Northern Lights Fund Trust

12/09/2024 | Press release | Distributed by Public on 12/09/2024 14:06

Annual Report by Investment Company (Form N-CSR)

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)
The Corporation Trust Company
1209 Orange Street Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 631-490-4300
Date of fiscal year end: 9/30
Date of reporting period: 9/30/24

Item 1. Reports to Stockholders.

(a)

Deer Park Total Return Credit Fund

Class A Shares (DPFAX)

Annual Shareholder Report - September 30, 2024

Fund Overview

This annual shareholder report contains important information about Deer Park Total Return Credit Fund for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at www.deerparkfund.com. You can also request this information by contacting us at 1-888-868-9501.This report describes changes to the Fund that occurred during the reporting period.

What were the Fund's costs for the last year?

(based on a hypothetical $10,000 investment)

Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class A Shares
$249
2.43%

How did the Fund perform during the reporting period?

The Fund's Class A Shares returned +5.24% during the fiscal year ended September 30, 2024 (the "Investment Period"). The Fund invests primarily in legacy non-agency Residential Mortgage Backed Securities ("RMBS") and other asset backed securities ("ABS") which we believe have an attractive fundamental backdrop.

The Investment Period was generally good for fixed income, with interest rates (as measured by the yield of 10-Year US Treasuries) moving from 4.68% on 10/02/2023 to 3.78% on 09/30/2024. This decline in interest rates generally lifted fixed income securities. Although, it was a somewhat choppy road along the way. This move in interest rates generally contributed positively to the Fund's holdings.

The Fund's holdings in Legacy non-agency RMBS were the largest allocation during the Investment Period and contributed positively to Fund performance. These positions were the beneficiaries of declining interest rates early on during the Investment Period. However, as rates became more volatile in 2024 these positions began to stall in performance.

The Fund's holdings in Commercial Mortgage Backed Securities ("CMBS") contributed negatively to Fund performance during the Investment Period. While we believe the Fund's holdings in CMBS remain attractive assets, the general CMBS universe was under pressure during the Investment Period. This somewhat indiscriminate pressure in the CMBS space weighed on the performance of the Fund's CMBS positions. The Fund's other holdings, primarily in ABS securities, contributed positively to Fund performance.

How has the Fund performed since inception?

Total Return Based on $10,000 Investment

Deer Park Total Return Credit Fund
Bloomberg U.S. Aggregate Bond Index
HFRX Fixed Income Credit Index
Oct-2015
$9,425
$10,000
$10,001
Sep-2016
$10,459
$10,474
$9,987
Sep-2017
$11,640
$10,482
$10,525
Sep-2018
$12,156
$10,354
$10,638
Sep-2019
$12,541
$11,421
$10,686
Sep-2020
$12,477
$12,218
$11,573
Sep-2021
$13,578
$12,109
$12,376
Sep-2022
$12,423
$10,341
$10,666
Sep-2023
$12,084
$10,408
$11,250
Sep-2024
$12,717
$11,612
$12,223

Average Annual Total Returns

1 Year
5 Years
Since Inception (October 16, 2015)
Deer Park Total Return Credit Fund
Without Load
5.24%
0.28%
3.40%
With Load
-0.81%
-0.90%
2.72%
Bloomberg U.S. Aggregate Bond Index
11.57%
0.33%
1.68%
HFRX Fixed Income Credit Index
8.65%
2.73%
2.27%

The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.

Fund Statistics

Net Assets
$192,354,905
Number of Portfolio Holdings
452
Advisory Fee (net of waivers)
$3,733,620
Portfolio Turnover
2%

Asset Weighting (% of total investments)

Value
Value
Non-Agency Asset Backed Securities
97.6%
Agency Asset Backed Securities
2.0%
Money Market Funds
0.4%

What did the Fund invest in?

Sector Weighting (% of net assets)

Value
Value
Liabilities in Excess of Other Assets
-0.2%
Reverse Repurchase Agreements
-2.3%
Money Market Funds
0.4%
CMBS
20.4%
CMO
39.4%
ABS
42.3%

Top 10 Holdings (% of net assets)

Holding Name
% of Net Assets
Home Equity Loan Trust, Series 2007-FRE1, Class M1, 5.4690%, 04/25/37
2.8%
Starwood Retail Property Trust, Series 2014-STAR, Class A, 8.5000%, 11/15/27
1.7%
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class M2, 5.9440%, 08/25/35
1.6%
Carrington Mortgage Loan Trust, Series 2005-FRE1, Class M4, 5.8990%, 12/25/35
1.6%
HarborView Mortgage Loan Trust, Series 2007-1, Class 2A1B, 5.4390%, 03/19/37
1.6%
Structured Asset Mortgage Investments II Trust, Series AR6, Class A2, 6.8530%, 08/25/47
1.5%
HMH Trust, Series 2017-NSS, Class E, 6.2920%, 07/05/31
1.5%
Park Place Securities Inc Asset-Backed, Series 2005-WCW1, Class M5, 5.9590%, 09/25/35
1.5%
Saxon Asset Securities Trust, Series 2007-4, Class M1, 7.9690%, 12/25/37
1.5%
RAMP, Series 2006-RZ2, Class M2, 5.4790%, 05/25/36
1.5%

Material Fund Changes

Effective June 26, 2024, the Fund changed the annual fund operating expenses after fee waiver and/or reimbursement to not exceed 1.55%, 2.30% and 1.30% for Class A, Class C and Class I shares of the Fund's average daily net assets. Also effective June 26, 2024, the Fund reduced the annual investment advisory fee from 1.84% to 1.49%.

Deer Park Total Return Credit Fund

Annual Shareholder Report - September 30, 2024

Where can I find additional information about the Fund?

Additional information is available on the Fund's website ( www.deerparkfund.com ), including its:

  • Prospectus

  • Financial information

  • Holdings

  • Proxy voting information

TSR-AR 093024-DPFAX

Deer Park Total Return Credit Fund

Class C Shares (DPFCX)

Annual Shareholder Report - September 30, 2024

Fund Overview

This annual shareholder report contains important information about Deer Park Total Return Credit Fund for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at www.deerparkfund.com. You can also request this information by contacting us at 1-888-868-9501.This report describes changes to the Fund that occurred during the reporting period.

What were the Fund's costs for the last year?

(based on a hypothetical $10,000 investment)

Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class C Shares
$325
3.18%

How did the Fund perform during the reporting period?

The Fund's Class C Shares returned +4.47% during the fiscal year ended September 30, 2024 (the "Investment Period"). The Fund invests primarily in legacy non-agency Residential Mortgage Backed Securities ("RMBS") and other asset backed securities ("ABS") which we believe have an attractive fundamental backdrop.

The Investment Period was generally good for fixed income, with interest rates (as measured by the yield of 10-Year US Treasuries) moving from 4.68% on 10/02/2023 to 3.78% on 09/30/2024. This decline in interest rates generally lifted fixed income securities. Although, it was a somewhat choppy road along the way. This move in interest rates generally contributed positively to the Fund's holdings.

The Fund's holdings in Legacy non-agency RMBS were the largest allocation during the Investment Period and contributed positively to Fund performance. These positions were the beneficiaries of declining interest rates early on during the Investment Period. However, as rates became more volatile in 2024 these positions began to stall in performance.

The Fund's holdings in Commercial Mortgage Backed Securities ("CMBS") contributed negatively to Fund performance during the Investment Period. While we believe the Fund's holdings in CMBS remain attractive assets, the general CMBS universe was under pressure during the Investment Period. This somewhat indiscriminate pressure in the CMBS space weighed on the performance of the Fund's CMBS positions. The Fund's other holdings, primarily in ABS securities, contributed positively to Fund performance.

How has the Fund performed since inception?

Total Return Based on $10,000 Investment

Deer Park Total Return Credit Fund
Bloomberg U.S. Aggregate Bond Index
HFRX Fixed Income Credit Index
Apr-2017
$10,000
$10,000
$10,001
Sep-2017
$10,651
$10,198
$10,217
Sep-2018
$11,042
$10,074
$10,327
Sep-2019
$11,296
$11,111
$10,373
Sep-2020
$11,166
$11,887
$11,235
Sep-2021
$12,051
$11,781
$12,014
Sep-2022
$10,949
$10,061
$10,354
Sep-2023
$10,569
$10,126
$10,921
Sep-2024
$11,041
$11,297
$11,866

Average Annual Total Returns

1 Year
5 Years
Since Inception (April 6, 2017)
Deer Park Total Return Credit Fund
4.47%
-0.45%
1.33%
Bloomberg U.S. Aggregate Bond Index
11.57%
0.33%
1.64%
HFRX Fixed Income Credit Index
8.65%
2.73%
2.31%

The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.

Fund Statistics

Net Assets
$192,354,905
Number of Portfolio Holdings
452
Advisory Fee (net of waivers)
$3,733,620
Portfolio Turnover
2%

Asset Weighting (% of total investments)

Value
Value
Non-Agency Asset Backed Securities
97.6%
Agency Asset Backed Securities
2.0%
Money Market Funds
0.4%

What did the Fund invest in?

Sector Weighting (% of net assets)

Value
Value
Liabilities in Excess of Other Assets
-0.2%
Reverse Repurchase Agreements
-2.3%
Money Market Funds
0.4%
CMBS
20.4%
CMO
39.4%
ABS
42.3%

Top 10 Holdings (% of net assets)

Holding Name
% of Net Assets
Home Equity Loan Trust, Series 2007-FRE1, Class M1, 5.4690%, 04/25/37
2.8%
Starwood Retail Property Trust, Series 2014-STAR, Class A, 8.5000%, 11/15/27
1.7%
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class M2, 5.9440%, 08/25/35
1.6%
Carrington Mortgage Loan Trust, Series 2005-FRE1, Class M4, 5.8990%, 12/25/35
1.6%
HarborView Mortgage Loan Trust, Series 2007-1, Class 2A1B, 5.4390%, 03/19/37
1.6%
Structured Asset Mortgage Investments II Trust, Series AR6, Class A2, 6.8530%, 08/25/47
1.5%
HMH Trust, Series 2017-NSS, Class E, 6.2920%, 07/05/31
1.5%
Park Place Securities Inc Asset-Backed, Series 2005-WCW1, Class M5, 5.9590%, 09/25/35
1.5%
Saxon Asset Securities Trust, Series 2007-4, Class M1, 7.9690%, 12/25/37
1.5%
RAMP, Series 2006-RZ2, Class M2, 5.4790%, 05/25/36
1.5%

Material Fund Changes

Effective June 26, 2024, the Fund changed the annual fund operating expenses after fee waiver and/or reimbursement to not exceed 1.55%, 2.30% and 1.30% for Class A, Class C and Class I shares of the Fund's average daily net assets. Also effective June 26, 2024, the Fund reduced the annual investment advisory fee from 1.84% to 1.49%.

