%		1.637		9/25/2034			278,815
	133,313			Centex Home Equity Loan Trust 2004-D, 1M Libor + 1.00%		1.947		9/25/2034			129,934
	41,439			Chase Funding Loan Acquisition Trust Series 2004-OPT1, 1M Libor + 2.40%		3.347		6/25/2034			41,321
	429,356			Chase Funding Trust Series 2003-1, 1M Libor +0.66%		1.607		11/25/2032			412,393
	143,273			Chase Funding Trust Series 2003-3		4.885		5/25/2032			73,179
	593,757			Chase Mortgage Finance Trust Series 2005-S3		5.500		11/25/2035			522,130
	52,793			Chase Mortgage Finance Trust Series 2007-A1 (A)		4.617		2/25/2037			44,174
	170,119			Chase Mortgage Finance Trust Series 2007-A1 (A)		4.495		2/25/2037			154,626
	97,227			Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-2, 1M Libor + 0.32%, 144A		1.267		5/25/2035			90,461
	859,365			Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2007-2, 1M Libor + 0.18%, 144A		1.727		5/25/2048			603,747
	47,234			CHL Mortgage Pass-Through Trust 2004-25, 1M Libor + 0.78%		1.627		2/25/2035			38,683
	489,392			CHL Mortgage Pass-Through Trust 2005-2, 1M Libor + 0.68%		2.786		3/25/2035			404,896
	77,034			CHL Mortgage Pass-Through Trust 2005-11 (A)		1.217		4/25/2035			55,827
	46,901			CHL Mortgage Pass-Through Trust 2005-11, 1M Libor + 0.27%		1.267		4/25/2035			42,535
	732,069			CHL Mortgage Pass-Through Trust 2005-11, 1M Libor + 0.32%		5.500		4/25/2035			443,280
	445,188			CHL Mortgage Pass-Through Trust 2005-14		3.461		7/25/2035			240,623
	129,887			CHL Mortgage Pass-Through Trust 2007-HYB2 (A)		6.000		2/25/2047			107,000
	326,954			CHL Mortgage Pass-Through Trust 2007-J3		6.000		7/25/2037			209,559
	3,118,027			CIT Home Equity Loan Trust 2002-2 (B)		6.490		2/25/2031			3,053,534
	175,074			Citicorp Mortgage Securities Trust Series 2006-4		6.000		8/25/2036			80,853
	97,907			Citicorp Mortgage Securities Trust Series 2007-7 **		0.000		8/25/2037			71,961
	1,612,500			Citicorp Residential Mortgage Trust Series 2006-1 (B)		6.142		7/25/2036			1,500,797
	4,996,334			Citicorp Residential Mortgage Trust Series 2006-1 (B)		5.145		7/25/2036			2,812,965
	1,457,118			Citicorp Residential Mortgage Trust Series 2006-2 (B)		5.996		9/25/2036			340,373
	443,119			Citigroup Global Markets Mortgage Securities VII, Inc., 1M Libor + 1.35%		2.297		1/25/2032			418,938
	184,223			Citigroup Global Markets Mortgage Securities VII, Inc.		7.000		12/25/2027			157,900
	55,676			Citigroup Mortgage Loan Trust 2004-HYB2		4.348		3/25/2034			48,829
	195,211			Citigroup Mortgage Loan Trust 2005-3 (A)		4.493		8/25/2035			149,036
	2,629,079			Citigroup Mortgage Loan Trust 2006-AMC1, 1M Libor + 0.26%		1.207		9/25/2036			2,102,464
	1,562,460			Citigroup Mortgage Loan Trust 2006-HE1, 1M Libor + 0.75%		1.697		1/25/2036			1,068,575
	2,242,167			Citigroup Mortgage Loan Trust 2007-AHL2, 1M Libor + 0.07%		1.017		5/25/2037			1,600,333
	328,512			Citigroup Mortgage Loan Trust 2007-AHL3, 1M Libor + 0.17% 144A		1.117		5/25/2037			248,994
	109,051			Citigroup Mortgage Loan Trust 2007-AMC2, 1M Libor + 0.08%		1.027		1/25/2037			80,718

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	100,501			Citigroup Mortgage Loan Trust 2007-AR8 (A)		4.468		7/25/2037		$	82,096
	435,167			Citigroup Mortgage Loan Trust 2007-OPX1 (B)		6.333		1/25/2037			197,558
	199,059			Citigroup Mortgage Loan Trust Inc (A)		3.898		2/25/2034			189,433
	499,721			Citigroup Mortgage Loan Trust Inc, 1M Libor + 1.10%		2.042		2/25/2035			423,163
	264,380			Citigroup Mortgage Loan Trust Inc, 1M Libor + 1.86%		2.807		2/25/2035			226,178
	3,931,531			Citigroup Mortgage Loan Trust Inc, 1M Libor + 0.65%		1.597		10/25/2035			1,462,078
	665,680			Citigroup Mortgage Loan Trust Inc., 1M Libor + 0.26%		1.207		11/25/2035			487,730
	113,882			CitiMortgage Alternative Loan Trust Series 2007-A1		6.000		1/25/2037			105,186
	959,425			Conseco Finance Home Equity Loan Trust 2002-B, 1M Libor +5.25%		5.955		5/15/2033			937,549
	116,509			Countrywide Asset-Backed Certificates, 1M Libor + 3.38%, 144A		4.322		3/25/2032			117,177
	558,011			Countrywide Asset-Backed Certificates, 1M Libor + 2.25%		3.197		11/25/2032			495,879
	321,147			Countrywide Asset-Backed Certificates, 1M Libor + 2.55%		3.497		4/25/2033			307,369
	459,690			Countrywide Asset-Backed Certificates, 1M Libor + 2.10%		3.047		8/25/2033			433,339
	802,349			Countrywide Asset-Backed Certificates, 1M Libor + 1.02%		1.967		9/25/2033			645,725
	240,535			Countrywide Asset-Backed Certificates, 1M Libor + 1.95%		2.897		3/25/2034			240,314
	200,272			Countrywide Asset-Backed Certificates, 1M Libor + 1.88%		2.822		4/25/2034			163,708
	21,925			Countrywide Asset-Backed Certificates, 1M Libor + 2.25%		3.197		7/25/2034			17,552
	63,577			Countrywide Asset-Backed Certificates, 1M Libor + 1.88%		2.822		10/25/2034			50,362
	408,191			Countrywide Asset-Backed Certificates, 1M Libor + 0.50%		1.447		3/25/2036			370,274
	2,832,312			Countrywide Asset-Backed Certificates, 1M Libor + 0.65%		1.597		4/25/2036			1,255,804
	531,737			Countrywide Asset-Backed Certificates, 1M Libor + 0.13%		1.077		12/25/2036			416,142
	2,332,477			Countrywide Asset-Backed Certificates, 1M Libor + 0.14%		1.087		3/25/2037			1,823,447
	2,362,999			Countrywide Asset-Backed Certificates, 1M Libor + 0.16%		1.107		1/25/2046			2,293,446
	1,244,203			Countrywide Asset-Backed Certificates, 1M Libor + 0.45%, 144A		1.397		3/25/2047			901,171
	310,687			Credit Suisse First Boston Mortgage Securities Corp. (A)		4.501		6/25/2032			280,066
	189,866			Credit Suisse First Boston Mortgage Securities Corp, 1M Libor + 2.00%		2.947		10/25/2032			173,806
	1,552,809			Credit Suisse First Boston Mortgage Securities Corp. (A)		6.733		2/25/2033			1,392,755
	104,670			Credit Suisse First Boston Mortgage Securities Corp. (A)		4.077		3/25/2033			88,825
	114,483			Credit Suisse First Boston Mortgage Securities Corp, 1M Libor + 3.25%		4.322		4/25/2034			98,062
	231,084			Credit Suisse First Boston Mortgage Securities Corp., 1M Libor + 2.00%		2.947		2/25/2035			223,107
	928,113			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.95%		2.897		4/25/2032			753,869
	573,151			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.00%		3.947		5/25/2032			536,834
	498,204			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 5.63%		6.572		10/25/2032			429,539
	157,613			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.43%		2.372		1/25/2033			147,961
	108,178			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.00%		3.783		3/25/2034			101,851
	221,578			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.75%, 144A		3.783		3/25/2034			202,115
	145,075			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 4.88%		3.783		3/25/2034			166,120
	58,483			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.10%		2.042		1/25/2035			55,731
	363,000			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 0.63%		1.577		7/25/2035			283,157
	246,075			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 2.70%		3.647		7/25/2035			238,444
	3,505,000			Credit-Based Asset Servicing & Securitization LLC, 144A (B)		6.000		9/25/2035			2,263,167
	63,651			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 0.80%		1.742		12/25/2035			60,798
	2,920,000			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.05%, 144A		1.997		7/25/2036			2,734,577
	445,000			Credit-Based Asset Servicing & Securitization LLC (B)		6.114		4/25/2037			322,121
	1,202,525			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 0.34%, 144A		1.287		7/25/2037			736,532
	1,360,918			Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 3.75%, 144A		4.697		5/25/2050			1,168,452
	152,789			CSFB Mortgage-Backed Pass-Through Certificates Series 2003-10 (A)		5.750		5/25/2033			135,853
	623,439			CSFB Mortgage-Backed Trust Series 2004-7 (A)		5.960		11/25/2034			359,540
	441,912			CWABS Asset-Backed Certificates Trust 2005-1 (A)		5.555		7/25/2035			398,839
	783,000			CWABS Asset-Backed Certificates Trust 2005-4 (A)		5.236		7/25/2035			552,169
	172,313			CWABS Asset-Backed Certificates Trust 2005-11 (A)		4.246		3/25/2034			171,605
	113,985			CWABS Inc Asset-Backed Certificates Series 2004-1, 1M Libor +1.80%		2.747		12/25/2033			114,288
	2,113,923			CWABS Inc Asset-Backed Certificates Trust 2004-4, 1M Libor +4.50%		5.447		8/25/2033			1,917,640
	69,200			CWABS Inc Asset-Backed Certificates Trust 2004-5, 1M Libor +0.86%		1.802		8/25/2034			66,205
	222,938			CWABS Inc Asset-Backed Certificates Trust 2004-5, 1M Libor +2.33%		3.272		5/25/2034			216,784
	13,488			CWABS Inc Asset-Backed Certificates Trust 2004-5, 1M Libor +3.00%		3.947		4/25/2034			12,231
	2,360,389			CWHEQ Revolving Home Equity Loan Trust Series 2005-B, 1M Libor + 0.18%		0.885		5/15/2035			2,251,311
	510,296			CWHEQ Revolving Home Equity Loan Trust Series 2006-D, 1M Libor + 0.20%		0.905		5/15/2036			429,735
	1,422,338			Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5/DE, 1M Libor + 0.40%		1.347		8/25/2047			743,178
	1,042,491			Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2008-RS1, 1M Libor + 0.25%, 144A		1.191		5/28/2037			495,483
	25,548			DSLA Mortgage Loan Trust 2004-AR3, 1M Libor + 1.65%		2.400		8/25/2035			20,953
	48,686			DSLA Mortgage Loan Trust 2005-AR1, 1M Libor + 0.66%		1.410		2/19/2045			2,904
	1,035,137			DSLA Mortgage Loan Trust 2007-AR1, 1M Libor + 0.18%		0.930		4/19/2047			816,601
	1,007,443			Emc Mortgage Trust Loan Trust, 1M Libor + 2.55%, 144A		3.497		5/25/2039			861,113
	681,206			EquiFirst Mortgage Loan Trust 2004-3, 1M Libor + 2.63%		3.572		12/25/2034			516,849
	368,074			EquiFirst Mortgage Loan Trust 2004-3, 1M Libor + 3.90%		4.847		12/25/2034			152,032