Deer Park Total Return Credit Fund

Annual Shareholder Report - September 30, 2024

Where can I find additional information about the Fund?

Additional information is available on the Fund's website ( www.deerparkfund.com ), including its:

  • Prospectus

  • Financial information

  • Holdings

  • Proxy voting information

TSR-AR 093024-DPFCX

Deer Park Total Return Credit Fund

Class I Shares (DPFNX)

Annual Shareholder Report - September 30, 2024

Fund Overview

This annual shareholder report contains important information about Deer Park Total Return Credit Fund for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at www.deerparkfund.com. You can also request this information by contacting us at 1-888-868-9501.This report describes changes to the Fund that occurred during the reporting period.

What were the Fund's costs for the last year?

(based on a hypothetical $10,000 investment)

Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I Shares
$224
2.18%

How did the Fund perform during the reporting period?

The Fund's Class I Shares returned +5.38% during the fiscal year ended September 30, 2024 (the "Investment Period"). The Fund invests primarily in legacy non-agency Residential Mortgage Backed Securities ("RMBS") and other asset backed securities ("ABS") which we believe have an attractive fundamental backdrop.

The Investment Period was generally good for fixed income, with interest rates (as measured by the yield of 10-Year US Treasuries) moving from 4.68% on 10/02/2023 to 3.78% on 09/30/2024. This decline in interest rates generally lifted fixed income securities. Although, it was a somewhat choppy road along the way. This move in interest rates generally contributed positively to the Fund's holdings.

The Fund's holdings in Legacy non-agency RMBS were the largest allocation during the Investment Period and contributed positively to Fund performance. These positions were the beneficiaries of declining interest rates early on during the Investment Period. However, as rates became more volatile in 2024 these positions began to stall in performance.

The Fund's holdings in Commercial Mortgage Backed Securities ("CMBS") contributed negatively to Fund performance during the Investment Period. While we believe the Fund's holdings in CMBS remain attractive assets, the general CMBS universe was under pressure during the Investment Period. This somewhat indiscriminate pressure in the CMBS space weighed on the performance of the Fund's CMBS positions. The Fund's other holdings, primarily in ABS securities, contributed positively to Fund performance.

How has the Fund performed since inception?

Total Return Based on $100,000 Investment

Deer Park Total Return Credit Fund
Bloomberg U.S. Aggregate Bond Index
HFRX Fixed Income Credit Index
Oct-2015
$100,000
$100,000
$99,999
Sep-2016
$111,316
$104,743
$99,858
Sep-2017
$124,126
$104,819
$105,239
Sep-2018
$129,961
$103,544
$106,373
Sep-2019
$134,379
$114,205
$106,845
Sep-2020
$134,057
$122,182
$115,720
Sep-2021
$146,240
$121,089
$123,744
Sep-2022
$134,141
$103,410
$106,649
Sep-2023
$130,964
$104,077
$112,488
Sep-2024
$138,006
$116,117
$122,223

Average Annual Total Returns

1 Year
5 Years
Since Inception (October 16, 2015)
Deer Park Total Return Credit Fund
5.38%
0.53%
3.66%
Bloomberg U.S. Aggregate Bond Index
11.57%
0.33%
1.68%
HFRX Fixed Income Credit Index
8.65%
2.73%
2.27%

The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.

Fund Statistics

Net Assets
$192,354,905
Number of Portfolio Holdings
452
Advisory Fee (net of waivers)
$3,733,620
Portfolio Turnover
2%

Asset Weighting (% of total investments)

Value
Value
Non-Agency Asset Backed Securities
97.6%
Agency Asset Backed Securities
2.0%
Money Market Funds
0.4%

What did the Fund invest in?

Sector Weighting (% of net assets)

Value
Value
Liabilities in Excess of Other Assets
-0.2%
Reverse Repurchase Agreements
-2.3%
Money Market Funds
0.4%
CMBS
20.4%
CMO
39.4%
ABS
42.3%

Top 10 Holdings (% of net assets)

Holding Name
% of Net Assets
Home Equity Loan Trust, Series 2007-FRE1, Class M1, 5.4690%, 04/25/37
2.8%
Starwood Retail Property Trust, Series 2014-STAR, Class A, 8.5000%, 11/15/27
1.7%
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class M2, 5.9440%, 08/25/35
1.6%
Carrington Mortgage Loan Trust, Series 2005-FRE1, Class M4, 5.8990%, 12/25/35
1.6%
HarborView Mortgage Loan Trust, Series 2007-1, Class 2A1B, 5.4390%, 03/19/37
1.6%
Structured Asset Mortgage Investments II Trust, Series AR6, Class A2, 6.8530%, 08/25/47
1.5%
HMH Trust, Series 2017-NSS, Class E, 6.2920%, 07/05/31
1.5%
Park Place Securities Inc Asset-Backed, Series 2005-WCW1, Class M5, 5.9590%, 09/25/35
1.5%
Saxon Asset Securities Trust, Series 2007-4, Class M1, 7.9690%, 12/25/37
1.5%
RAMP, Series 2006-RZ2, Class M2, 5.4790%, 05/25/36
1.5%

Material Fund Changes

Effective June 26, 2024, the Fund changed the annual fund operating expenses after fee waiver and/or reimbursement to not exceed 1.55%, 2.30% and 1.30% for Class A, Class C and Class I shares of the Fund's average daily net assets. Also effective June 26, 2024, the Fund reduced the annual investment advisory fee from 1.84% to 1.49%.

Deer Park Total Return Credit Fund

Annual Shareholder Report - September 30, 2024

Where can I find additional information about the Fund?

Additional information is available on the Fund's website ( www.deerparkfund.com ), including its:

  • Prospectus

  • Financial information

  • Holdings

  • Proxy voting information

TSR-AR 093024-DPFNX

(b) Not applicable

Item 2. Code of Ethics.

(a) The registrant has, as of the end of the period covered by this report, adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, and principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) N/A
(c) During the period covered by this report, there were no amendments to any provision of the code of ethics.
(d) During the period covered by this report, there were no waivers or implicit waivers of a provision of the code of ethics.
(e) N/A
(f) See Item 19(a)(1)

Item 3. Audit Committee Financial Expert.

(a)(1) The Registrant’s board of trustees has determined that Mark Gersten, Anthony J. Hertl, and Mark H. Taylor are audit committee financial experts, as defined in Item 3 of Form N-CSR. Mr. Gersten, Mr. Hertl and Mr. Taylor are independent for purposes of this Item.

(a)(2) Not applicable.

(a)(3) Not applicable.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by the registrant’s principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are as follows:
2024 - $55,000
2023 - $42,500
(b) Audit-Related Fees. There were no fees billed in each of the last two fiscal years for assurances and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this item.
(c) Tax Fees. The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance are as follows:
2024 - $3,900
2023 - $3,900
Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.
(d) All Other Fees. The aggregate fees billed in each of the last two fiscal years for products and services provided by the registrant’s principal accountant, other than the services reported in paragraphs (a) through (c) of this item were $0 and $0 for the fiscal years ended September 30, 2023, and 2024 respectively.
(e)(1) The audit committee does not have pre-approval policies and procedures. Instead, the audit committee or audit committee chairman approves on a case-by-case basis each audit or non-audit service before the principal accountant is engaged by the registrant.
(e)(2) There were no services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable. The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was zero percent (0%).
(g) All non-audit fees billed by the registrant’s principal accountant for services rendered to the registrant for the fiscal years ended September 30, 2023, and 2024 respectively are disclosed in (b)-(d) above. There were no audit or non-audit services performed by the registrant’s principal accountant for the registrant’s adviser.
(h) Not applicable.
(i) Not applicable.
(j) Not applicable.

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

Item 6. Schedule of Investments. The Registrant’s schedule of investments in unaffiliated issuers is included in the Financial Statements under Item 7 of this form.

Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.

(a)