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	850,860			EquiFirst Mortgage Loan Trust 2005-1, 1M Libor + 1.80%		2.747		4/25/2035		$	668,794
	6,623,481			Fannie Mae REMICS, 1M Libor + 6.05%		5.103		3/25/2039			314,050
	10,961,868			Fannie Mae REMICS, 1M Libor + 6.15%		5.203		4/25/2040			842,165
	2,621,816			Fannie Mae REMICS, 1M Libor + 6.58%		5.633		8/25/2041			176,471
	2,741,714			Fannie Mae REMICS, 1M Libor + 6.05%		5.103		8/25/2042			447,047
	8,698,652			Fannie Mae REMICS, 1M Libor + 6.10%		5.153		1/25/2043			2,087,065
	8,418,786			Fannie Mae REMICS, 1M Libor + 6.05%		5.103		3/25/2047			1,815,102
	6,559,286			Fannie Mae REMICS, 1M Libor + 6.05%		5.103		3/25/2047			1,108,680
	6,018,685			Fannie Mae REMICS, 1M Libor + 6.15%		5.203		9/25/2047			1,046,314
	7,667,671			Fannie Mae REMICS, 1M Libor + 6.20%		5.253		9/25/2048			953,598
	281,641			FBR Securitization Trust, 1M Libor + 0.68%		1.622		10/25/2035			159,140
	10,329,791			FBR Securitization Trust 2005-2, 1M Libor + 0.98%		1.922		9/25/2035			886,807
	45,756			Finance America Mortgage Loan Trust 2004-1, 1M Libor + 1.73%		2.672		6/25/2034			45,363
	585,777			Finance America Mortgage Loan Trust 2004-1, 1M Libor + 2.18%		3.122		6/25/2034			485,329
	135,821			First Franklin Mortgage Loan Asset Backed Certificates, 1M Libor + 2.10%		3.047		5/25/2034			101,721
	640,958			First Franklin Mortgage Loan Trust 2002-FF4, 1M Libor + 1.58%		2.522		2/25/2033			368,480
	122,690			First Franklin Mortgage Loan Trust 2002-FFA, 1M Libor + 2.00%		2.947		9/25/2032			126,078
	997,914			First Franklin Mortgage Loan Trust 2003-FFH1, 1M Libor + 2.63%		3.572		9/25/2033			730,137
	3,195,778			First Franklin Mortgage Loan Trust 2003-FFH2, 1M Libor + 2.37%		3.317		2/25/2034			2,478,151
	557,331			First Franklin Mortgage Loan Trust 2004-FF5, 1M Libor + 2.40%		3.347		8/25/2034			568,970
	750,067			First Franklin Mortgage Loan Trust 2004-FF7 (B)		5.500		9/25/2034			540,099
	1,148,388			First Franklin Mortgage Loan Trust 2004-FF7, 1M Libor + 2.18%		3.122		9/25/2034			983,223
	999,057			First Franklin Mortgage Loan Trust 2004-FF8, 1M Libor + 1.43%		2.372		10/25/2034			930,470
	913,553			First Franklin Mortgage Loan Trust 2004-FFH4, 1M Libor +2.70%		3.647		1/25/2035			619,735
	5,617,275			First Franklin Mortgage Loan Trust 2005-FF9, 1M Libor + 0.54%		1.487		10/25/2035			4,502,408
	4,607,131			First Franklin Mortgage Loan Trust 2005-FF10, 1M Libor + 0.27%		1.217		7/25/2036			4,162,491
	5,106,131			First NLC Trust 2005-1, 1M Libor + 0.65% &		1.883		5/25/2035			3,977,048
	1,512,959			First NLC Trust 2007-1, 1M Libor + 0.28%, 144A		1.227		8/25/2037			810,130
	1,842,056			Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 2015-R1, 144A (A)		5.936		11/25/2052			1,476,217
	2,507,664			Freddie Mac REMICS, 1M Libor + 6.70%		5.995		2/15/2042			334,651
	6,889,400			Freddie Mac REMICS, 1M Libor + 6.10%		5.395		12/15/2044			1,422,854
	530,885			Freddie Mac REMICS, 1M Libor + 6.00%		5.295		5/15/2046			83,549
	3,522,067			Freddie Mac REMICS, 1M Libor + 6.10%		5.395		5/15/2047			602,723
	10,864,369			Freddie Mac REMICS, 1M Libor + 6.15%		5.445		9/15/2047			1,929,206
	7,886,733			Freddie Mac REMICS, 1M Libor + 6.20%		5.495		5/15/2048			984,700
	40,418			Fremont Home Loan Trust 2004-B, 1M Libor + 2.33%		3.272		5/25/2034			35,497
	446,761			Fremont Home Loan Trust 2004-C, 1M Libor + 1.73%		2.672		8/25/2034			331,646
	513,299			GE Capital Mortgage Services Corp. 1999-HE3 Trust (A)		7.775		10/25/2029			529,999
	159,265			GE Capital Mortgage Services Inc 1999-HE2 Trust (A)		7.905		7/25/2029			83,002
	1,127,695			Global Mortgage Securitization Ltd., 1M Libor + 0.27%, 144A		1.217		4/25/2032			1,035,060
	2,312,288			Global Mortgage Securitization Ltd., 144A		5.250		4/25/2032			2,135,379
	1,549,199			GMACM Mortgage Loan Trust 2004-GH1 (B)		5.000		7/25/2035			1,420,315
	6,263,547			Government National Mortgage Association (A)		1.462		3/16/2047			220,291
	29,733,912			Government National Mortgage Association, 1M Libor + 3.43%		2.657		9/20/2049			3,060,330
	9,562,708			Government National Mortgage Association (A)		0.679		2/16/2051			385,804
	7,348,680			Government National Mortgage Association (A)		0.601		8/16/2051			273,602
	45,047,309			Government National Mortgage Association (A)		0.378		11/16/2052			829,765
	10,783,956			Government National Mortgage Association (A)		0.862		5/16/2057			622,619
	23,848,702			Government National Mortgage Association (A)		0.739		2/16/2059			1,469,747
	93,125			GreenPoint Mortgage Funding Trust Series 2006-AR3, 1M Libor + 0.23%		1.177		4/25/2036			95,302
	1,009,711			GreenPoint Mortgage Funding Trust Series 2006-AR8, 1M Libor + 0.21%		1.157		1/25/2047			1,025,929
	504,567			GreenPoint Mortgage Loan Trust 2004-1, 1M Libor + 0.58%		1.522		10/25/2034			423,669
	1,448,948			GSAA Home Equity Trust 2005-2, 1M Libor + 2.18%		3.122		12/25/2034			1,321,981
	4,176,000			GSAA Home Equity Trust 2005-6, 1M Libor + 1.20%		2.147		6/25/2035			3,017,715
	70,166			GSAA Home Equity Trust 2006-3, 1M Libor + 0.08%		1.027		3/25/2036			33,831
	1,692,000			GSAA Trust (B)		5.760		11/25/2034			1,567,551
	44,642			GSAMP Trust 2003-FM1, 1M Libor + 2.78%		3.548		3/20/2033			46,002
	83,148			GSAMP Trust 2004-OPT, 1M Libor + 2.55%		4.023		11/25/2034			45,537
	89,597			GSAMP Trust 2004-WF, 1M Libor + 2.48%		3.422		10/25/2034			59,614
	1,226,759			GSAMP Trust 2007-FM1, 1M Libor + 0.12%		1.067		12/25/2036			621,362
	2,000,000			GSAMP Trust 2007-SEA1, 144A, (B)		5.500		12/25/2036			1,578,626
	1,994,801			GSMPS Mortgage Loan Trust 2003-3, (A), 144A		7.075		6/25/2043			470,777
	191,763			GSMPS Mortgage Loan Trust 2006-RP1, 1M Libor + 0.35%, 144A		1.297		1/25/2036			147,573
	168,723			GSR Mortgage Loan Trust 2003-2F		4.750		3/25/2032			157,158
	22,661			GSR Mortgage Loan Trust 2004-7 (A)		3.680		6/25/2034			19,405
	2,712,954			GSR Mortgage Loan Trust 2006-4F,1M Libor + 0.35%		1.297		5/25/2036			220,190

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	1,231,552			GSR Mortgage Loan Trust 2006-9F, 1M Libor + 0.35%		1.297		10/25/2036		$	203,821
	24,123			GSR Mortgage Loan Trust 2006-AR2 (A)		3.769		4/25/2036			18,315
	1,666,706			GSR Mortgage Loan Trust 2006-OA1, 1M Libor + 0.26%		1.207		8/25/2046			763,735
	432,317			HarborView Mortgage Loan Trust 2004-8, 1M Libor + 0.94%		1.690		11/19/2034			187,166
	5,059,478			HarborView Mortgage Loan Trust 2005-13, 1M Libor + 0.56%		1.310		2/19/2036			3,603,120
	233,306			HarborView Mortgage Loan Trust 2006-7, 1M Libor + 0.20%		0.950		9/19/2046			185,405
	3,080,283			HarborView Mortgage Loan Trust 2006-8, 1M Libor + 0.19%		1.114		7/21/2036			2,899,219
	6,845,717			HarborView Mortgage Loan Trust 2006-10, 1M Libor + 0.24%		0.990		11/19/2036			4,820,895
	3,794,134			HarborView Mortgage Loan Trust 2007-1, 1M Libor + 0.18%		0.930		3/19/2037			3,033,686
	2,386,110			Helios Issuer LLC, 144A		8.000		9/20/2049			1,697,718
	237,122			Home Equity Asset Trust, 1M Libor + 2.55%		3.497		3/25/2033			215,177
	1,333,643			Home Equity Asset Trust, 1M Libor + 3.50%		4.447		3/25/2034			1,114,584
	263,366			Home Equity Asset Trust, 1M Libor + 2.50%		3.447		4/25/2034			216,923
	518,522			Home Equity Asset Trust, 1M Libor + 2.60%		3.547		8/25/2034			664,380
	770,660			Home Equity Asset Trust, 1M Libor + 1.50%		2.447		3/25/2035			649,753
	267,048			Home Equity Asset Trust 2002-2, 1M Libor + 1.85%		2.797		6/25/2032			218,947
	923,930			Home Equity Asset Trust 2004-4, 1M Libor + 2.75%		3.697		10/25/2034			765,352
	215,407			Home Equity Asset Trust 2004-6, 1M Libor + 1.65%		2.597		12/25/2034			184,905
	1,132,079			Home Equity Asset Trust 2005-4, 1M Libor + 1.68%		2.627		10/25/2035			801,479
	137,000			Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-D, 1M Libor + 0.44%		1.387		3/25/2036			109,660
	5,831,032			Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-D, 1M Libor + 0.16%		1.107		11/25/2036			4,234,075
	220,158			Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-E, 1M Libor + 0.12%		1.067		4/25/2037			151,526
	787,240			Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A, 1M Libor + 0.22%		1.167		4/25/2037			603,501
	1,798,757			Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A, 1M Libor + 0.24%		1.187		4/25/2037			1,239,748
	478,123			Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2001-C, 1M Libor + 2.18%		3.122		12/25/2032			371,569
	112,653			Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2003-A (B)		4.965		4/25/2033			117,968
	343,315			Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-B, 1M Libor + 2.18%		3.122		11/25/2034			342,288
	178,584			Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C, 1M Libor + 1.43%		2.372		3/25/2035			140,368
	392,885			Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C, 1M Libor + 1.58%		2.522		3/25/2035			306,873
	337,729			Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C, 1M Libor + 1.88%		2.822		3/25/2035			249,378
	217,493			HomeBanc Mortgage Trust 2004-2, 1M Libor + 0.98%		1.922		12/25/2034			193,720
	777,621			HomeBanc Mortgage Trust 2005-1, 1M Libor + 1.25%		2.197		3/25/2035			642,896
	4,763,686			HSI Asset Securitization Corp Trust 2007-WF1, 1M Libor + 0.27%		1.217		5/25/2037			4,373,284
	453,975			IMC Home Equity Loan Trust 1998-1 (B)		7.530		6/20/2029			431,679
	4,392			IMC Home Equity Loan Trust 1998-5 (B)		6.560		3/15/2037			4,418
	92,286			Impac CMB Trust Series 2004-4, 1M Libor + 2.25%		3.197		9/25/2034			91,942
	630,023			Impac CMB Trust Series 2004-11, 1M Libor + 0.74%		1.687		3/25/2035			550,614
	275,160			Impac CMB Trust Series 2005-2, 1M Libor + 0.65%		1.592		4/25/2035			242,239
	891,519			Impac CMB Trust Series 2005-2, 1M Libor + 0.77%		1.712		4/25/2035			749,499
	151,020			Impac CMB Trust Series 2005-2, 1M Libor + 1.13%		2.072		4/25/2035			125,695
	100,680			Impac CMB Trust Series 2005-2, 1M Libor + 2.48%		3.422		4/25/2035			86,348
	18,620			Impac CMB Trust Series 2005-6, 1M Libor + 3.38%		4.322		10/25/2035			18,053
	76,533			Impac Secured Assets CMN Owner Trust		6.500		4/25/2033			62,362
	4,093,126			Impac Secured Assets Corp Series 2004-4, 1M Libor + 1.65%		2.597		2/25/2035			2,856,591
	1,918,675			IndyMac IMJA Mortgage Loan Trust 2007-A1		6.000		8/25/2037			1,163,969
	3,695,636			IndyMac IMSC Mortgage Loan Trust 2007-HOA1, 1M Libor + 0.18%		1.127		7/25/2047			2,725,268
	144,004			IndyMac INDA Mortgage Loan Trust 2006-AR3 (A)		3.830		12/25/2036			118,857
	100,316			IndyMac INDX Mortgage Loan Trust 2004-AR5, 1M Libor + 0.80%		1.747		8/25/2034			80,126
	1,707,092			IndyMac INDX Mortgage Loan Trust 2004-AR6 (A)		4.198		10/25/2034			1,514,436
	1,404,588			IndyMac INDX Mortgage Loan Trust 2004-AR14, 1M Libor + 0.72%		1.667		1/25/2035			1,106,188
	5,322,308			IndyMac INDX Mortgage Loan Trust 2005-AR18, 1M Libor + 0.31%		1.257		10/25/2036			3,520,577
	492,370			IndyMac INDX Mortgage Loan Trust 2005-AR23 (A)		3.725		11/25/2035			412,271
	105,949			IndyMac INDX Mortgage Loan Trust 2006-AR6, 1M Libor + 0.20%		1.147		6/25/2046			82,572
	817,370			IndyMac INDX Mortgage Loan Trust 2006-AR8, 1M Libor + 0.31%		1.177		7/25/2046			745,905
	899,031			IndyMac INDX Mortgage Loan Trust 2006-AR29, 1M Libor + 0.08%		1.027		11/25/2036			732,243
	1,101,566			IndyMac INDX Mortgage Loan Trust 2006-AR29, 1M Libor + 0.17%		1.117		11/25/2036			902,719
	643,331			JP Morgan Alternative Loan Trust (A)		3.996		5/25/2036			447,822
	957,411			JP Morgan Mortgage Trust 2005-A1 (A)		4.352		2/25/2035			548,844
	146,233			JP Morgan Mortgage Trust 2006-A6 (A)		3.906		10/25/2036			117,084
	317,334			JP Morgan Mortgage Trust 2006-A7 (A)		3.803		1/25/2037			261,872
	175,817			JP Morgan Mortgage Trust 2006-S3		6.500		8/25/2036			109,204
	57,723			Lehman Mortgage Trust 2005-3		6.000		1/25/2036			57,204
	5,623,863			Lehman Mortgage Trust 2007-5, 1M Libor + 6.34%		5.393		6/25/2037			1,062,686
	138,556			Lehman XS Trust 2007-1, 1M Libor + 0.23%		1.177		2/25/2037			82,908
	1,658,095			Lehman XS Trust 2007-6, 1M Libor + 0.21%		1.157		5/25/2037			1,246,874
	4,757,681			Lehman XS Trust Series 2005-5N, 1M Libor + 0.36% #		1.307		11/25/2035			3,682,880

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	6,288,283			Lehman XS Trust Series 2005-9N, Federal Reserve U.S. 12 month + 1.06%		3.026		2/25/2036		$	5,165,222
	1			Lehman XS Trust Series 2006-18N, 1M Libor + 0.17%		1.117		12/25/2036			1
	725,780			Lehman XS Trust Series 2007-7N, 1M Libor + 0.24%		1.187		6/25/2047			562,515
	1,224,178			Lehman XS Trust Series 2007-12N, 1M Libor + 0.20%		1.147		7/25/2047			1,020,240
	230,729			Lehman XS Trust Series 2007-16N, 1M Libor + 0.85%		1.797		9/25/2047			192,926
	5,200,000			Long Beach Mortgage Loan Trust 2001-2, 1M Libor + 1.95% ^		0.000		7/25/2031			379,600
	4,850			Long Beach Mortgage Loan Trust 2001-4, 1M Libor + 2.48%		3.422		3/25/2032			7,113
	6,937			Long Beach Mortgage Loan Trust 2003-3, 1M Libor + 2.78%		3.722		7/25/2033			7,652
	90,129			Long Beach Mortgage Loan Trust 2003-4, 1M Libor + 2.63%		3.572		8/25/2033			91,344
	45,046			Long Beach Mortgage Loan Trust 2004-4, 1M Libor + 1.65%		2.597		10/25/2034			44,078
	140,310			Long Beach Mortgage Loan Trust 2004-5, 1M Libor + 1.80%		2.747		9/25/2034			116,994
	70,706			Long Beach Mortgage Loan Trust 2004-5, 1M Libor + 1.95%		2.897		9/25/2034			59,760
	4,513,470			Long Beach Mortgage Loan Trust 2005-1, 1M Libor + 1.43% #		2.372		2/25/2035			3,678,783
	440,617			MASTR Alternative Loan Trust 2006-2, 1M Libor + 0.35%		1.297		3/25/2036			32,123
	286,401			MASTR Alternative Loan Trust 2006-2, 1M Libor + 0.40%		1.347		3/25/2036			21,604
	3,000,000			Mastr Asset Backed Securities Trust 2004-HE1, 1M Libor + 3.75%		4.697		9/25/2034			2,911,169
	657,256			Mastr Asset Backed Securities Trust 2004-OPT2, 1M Libor +2.85%		3.797		9/25/2034			385,969
	58,810			Mastr Asset Backed Securities Trust 2004-WMC3, 1M Libor + 0.96%		1.907		10/25/2034			58,067
	112,841			Mastr Asset Backed Securities Trust 2005-NC1, 1M Libor + 1.20%		2.147		12/25/2034			107,537
	99,127			MASTR Asset Securitization Trust 2004-3		5.500		3/25/2034			82,839
	332,556			Mastr Specialized Loan Trust, 144A (B)		6.250		7/25/2035			308,126
	985,703			Merrill Lynch Alternative Note Asset Trust Series 2007-OAR4, 1M Libor + 0.25%		1.197		8/25/2037			782,927
	86,134			Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1		4.056		12/25/2032			62,451
	1,088,197			Merrill Lynch Mortgage Investors Trust Series 2003-HE1, 1M Libor + 2.48%		3.422		7/25/2034			828,840
	228,992			Merrill Lynch Mortgage Investors Trust Series 2004-HE2, 1M Libor + 4.35%		5.297		8/25/2035			211,495
	491,885			Merrill Lynch Mortgage Investors Trust Series 2004-WMC2, 1M Libor + 2.78%		3.722		12/25/2034			386,705
	1,427,340			Merrill Lynch Mortgage Investors Trust Series 2005-A6, 1M Libor +0.65%		1.597		8/25/2035			807,367
	344,247			Merrill Lynch Mortgage Investors Trust Series 2005-WMC1, 1M Libor + 0.80%		1.742		9/25/2035			338,034
	828,187			Merrill Lynch Mortgage Investors Trust Series 2005-WMC1, 1M Libor + 5.63%, 144A		6.572		9/25/2035			572,305
	17,787			Merrill Lynch Mortgage Investors Trust Series MLCC 2007-3 (A)		3.750		9/25/2037			14,875
	823,240			Merrill Lynch Mortgage Investors Trust Series MLCC 2007-3 (A)		3.902		9/25/2037			447,458
	86,147			Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1 (A)		3.978		2/25/2034			69,025
	197,506			Morgan Stanley ABS Capital I Inc Trust 2001-WF1, 1M Libor + 1.58%		2.522		9/25/2031			200,283
	703,110			Morgan Stanley ABS Capital I Inc Trust 2003-NC5, 1M Libor + 4.95%		5.897		4/25/2033			638,040
	61,929			Morgan Stanley ABS Capital I Inc Trust 2003-NC7, 1M Libor + 5.63%		6.572		6/25/2033			63,486
	420,215			Morgan Stanley ABS Capital I Inc Trust 2003-NC8, 1M Libor + 5.40%		6.347		9/25/2033			350,469
	568,546			Morgan Stanley ABS Capital I Inc Trust 2003-NC8, 1M Libor + 5.63%		6.572		9/25/2033			460,145
	732,187			Morgan Stanley ABS Capital I Inc Trust 2003-NC10, 1M Libor + 5.63%		6.572		10/25/2033			645,842
	19,356			Morgan Stanley ABS Capital I Inc Trust 2004-HE4, 1M Libor + 3.15%		4.097		5/25/2034			20,405
	1,365,296			Morgan Stanley ABS Capital I Inc Trust 2004-HE6, 1M Libor + 2.03%		2.972		8/25/2034			1,319,670
	290,018			Morgan Stanley ABS Capital I Inc Trust 2004-HE8, 1M Libor + 1.95%		2.897		9/25/2034			286,642
	94,364			Morgan Stanley ABS Capital I Inc Trust 2004-HE8, 1M Libor + 2.70%		3.647		9/25/2034			90,164
	1,479,915			Morgan Stanley ABS Capital I Inc Trust 2004-HE9, 1M Libor + 1.58%		2.522		11/25/2034			1,231,474
	46,131			Morgan Stanley ABS Capital I Inc Trust 2004-NC7, 1M Libor + 1.73%		2.672		7/25/2034			42,639
	368,490			Morgan Stanley ABS Capital I Inc Trust 2004-NC8, 1M Libor + 1.88%		2.822		9/25/2034			364,521
	69,219			Morgan Stanley ABS Capital I Inc Trust 2004-NC8, 1M Libor + 2.78%		3.722		9/25/2034			68,174
	1,500,428			Morgan Stanley ABS Capital I Inc Trust 2004-WMC3, 1M Libor + 1.43%		2.372		1/25/2035			766,989
	1,366,815			Morgan Stanley ABS Capital I Inc Trust 2005-HE1, 1M Libor + 1.31%		2.252		12/25/2034			957,987
	492,840			Morgan Stanley ABS Capital I Inc Trust 2005-HE2, 1M Libor + 1.02%		1.967		1/25/2035			344,569
	1,100,106			Morgan Stanley ABS Capital I Inc Trust 2005-NC1, 1M Libor + 1.10%		2.042		1/25/2035			846,727
	312,669			Morgan Stanley ABS Capital I Inc Trust 2005-NC1, 1M Libor + 1.88%		2.822		1/25/2035			249,409
	1,887,631			Morgan Stanley ABS Capital I Inc Trust 2005-NC2, 1M Libor + 1.04%		1.982		3/25/2035			936,417
	1,610,635			Morgan Stanley ABS Capital I Inc Trust 2005-WMC2, 1M Libor + 0.98%		1.922		2/25/2035			825,886
	200,000			Morgan Stanley ABS Capital I Inc Trust 2005-WMC4, 1M Libor + 1.05%		1.997		4/25/2035			167,255
	4,112,927			Morgan Stanley ABS Capital I Inc Trust 2006-HE7, 1M Libor + 0.23%		1.177		9/25/2036			2,045,297
	348,493			Morgan Stanley ABS Capital I Inc Trust 2007-HE3, 1M Libor + 0.06%		1.007		12/25/2036			181,406
	4,887			Morgan Stanley Dean Witter Capital I Inc Trust 2001-NC1, 1M Libor + 0.95%		1.892		10/25/2031			50,935
	1,314,986			Morgan Stanley Home Equity Loan Trust 2007-2, 1M Libor + 0.10%		1.047		4/25/2037			702,821
	2,410,792			Morgan Stanley IXIS Real Estate Capital Trust 2006-2, 1M +0.15%		1.097		11/25/2036			1,025,167
	5,261,451			Morgan Stanley Mortgage Loan Trust 2007-7AX, 1M Libor + 0.32%		1.267		4/25/2037			424,057
	20,949,213			Morgan Stanley Mortgage Loan Trust 2007-7AX, 1M Libor + 0.32%		1.267		4/25/2037			1,662,268
	210,267			Mortgage IT Trust 2004-2, 1M Libor + 0.83%		1.772		12/25/2034			193,798
	305,622			Mortgage IT Trust 2005-2, 1M Libor + 0.81%		1.757		5/25/2035			289,973
	93,325			Mortgage IT Trust 2005-2, 1M Libor + 1.65%		3.231		5/25/2035			87,476
	2,500,000			Nationstar Home Equity Loan Trust 2007-A, 1M Libor + 0.28%		1.227		3/25/2037			1,959,556
	1,048,129			New Century Home Equity Loan Trust 2003-6, 1M Libor + 4.76%		5.709		1/25/2034			966,705