Deer Park Total Return Credit Fund

Class A Shares: DPFAX

Class C Shares: DPFCX

Class I Shares: DPFNX

Annual Financial Statements

September 30, 2024

www.deerparkfund.com

1-888-868-9501

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
AGENCY ASSET BACKED SECURITIES - 2.0%
AGENCY CMBS - 0.1%
2,677,681 Government National Mortgage Association Series 2007-15 IO(a),(b) 1.5980 03/16/47 $ 16,718
4,139,805 Government National Mortgage Association Series 2015-6 IO(a),(b) 0.4610 02/16/51 58,647
2,329,133 Government National Mortgage Association Series 2013-15 IO(a),(b) 0.5850 08/16/51 52,462
443,029 Government National Mortgage Association Series 2012-72 IO(a),(b) 0.4830 11/16/52 1,912
249,317 Government National Mortgage Association Series 2015-122 IO(a),(b), (j) 0.5840 05/16/57 45
129,784
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.9%
948,261 Fannie Mae REMICS Series 2012-90 SA(a),(c) SOFR30A + 5.936% 0.6550 08/25/42 109,107
3,921,356 Fannie Mae REMICS Series 2012-144 SH(a),(c) SOFR30A + 5.986% 0.7050 01/25/43 568,391
3,533,773 Fannie Mae REMICS Series 2017-16 CS(a),(c) SOFR30A + 5.936% 0.6550 03/25/47 501,219
2,235,104 Fannie Mae REMICS Series 2017-14 DS(a),(c) SOFR30A + 5.936% 0.6550 03/25/47 328,555
2,282,605 Fannie Mae REMICS Series 2017-68 SN(a),(c) SOFR30A + 6.036% 0.7550 09/25/47 325,804
1,708,882 Fannie Mae REMICS Series 2018-64 SE(a),(c) SOFR30A + 6.086% 0.8050 09/25/48 244,482
551,641 Freddie Mac REMICS Series 4238 NS(a),(c) SOFR30A + 6.586% 1.2430 02/15/42 65,925
3,135,720 Freddie Mac REMICS Series 4416 DS(a),(c) SOFR30A + 5.986% 0.6430 12/15/44 416,497
182,740 Freddie Mac REMICS Series 4583 ST(a),(c) SOFR30A + 5.886% 0.5430 05/15/46 21,839
1,585,199 Freddie Mac REMICS Series 4685 SA(a),(c) SOFR30A + 5.986% 0.6430 05/15/47 251,215
3,463,574 Freddie Mac REMICS Series 4718 SC(a),(c) SOFR30A + 6.036% 0.6930 09/15/47 513,585
1,138,927 Freddie Mac REMICS Series 4796 AS(a),(c) SOFR30A + 6.086% 0.7430 05/15/48 170,566
9,139,422 Government National Mortgage Association Series 2019-111 SK(a),(c) TSFR1M + 3.316% 0.0001 09/20/49 225,172
3,742,357
TOTAL AGENCY ASSET BACKED SECURITIES (Cost $15,460,829) 3,872,141
NON-AGENCY ASSET BACKED SECURITIES - 100.1%
COLLATERALIZED MORTGAGE OBLIGATIONS - 37.5%
34,229 Adjustable Rate Mortgage Trust 2005-4 Series 2005-4 3A1(b) 7.0230 08/25/35 33,918
1,541,416 Adjustable Rate Mortgage Trust 2007-1 Series 2007-1 5A1(c) TSFR1M + 0.414% 5.2690 03/25/37 1,849,390
146,225 Alternative Loan Trust 2003-4CB Series 2003-4CB B1(b) 6.0780 04/25/33 86,311
88,646 Alternative Loan Trust 2003-J2 Series 2003-J2 B1 6.0000 10/25/33 80,681
339,430 Alternative Loan Trust 2005-22T1 Series 2005-22T1 A2(a),(c) TSFR1M + 4.956% 0.1010 06/25/35 28,158
536,214 Alternative Loan Trust 2005-45 Series 2005-45 2A1(c) 12MTA + 2.050% 7.1730 10/20/35 381,225
308,556 Alternative Loan Trust 2005-56 Series 2005-56 5A1(c) TSFR1M + 0.754% 5.6090 11/25/35 255,360
570,456 Alternative Loan Trust 2005-65CB Series 2005-65CB 2A4 5.5000 12/25/35 406,073

See accompanying notes to financial statements.

1

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
COLLATERALIZED MORTGAGE OBLIGATIONS - 37.5% (Continued)
385,353 Alternative Loan Trust 2005-65CB Series 2005-65CB 1A5(c) TSFR1M + 0.864% 5.5000 01/25/36 $ 233,025
1,573,975 Alternative Loan Trust 2006-32CB Series 2006-32CB A8(a),(c) TSFR1M + 5.156% 0.3010 11/25/36 151,863
462,822 Alternative Loan Trust 2006-36T2 Series 2006-36T2 1A9(c) TSFR1M + 1.014% 5.8690 12/25/36 157,123
154,835 Alternative Loan Trust 2006-HY10 Series 2006-HY10 2A1(b) 5.3910 05/25/36 138,900
294,588 Alternative Loan Trust 2006-J3 Series 2006-J3 2A1 4.7500 12/29/24 245,174
130,321 Alternative Loan Trust 2006-J5 Series 2006-J5 1A4 6.5000 09/25/36 66,721
20,732,222 Alternative Loan Trust 2006-OA10 Series 2006-OA10 XBI(a),(d), (j) 2.8240 08/25/46 199,707
4,916,799 Alternative Loan Trust 2006-OA10 Series 2006-OA10 XAD(a),(d), (j) 2.3130 08/25/46 37,985
957,908 Alternative Loan Trust 2006-OA11 Series 2006-OA11 A1B(c) TSFR1M + 0.494% 5.3490 09/25/46 942,207
12,297,156 Alternative Loan Trust 2006-OA14 Series 2006-OA14 X2(a),(b), (j) 0.0001 11/25/46 6,970
5,427,053 Alternative Loan Trust 2006-OA17 Series 2006-OA17 2X(a),(b) 1.0520 12/20/46 393,453
33,860,977 Alternative Loan Trust 2006-OA2 Series 2006-OA2 X1P(a),(b) 0.1770 05/20/46 259,375
27,900,000 Alternative Loan Trust 2006-OC6 Series 2006-OC6 2A2A(c), (j) TSFR1M + 0.434% 0.0001 07/25/36 112,078
143,660 Alternative Loan Trust Resecuritization 2006-22R Series 2006-22R 2A2 6.2500 05/25/36 81,300
1,167,653 American Home Mortgage Assets Trust 2005-1 Series 2005-1 3A22(c) TSFR1M + 0.774% 5.6290 11/25/35 1,054,220
171,795 American Home Mortgage Assets Trust 2006-2 Series 2006-2 1A1(c) 12MTA + 0.960% 6.0830 09/25/46 158,261
130,677 American Home Mortgage Assets Trust 2007-5 Series 2007-5 A1(c) TSFR1M + 0.494% 5.3490 06/25/47 113,498
2,322,947 American Home Mortgage Investment Trust 2005-4 Series 2005-4 1A2(c) TSFR1M + 0.874% 5.7290 11/25/45 2,166,934
479,742 American Home Mortgage Investment Trust 2006-3 Series 2006-3 11A2(c) TSFR1M + 0.574% 5.4290 12/25/46 454,802
739,145 Banc of America Alternative Loan Trust 2006-5 Series 2006-5 CBIO(a) 6.0000 06/25/46 133,504
1,327,426 Banc of America Alternative Loan Trust 2006-6 Series 2006-6 CBIO(a) 6.0000 07/25/46 165,278
153,852 Banc of America Alternative Loan Trust 2006-8 Series 2006-8 1A5(a),(c) TSFR1M + 772.262% 6.0000 11/25/36 27,766
317,466 Banc of America Alternative Loan Trust 2006-8 Series 2006-8 XIO(a) 6.0000 11/25/46 64,689
3,001,182 Banc of America Funding 2005-C Trust Series 2005-C M2(c) TSFR1M + 0.764% 5.7250 05/20/35 2,251,933
48,827 Banc of America Funding 2005-F Trust Series 2005-F 1A1(c) TSFR1M + 0.734% 5.6950 09/20/35 36,132
1,341,711 Banc of America Funding 2006-D Trust Series 2006-D 1A2(c) TSFR1M + 0.674% 5.6350 05/20/36 353,079
451,980 Banc of America Mortgage 2007-1 Trust Series 2007-1 2IO(a) 6.0000 01/25/37 65,310
565,168 BCAP, LLC 2008-RR3 Trust Series 2008-RR3 A1B(b),(e) 6.6970 10/25/36 170,778
1,680,724 BCAP, LLC 2009-RR4 Trust Series 2009-RR4 1A2(b),(e) 1.7030 06/26/37 421,250
677,106 Bear Stearns ALT-A Trust 2003-5 Series 2003-5 M(b) 6.1080 12/25/33 624,321
226,395 Bear Stearns ALT-A Trust 2003-6 Series 2003-6 B1(b) 5.5680 01/25/34 137,758
212,926 Bear Stearns ALT-A Trust 2005-7 Series 2005-7 25A1(b) 5.7160 09/25/35 77,451
362,956 Bear Stearns ALT-A Trust 2007-2 Series 2007-2 1A1(c) TSFR1M + 0.454% 5.3090 04/25/37 319,733
169,103 Bear Stearns ARM Trust 2004-6 Series 2004-6 2A2(b) 4.1380 09/25/34 150,168

See accompanying notes to financial statements.