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	94,380			New Century Home Equity Loan Trust 2004-1, 1M Libor + 2.33%		3.272		5/25/2034		$	93,896
	50,147			New Century Home Equity Loan Trust 2004-3, 1M Libor + 1.73%		2.672		11/25/2034			45,997
	4,903,909			New Century Home Equity Loan Trust 2005-1, 1M Libor + 1.20%		2.147		3/25/2035			1,989,140
	3,631,418			New Century Home Equity Loan Trust 2005-2, 1M Libor + 1.02%		1.967		6/25/2035			1,711,177
	398,413			New Century Home Equity Loan Trust 2006-2, 1M Libor + 0.16%		1.107		8/25/2036			364,574
	1,511,814			New Century Home Equity Loan Trust Series 2003-2, 1M Libor + 3.00%		3.947		1/25/2033			1,304,580
	174,454			New Century Home Equity Loan Trust Series 2003-3, 1M Libor + 5.63%		6.572		7/25/2033			121,512
	352,236			New Century Home Equity Loan Trust Series 2003-5 (B)		6.000		11/25/2033			346,008
	3,750,281			New Residential Mortgage LLC, 144A		5.670		5/25/2023			3,705,849
	141,908			Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR1, 1M Libor +1.10%		2.047		8/25/2034			119,802
	315,728			Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1 (A)		4.442		6/25/2036			240,009
	142,432			NovaStar Mortgage Funding Trust Series 2003-3, 1M Libor + 1.13%		2.072		12/25/2033			140,762
	1,281,027			NovaStar Mortgage Funding Trust Series 2004-1, 1M Libor + 2.55%		3.497		6/25/2034			1,045,081
	1,867,037			NovaStar Mortgage Funding Trust Series 2004-1, 1M Libor + 2.70%		3.647		6/25/2034			1,227,194
	98,506			NovaStar Mortgage Funding Trust Series 2004-3, 1M Libor + 2.78%		3.722		12/25/2034			66,211
	2,500,000			NovaStar Mortgage Funding Trust Series 2004-4, 1M Libor + 2.55%		3.497		3/25/2035			1,817,720
	3,191,837			NovaStar Mortgage Funding Trust Series 2005-1, 1M Libor + 1.77%		2.717		6/25/2035			1,608,107
	557,437			NovaStar Mortgage Funding Trust Series 2006-MTA1, 1M Libor + 0.38%		0.780		9/25/2046			490,490
	2,110,501			NovaStar Mortgage Funding Trust Series 2007-1, 1M Libor + 0.13%		1.077		3/25/2037			1,388,596
	439,085			Option One Mortgage Loan Trust 2004-1, 1M Libor + 2.03%		2.972		1/25/2034			292,768
	298,286			Option One Mortgage Loan Trust 2004-1, 1M Libor + 2.48%		3.422		1/25/2034			190,887
	298,348			Option One Mortgage Loan Trust 2004-2, 1M Libor + 1.58%		2.522		5/25/2034			282,662
	593,107			Option One Mortgage Loan Trust 2004-2, 1M Libor + 2.70%		3.647		5/25/2034			391,283
	5,840,243			Optone Delware Trust Adj% (A)(C)		6.171		2/26/2038			3,763,758
	259,076			Origen Manufactured Housing		7.820		3/15/2032			237,187
	1,062,242			Ownit Mortgage Loan Trust Series 2004-1, 1M Libor + 2.78%		3.722		7/25/2035			1,094,761
	411,213			Ownit Mortgage Loan Trust Series 2006-2 (B)		6.133		1/25/2037			409,654
	1,067,102			Park Place Securities Inc Asset-Backed Pass-Through Certificates Ser 2004-WHQ1, 1M Libor +2.78%		3.722		9/25/2034			733,358
	275,566			Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW3, 1M Libor + 0.48%		1.427		8/25/2035			268,660
	2,564,113			Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WLL, 1M Libor + 1.11%, 144A		2.057		3/25/2035			1,285,170
	2,761,217			Park Place Securities Inc Series 2005-WCW1, 1M Libor + 0.66%		1.607		9/25/2035			1,404,013
	189,648			People’s Choice Home Loan Securities Trust Series 2004-2, 1M Libor + 1.73%		2.672		10/25/2034			158,529
	163,349			People’s Choice Home Loan Securities Trust Series 2004-2, 1M Libor + 2.70%		3.647		10/25/2034			97,564
	85,322			Popular ABS Mortgage Pass-Through Trust 2005-5 (B)		3.885		11/25/2035			83,739
	980,213			Popular ABS Mortgage Pass-Through Trust 2005-A, 1M Libor + 1.65%		2.597		6/25/2035			634,524
	700,000			Popular ABS Mortgage Pass-Through Trust 2005-B, 1M Libor + 1.90%		2.847		8/25/2035			561,719
	440,825			Prime Mortgage Trust 2006-1		5.500		6/25/2036			458,429
	992,000			Prime Mortgage Trust 2006-CL1, 1M Libor + 0.40%		1.347		2/25/2035			701,703
	695,000			Prime Mortgage Trust 2006-CL1, 1M Libor + 0.48%		1.427		2/25/2035			446,984
	300,000			Provident Bank Home Equity Loan Trust 1998-4, 1M Libor + 3.50%		4.447		1/25/2030			285,408
	796,466			Provident Bank Home Equity Loan Trust 1999-3, 1M Libor + 0.39%		2.407		1/25/2031			662,739
	246,502			Provident Bank Home Equity Loan Trust 1999-3, 1M Libor + 0.42%		2.467		1/25/2031			205,013
	2,208,380			Quest Trust, 1M Libor + 5.25%, 144A		4.572		12/25/2033			1,698,999
	347,716			Quest Trust, 1M Libor + 4.88%, 144A		5.822		2/25/2034			301,994
	325,067			RAAC Series 2004-SP3 Trust, 1M Libor + 1.85%		2.797		9/25/2034			150,428
	148,249			RAAC Series 2005-SP2 Trust, 1M Libor + 0.30%		1.247		6/25/2044			122,900
	445,747			RAAC Series 2007-RP4 Trust, 1M Libor + 0.35%, 144A		1.297		11/25/2046			387,115
	14,064			RALI Series 2003-QS9 Trust, 1M Libor + 0.45%		1.397		5/25/2020			13,305
	6,006,581			RALI Series 2005-QO1 Trust, 1M Libor +0.38%		1.327		8/25/2035			3,011,494
	375,485			RALI Series 2005-QS7 Trust		5.500		6/25/2035			343,622
	3,378,072			RALI Series 2006-QO7 Trust, + 0.80%		2.766		9/25/2046			2,175,579
	743,947			RALI Series 2006-QO8 Trust, 1M Libor + 0.20%		1.147		10/25/2046			643,935
	50,597			RALI Series 2006-QS7 Trust, 1M Libor + 0.40%		1.347		6/25/2036			35,366
	63,103,332			RALI Series 2006-QS12 Trust (A)(C)		0.463		9/25/2036			847,888
	993,907			RALI Series 2007-QH3 Trust, 1M Libor + 0.21%		1.157		4/25/2037			2,225,795
	384,982			RALI Series 2007-QH5 Trust, 1M Libor + 0.25%		1.197		6/25/2037			10,810
	715,213			RALI Series 2007-QH7 Trust, 1M Libor + 0.27%		1.217		8/25/2037			354,900
	297,057			RAMP Series 2003-RS9 Trust, 1M Libor + 2.70%		3.647		10/25/2033			253,707
	6,258			RAMP Series 2004-SL1 Trust, 1M Libor + 1.90%		3.527		10/25/2031			6,126
	1,000,000			RAMP Series 2005-EFC4 Trust, 1M Libor + 0.63%		1.577		9/25/2035			847,846
	409,322			RAMP Series 2005-RS8 Trust, 1M Libor + 0.50%		1.447		9/25/2035			369,766
	759,259			RAMP Series 2006-RS1 Trust, 1M Libor +0.41		1.357		1/25/2036			355,063
	1,844,466			RASC Series 2004-KS6 Trust		5.066		7/25/2034			1,351,969
	3,000,000			RASC Series 2005-KS6 Trust, 1M Libor + 1.88%		2.822		7/25/2035			2,101,357
	339,720			Renaissance Home Equity Loan Trust 2002-3, 1M Libor + 5.25%		6.197		12/25/2032			198,441
	16,541,348			Reperforming Loan REMIC Trust 2005-R1, 144A (A)		4.565		3/25/2035			2,214,738
	18,281,411			Reperforming Loan REMIC Trust 2005-R2, 144A (A)		4.141		6/25/2035			2,210,059