2

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
COLLATERALIZED MORTGAGE OBLIGATIONS - 37.5% (Continued)
34,469 Bear Stearns ARM Trust 2004-7 Series 2004-7 1A1(b), (j) 0.0001 10/25/34 $ 33,317
262,348 Bear Stearns ARM Trust 2005-12 Series 2005-12 23A1(b) 4.7980 02/25/36 241,283
67,267 Bear Stearns ARM Trust 2007-4 Series 2007-4 22A1(b) 4.4340 06/25/47 61,205
28,268 Bear Stearns Asset Backed Securities I Trust Series 2004-AC5 A2(c) TSFR1M + 0.514% 5.3690 10/25/34 24,504
195,870 Bear Stearns Asset Backed Securities Trust Series 2003-AC4 M1(d) 5.6580 09/25/33 173,500
31,519 Bear Stearns Asset Backed Securities Trust Series 2003-AC5 B(c) TSFR1M + 4.989% 9.8440 10/25/33 46,075
32,756 Bear Stearns Asset Backed Securities Trust Series 2003-AC6 M2(c) TSFR1M + 2.764% 7.6190 11/25/33 22,711
1,517,600 Bear Stearns Mortgage Funding Trust 2006-AR1 Series 2006-AR1 2A2(c) TSFR1M + 0.634% 5.4890 08/25/36 1,790,596
292,161 Bear Stearns Mortgage Funding Trust 2006-AR5 Series 2006-AR5 1A1(c) TSFR1M + 0.274% 5.1290 12/25/46 262,301
2,446,626 Bear Stearns Mortgage Funding Trust 2006-AR5 Series 2006-AR5 1A2(c) (i) TSFR1M + 0.324% 5.1790 12/25/46 2,630,589
2,349,984 Bear Stearns Mortgage Funding Trust 2007-AR1 Series 2007-AR1 1A2(c) TSFR1M + 0.324% 5.1790 01/25/37 2,433,213
1,781,084 Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 1A2(c) TSFR1M + 0.294% 5.1490 03/25/37 1,763,273
1,534,650 Bear Stearns Mortgage Funding Trust 2007-AR3 Series 2007-AR3 21A2(c) (i) TSFR1M + 0.494% 5.3490 04/25/37 1,560,946
18,489 Bear Stearns Mortgage Funding Trust 2007-SL1 Series 2007-SL1 1A(c) TSFR1M + 0.434% 5.2890 03/25/37 20,857
357,113 Chase Mortgage Finance Trust Series 2005-S3 Series 2005-S3 A10 5.5000 11/25/35 262,163
21,528 Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 5A2(b) 6.7150 02/25/37 20,165
15,976 Chase Mortgage Finance Trust Series 2007-A1 Series 2007-A1 7A1(b) 7.6120 02/25/37 16,279
521,898 ChaseFlex Trust Multi-Class Mortgage Pass-Through Series 2007-M1 2AV2(c) TSFR1M + 0.574% 4.1220 08/25/37 431,917
318,248 Chevy Chase Funding, LLC Mortgage-Backed Series 2003-4A B1(b),(e) 5.9730 10/25/34 298,755
32,519 Chevy Chase Funding, LLC Mortgage-Backed Series 2004-2A A2(c),(e) TSFR1M + 0.434% 5.2890 05/25/35 32,314
465,128 Chevy Chase Funding, LLC Mortgage-Backed Series 2004-4A B1(b),(e) 4.6330 10/25/35 358,945
420,168 Chevy Chase Funding, LLC Mortgage-Backed Series 2007-2A A2(c),(e) TSFR1M + 0.294% 5.1490 05/25/48 275,246
484,506 CHL Mortgage Pass-Through Trust 2003-48 Series 2003-48 B1(b) 7.3750 10/25/33 23,821
214,980 CHL Mortgage Pass-Through Trust 2003-58 Series 2003-58 M(b) 6.3730 02/19/34 196,618
25,526 CHL Mortgage Pass-Through Trust 2004-25 Series 2004-25 1A2(c) TSFR1M + 0.894% 5.7490 02/25/35 20,793
4,818,493 CHL Mortgage Pass-Through Trust 2004-29 Series 2004-29 2X(a),(b) 0.0001 02/25/35 48
37,949 CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 3A3(b) 3.7740 04/25/35 27,699
18,642 CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A1(c) TSFR1M + 0.384% 5.2390 04/25/35 17,710
230,416 CHL Mortgage Pass-Through Trust 2005-11 Series 2005-11 4A2(c) TSFR1M + 0.434% 5.2890 04/25/35 134,370
211,880 CHL Mortgage Pass-Through Trust 2005-14 Series 2005-14 A3 5.5000 07/25/35 78,582
257,931 CHL Mortgage Pass-Through Trust 2005-2 Series 2005-2 2A3(c) TSFR1M + 0.794% 5.6490 03/25/35 237,294
85,479 CHL Mortgage Pass-Through Trust 2007-HYB2 Series 2007-HYB2 3A1(b) 4.3380 02/25/47 72,103
259,183 CHL Mortgage Pass-Through Trust 2007-J3 Series 2007-J3 A9 6.0000 07/25/37 114,860
61,306 Citicorp Mortgage Securities Trust Series 2006-4 Series 2006-4 1A12 6.0000 08/25/36 27,968

See accompanying notes to financial statements.

3

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
COLLATERALIZED MORTGAGE OBLIGATIONS - 37.5% (Continued)
32,825 Citicorp Mortgage Securities Trust Series 2007-7 Series 2007-7 APO(f) 0.0001 08/25/37 $ 22,502
36,269 Citigroup Mortgage Loan Trust 2004-HYB2 Series 2004-HYB2 1A(b) 6.9330 03/25/34 34,905
103,197 Citigroup Mortgage Loan Trust 2005-3 Series 2005-3 2A2B(b) 6.2460 08/25/35 92,080
54,400 Citigroup Mortgage Loan Trust 2006-AR1 Series 2006-AR1 2A1(c) H15T1Y + 2.400% 7.8600 03/25/36 53,646
59,257 Citigroup Mortgage Loan Trust 2007-10 Series 2007-10 22AA(b) 4.9720 09/25/37 52,533
35,582 Citigroup Mortgage Loan Trust 2007-AR8 Series 2007-AR8 2A1A(b) 5.2410 07/25/37 31,579
19,014 Citigroup Mortgage Loan Trust, Inc. Series 2004-HYB1 A31(b) 6.1750 02/25/34 19,111
406,195 Citigroup Mortgage Loan Trust, Inc. Series 2005-9 1A1(c) TSFR1M + 0.374% 5.2290 11/25/35 350,271
56,328 CitiMortgage Alternative Loan Trust Series 2007-A1 Series 2007-A1 1A1 6.0000 01/25/37 50,429
2,701,692 CitiMortgage Alternative Loan Trust Series 2007-A6 Series 2007-A6 1A2(a),(c) TSFR1M + 5.286% 0.4310 06/25/37 206,587
50,400 Countrywide Asset-Backed Certificates Series 2005-IM3 A3(c) TSFR1M + 0.614% 5.4690 03/25/36 50,843
248,493 Credit Suisse First Boston Mortgage Securities Series 2002-AR21 CB1(b) 4.5710 06/25/32 239,791
893,136 Credit Suisse First Boston Mortgage Securities Series 2003-1 DB2(b) 6.6340 02/25/33 671,362
79,453 Credit Suisse First Boston Mortgage Securities Series 2003-AR9 CB1(b) 6.7070 03/25/33 76,602
488,514 Credit Suisse First Boston Mortgage Securities Series 2004-AR1 6M2(c) TSFR1M + 2.214% 7.0690 02/25/34 535,352
714,346 Credit Suisse First Boston Mortgage Securities Series 2004-AR7 CB1(c) TSFR1M + 1.264% 6.1190 11/25/34 669,821
568,329 Credit Suisse First Boston Mortgage Securities Series 2005-1 1A4 5.5000 02/25/35 534,232
496,238 CSFB Mortgage-Backed Trust Series 2004-7 Series 2004-7 DB1(b) 5.9910 11/25/34 281,171
53,720 Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5 1A3(b) 5.5000 11/25/35 86,422
648,917 Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5 23A 6.0000 10/25/24 359,634
1,046,003 Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5 A3(c) TSFR1M + 0.514% 5.3690 08/25/47 787,388
1,022,550 Deutsche Mortgage Securities Inc REMIC Trust Series 2008-RS1 4A2(c),(e) US0001M + 0.250% 5.2100 05/28/37 785,698
10,083 DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B2(c) TSFR1M + 1.764% 6.7290 08/25/35 9,150
190,075 DSLA Mortgage Loan Trust 2004-AR3 Series 2004-AR3 B3(c) TSFR1M + 1.989% 6.9540 07/19/44 108,907
32 DSLA Mortgage Loan Trust 2005-AR1 Series 2005-AR1 2A2(c), (j), (l) TSFR1M + 0.774% 5.7390 02/19/45 - (h)
109,029 Fannie Mae REMIC Trust 2003-W1 Series 2003-W1 M(b) 2.4940 12/25/42 91,986
772,939 Global Mortgage Securitization Ltd. Series 2005-A B1(e) 5.2500 04/25/32 741,584
26,332,087 GreenPoint Mortgage Funding Trust Series 2006-AR8(c), (j) TSFR1M + 0.534% 0.0001 01/25/47 169,584
310,013 GreenPoint Mortgage Loan Trust 2004-1 Series 2004-1 A(c) TSFR1M + 1.264% 6.1190 10/25/34 245,127
1,019,223 GSMPS Mortgage Loan Trust 2003-3 Series 2003-3 B1(b),(e) 7.3790 06/25/43 10
161,591 GSR Mortgage Loan Trust 2003-1 Series 2003-1 A11(c) H15T1Y + 1.750% 6.7500 03/25/33 157,687
155,788 GSR Mortgage Loan Trust 2003-2F Series 2003-2F 2A5 4.7500 03/25/32 158,281
10,455 GSR Mortgage Loan Trust 2004-7 Series 2004-7 1A2(b) 5.0960 06/25/34 10,167
1,873,907 GSR Mortgage Loan Trust 2006-4F Series 2006-4F 4A1(c) TSFR1M + 0.464% 5.3190 05/25/36 322,884

See accompanying notes to financial statements.