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	21,426,486			Reperforming Loan REMIC Trust 2006-R1, 144A (A)		4.220		1/25/2036		$	2,619,449
	1,546,562			Residential Asset Securitization Trust 2003-A4		5.750		5/25/2033			1,132,217
	26,010,889			Residential Asset Securitization Trust 2005-A11CB (A)(C)		0.334		10/25/2035			212,600
	1,954,962			Residential Asset Securitization Trust 2007-A1		6.000		3/25/2037			996,181
	1,597,764			Residential Asset Securitization Trust 2007-A2		6.000		4/25/2037			1,256,283
	1,941,577			Residential Asset Securitization Trust 2007-A8		6.000		8/25/2037			1,330,069
	2,900,702			Residential Asset Securitization Trust 2007-A9 (A)(C)		7.000		9/25/2037			703,255
	255,745			SACO I Inc., 144A (A)		5.504		4/25/2039			253,187
	772,081			SACO I Trust 2006-3, 1M Libor + 0.36%		1.307		4/25/2036			753,924
	210,081			SACO I Trust 2006-6, 1M Libor + 0.26%		1.207		6/25/2036			199,794
	618,856			SASCO Mortgage Loan Trust 2004-GEL2 (B)		5.500		7/19/2044			590,379
	719,805			SASCO Mortgage Loan Trust 2004-GEL2 (B)		5.500		5/25/2034			589,802
	401,672			Saxon Asset Securities Trust 2002-3, 1M Libor + 2.59%		3.534		12/25/2032			276,027
	52,691			Saxon Asset Securities Trust 2004-2, 1M Libor + 1.91%		3.064		8/25/2035			39,264
	948,250			Saxon Asset Securities Trust 2005-1, 1M Libor + 3.53%		2.466		5/25/2035			46,890
	4,500,000			Saxon Asset Securities Trust 2007-4, 1M Libor + 3.00%, 144A		3.947		12/25/2037			1,656,418
	57,874			Securitized Asset Backed Receivables LLC Trust 2004-NC1, 1M Libor + 1.73%		2.672		2/25/2034			56,851
	45,580			Securitized Asset Backed Receivables LLC Trust 2004-NC1, 1M Libor + 2.18%		3.122		2/25/2034			45,408
	30,746			Securitized Asset Backed Receivables LLC Trust 2004-NC1, 1M Libor + 3.00%		3.947		2/25/2034			26,429
	141,886			Securitized Asset Backed Receivables LLC Trust 2004-NC3, 1M Libor + 1.68%		2.627		9/25/2034			95,504
	152,941			Security National Mortgage Loan Trust 2005-1, 1M Libor + 0.40%, 144A		1.347		2/25/2035			149,950
	132,905			Sequoia Mortgage Trust 2007-1 (A)		3.901		2/20/2047			108,082
	225,523			Sequoia Mortgage Trust 9, 1M Libor + 1.13%		2.890		9/20/2032			189,143
	200,000			SG Mortgage Securities Trust 2006-OPT2, 1M Libor + 0.15%		1.097		10/25/2036			170,878
	203,619			Soundview Home Loan Trust 2004-WMC1		2.147		1/25/2035			165,787
	1,820,061			Soundview Home Loan Trust 2006-3, 1M Libor + 0.16%		1.107		11/25/2036			1,782,601
	377,827			Soundview Home Loan Trust 2007-OPT2, 1M Libor + 0.18%		1.127		7/25/2037			325,362
	1,446,243			Soundview Home Loan Trust 2007-OPT4, 1M Libor + 1.00%		1.947		9/25/2037			1,008,264
	166,394			Specialty Underwriting & Residential Finance Trust Series 2003-BC2, 1M Libor + 4.50%		5.447		6/25/2034			135,737
	160,286			Specialty Underwriting & Residential Finance Trust Series 2004-BC1, 1M Libor + 1.95%		2.897		2/25/2035			159,467
	443,457			Specialty Underwriting & Residential Finance Trust Series 2004-BC1, 1M Libor + 2.55%		3.497		2/25/2035			387,047
	24,755			Specialty Underwriting & Residential Finance Trust Series 2004-BC3, 1M Libor + 2.63%		3.572		7/25/2035			24,683
	1,687,759			Specialty Underwriting & Residential Finance Trust Series 2006-BC5, 1M Libor + 0.15%		1.097		11/25/2037			1,125,057
	1,904,151			Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 (A)		3.897		9/25/2035			1,452,908
	191,352			Structured Asset Investment Loan Trust, 1M Libor + 4.50%		5.447		10/25/2033			206,058
	260,149			Structured Asset Investment Loan Trust 2003-BC2, 1M Libor + 1.38%		2.327		4/25/2033			230,248
	145,759			Structured Asset Investment Loan Trust 2003-BC4, 1M Libor + 4.88%		5.822		6/25/2033			105,230
	68,262			Structured Asset Investment Loan Trust 2003-BC8, 1M Libor + 2.63%		3.572		8/25/2033			57,408
	851,404			Structured Asset Investment Loan Trust 2003-BC8, 1M Libor + 4.50%		5.447		8/25/2033			562,398
	473,390			Structured Asset Investment Loan Trust 2003-BC10, 1M Libor + 4.50%		5.447		10/25/2033			406,387
	508,601			Structured Asset Investment Loan Trust 2004-5, 1M Libor + 3.00%		3.947		5/25/2034			403,237
	124,558			Structured Asset Investment Loan Trust 2004-8, 1M Libor + 0.93%		1.877		9/25/2034			114,899
	128,489			Structured Asset Investment Loan Trust 2004-8, 1M Libor + 1.73%		2.672		9/25/2034			127,767
	1,734,865			Structured Asset Investment Loan Trust 2004-8, 1M Libor + 3.75%		4.697		9/25/2034			1,418,468
	71,562			Structured Asset Investment Loan Trust 2004-9, 1M Libor + 2.78%		3.722		10/25/2034			56,556
	512,216			Structured Asset Investment Loan Trust 2004-BNC2, 1M Libor + 1.28%		2.222		12/25/2034			425,481
	5,587,584			Structured Asset Mortgage Investments II Trust 2005-AR2, 1M Libor + 0.46%		1.407		5/25/2045			4,014,259
	561,444			Structured Asset Mortgage Investments II Trust 2006-AR3, 1M Libor + 0.21%		1.157		4/25/2036			545,109
	36,488			Structured Asset Mortgage Investments II Trust 2006-AR7, 1M Libor +0.20%		1.147		8/25/2036			54,622
	826,607			Structured Asset Mortgage Investments II Trust 2007-AR7 (A)		3.226		5/25/2047			623,170
	616,812			Structured Asset Securities Corp (A), 144A		4.809		7/25/2035			487,504
	672,396			Structured Asset Securities Corp 2005-S1, 1M Libor + 1.05%		1.997		3/25/2035			1,736,507
	1,110,358			Structured Asset Securities Corp Assistance Loan Trust 2003-AL1, 144A		3.357		4/25/2031			1,087,418
	44,926			Structured Asset Securities Corp Mortgage Pass-Through Certificates Series 2001-SB1		3.375		8/25/2031			39,930
	181,196			Structured Asset Securities Corp Mortgage Pass-Through Certificates Series 2003-36XS (B)		5.336		11/25/2033			111,974
	171,251			Structured Asset Securities Corp Mortgage Pass-Through Certificates Series 2004-6XS (B)		5.670		3/25/2034			176,575
	363,799			Structured Asset Securities Corp Pass-Through Certificates Series 2002-AL1		3.450		2/25/2032			346,765
	762,922			SunTrust Alternative Loan Trust 2006-1F		6.000		4/25/2036			609,935
	150,131			Terwin Mortgage Trust 2003-7SL, 144A (A)		8.000		12/25/2033			139,798
	414,617			Terwin Mortgage Trust 2004-7HE, 1M Libor + 0.85%, 144A		1.797		7/25/2034			371,501
	1,113,993			Terwin Mortgage Trust 2004-18SL, 144A (A)		8.000		10/25/2034			1,072,061
	376,242			Terwin Mortgage Trust 2006-HF-1, 144A (A)		4.560		2/25/2037			382,209
	177,562			Terwin Mortgage Trust Series TMTS 2003-2HE (A)		6.000		7/25/2034			137,741
	58,149			Terwin Mortgage Trust Series TMTS 2003-5SL, 144A (A)		8.000		10/25/2034			49,668
	734,767			Truman Capital Mortgage Loan Trust, 1M Libor + 4.13%, 144A		5.072		1/25/2034			670,735
	1,860,549			UCFC Home Equity Loan Trust 1998-D		7.750		4/15/2030			1,817,847
	151,076			Voyager CNTYW Delaware Trust, 144A (C)		42.216		2/16/2036			125,373
	679,399			WaMu Mortgage Pass-Through Certificates Series 2006-AR4 Trust, 1M Libor + 1.50%		2.536		5/25/2046			557,073

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 83.3% (continued)
	1,921,920			Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-1 Trust, 1M Libor +0.37%		1.317		2/25/2037		$	1,067,048
	540,653			Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust, Federal Reserve U.S. 12 month + 0.71%		2.676		12/25/2046			424,063
	2,335,935			Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust, 1M Libor + 0.06%		1.007		10/25/2036			1,033,908
	384,403			Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, 1M Libor + 2.82%		3.767		10/25/2034			380,310
	1,056,238			Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, 144A (A)		5.000		10/25/2034			878,883
	322,971			Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust, 1M Libor + 3.75%		4.697		4/25/2035			277,363
	1,775,415			Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust, 1M Libor + 3.75%, 144A		4.697		4/25/2035			1,374,237
	151,641			Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1, 1M Libor + 0.95%		1.897		4/25/2034			148,045
	75,029			Wilshire Mortgage Loan Trust, (A)		6.835		3/25/2028			74,687
	69,179			Wilshire Mortgage Loan Trust, (A)		7.425		5/25/2028			68,742
	26,771			Wilshire Mortgage Loan Trust, 144A, (A)		8.990		5/25/2028			15,696
	219,780			Yale Mortgage Loan Trust 2007-1, 144A, 1M Libor + 0.40%		1.347		6/25/2037			79,945
				TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $464,135,736)							424,553,932
				COMMERCIAL MORTGAGE BACKED SECURITIES - 10.0%
	18,729,314			BANK 2017-BNK6		1.500		7/15/2060			1,472,334
	242,941			Bayview Commercial Asset Trust 2003-2, 144A, 1M Libor + 3.23%		4.172		12/25/2033			235,160
	135,682			Bayview Commercial Asset Trust 2004-3, 144A, 1M Libor + 2.40%		3.347		1/25/2035			133,666
	552,227			Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.48%		1.427		8/25/2035			418,079
	717,797			Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.61%		1.557		8/25/2035			524,750
	146,609			Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.62%		1.567		8/25/2035			103,622
	146,609			Bayview Commercial Asset Trust 2005-2, 144A, 1M Libor + 0.66%		1.607		8/25/2035			100,467
	857,026			Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.44%		1.387		11/25/2035			659,609
	59,027			Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.49%		1.437		11/25/2035			44,725
	545,373			Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.51%		1.457		11/25/2035			413,209
	65,869			Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 0.60%		1.547		11/25/2035			49,893
	1,183,103			Bayview Commercial Asset Trust 2005-3, 144A, 1M Libor + 1.10%		2.047		11/25/2035			860,167
	461,616			Bayview Commercial Asset Trust 2005-4, 144A, 1M Libor + 0.50%		1.447		1/25/2036			408,904
	236,434			Bayview Commercial Asset Trust 2005-4, 144A, 1M Libor + 0.61%		1.557		1/25/2036			209,982
	34,113			Bayview Commercial Asset Trust 2006-1, 144A, 1M Libor + 0.38%		1.327		4/25/2036			26,111
	36,043			Bayview Commercial Asset Trust 2006-1, 144A, 1M Libor + 0.40%		1.347		4/25/2036			27,321
	238,735			Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.31%		1.257		7/25/2036			212,720
	1,264,234			Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.33%		1.277		7/25/2036			1,113,484
	69,570			Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.35%		1.297		7/25/2036			61,211
	1,483,172			Bayview Commercial Asset Trust 2006-2, 144A, 1M Libor + 0.42%		1.367		7/25/2036			1,309,665
	1,262,950			Bayview Commercial Asset Trust 2006-4, 144A, 1M Libor + 0.23%		1.177		12/25/2036			1,059,368
	1,586,064			Bayview Commercial Asset Trust 2006-4, 144A, 1M Libor + 0.29%		1.237		12/25/2036			1,295,224
	2,313,704			Bayview Commercial Asset Trust 2006-SP2, 144A, 1M Libor + 0.47%		1.417		1/25/2037			1,954,784
	718,080			Bayview Commercial Asset Trust 2006-SP2, 1M Libor + 0.49%		1.437		1/25/2037			604,529
	771,417			Bayview Commercial Asset Trust 2006-SP2, 1M Libor + 0.56%		1.507		1/25/2037			649,651
	1,298,801			Bayview Commercial Asset Trust 2006-SP2, 144A, 1M Libor + 1.20%		2.147		1/25/2037			1,549,797
	148,086			Bayview Commercial Asset Trust 2007-1, 144A, 1M Libor + 0.22%		1.167		3/25/2037			132,093
	525,750			Bayview Commercial Asset Trust 2007-1, 1M Libor + 0.29%		1.237		3/25/2037			454,930
	2,012,870			Bayview Commercial Asset Trust 2007-2, 144A, 1M Libor + 0.32%		1.267		7/25/2037			1,688,712
	1,878,244			Bayview Commercial Asset Trust 2007-4, 1M Libor + 0.55%		1.497		9/25/2037			1,523,407
	3,124,709			Bayview Commercial Asset Trust 2007-5, 144A, 1M Libor + 1.00%		1.947		10/25/2037			3,081,975
	13,628,500			Bayview Commercial Asset Trust 2007-5, 1M Libor + 1.50%		2.447		10/25/2037			8,113,745
	8,500,000			Bayview Commercial Asset Trust 2007-6, 144A, 1M Libor + 1.50%		2.447		12/25/2037			7,095,379
	502,573			Bayview Commercial Asset Trust 2008-1, 144A, 1M Libor + 1.50%		2.447		1/25/2038			483,559
	4,000,000			Bayview Commercial Mortgage Pass-Through Trust 2006-SP1, 144A, 1M Libor + 3.38%		4.322		4/25/2036			2,499,275
	1,735,731			CBA Commercial Small Balance Commercial Mortgage, 144A, (B)		6.040		1/25/2039			1,279,654
	802,255			Cherrywood SB Commercial Mortgage Loan Trust 2016-1, 144A, 1M Libor + 2.65%		3.597		3/25/2049			812,316
	1,496,000			Cherrywood SB Commercial Mortgage Loan Trust 2016-1, 144A (A)		7.273		3/25/2049			1,036,750
	40,298,466			Citigroup Commercial Mortgage Trust 2015-GC27, 1M Libor (C)		1.420		2/10/2048			2,187,630
	1,500,000			JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7 (A)		6.034		4/15/2045			221,477
	2,200,000			JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7 (A)		6.034		4/17/2045			152,275
	5,000,000			Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2, 144A, 1M Libor + 0.60%		2.227		6/25/2037			3,266,114
	15,153,000			Wells Fargo Commercial Mortgage Trust 2016-C34, 1M Libor (C)		2.028		6/15/2049			1,545,789
				TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $51,384,193)							51,073,512

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

March 31, 2020

 

Principal Amount ($)						Coupon Rate (%)		Maturity		Value
				OTHER MORTGAGE BACKED SECURITIES - 1.3%
	1,350,176			Conseco Financial Corp. (A)		7.950		11/15/2026		$	995,098
	3,526,612			Conseco Financial Corp. (A)		6.830		4/1/2030			3,162,960
	1,416,043			Conseco Financial Corp. 1M Libor + 5.25%		5.955		4/15/2032			1,434,582
	855,130			Conseco Finance Securitizations Corp. (A)		7.690		3/1/2031			706,081
	2,102,269			Conseco Finance Securitizations Corp. (A)		9.910		12/1/2033			232,680
	59,839			Irwin Home Equity Loan Trust 2006-1, 1M Libor + 0.42%, 144A		1.367		9/25/2035			57,895
	133,496			Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S1, 1M Libor + 0.62%, 144A		1.567		1/25/2036			186,564
				TOTAL OTHER MORTGAGE BACKED SECURITIES (Cost $6,832,014)							6,775,860
				SHORT TERM INVESTMENTS - 12.2%
				MONEY MARKET FUNDS - 12.2%
	3,669,937			Dreyfus Treasury & Agency Cash Management - Institutional Class to yield 1.50% *							3,669,937
	58,523,371			Goldman Sachs Financial Square Funds - Government Fund, Institutional Class, to yield 1.53% *							58,523,371
				TOTAL MONEY MARKET FUNDS (Cost $62,193,308)							62,193,308
				TOTAL INVESTMENTS - 106.8% (Cost - $584,545,251)						$	544,596,612
				REVERSE REPURCHASE AGREEMENTS - (2.3)% (Cost - $11,484,000)							11,504,457
				OTHER ASSETS LESS LIABILITIES - (4.5)%							(46,130,854	)
				NET ASSETS - 100.0%							509,970,215
				REVERSE REPURCHASE AGREEMENTS - (2.3)%
								Maturity
Principal ($)				Counterparty		Rate (%)		Date		Prinicipal & Interest
	3,182,000			Société Générale		2.000		4/14/2020		$	3,187,127
	3,176,000			Société Générale		2.000		4/14/2020			3,181,117
	2,751,000			Société Générale		2.562		4/14/2020			2,756,481
	2,375,000			Société Générale		2.562		4/14/2020			2,379,732
$	11,484,000									$	11,504,457

The weighted average daily balance of reverse repurchase agreements during the reporting period ended March 31, 2020 was $8,035,286, at a weighted average interest rate of 2.16%. Total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at March 31, 2020 was $11,338,712.