4

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
COLLATERALIZED MORTGAGE OBLIGATIONS - 37.5% (Continued)
1,041,605 GSR Mortgage Loan Trust 2006-9F Series 2006-9F 6A1(c) TSFR1M + 0.464% 5.3190 10/25/36 $ 73,178
15,324 GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 1B2(c) TSFR1M + 0.894% 5.7490 12/25/35 4,034
97,169 GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 2A1(b) 4.3930 04/25/36 65,142
1,210,322 GSR Mortgage Loan Trust 2006-OA1 Series 2006-OA1 2A2(c) TSFR1M + 0.634% 5.4890 08/25/46 287,040
443,355 HarborView Mortgage Loan Trust 2005-12 Series 2005-12 1A1A(c) 12MTA + 2.000% 7.1230 10/19/35 226,507
109,973 HarborView Mortgage Loan Trust 2005-6 Series 2005-6 A1B(c) TSFR6M + 1.188% 6.4570 07/19/45 93,525
13,607,989 HarborView Mortgage Loan Trust 2005-8 Series 2005-8 1X(a),(b) 0.0001 09/19/35 136
10,297,287 HarborView Mortgage Loan Trust 2006-1 Series 2006-1 X1(a),(b) 0.0001 03/19/36 103
2,009,651 HarborView Mortgage Loan Trust 2007-1 Series 2007-1 2A1B(c) TSFR1M + 0.474% 5.4390 03/19/37 2,981,507
286,369 HomeBanc Mortgage Trust 2005-1 Series 2005-1 B1(c) TSFR1M + 1.989% 2.1580 03/25/35 172,428
37,373 HomeBanc Mortgage Trust 2005-1 Series 2005-1 B2(c) TSFR1M + 2.064% 2.1580 03/25/35 22,503
273,886 Impac CMB Trust Series 2004-11 Series 2004-11 2A2(c) TSFR1M + 0.854% 5.7090 03/25/35 247,651
25,840 Impac CMB Trust Series 2004-4 Series 2004-4 1M6(c) TSFR1M + 2.364% 7.2190 09/25/34 25,387
185,760 Impac CMB Trust Series 2005-2 Series 2005-2 1M1(c) TSFR1M + 0.759% 5.6140 04/25/35 174,244
317,606 Impac CMB Trust Series 2005-2 Series 2005-2 1M3(c) TSFR1M + 0.879% 5.7340 04/25/35 295,092
49,046 Impac CMB Trust Series 2005-2 Series 2005-2 2M2(c) TSFR1M + 1.239% 6.0940 04/25/35 45,281
32,698 Impac CMB Trust Series 2005-2 Series 2005-2 2B(c) TSFR1M + 2.589% 7.4440 04/25/35 31,550
1,591 Impac CMB Trust Series 2005-6 Series 2005-6 2B2(c) TSFR1M + 3.489% 8.3440 10/25/35 1,601
270,406 Impac Secured Assets CMN Owner Trust Series 2002-2 M1 6.5000 04/25/33 140,396
730,621 Impac Secured Assets CMN Owner Trust Series 2004-1 M2(d) 5.4310 03/25/34 389,676
1,499,984 IndyMac IMJA Mortgage Loan Trust 2007-A1 Series 2007-A1 A4 6.0000 08/25/37 601,088
1,476,545 IndyMac IMJA Mortgage Loan Trust 2007-A3 Series 2007-A3 A1 6.2500 11/25/37 637,464
72,200 IndyMac INDA Mortgage Loan Trust 2006-AR3 Series 2006-AR3 1A1(b) 4.2430 12/25/36 57,763
899,283 IndyMac INDX Mortgage Loan Trust 2004-AR9 Series 2004-AR9 5M2(c) TSFR1M + 1.914% 6.7690 11/25/34 689,596
194,907 IndyMac INDX Mortgage Loan Trust 2005-AR2 Series 2005-AR2 2A1B(c) TSFR1M + 0.894% 5.7490 02/25/35 141,750
267,979 IndyMac INDX Mortgage Loan Trust 2005-AR23 Series 2005-AR23 2A1(b) 4.8650 11/25/35 214,889
190,824 IndyMac INDX Mortgage Loan Trust 2005-AR4 Series 2005-AR4 2A1A(c) TSFR1M + 0.674% 5.5290 03/25/35 188,117
209,130 IndyMac INDX Mortgage Loan Trust 2006-AR21 Series 2006-AR21 A1(c) TSFR1M + 0.354% 5.2090 08/25/36 192,303
36,012 IndyMac INDX Mortgage Loan Trust 2006-AR5 Series 2006-AR5 2A1(b) 3.6410 05/25/36 34,491
1,228,534 IndyMac INDX Mortgage Loan Trust 2007-FLX3 Series 2007-FLX3 A2(c) TSFR1M + 0.654% 5.5090 06/25/37 1,355,179
344,163 JP Morgan Alternative Loan Trust Series 2006-A2 5A1(b) 4.4180 05/25/36 197,995
957,411 JP Morgan Mortgage Trust 2005-A1 Series 2005-A1 IB2(b) 6.1070 02/25/35 962,206
52,568 JP Morgan Mortgage Trust 2006-A6 Series 2006-A6 3A2(b) 5.0740 10/25/36 30,353
118,347 JP Morgan Mortgage Trust 2006-A7 Series 2006-A7 2A2(b) 4.4450 01/25/37 90,841

See accompanying notes to financial statements.

5

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
COLLATERALIZED MORTGAGE OBLIGATIONS - 37.5% (Continued)
129,293 JP Morgan Mortgage Trust 2006-S3 Series 2006-S3 1A12 6.5000 08/25/36 $ 42,257
36,397 Lehman Mortgage Trust 2005-3 Series 2005-3 2A7 6.0000 01/25/36 30,409
3,085,906 Lehman XS Trust Series 2006-18N Series 18N A5A(c), (j) TSFR1M + 0.454% 0.0001 12/25/36 28,207
604,480 Lehman XS Trust Series 2007-12N Series 2007-12N 1A3A(c) TSFR1M + 0.514% 5.3690 07/25/47 580,010
112,780 Lehman XS Trust Series 2007-16N Series 2007-16N 2A2(c) TSFR1M + 1.814% 6.6690 09/25/47 101,835
691,020 Lehman XS Trust Series 2007-7N Series 2007-7N 1A2(c) TSFR1M + 0.594% 5.4490 06/25/47 681,840
436,304 MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A3(c) TSFR1M + 0.464% 5.3190 03/25/36 42,192
283,597 MASTR Alternative Loan Trust 2006-2 Series 2006-2 2A1(c) TSFR1M + 0.514% 5.3690 03/25/36 27,766
336,536 MASTR Asset Securitization Trust 2004-1 Series 2004-1 B1(b) 5.4930 02/25/34 276,554
40,850 MASTR Asset Securitization Trust 2004-3 Series 2004-3 4A11 5.5000 03/25/34 279
408,358 Mellon Residential Funding Mortgage Pass Through Series 1999-TBC3 A2(b) 6.1340 10/20/29 416,525
498,013 Merrill Lynch Alternative Note Asset Trust Series 2007-OAR4 A1(c) TSFR1M + 0.614% 5.4690 08/25/37 425,356
33,667 Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1 M2(b) 6.0880 12/25/32 33,414
3,558,443 Merrill Lynch Mortgage Investors Trust Series 2005-A6 M2(c) TSFR1M + 1.089% 5.9440 08/25/35 3,072,846
2,440,231 Merrill Lynch Mortgage Investors Trust Series MLCC Series 2003-G XA2(a),(b) 0.1660 01/25/29 15,853
270,963 Merrill Lynch Mortgage Investors Trust Series MLCC Series 2007-3 M1(b) 4.3490 09/25/37 106,230
21,453 Merrill Lynch Mortgage Investors Trust Series MLMI Series 2004-A1 M1(b) 6.2320 02/25/34 14,294
346,793 Morgan Stanley Mortgage Loan Trust 2004-11AR Series 2004-11AR 1B1(c) TSFR1M + 0.714% 5.5690 01/25/35 284,747
31,804 MortgageIT Trust 2005-2 Series 2005-2 1M2(c) TSFR1M + 0.924% 5.7790 05/25/35 31,397
19,999 MortgageIT Trust 2005-2 Series 2005-2 2M2(c) TSFR1M + 1.764% 6.9650 05/25/35 18,524
122,555 Nomura Asset Acceptance Corp Alternative Loan Series 2004-AR1 5M1(c) TSFR1M + 1.214% 6.0690 08/25/34 134,456
208,108 Nomura Asset Acceptance Corp Alternative Loan Series 2006-AF1 2A(b) 5.2520 06/25/36 151,906
3,967,565 OPTONE 68402SAC3 DEL TR 2016-1 Series 2016-1A SAC3(a),(b),(e) 20.1410 02/26/38 2,297,568
1,902 RALI Series 2003-QS9 Trust Series 2003-QS9 A2(c), (j) TSFR1M + 0.564% 5.4190 05/25/30 1,331
3,187,822 RALI Series 2005-QO1 Trust Series 2005-QO1 A3(c) TSFR1M + 0.494% 5.3490 08/25/35 1,348,289
159,989 RALI Series 2005-QS7 Trust Series 2005-QS7 CB 5.5000 06/25/35 144,871
249,983 RALI Series 2006-QO8 Trust Series 2006-QO8 1A3A(c) TSFR1M + 0.514% 5.3690 10/25/46 237,365
29,687,781 RALI Series 2006-QS12 Trust Series 2006-QS12 AV(a),(b), (j) 0.4650 09/25/36 362,325
245,334 RALI Series 2006-QS16 Trust Series 2006-QS16 A10 6.0000 11/25/36 195,007
125,431 RALI Series 2006-QS7 Trust Series 2006-QS7 A4(c) TSFR1M + 0.514% 5.3690 06/25/36 88,412
792,514 RALI Series 2007-QH3 Trust Series 2007-QH3 A2(c) TSFR1M + 0.534% 5.3890 04/25/37 1,627,424
25,999 RALI Series 2007-QH5 Trust Series 2007-QH5 AI2(c) TSFR1M + 0.614% 5.4690 06/25/37 20,922
578,857 RALI Series 2007-QH7 Trust Series 2007-QH7 1A2(c) TSFR1M + 0.654% 5.5090 08/25/37 351,591
6,258 RAMP Series 2004-SL1 Trust Series 2004-SL1 MI6(c) TSFR1M + 2.014% 7.8190 10/25/31 5,978

See accompanying notes to financial statements.