 

*

Money market fund; interest rate reflects seven-day effective yield on March 31, 2020.

 

**

Zero Coupon Bond

 

^

Fair Valued by the Board of Trustees in good faith using significant unobservable inputs.

 

#

All or a portion of the security used as collateral in reverse repurchase agreement.

 

144A - Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. At March 31, 2020 144A, securities amounted to $96,967,040 or 19.01% of net assets.

 

LIBOR - London Interbank Offered Rate

 

(A)

Variable rate security.

 

(B)

STEP Coupon Bond

 

(C)

Interest only variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The rate shown represents the rate at March 31, 2020.

 

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2020

 

ASSETS
Investment in securities (identified cost $584,545,251), at fair value		$	544,596,612
Receivable for Fund shares sold			2,357,486
Interest receivable			1,511,890
Prepaid expenses and other assets			67,154
TOTAL ASSETS			548,533,142
LIABILITIES
Line of credit payable			20,000,000
Payable for reverse repurchase agreements			11,484,000
Payable for Fund shares redeemed			2,340,536
Investment advisory fees payable			808,850
Interest payable for reverse repurchase agreements			20,457
Due to broker			3,414,413
Payable to related parties			371,404
Distribution (12b-1) fees payable			31,148
Accrued expenses and other liabilities			92,119
TOTAL LIABILITIES			38,562,927
NET ASSETS		$	509,970,215
Net Assets Consist Of:
Paid in capital		$	622,055,288
Accumulated loss			(112,085,073	)
NET ASSETS		$	509,970,215
Net Asset Value Per Share:
Class A Shares:
Net Assets		$	97,884,478
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)			10,652,143
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share		$	9.19
Maximum offering price per share (maximum sales charge of 5.75%) (a)		$	9.75
Class C Shares:
Net Assets		$	8,611,536
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)			940,146
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share		$	9.16
Class I Shares:
Net Assets		$	403,474,201
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)			43,870,250
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share		$	9.20

(a)

On investments of $1 million or more, the maximum sales charge will not apply.

 

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

STATEMENT OF OPERATIONS (Unaudited)

For the Six Months Ended March 31, 2020

 

INVESTMENT INCOME
Interest income		$	12,241,821
TOTAL INVESTMENT INCOME			12,241,821
EXPENSES
Investment advisory fees			6,276,292
Distribution (12b-1) Fees:
Class A			150,153
Class C			47,391
Administrative services fees			325,418
Third Party Administrative Servicing Fees			210,086
Transfer agent fees			66,254
Accounting services fees			58,039
Printing and postage expenses			55,001
Registration fees			49,999
Broker margin interest expense			47,529
Line of credit interest expense			45,125
Custodian fees			43,122
Interest expense for reverse repurchase agreements			26,740
Professional fees			24,911
Compliance officer fees			19,343
Insurance expense			8,250
Trustees fees and expenses			7,381
Other expenses			2,843
TOTAL EXPENSES			7,463,877
Less: Fees waived by the Adviser			(556,323	)
NET EXPENSES			6,907,554
NET INVESTMENT INCOME			5,334,267
REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Net realized loss from security transactions			(9,318,522	)
Net change in unrealized depreciation on investments			(80,178,240	)
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS			(89,496,762	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		$	(84,162,495	)

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

		Six Months Ended
		March 31, 2020				Year Ended
		(Unaudited)				September 30, 2019
FROM OPERATIONS
Net investment income		$	5,334,267			$	14,499,651
Net realized loss from security transactions			(9,318,522	)			(2,770,714	)
Net change in unrealized appreciation (depreciation) of investments			(80,178,240	)			11,799,444
Net increase (decrease) in net assets resulting from operations			(84,162,495	)			23,528,381
DISTRIBUTIONS TO SHAREHOLDERS
From return of capital:
Class A			—				(2,518,164	)
Class C			—				(150,591	)
Class I			—				(11,460,617	)
Total distributions paid: *
Class A			(3,152,130	)			(4,554,568	)
Class C			(238,808	)			(197,567	)
Class I			(14,522,513	)			(22,702,118	)
Net decrease in net assets resulting from distributions to shareholders			(17,913,451	)			(41,583,625	)
FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A			32,954,361				157,293,030
Class C			2,155,179				6,335,710
Class I			173,414,265				351,886,466
Net asset value of shares issued in reinvestment of distributions:
Class A			3,069,773				6,876,150
Class C			214,370				315,714
Class I			12,683,704				28,736,976
Payments for shares redeemed:
Class A			(54,806,184	)			(81,004,128	)
Class C			(1,174,211	)			(1,594,914	)
Class I			(292,238,456	)			(414,376,680	)
Net increase (decrease) in net assets resulting from shares of beneficial interest			(123,727,199	)			54,468,324
TOTAL INCREASE (DECREASE) IN NET ASSETS			(225,803,145	)			36,413,080
NET ASSETS
Beginning of Period			735,773,360				699,360,280
End of Period		$	509,970,215			$	735,773,360

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

		Six Months Ended
		March 31, 2020				Year Ended
		(Unaudited)				September 30, 2019
SHARE ACTIVITY
Class A:
Shares sold			3,080,403				14,174,276
Shares reinvested			310,908				628,272
Shares redeemed			(5,103,606	)			(7,335,110	)
Net increase (decrease) in shares of beneficial interest outstanding			(1,712,295	)			7,467,438
Class C:
Shares sold			200,142				575,881
Shares reinvested			21,874				28,920
Shares redeemed			(108,701	)			(145,406	)
Net increase in shares of beneficial interest outstanding			113,315				459,395
Class I:
Shares sold			16,564,377				31,764,467
Shares reinvested			1,272,757				2,623,088
Shares redeemed			(27,761,816	)			(37,417,260	)
Net decrease in shares of beneficial interest outstanding			(9,924,682	)			(3,029,705	)

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period

 

		Six Months Ended
		March 31, 2020				Year Ended				Year Ended				Year Ended				Period Ended
Class A		(Unaudited)				September 30, 2019				September 30, 2018				September 30, 2017				September 30, 2016 (1)
Net asset value, beginning of period		$	10.98			$	11.26			$	11.36			$	10.64			$	10.00
Activity from investment operations:
Net investment income (2)			0.08				0.19				0.26				0.26				0.44
Net realized and unrealized gain (loss) on investments			(1.57	)			0.14				0.24				0.92				0.64
Total from investment operations			(1.49	)			0.33				0.50				1.18				1.08
Less distributions from:
Net investment income			(0.30	)			(0.40	)			(0.43	)			(0.39	)			(0.34	)
Return of capital			—				(0.21	)			(0.17	)			(0.07	)			(0.10	)
Total distributions			(0.30	)			(0.61	)			(0.60	)			(0.46	)			(0.44	)
Net asset value, end of period		$	9.19			$	10.98			$	11.26			$	11.36			$	10.64
Total return (3)			(13.71	)% (6)			3.16	%			4.53	%			11.29	%			10.97	% (6)
Net assets, at end of period (000s)		$	97,884			$	135,705			$	55,124			$	66,837			$	14,493
Ratio of gross expenses to average net assets (4)			2.38	% (5)(8)			2.35	% (7)			2.33	%			2.43	%			3.25	% (5)
Ratio of net expenses to average net assets			2.22	% (5)(8)			2.25	% (7)			2.24	%			2.24	%			2.24	% (5)
Ratio of net investment income to average net assets			1.38	% (5)			1.73	%			2.27	%			2.38	%			4.82	% (5)
Portfolio Turnover Rate			11	% (6)			29	%			34	%			10	%			28	% (6)

(1)

The Deer Park Total Return Credit Fund Class A shares commenced operations on October 16, 2015.

 

(2)

Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(3)

Total returns shown are historical in nature and assume changes in share price, reinvestment of dividends and distributions, if any, and exclude the effect of applicable sales charges and redemption fees. Had the Adviser not waived fees or absorbed a portion of Fund expenses, total returns would have been lower.

 

(4)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

(5)

Annualized.

 

(6)

Not annualized.

 

(7)

Includes 0.01% for the year ended September 30, 2019 attributed to broker margin interest expense on options, which is not subject to waiver by the Adviser.

 

(8)

Includes 0.03% for the six months ended March 31, 2020 attributed to broker margin interest expense and line of credit expense which are not subject to waiver by the Adviser.

 

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period

 

		Six Months Ended
		March 31, 2020				Year Ended				Year Ended				Period Ended
Class C		(Unaudited)				September 30, 2019				September 30, 2018				September 30, 2017 (1)
Net asset value, beginning of period		$	10.94			$	11.23			$	11.36			$	10.00
Activity from investment operations:
Net investment income (2)			0.03				0.10				0.16				0.02
Net realized and unrealized gain (loss) on investments			(1.55	)			0.15				0.25				1.54
Total from investment operations			(1.52	)			0.25				0.41				1.56
Less distributions from:
Net investment income			(0.26	)			(0.35	)			(0.39	)			(0.13	)
Return of capital			—				(0.19	)			(0.15	)			(0.07	)
Total distributions			(0.26	)			(0.54	)			(0.54	)			(0.20	)
Net asset value, end of period		$	9.16			$	10.94			$	11.23			$	11.36
Total return (3)			(14.00	)% (6)			2.30	%			3.67	%			6.51	% (6)
Net assets, at end of period (000s)		$	8,612			$	9,046			$	4,127			$	842
Ratio of gross expenses to average net assets (4)			3.14	% (5)(8)			3.10	% (7)			3.08	%			3.18	% (5)
Ratio of net expenses to average net assets			2.97	% (5)(8)			3.00	% (7)			2.99	%			2.99	% (5)
Ratio of net investment income to average net assets			0.63	% (5)			0.95	%			1.40	%			0.41	% (5)
Portfolio Turnover Rate			11	% (6)			29	%			34	%			10	% (6)

(1)

The Deer Park Total Return Credit Fund Class C shares commenced operations on April 6, 2017.

 

(2)

Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(3)

Total returns shown are historical in nature and assume changes in share price, reinvestment of dividends and distributions, if any, and exclude the effect of applicable sales charges and redemption fees. Had the Adviser not waived fees or absorbed a portion of Fund expenses, total returns would have been lower.

 

(4)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

(5)

Annualized.

 

(6)

Not annualized.

 

(7)

Includes 0.01% for the year ended September 30, 2019 attributed to broker margin interest expense on options, which is not subject to waiver by the Adviser.

 

(8)

Includes 0.04% for the six months ended March 31, 2020 attributed to broker margin interest expense, interest on reverse repurchase agreements and line of credit expense which are not subject to waiver by the Adviser.

 

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period

 

		Six Months Ended
		March 31, 2020				Year Ended				Year Ended				Year Ended				Period Ended
Class I		(Unaudited)				September 30, 2019				September 30, 2018				September 30, 2017				September 30, 2016 (1)
Net asset value, beginning of period		$	10.99			$	11.26			$	11.37			$	10.65			$	10.00
Activity from investment operations:
Net investment income (2)			0.10				0.23				0.28				0.29				0.49
Net realized and unrealized gain (loss) on investments			(1.57	)			0.14				0.24				0.91				0.62
Total from investment operations			(1.47	)			0.37				0.52				1.20				1.11
Less distributions from:
Net investment income			(0.32	)			(0.42	)			(0.46	)			(0.41	)			(0.35	)
Return of capital			—				(0.22	)			(0.17	)			(0.07	)			(0.11	)
Total distributions			(0.32	)			(0.64	)			(0.63	)			(0.48	)			(0.46	)
Net asset value, end of period		$	9.20			$	10.99			$	11.26			$	11.37			$	10.65
Total return (3)			(13.58	)% (6)			3.40	%			4.70	%			11.51	%			11.32	% (6)
Net assets, at end of period (000s)		$	403,474			$	591,022			$	640,110			$	307,380			$	33,655
Ratio of gross expenses to average net assets (4)			2.13	% (5)(8)			2.10	% (7)			2.08	%			2.18	%			3.00	% (5)
Ratio of net expenses to average net assets			1.97	% (5)(8)			2.00	% (7)			1.99	%			1.99	%			1.99	% (5)
Ratio of net investment income to average net assets			1.63	% (5)			2.04	%			2.49	%			2.64	%			5.07	% (5)
Portfolio Turnover Rate			11	% (6)			29	%			34	%			10	%			28	% (6)

(1)

The Deer Park Total Return Credit Fund Class I shares commenced operations on October 16, 2015.

 

(2)

Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(3)

Total returns shown are historical in nature and assume changes in share price, reinvestment of dividends and distributions, if any, and exclude the effect of applicable sales charges and redemption fees. Had the Adviser not waived fees or absorbed a portion of Fund expenses, total returns would have been lower.

 

(4)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

(5)

Annualized.

 

(6)

Not annualized.

 

(7)

Includes 0.01% for the year ended September 30, 2019 attributed to broker margin interest expense on options, which is not subject to waiver by the Adviser.

 

(8)

Includes 0.04% for the six months ended March 31, 2020 attributed to broker margin interest expense, interest on reverse repurchase agreements and line of credit expense which are not subject to waiver by the Adviser.

 

See accompanying notes to financial statements.

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited)

March 31, 2020

 

1.

ORGANIZATION

 

The Deer Park Total Return Credit Fund (the “Fund”) is a non-diversified series of shares of beneficial interest of Northern Lights Fund Trust (the “Trust”), a statutory trust organized under the laws of the State of Delaware on January 19, 2005, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund’s investment objective is to seek income and capital appreciation. The Fund commenced operations on October 16, 2015.

 

The Fund currently offers Class A shares, Class C shares and Class I shares. Class C and Class I shares are offered at net asset value. Class A shares are offered at net asset value plus a maximum sales charge of 5.75%, which can be waived by the Adviser. Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund’s income, expenses (other than class specific distribution fees), and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Trust in preparation of the Fund’s financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services Investment Companies” including FASB

Accounting Standards Update (“ASU”) 2013-08.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. The Fund may fair value a particular bond if the adviser does not believe that the round lot value provided by the

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies may be valued at net asset value.

 

The Fund may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) adviser and/or sub-adviser. The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to attend valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 

Fair Valuation Process – As noted above, the fair value committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) adviser and/or sub-adviser. The applicable investments are valued collectively via inputs from each of these groups. In accordance with the Trust’s valuation policies and procedures, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the adviser or sub-advisers, the prices or values available do not represent the fair value of the instrument. Factors which may cause the adviser or sub-adviser to make such a judgment include, but are not limited to, the following: only a bid price or an ask price is available; the spread between bid and ask prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to the Fund’s calculation of its net asset value. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the adviser or sub-advisers based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the adviser or sub-advisers are unable to obtain a current bid from such independent dealers or other independent parties, the fair value committee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

Options Transactions – The Fund is subject to equity price risk, interest rate risk, commodity price risk and foreign currency exchange rate risk in the normal course of pursuing its investment objective and may purchase or sell options to help hedge against this risk. When the Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities. The Fund invests in options which are not traded on an exchange. In doing so, it is assuming a credit risk with regard to the party with which it trades and also bears the risk of settlement default. These risks may differ materially from risks associated with transactions effected on an exchange, which generally are backed by clearing organization guarantees, daily mark-to-market and settlement, segregation and minimum capital requirements applicable to intermediaries. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease. In addition, to the extent the Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund.

 

The Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of March 31, 2020 for the Fund’s assets and liabilities measured at fair value:

 

Assets*		Level 1				Level 2				Level 3				Total
Non-Agency Residential Mortgage Backed Securities		$	—			$	424,174,332			$	379,600			$	424,553,932
Commercial Mortgage Backed Securities			—				51,073,512				—				51,073,512
Other Mortgage Backed Securities			—				6,775,860				—				6,775,860
Short-Term Investments			62,193,308				—				—				62,193,308
Total		$	62,193,308			$	482,023,704			$	379,600			$	544,596,612
Liabilities		Level 1				Level 2				Level 3				Total
Reverse Repurchase Agreements		$	—			$	11,484,000			$	—			$	11,484,000
Total		$	—			$	11,484,000			$	—			$	11,484,000

 

*

See Portfolio of Investments for industry classification.

 

The following is a reconciliation of assets in which Level 3 inputs were used in determining value:

 

		Non-Agency Residential
		Mortgage Backed
		Securities
Beginning Value		$	379,600
Total realized gain (loss)			—
Appreciation (Depreciation)			—
Purchases			—
Proceeds from Sales			—
Net transfers in/out of level 3			—
Ending Value		$	379,600

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

Significant unobservable valuation inputs for Level 3 investments as of March 31, 2020, are as follows:

 

		Fair Value at				Valuation
		March 31, 2020				Technique		Unobservable Inputs
Deer Park Total Return Credit Fund
Non-Agency Residential Mortgage Backed Securities
Long Beach Mortgage Loan Trust 2001-2		$	379,600			Expected bankruptcy settlement proceeds based on recent auction bids		Expected future cash payments

 

Interest Only Securities – The Funds may invest in stripped mortgage-backed securities, which receive differing proportions of the interest and principal payments from the underlying assets, including interest-only (“IO”) and principal-only (“PO”) securities. Stripped securities are created when the issuer separates the interest and principal components of an instrument and sells them as separate securities. In general, one security is entitled to receive the interest payments on underlying assets (the interest only or “IO” security) and the other to receive the principal payments (the principal only or “PO” security). Some stripped securities may receive a combination of interest and principal payments. The yields to maturity on IOs and POs are sensitive to the expected or anticipated rate of principal payments (including prepayments) on the related underlying assets, and principal payments may have a material effect on yield to maturity. If the underlying assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Conversely, if the underlying assets experience less than anticipated prepayments of principal, the yield on POs could be adversely affected. Stripped securities may be highly sensitive to changes in interest rates and rates of prepayment. IO and PO mortgage-backed securities may be illiquid. The market value of such securities generally is more sensitive to changes in prepayment and interest rates than is the case with traditional mortgage-backed securities, and in some cases such market value may be extremely volatile.

 

Security Transactions and Related Income – Security transactions are accounted for on trade date. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.

 

Cash – Cash includes cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The assets of the Fund may be placed in deposit accounts at U.S. banks and such deposits generally exceed Federal Deposit Insurance Corporation (FDIC) insurance limits. The FDIC insures deposit accounts up to $250,000 for each accountholder. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Fund places deposits only with those counterparties which are believed to be creditworthy.

 

Dividends and Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid at least annually. Distributable net realized capital gains, if any, are declared and distributed annually. Dividends from net investment income and distributions from net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

“book/tax” differences are considered either temporary (e.g., deferred losses) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions to shareholders are recorded on the ex-dividend date.

 

Expenses – Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable (as determined by the Board), taking into consideration the nature and type of expense and the relative sizes of the fund in the Trust.

 

Credit Facility – Effective October 15, 2018, the fund entered into a revolving, uncommitted $120,000,000 line of credit with Union Bank (the “Revolving Credit Agreement”) and is set to expire on September 28, 2020. Borrowings under the Revolving Credit Agreement bore interest at Prime Rate minus 1% per month. There are no fees charged on the unused portion of the line of credit. For the period September 30, 2019 through March 31, 2020, amounts outstanding to the Fund under the credit facility at no time were permitted to exceed in the aggregate the lessor of (a) $120,000,000; (b) 20% of the gross market value of the Fund.

 

For the six months ended March 31, 2020, the interest expense was $45,125 for the Fund. There was an outstanding balance of $20,000,000 as of March 31, 2020. The average borrowings for the Fund for the period the line was drawn, September 30, 2019 through March 31, 2020, was $15,446,809 at an average borrowing rate of 4.34%. At March 31, 2020, the maximum borrowing interest rate was 4.75%.

 

Federal Income Taxes – The Fund intends to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on tax returns filed for the open 2016 - 2019 tax years, or expected to be taken in the Fund’s 2020 tax returns. The Fund identified its major tax jurisdictions as U.S. Federal, Ohio (Nebraska in prior years) and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period, the Fund did not incur any interest or penalties. Generally, tax authorities can examine tax returns filed for the last three years.

 

Market and Geopolitical Risk – The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions you could lose your entire investment.

 

Credit Risk – Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

 

Counterparty Risk – Counterparty risk is the risk that the counterparty to a financial instrument will cause a financial loss for the Funds by failing to discharge an obligation. A concentration of counterparty risk would exist if that part of the Fund’s cash were held at the broker. The Fund could be unable to recover assets held at the prime broker, including assets directly traceable to the Fund, in the event of the broker’s bankruptcy. The Fund does not anticipate any material losses as a result of this concentration.

 

Indemnification – The Trust indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.

 

3.

INVESTMENT TRANSACTIONS

 

For the six months ended March 31, 2020, cost of purchases and proceeds from sales of portfolio securities, other than short sales, short-term investments and U.S. Government securities, amounted to $74,950,800 and $163,945,393, respectively.

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

4.

INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Princeton Fund Advisors, LLC, serves as the Fund’s investment adviser (the “Adviser”). The Adviser has engaged Deer Park Road Management Company, LP, Inc. as the primary sub-adviser (the “Sub-Adviser”) to the Fund. The Adviser compensates the Sub-Adviser for its services from the management fees received from the Fund.

 

Pursuant to an Investment Advisory Agreement with the Trust, on behalf of the Fund, the Adviser, under the oversight of the Board, directs the daily operations of the Fund and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Adviser, the Fund pays the Adviser a management fee, computed and accrued daily and paid monthly, at an annual rate of 1.84% of the Fund’s average daily net assets. For the six months ended March 31, 2020, the Fund incurred $6,276,292 in advisory fees of which $808,850 is payable as of March 31, 2020 and included in the Statement of Assets and Liabilities under the Liabilities section.

 

Pursuant to a written contract (the “Waiver Agreement”), the Adviser has agreed, at least until January 31, 2021, to waive a portion of its advisory fee and has agreed to reimburse the Fund for other expenses to the extent necessary to ensure that the total expenses incurred by the Fund (excluding front-end or contingent deferred loads, brokerage fees and commissions, acquired fund fees and expenses, borrowing costs (such as interest and dividend expenses on securities sold short), taxes, or extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees or contractual indemnification of Fund service providers (other than the Adviser))), not incurred in the ordinary course of the Fund’s business) do not exceed 2.24% per annum of Class A average daily net assets, 2.99% per annum of Class C average daily net assets, and 1.99% per annum of Class I average daily net assets (the “expense limitation”). Effective December 22, 2019, expenses incurred by the Fund are not allowed to exceed 2.14% per annum of Class A average daily net assets, 2.89% per annum of Class C average daily net assets, and 1.89% per annum of Class I average daily net assets (the “expense limitation”).

 

If the Adviser waives any fee or reimburses any expense pursuant to the Waiver Agreement, and the Fund’s Operating Expenses are subsequently less than the expense limitation, the Adviser shall be entitled to reimbursement by the Fund for such waived fees or reimbursed expenses provided that such reimbursement does not cause the Fund’s expenses to exceed the expense limitation. If the Operating Expenses subsequently exceed the expense limitation, the reimbursements shall be suspended. The Adviser may seek reimbursement only for expenses waived or paid by it during the three fiscal years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). The Board may terminate the Waiver Agreement at any time.

 

For the six months ended March 31, 2020, the Adviser waived fees of $556,323 pursuant to the Waiver Agreement.

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

The following amounts previously waived or reimbursed by the Adviser are subject to recapture by the following dates:

 

	9/30/2020				9/30/2021				9/30/2022
	$	353,690			$	480,246			$	756,882

 

Distributor – The Trust, with respect to the Fund, has adopted the Trust’s Master Distribution and

Shareholder Servicing Plans pursuant to Rule 12b-1 under the 1940 Act for each of its Class A and Class C shares (the “Plans”). The Plans provide that a monthly service and/or distribution fee is calculated by the Fund at annual rates of 0.25% and 1.00% of the average daily net assets attributable to Class A shares and Class C shares, respectively, and is paid to Northern Lights Distributors, LLC (“NLD” or the “Distributor”), to provide compensation for ongoing distribution-related activities or services and/or maintenance of the Fund’s shareholder accounts, not otherwise required to be provided by the Co-Advisers. Class I shares do not incur a 12b-1 fee. The Plans are compensation plans, which mean that compensation is provided regardless of 12b-1 expenses incurred. For the six months ended March 31, 2020, the Fund paid $150,153 and $47,391 to the Distributor for Class A and Class C shares, respectively.