6

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
COLLATERALIZED MORTGAGE OBLIGATIONS - 37.5% (Continued)
6,968,245 Reperforming Loan REMIC Trust 2005-R1 Series 2005-R1 1AS(a),(b),(e) 0.8210 03/25/35 $ 391,988
8,260,774 Reperforming Loan REMIC Trust 2005-R2 Series 2005-R2 1AS(a),(b),(e) 0.4450 06/25/35 426,154
7,688,950 Reperforming Loan REMIC Trust 2006-R1 Series 2006-R1 AS(a),(b), (j) 0.4000 01/25/36 363,768
13,287,735 Residential Asset Securitization Trust 2005-A11CB Series 2005-A11 1AX(a),(b), (j) 0.3500 10/25/35 149,506
265,324 Residential Asset Securitization Trust 2005-A16 Series 2005-A16 A3 6.0000 02/25/36 121,520
2,074,542 Residential Asset Securitization Trust 2007-A9 Series 2007-A9 AX(a),(b) 7.0000 09/25/37 584,618
145,439 SACO I, Inc. Series 1999-3 1B1(b),(e), (j) 4.8900 04/25/39 143,198
61,986 Sequoia Mortgage Trust 9 Series 9 B1(c) TSFR1M + 1.239% 6.2000 09/20/32 52,796
1,066,010 Structured Asset Mortgage Investments II Trust Series 2005-AR5 X2(a),(b) 0.6460 07/19/35 17,051
155,284 Structured Asset Mortgage Investments II Trust Series 2006-AR3 11A1(c) TSFR1M + 0.534% 5.3890 04/25/36 138,103
2,750,606 Structured Asset Mortgage Investments II Trust Series 2006-AR3 12A3(c) TSFR1M + 0.654% 5.5090 05/25/36 2,088,965
31,818,760 Structured Asset Mortgage Investments II Trust Series 2006-AR7 X(a) 0.9000 08/25/36 890,178
1,426 Structured Asset Mortgage Investments II Trust Series AR7 A10(c), (j) TSFR1M + 0.514% 5.3690 08/25/36 2,369
29,555,721 Structured Asset Mortgage Investments II Trust Series 2007-AR6 X2(a), (j) 0.5000 08/25/47 628,133
2,433,144 Structured Asset Mortgage Investments II Trust Series AR6 A2(c) 12MTA + 1.730% 6.8530 08/25/47 2,863,963
237,018 Structured Asset Securities Corp Assistance Loan Series 2003-AL1 B1(e) 3.3560 04/25/31 202,198
164,382 Structured Asset Securities Corp Mortgage Series 2003-9A B1II(b) 6.6980 03/25/33 153,166
431,733 Structured Asset Securities Corporation Series 2005-RF4 B1(b),(e) 4.3590 07/25/35 285,239
446,828 SunTrust Alternative Loan Trust 2006-1F Series 2006-1F 1A4 6.0000 04/25/36 166,663
21,472,257 WaMu Mortgage Pass-Through Certificates Series 2005-AR15 X(a),(b), (j) 0.0001 11/25/45 129,083
475,773 WaMu Mortgage Pass-Through Certificates Series 2006-AR4 2A1A(c) 12MTA + 1.048% 4.9400 05/25/46 410,880
346,541 Washington Mutual Mortgage Pass-Through Series 2006-5 1A2 6.0000 07/25/36 271,872
1,068,318 Washington Mutual Mortgage Pass-Through Series 2007-1 1A3(c) TSFR1M + 0.484% 5.3390 02/25/37 666,346
306,033 Washington Mutual Mortgage Pass-Through Series 2007-OA1 1A(c) 12MTA + 0.710% 5.8330 12/25/46 258,360
72,088,321
HOME EQUITY - 15.7%
176,034 ABFC 2004-OPT1 Trust Series 2004-OPT1 M6(c) TSFR1M + 5.364% 10.2190 12/25/32 175,785
192,716 ABFC 2004-OPT3 Trust Series 2004-OPT3 M1(c) TSFR1M + 0.864% 5.7190 09/25/33 192,587
481,733 ABFC 2004-OPT4 Trust Series 2004-OPT4 M3(c) TSFR1M + 2.289% 7.1440 08/25/33 464,234
114,000 Accredited Mortgage Loan Trust 2005-4 Series 2005-4 M3(c) TSFR1M + 0.574% 5.4290 12/25/35 89,859
338,700 ACE Securities Corp Home Equity Loan Trust Series 2003-FM1 M6(c) TSFR1M + 5.364% 10.2190 11/25/32 296,489
135,542 ACE Securities Corp Home Equity Loan Trust Series 2003-NC1 M4(c) TSFR1M + 5.364% 10.2190 07/25/33 116,730
21,606 ACE Securities Corp Home Equity Loan Trust Series 2004-OP1 M2(c) TSFR1M + 1.689% 6.5440 04/25/34 19,587
80,583 ACE Securities Corp Home Equity Loan Trust Series 2004-OP1 M4(c) TSFR1M + 3.114% 7.9690 04/25/34 69,113

See accompanying notes to financial statements.

7

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
HOME EQUITY - 15.7% (Continued)
245,351 ACE Securities Corp Home Equity Loan Trust Series 2004-OP1 M5(c) TSFR1M + 3.489% 8.3440 04/25/34 $ 205,759
372,476 Aegis Asset Backed Securities Trust Mortgage Series 2004-1 M3(c) TSFR1M + 2.444% 7.2990 04/25/34 194,821
126,396 Aegis Asset Backed Securities Trust Mortgage Series 2004-1 B1(c), (j) TSFR1M + 2.894% 7.7490 04/25/34 802
578,873 AFC Home Equity Loan Trust Series 1999-2 1A(c) TSFR1M + 0.924% 5.7790 06/25/29 458,376
6,850,000 Ameriquest Mortgage Securities Asset-Backed(c), (j), (l) US0001M + 3.045% 3.1290 05/25/33 381
199,253 Argent Securities Inc Asset-Backed Pass-Through Series 2003-W10 M3(c) TSFR1M + 2.889% 3.5390 01/25/34 179,554
278,324 Argent Securities Inc Asset-Backed Pass-Through Series 2006-M2 A2C(c) TSFR1M + 0.264% 5.1190 09/25/36 91,366
41,668 Asset Backed Securities Corp Home Equity Loan Series 2004-HE3 M6(c) TSFR1M + 4.239% 9.0940 06/25/34 54,663
312,177 Asset Backed Securities Corp Home Equity Loan Series 2004-HE9 M2(c) TSFR1M + 1.914% 6.7690 12/25/34 260,645
791,150 Asset Backed Securities Corp Home Equity Loan Series 2005-HE2 M5(c) TSFR1M + 1.989% 6.8440 02/25/35 810,760
2,430,000 Bayview Financial Mortgage Pass-Through Trust Series 2005-C B2(c) TSFR1M + 2.139% 6.3100 06/28/44 2,190,744
328,865 Bear Stearns Asset Backed Securities I Trust Series 2004-FR2 M6(c) TSFR1M + 2.964% 5.0930 06/25/34 314,798
112,763 Bear Stearns Asset Backed Securities I Trust Series 2004-HE6 M5(c) TSFR1M + 4.239% 5.3730 08/25/34 113,715
182,516 Bear Stearns Asset Backed Securities I Trust Series 2004-HE7 M6(c) TSFR1M + 5.739% 10.5940 08/25/34 176,530
912,695 Bear Stearns Asset Backed Securities I Trust Series 2004-FR3 M5(c) TSFR1M + 2.964% 5.6580 09/25/34 982,301
618,958 Bear Stearns Asset Backed Securities I Trust Series 2004-HE8 M4(c) TSFR1M + 2.739% 7.5940 09/25/34 703,846
376,533 Bear Stearns Asset Backed Securities I Trust Series 2004-HE9 M4(c) TSFR1M + 2.739% 5.6820 11/25/34 415,255
188,378 Bear Stearns Asset Backed Securities I Trust Series 2004-HE10 M5(c) TSFR1M + 2.814% 6.0170 12/25/34 212,231
140,549 Bear Stearns Asset Backed Securities Trust Series 1999-2 MF1(d) 8.2200 10/25/29 191,375
18,953 Bear Stearns Asset Backed Securities Trust Series 1999-2 AF2(d) 8.4100 10/25/29 19,081
86,246 Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M4(c) TSFR1M + 2.964% 5.7910 01/25/34 85,383
73,148 Bear Stearns Asset Backed Securities Trust Series 2003-HE1 M5(c) TSFR1M + 3.489% 5.7910 01/25/34 86,403
112,358 Bear Stearns Asset Backed Securities Trust Series 2004-HE1 M6(c) TSFR1M + 6.114% 5.9240 02/25/34 130,570
9,927 Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M4(c) TSFR1M + 2.739% 5.4710 03/25/34 10,447
514,705 Bear Stearns Asset Backed Securities Trust Series 2004-HE2 M6(c) TSFR1M + 4.989% 5.4710 03/25/34 498,746
60,711 Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M2(c) TSFR1M + 1.989% 6.8440 07/25/34 55,256
51,739 Bear Stearns Asset Backed Securities Trust Series 2004-HE5 M6(c) TSFR1M + 5.739% 10.5940 07/25/34 46,750
255,070 Centex Home Equity Loan Trust 2001-b Series 2001-B A5(d) 7.3300 07/25/32 190,824
48,684 Centex Home Equity Loan Trust 2003-A Series 2003-A M2(c) TSFR1M + 1.844% 6.6990 03/25/33 47,878
658,373 Centex Home Equity Loan Trust 2004-B Series 2004-B M5(c) TSFR1M + 1.689% 6.5440 03/25/34 629,026
24,936 Centex Home Equity Loan Trust 2004-D Series 2004-D MV2(c) TSFR1M + 1.149% 6.0040 09/25/34 24,263
113,913 Citigroup Global Markets Mortgage Securities VII, Series 2002-WMC1 M1(c) TSFR1M + 1.464% 6.3190 01/25/32 113,782
72,732 Citigroup Mortgage Loan Trust 2007-AMC2 Series 2007-AMC2 A3A(c) TSFR1M + 0.194% 5.0490 01/25/37 53,425
310,480 Citigroup Mortgage Loan Trust 2007-OPX1 Series 2007-OPX1 A4B(d) 6.3330 01/25/37 94,357

See accompanying notes to financial statements.