 

The Distributor acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s shares. On sales of Class A shares for the six months ended March 31, 2020, the Distributor received $116,807 from front-end sales charges of which $20,969 was retained by the principal underwriter or other affiliated broker-dealers.

 

In addition, certain affiliates of the Distributor provide ancillary services to the Fund as follows:

 

Gemini Fund Services, LLC (“GFS”) – GFS, an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with GFS, the Fund pays GFS customary fees for providing administration, fund accounting and transfer agency services to the Fund. Certain officers of the Trust are also officers of GFS, and are not paid any fees directly by the Fund for serving in such capacities.

 

Northern Lights Compliance Services, LLC (“NLCS”) – NLCS, an affiliate of GFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Fund.

 

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of GFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Fund on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Fund.

 

Effective February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of GFS and its affiliated companies including NLD, NLCS and Blu Giant (collectively, the “Gemini Companies”), sold its interest in the Gemini Companies to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent mutual fund administration firm) and its affiliates (collectively, the “Ultimus Companies”). As a result of these separate transactions, the Gemini

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

Companies and the Ultimus Companies are now indirectly owned through a common parent entity, The Ultimus Group, LLC.

 

5.

REVERSE REPURCHASE AGREEMENTS

 

The Fund is subject to ASC 860, Transfers and Servicing, which requires that all involvements of a transferor with the transferred financial asset be considered in analyzing whether the transferor has surrendered control over the transferred financial asset.

 

Transaction involving securities repurchase agreements are treated as collateralized borrowings and are recorded at their contracted amounts which approximated fair value. In addition, interest is included in interest payable. As of March 31, 2020, 100% of reverse repurchase agreements had Société Générale as the counterparty.

 

Further, as of March 31, 2020, securities with a fair value of approximately $11,338,711 are pledged to collateralize reverse repurchase agreements. Of this, 32.5% are Private CMO- Whole Loan’s, and 67.5% are Asset Backed Securities.

 

For the six months ended March 31, 2020, the Fund entered into several repurchase financing transactions contemporaneously with the initial purchase of a security from the same counterparty, which are considered to be secured borrowings. The following table summarizes Deer Park’s borrowings classified as reverse repurchase agreements.

 

		As of March 31, 2020
		Less than 1				1 to 2				2 Months
		Month				Months				or Greater				Total
Reverse Repurchase Agreements
Asset Backed Securities		$	7,655,831				—				—			$	7,655,831
Private CMO - Whole Loan		$	3,682,880				—				—			$	3,682,880
Total		$	11,338,711			$	—			$	—			$	11,338,711

 

6.

OFFSETTING ASSETS AND LIABILITIES

 

The Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allows the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

As of March 31, 2020, the Fund held the following instruments that were subject to offsetting on the Statement of Assets and Liabilities:

 

Liabilities:

Gross Amounts not offset in the

Gross Amounts

Net Amounts

Statement of Assets and Liabilities

Gross

Offset in the

presented in the

Amounts of

Statement of

Statement of

Cash

Recognized

Assets and

Assets and

Financial

Collateral

Net

Description

Liabilities

Liabilities

Liabilities

Instruments

Pledged

Amount

Reverse Repurchase Agreements

$

11,484,000

$

—

$

11,484,000

$

11,484,000

$

—

$

—

 

7.

DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of distributions paid during the fiscal years ended September 30, 2019 and September 30, 2018 was as follows:

 

		Fiscal Year Ended				Fiscal Year Ended
		September 30, 2019				September 30, 2018
Ordinary Income		$	27,454,256			$	20,073,310
Long-Term Capital Gain			—				—
Return of Capital			14,129,369				10,361,391
		$	41,583,625			$	30,434,701

 

As of September 30, 2019, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

Undistributed				Undistributed				Post October Loss				Capital Loss				Other				Unrealized				Total
Ordinary				Long-Term				and				Carry				Book/Tax				Appreciation/				Accumulated
Income				Gains				Late Year Loss				Forwards				Differences				(Depreciation)				Earnings/(Deficits)
$	—			$	—			$	(14,673,189	)		$	(35,105,375	)		$	—			$	39,769,437			$	(10,009,127	)

 

The difference between book basis and tax basis unrealized depreciation and accumulated net realized loss from investments is primarily attributable to the tax deferral of losses on wash sales.

 

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Fund incurred and elected to defer such capital losses of $14,129,369.

 

At September 30, 2019, the Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

												Capital Loss
Non-Expiring				Non-Expiring								Carryforward
Short-Term				Long-Term				Total				Limitation
$	7,257,392			$	1,896,877			$	9,154,269			$	25,951,106

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

March 31, 2020

 

As a result of the acquisition of another Fund, $8,428,186 and $17,522,920 of short-term and long-term capital loss carryover, respectively, remains to be recognized in future years. This amount is subject to an annual limitation of $112,216 under tax rules.

 

8.

AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

				Gross Unrealized				Gross Unrealized
Tax Cost				Appreciation				Depreciation				Net Unrealized Depreciation
$	573,521,415			$	35,109,604			$	(64,034,407	)		$	(28,924,803	)

 

9.

SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statement of Assets and Liabilities have been evaluated through the date the financial statements were issued.

 

Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

Deer Park Total Return Credit Fund

EXPENSE EXAMPLES (Unaudited)

March 31, 2020

 

As a shareholder of the Deer Park Total Return Credit Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases of Class A shares; (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 1, 2019 through March 31, 2020.

 

Actual Expenses

 

The “Actual” Expenses in the table below provides information about actual account values and actual expenses. You may use the information below; together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The “Hypothetical” in the table below provides information about hypothetical account values and hypothetical expenses based on the Deer Park Total Return Credit Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

		Beginning		Ending		Expenses Paid		Expense Ratio
		Account Value		Account Value		During Period*		During Period**
Actual		10/1/19		3/31/20		10/1/19 – 3/31/20		10/1/19 – 3/31/20
Class A		$1,000.00		$862.90		$10.34		2.22%
Class C		1,000.00		860.00		13.81		2.97
Class I		1,000.00		864.20		9.18		1.97
		Beginning		Ending		Expenses Paid		Expense Ratio
Hypothetical		Account Value		Account Value		During Period*		During Period**
(5% return before expenses)		10/1/19		3/31/20		10/1/19 – 3/31/20		10/1/19 – 3/31/20
Class A		$1,000.00		$1,013.90		$11.18		2.22%
Class C		1,000.00		1,010.15		14.93		2.97
Class I		1,000.00		1,015.15		9.92		1.97

 

*

Expenses are equal to the average account value over the period, multiplied by each Fund’s annualized expense ratio, multiplied by the number of days in the period (183) divided by the number of days in the fiscal year (366).

 

**

Annualized.

Deer Park Total Return Credit Fund

Additional Information (Unaudited)

March 31, 2020

 

LIQUIDITY RISK MANAGEMENT PROGRAM

 

The Fund has adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage the Fund’s liquidity risk, taking into consideration, among other factors, the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.

 

During the six months March 31, 2020, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Fund’s investments and determined that the Fund held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Fund’s liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Fund’s liquidity risk management program has been effectively implemented.

PRIVACY NOTICE

 

Northern Lights Fund Trust

 

Rev. February 2014

 

FACTS

WHAT DOES NORTHERN LIGHTS FUND TRUST DO WITH YOUR PERSONAL INFORMATION?

 

Why?

Financial companies choose how they share your personal information.  Federal law gives consumers the right to limit some, but not all sharing.  Federal law also requires us to tell you how we collect, share, and protect your personal information.  Please read this notice carefully to understand what we do.

 

What?

The types of personal information we collect and share depends on the product or service that you have with us. This information can include:   ●         Social Security number and wire transfer instructions   ●         account transactions and transaction history   ●         investment experience and purchase history   When you are no longer our customer, we continue to share your information as described in this notice.

 

How?

All financial companies need to share customers’ personal information to run their everyday business.  In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights Fund Trust chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information:	Does Northern Lights Fund Trust share information?	Can you limit this sharing?
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.	YES	NO
For our marketing purposes - to offer our products and services to you.	NO	We don’t share
For joint marketing with other financial companies.	NO	We don’t share
For our affiliates’ everyday business purposes - information about your transactions and records.	NO	We don’t share
For our affiliates’ everyday business purposes - information about your credit worthiness.	NO	We don’t share
For nonaffiliates to market to you	NO	We don’t share

 

QUESTIONS?

Call 1-402-493-4603

PRIVACY NOTICE

 

Northern Lights Fund Trust

 

Page 2

 

What we do:
How does Northern Lights Fund Trust protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.   Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.
How does Northern Lights Fund Trust collect my personal information?	We collect your personal information, for example, when you ●     open an account or deposit money   ●     direct us to buy securities or direct us to sell your securities   ●     seek advice about your investments   We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only: ●     sharing for affiliates’ everyday business purposes – information about your creditworthiness.   ●     affiliates from using your information to market to you.   ●     sharing for nonaffiliates to market to you.   State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies.   ●     Northern Lights Fund Trust does not share with its affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies.   ●     Northern Lights Fund Trust does not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you.   ●     Northern Lights Fund Trust doesn’t jointly market.

PROXY VOTING POLICY

 

Information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies is available without charge, upon request, by calling 1-888-868-9501 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO HOLDINGS

 

The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-PORT may be obtained by calling 1-800-SEC-0330.

  

 

 

INVESTMENT ADVISERS

Princeton Fund Advisors, LLC

1580 Lincoln Street, Suite 680

Denver, CO 80203

INVESTMENT SUB-ADVISERS

Deer Park Road Management Company, LP

1195 Bangtail Way

Steamboat Springs, CO 80487

ADMINISTRATOR

Gemini Fund Services, LLC

4221 North 203rd Street, Suite 100

Elkhorn, Nebraska 68022-3474

 

Item 2. Code of Ethics. Not applicable.

 

Item 3. Audit Committee Financial Expert. Not applicable.

 

Item 4. Principal Accountant Fees and Services. Not applicable.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None

 

 

Item 11. Controls and Procedures.

 

(a)       Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

 

(b)       There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable for open-end investment companies.

 

(b)       Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

SIGNATURES

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.

 

(Registrant) Northern Lights Fund Trust

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/ President

 

Date 6/8/20

 

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.

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/ President

 

Date 6/8/20

 

 

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Principal Financial Officer/ Treasurer

 

Date 6/8/20

 

CERTIFICATIONS

 

 

I, Kevin E. Wolf, certify that:

 

1.       I have reviewed this report on Form N-CSR of the Deer Park Total Return Credit Fund (a series of Northern Lights Fund Trust);

 

2.       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;

 

3.       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;

 

4.       The registrant'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:

 

a)       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;

b)       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;

c)       evaluated the effectiveness of the registrant'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

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       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's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

 

Date: 6/8/20

 

/s/ Kevin E. Wolf

Kevin E. Wolf

Principal Executive Officer/ President

 

 

 

I, Jim Colantino, certify that:

 

1.       I have reviewed this report on Form N-CSR of the Deer Park Total Return Credit Fund (a series of Northern Lights Fund Trust);

 

2.       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;

 

3.       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;

 

4.       The registrant'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:

 

a)       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;

b)       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;

c)       evaluated the effectiveness of the registrant'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

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       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's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

 

Date: 6/8/20

 

/s/ Jim Colantino

Jim Colantino

Principal Financial Officer/ Treasurer

certification

Kevin E. Wolf, Principal Executive Officer/President, and Jim Colantino, Principal Financial Officer/Treasurer of Northern Lights Fund Trust (the “Registrant”), each certify to the best of his knowledge that:

1.       The Registrant’s periodic report on Form N-CSR for the period ended March 31, 2020(the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

2.       The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Principal Executive Officer/ President		Principal Financial Officer/ Treasurer
Northern Lights Fund Trust		Northern Lights Fund Trust
/s/ Kevin E. Wolf		/s/ Jim Colantino
Kevin E. Wolf		Jim Colantino
Date: 6/8/20		Date: 6/8/20

 

 

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to Northern Lights Funds Trust and will be retained by Northern Lights Fund Trust and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

 

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.