8

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
HOME EQUITY - 15.7% (Continued)
4,570,179 Citigroup Mortgage Loan Trust, Inc. Series 2005-HE4 M5(c) TSFR1M + 1.089% 5.9440 10/25/35 $ 2,414,822
78,867 Credit Suisse First Boston Mortgage Securities Series 2002-HE16 M2(c) TSFR1M + 2.114% 6.9690 10/25/32 81,446
114,483 Credit Suisse First Boston Mortgage Securities Series 2004-FRE1 B3(c) TSFR1M + 3.364% 4.0860 04/25/34 106,979
299,625 CWHEQ Revolving Home Equity Loan Trust Series Series 2005-B 2A(c),(e) TSFR1M + 0.294% 5.3910 05/15/35 299,387
111,275 Delta Funding Home Equity Loan Trust 1999-3 Series 1999-3 M1(d) 8.1000 01/15/30 76,293
652,022 EMC Mortgage Loan Trust 2002-A Series 2002-AA M2(c),(e) TSFR1M + 2.664% 7.5190 05/25/39 600,880
441,674 EquiFirst Mortgage Loan Trust 2004-3 Series 2004-3 M9(c) TSFR1M + 4.014% 8.8690 12/25/34 440,897
258,864 GE Capital Mortgage Funding Corp 1999-HE3 Trust Series 1999-HE3 M(b) 7.7750 10/25/29 265,453
40,861 GE Capital Mortgage Services Inc 1999-HE2 Trust Series 1999-HE2 B1(b) 7.9050 07/25/29 25,730
50,152 GSAA Home Equity Trust 2006-3 Series 2006-3 A1(c) TSFR1M + 0.274% 5.1290 03/25/36 17,387
135,035 Home Equity Asset Trust Series 2003-8 M3(c) TSFR1M + 2.464% 7.3190 04/25/34 133,414
296,287 Home Equity Asset Trust Series 2003-8 B1(c) TSFR1M + 2.614% 7.4690 04/25/34 289,179
132,318 Home Equity Asset Trust Series 2004-3 B1(c) TSFR1M + 2.714% 7.5690 08/25/34 584,778
173,726 Home Equity Asset Trust 2002-2 Series 2002-2 M2(c) TSFR1M + 1.964% 7.2420 06/25/32 163,547
215,407 Home Equity Asset Trust 2004-6 Series 2004-6 M5(c) TSFR1M + 1.764% 6.6190 12/25/34 216,427
458,739 Home Equity Mortgage Loan Asset-Backed Trust Series 2001-C M2(c) TSFR1M + 2.289% 7.1440 12/25/32 453,446
105,693 Home Equity Mortgage Loan Asset-Backed Trust Series 2003-A MF1(d) 4.7550 04/25/33 167,474
344,441 Home Equity Mortgage Loan Asset-Backed Trust Series 2004-C M5(c) TSFR1M + 1.689% 4.5200 03/25/35 287,351
293,558 Home Equity Mortgage Loan Asset-Backed Trust Series 2004-C M6(c) TSFR1M + 1.989% 4.5200 03/25/35 243,857
453,975 IMC Home Equity Loan Trust 1998-1 Series 1998-1 M1(d) 7.5300 06/20/29 453,442
186 IMC Home Equity Loan Trust 1998-5 Series 1998-5 A6(d) 6.5600 03/15/37 186
133,609 Mastr Asset Backed Securities Trust 2004-FRE1 Series 2004-FRE1 M6(c) TSFR1M + 2.214% 7.0690 07/25/34 117,444
24,381 Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M4(c) TSFR1M + 1.614% 6.4690 09/25/34 19,112
662,362 Mastr Asset Backed Securities Trust 2004-OPT2 Series 2004-OPT2 M8(c) TSFR1M + 2.964% 7.8190 09/25/34 462,713
16,601 Mastr Asset Backed Securities Trust 2005-NC1 Series 2005-NC1 M5(c) TSFR1M + 1.314% 6.1690 12/25/34 18,215
716,215 Merrill Lynch Mortgage Investors Trust Series 2004-HE2 B3(c) TSFR1M + 5.364% 10.2190 08/25/35 747,916
732,187 Morgan Stanley A.B.S Capital I Inc Trust 2003-NC10 Series 2003-NC10 B2(c) TSFR1M + 5.739% 10.5940 10/25/33 824,860
420,215 Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8 Series 2003-NC8 B1(c) TSFR1M + 5.514% 10.3690 09/25/33 416,089
568,546 Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8 Series 2003-NC8 B2(c) TSFR1M + 5.739% 10.5940 09/25/33 546,137
492,840 Morgan Stanley A.B.S Capital I Inc Trust 2005-HE2 Series 2005-HE2 M5(c) TSFR1M + 1.134% 5.9890 01/25/35 433,260
249,245 Morgan Stanley A.B.S Capital I Inc Trust 2007-HE3 Series 2007-HE3 A2A(c) TSFR1M + 0.174% 5.0290 12/25/36 126,255
1 New Century Home Equity Loan Trust 2004-1 Series 2004-1 M2(c), (j), (l) TSFR1M + 2.139% 6.9940 05/25/34 1
734,224 New Century Home Equity Loan Trust Series 2003-2 Series 2003-2 M2(c) TSFR1M + 3.114% 7.9690 01/25/33 554,509
174,454 New Century Home Equity Loan Trust Series 2003-3 Series 2003-3 M6(c) TSFR1M + 5.739% 10.5940 07/25/33 169,811

See accompanying notes to financial statements.

9

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
HOME EQUITY - 15.7% (Continued)
1,579,466 New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 B(d),(e) 4.8810 11/25/33 $ 1,369,280
29,202 New Century Home Equity Loan Trust Series 2003-5 Series 2003-5 M5(d) 4.8810 11/25/33 25,953
329,739 NovaStar Mortgage Funding Trust Series 2004-3 Series 2004-3 B1(c) TSFR1M + 2.889% 7.7440 12/25/34 271,856
220,481 Option One Mortgage Loan Trust 2004-1 Series 2004-1 M3(c) TSFR1M + 2.139% 6.9940 01/25/34 193,911
298,286 Option One Mortgage Loan Trust 2004-1 Series 2004-1 M4(c) TSFR1M + 2.589% 7.4440 01/25/34 261,323
495,107 Option One Mortgage Loan Trust 2004-2 Series 2004-2 M4(c) TSFR1M + 2.814% 7.6690 05/25/34 475,890
354,000 Provident Bank Home Equity Loan Trust 1998-4 Series 1998-4 A9(c) TSFR1M + 3.614% 8.4690 01/25/30 345,339
402,079 Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 A3(c) TSFR1M + 0.894% 5.3590 01/25/31 345,840
156,993 Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 A2(c) TSFR1M + 0.954% 5.3890 01/25/31 138,628
80,188 RASC Series 2003-KS4 Trust Series 2003-KS4 AIII(c) TSFR1M + 0.404% 5.2590 06/25/33 80,185
373,886 Renaissance Home Equity Loan Trust 2002-3 Series 2002-3 B(c) TSFR1M + 5.364% 10.2190 12/25/32 235,347
284,887 Renaissance Home Equity Loan Trust 2003-2 Series 2003-2 M2A(c) TSFR1M + 3.114% 3.8380 08/25/33 244,287
30,746 Securitized Asset Backed Receivables, LLC Trust Series 2004-NC1 B2(c) TSFR1M + 3.114% 7.9690 02/25/34 32,006
213,747 Soundview Home Loan Trust 2007-OPT2 Series 2007-OPT2 2A3(c) TSFR1M + 0.294% 5.1490 07/25/37 194,275
512,514 Specialty Underwriting & Residential Finance Trust Series 2004-BC1 B1(c) TSFR1M + 2.664% 7.5190 02/25/35 575,357
14,757,000 Structured Asset Securities Corp 2005-S1(c), (j) US0001M + 1.050% 0.0001 03/25/35 204,120
12,335 Structured Asset Securities Corp Mortgage Pass Series 2001-SB1 A5 3.3750 08/25/31 10,224
25,458 Structured Asset Securities Corp Pass-Through Series 2002-AL1 A2 3.4500 02/25/32 22,224
30,610 Terwin Mortgage Trust 2003-7SL Series 2003-7SL B3(b),(e) 8.0000 12/25/33 30,020
470,312 Terwin Mortgage Trust 2004-18SL Series 2004-18SL 1B4(b),(e) 8.0000 10/25/34 456,319
3,000,000 Terwin Mortgage Trust 2006-HF-1 Series 2006-HF1 M1(b),(e), (j) 0.0001 02/25/37 209,791
177,562 Terwin Mortgage Trust Series TMTS 2003-2HE Series 2003-2HE B(b) 6.0000 07/25/34 194,816
12,779 Terwin Mortgage Trust Series TMTS 2003-5SL Series 2003-5SL B3(b),(e) 8.0000 10/25/34 12,428
1,238,333 UCFC Home Equity Loan Trust 1998-D Series 1998-D MF2(b) 7.7500 04/15/30 1,219,495
39,090 Wells Fargo Home Equity Asset-Backed Securities Series 2004-2 M6(c) TSFR1M + 2.934% 7.7890 10/25/34 42,408
24,150 Wells Fargo Home Equity Asset-Backed Securities Series 2005-1 M10(c) TSFR1M + 3.864% 8.7190 04/25/35 26,772
179,309 Yale Mortgage Loan Trust 2007-1 Series 2007-1 A(c),(e) TSFR1M + 0.514% 5.3690 06/25/37 57,019
30,102,307
MANUFACTURED HOUSING - 0.0%(g)
89,098 Conseco Finance Corporation Series 1997-2 M1(b) 7.5400 06/15/28 89,566
2,956 MERIT Securities Corporation Series 1-Dec 1M2(d) 8.3500 07/28/33 2,797
92,363
NON AGENCY CMBS - 20.3%
18,729,314 BANK 2017-BNK6 Series 2017-BNK6 XG(a),(b),(e) 1.5000 07/15/60 612,883

See accompanying notes to financial statements.

10

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
NON AGENCY CMBS - 20.3% (Continued)
340,702 Bayview Commercial Asset Trust 2005-2 Series 2005-2A M4(c),(e) TSFR1M + 1.029% 5.8840 08/25/35 $ 328,990
418,394 Bayview Commercial Asset Trust 2005-3 Series 2005-3A M1(c),(e) TSFR1M + 0.774% 5.6290 11/25/35 409,455
592,409 Bayview Commercial Asset Trust 2005-3 Series 2005-3A B1(c),(e) TSFR1M + 1.764% 6.6190 11/25/35 595,509
218,509 Bayview Commercial Asset Trust 2005-4 Series 2005-4A M3(c),(e) TSFR1M + 0.864% 5.7190 01/25/36 206,638
8,209 Bayview Commercial Asset Trust 2006-1 Series 2006-1A M4(c),(e) TSFR1M + 0.894% 5.7490 04/25/36 7,441
7,967 Bayview Commercial Asset Trust 2006-1 Series 2006-1A M5(c),(e) TSFR1M + 0.954% 5.8090 04/25/36 7,216
653,703 Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M1(c),(e) TSFR1M + 0.609% 5.4640 01/25/37 620,869
1,011,573 Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M4(c),(e) TSFR1M + 0.819% 5.6740 01/25/37 996,859
317,659 Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M5(c),(e) TSFR1M + 0.849% 5.7040 01/25/37 323,264
341,254 Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 M6(c),(e) TSFR1M + 0.954% 5.8090 01/25/37 351,801
927,603 Bayview Commercial Asset Trust 2006-SP2 Series 2006-SP2 B1(c),(e) TSFR1M + 1.914% 6.7690 01/25/37 1,619,113
502,928 CBA Commercial Small Balance Commercial Mortgage Series 2006-2A A(d),(e) 6.0400 01/25/39 482,529
3,500,000 Citigroup Commercial Mortgage Trust 2014-GC21 Series 2014-GC21 E(b),(e) 3.5880 05/10/47 2,663,344
3,150,000 Citigroup Commercial Mortgage Trust 2015-GC35 Series 2015-GC35 D 3.2360 11/10/48 1,795,692
1,300,000 COMM 2014-LC17 Mortgage Trust Series 2014-LC17 E(e) 3.1140 10/10/47 1,080,243
994,050 GS Mortgage Securities Trust 2007-GG10 Series 2007-GG10 AJ(b) 5.8180 08/10/45 124,634
3,500,000 GS Mortgage Securities Trust 2014-GC22 Series 2014-GC22 D(b),(e) 4.7260 06/10/47 1,228,263
850,000 HMH Trust 2017-NSS Series 2017-NSS A(e) 3.0620 07/05/31 640,254
8,113,000 HMH Trust 2017-NSS Series 2017-NSS E(e), (j) 6.2920 07/05/31 2,845,489
4,000,000 HMH Trust 2017-NSS Series 2017-NSS F(e), (j) 8.4800 07/05/31 563,806
64,000 JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC C(c),(e) TSFR1M + 2.597% 7.6940 04/15/31 35,726
27,000 JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC D(c),(e) TSFR1M + 3.417% 8.5140 04/15/31 13,751
1,821,000 JP Morgan Chase Commercial Mortgage Securities Series 2013-LC11 D(b) 4.5180 04/15/46 933,609
1,000,000 JPMBB Commercial Mortgage Securities Trust Series 2015-C28 E(b),(e) 3.7500 10/15/48 829,946
3,302,000 JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1 E(b),(e) 4.8580 03/15/49 2,358,813
2,500,000 JPMDB Commercial Mortgage Securities Trust 2016-C2 Series 2016-C2 D(b),(e) 3.4760 06/15/49 1,440,957
100,000 Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10 C(b) 4.1150 07/15/46 83,726
1,666,666 Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 E(e) 2.8770 05/15/49 1,268,769
3,976,000 Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 E(b),(e) 3.0000 09/15/49 2,210,374
4,727,952 Starwood Retail Property Trust Series 2014-STAR A(c),(e) PRIME 8.5000 11/15/27 3,311,125
1,035,000 Wells Fargo Commercial Mortgage Trust Series 2013-LC12 C(b) 4.0820 07/15/46 858,467
4,892,000 Wells Fargo Commercial Mortgage Trust 2013-LC12 Series 2013-LC12 D(b),(e) 4.0820 07/15/46 2,167,332
1,666,666 Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 E(e) 2.8690 02/15/48 721,931
1,631,000 Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27 D(e) 3.7680 02/15/48 805,020

See accompanying notes to financial statements.

11

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
NON AGENCY CMBS - 20.3% (Continued)
15,153,000 Wells Fargo Commercial Mortgage Trust 2016-C34 Series 2016-C34 XFG(a),(b),(e) 2.2240 06/15/49 $ 398,635
2,500,000 Wells Fargo Commercial Mortgage Trust 2016-C36 Series 2016-C36 D(e) 2.9420 11/15/59 1,824,814
1,600,000 WFRBS Commercial Mortgage Trust Series 2013-C14 D(b),(e) 3.9640 06/15/46 913,223
3,000,000 WFRBS Commercial Mortgage Trust 2013-C14 Series 2013-C14 E(e) 3.2500 06/15/46 1,417,957
39,098,467
OTHER ABS - 1.6%
1,186,842 Bayview Commercial Asset Trust 2007-4 Series 2007-4A A2(c),(e) TSFR1M + 0.939% 5.7940 09/25/37 1,704,016
272,042 BCMSC Trust 2001-A Series 2001-A M2(b) 8.2650 12/15/30 181,475
986,502 Conseco Finance Securitizations Corporation Series 2001-2 M1(b) 7.6900 03/01/31 1,017,558
136,207 Origen Manufactured Housing Contract Trust 2001-A Series 2001-A M1(b) 7.8200 03/15/32 136,595
3,039,644
RESIDENTIAL MORTGAGE - 24.8%
1,808,283 Ameriquest Mortgage Securities Inc Asset Backed Series 2005-R11 M6(c) TSFR1M + 1.269% 6.1240 01/25/36 1,832,246
164,593 Amortizing Residential Collateral Trust Series 2001-BC5 M1(c) TSFR1M + 0.939% 5.7940 08/25/31 172,702
265,367 Amortizing Residential Collateral Trust 2001-BC6 Series 2001-BC6 M2(c) TSFR1M + 2.139% 6.9940 10/25/31 209,320
108,722 Amortizing Residential Collateral Trust 2002-BC5 Series 2002-BC5 M2(c) TSFR1M + 1.914% 6.7690 07/25/32 111,134
21,758 Bear Stearns Asset Backed Securities Trust Series 2004-SD1 M3(d) 6.0000 12/25/42 - (h)
66,607 Bear Stearns Asset Backed Securities Trust Series 2007-SD2 1A2A 6.0000 09/25/46 65,471
5,412,251 Carrington Mortgage Loan Trust Series 2005-FRE1 Series 2005-FRE1 M4(c) TSFR1M + 1.044% 5.8990 12/25/35 2,987,488
783,596 C-BASS 2007-CB1 TRUST Series 2007-CB1 AF2(d) 5.7210 01/25/37 227,616
109,380 Chase Funding Trust Series 2003-3 Series 2003-3 1M2 4.8850 05/25/32 91,298
1,431,854 Citicorp Residential Mortgage Trust Series 2006-2 Series 2006-2 M3(d) 5.9960 09/25/36 1,555,042
143,937 Citigroup Global Markets Mortgage Securities VII, Series 1997-LB6 B2 7.0000 12/25/27 39,579
213,114 Citigroup Mortgage Loan Trust 2007-AHL3 Series 2007-AHL3 A1(c),(e) TSFR1M + 0.284% 5.1390 05/25/37 186,290
1,357,020 Citigroup Mortgage Loan Trust, Inc. Series 2005-WF2 MV6(c) TSFR1M + 1.989% 6.8440 08/25/35 1,466,128
2,882,415 Countrywide Asset-Backed Certificates Series 2006-BC1 M4(c) TSFR1M + 1.089% 5.9440 04/25/36 2,231,899
1,871,942 Countrywide Asset-Backed Certificates Series 2006-1 MV2(c) TSFR1M + 0.729% 4.4510 07/25/36 1,669,387
91,865 Countrywide Asset-Backed Certificates Series 2006-23 1A(c) TSFR1M + 0.394% 5.2490 05/25/37 86,999
221,458 Countrywide Asset-Backed Certificates Series 2006-21 M1(c) TSFR1M + 0.459% 5.3140 05/25/37 165,436
293,142 Credit-Based Asset Servicing and Securitization, Series 2002-CB5 M2(c) TSFR1M + 3.114% 4.1670 05/25/32 290,019
247,675 Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B4(c),(e) TSFR1M + 3.864% 3.3900 03/25/34 291,006
108,178 Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B2(c) TSFR1M + 3.114% 3.3900 03/25/34 120,976
145,075 Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B3(c) TSFR1M + 4.989% 3.3900 03/25/34 244,369
56,518 Credit-Based Asset Servicing and Securitization, Series 2004-CB6 B1(c) TSFR1M + 2.814% 5.0370 07/25/35 49,976

See accompanying notes to financial statements.

12

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
RESIDENTIAL MORTGAGE - 24.8% (Continued)
11,919 Credit-Based Asset Servicing and Securitization, Series 2004-CB8 M1(c) TSFR1M + 0.909% 3.6200 12/25/35 $ 11,764
445,000 Credit-Based Asset Servicing and Securitization, Series 2007-CB4 A2C(d) 6.1140 04/25/37 292,426
132,574 CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1 MF4(b) 5.6540 07/25/35 112,314
7,035 CWABS Inc Asset-Backed Certificates Trust 2004-5 Series 2004-5 M1(c) TSFR1M + 0.969% 5.8240 08/25/34 7,041
2,741,449 Equifirst Loan Securitization Trust 2007-1 Series 2007-1 M1(c) TSFR1M + 0.394% 5.2490 04/25/37 2,429,816
457,005 Equity One Mortgage Pass-Through Trust 2004-3 Series 2004-3 M3(d) 3.8190 07/25/34 382,834
370,279 Finance America Mortgage Loan Trust 2004-1 Series 2004-1 M6(c) TSFR1M + 2.289% 7.1440 06/25/34 331,176
640,958 First Franklin Mortgage Loan Trust 2002-FF4 Series 2002-FF4 M1(c) TSFR1M + 1.689% 6.5440 02/25/33 532,939
281,233 First Franklin Mortgage Loan Trust 2003-FF4 Series 2003-FF4 M2(c) TSFR1M + 2.589% 7.4440 10/25/33 256,217
886,643 First Franklin Mortgage Loan Trust 2003-FFH1 Series 2003-FFH1 M2(c) TSFR1M + 2.739% 7.5940 09/25/33 877,574
315,343 First Franklin Mortgage Loan Trust 2004-FF5 Series 2004-FF5 M6(c) TSFR1M + 2.514% 7.3690 08/25/34 293,986
2,042,385 First Franklin Mortgage Loan Trust 2006-FF11 Series 2006-FF11 M1(c) TSFR1M + 0.489% 5.3440 08/25/36 1,787,123
54,487 Fremont Home Loan Trust 2004-B Series 2004-B M6(c) TSFR1M + 2.439% 7.2940 05/25/34 46,684
325 Fremont Home Loan Trust 2004-C Series 2004-C M3(c) TSFR1M + 1.839% 6.6940 08/25/34 278
166,297 GSAMP Trust 2004-OPT Series 2004-OPT B2(c) TSFR1M + 2.664% 3.5770 11/25/34 122,057
89,597 GSAMP Trust 2004-WF Series 2004-WF B1(c) TSFR1M + 2.589% 7.4440 10/25/34 96,287
5,791,978 Home Equity Loan Trust Series 2007-FRE1 M1(c) (i) TSFR1M + 0.614% 5.4690 04/25/37 5,373,723
137,000 Home Equity Mortgage Loan Asset-Backed Trust Series 2005-D M1(c) TSFR1M + 0.774% 5.6290 03/25/36 128,411
138,410 Lehman XS Trust 2007-1 Series 2007-1 1A4(c) TSFR1M + 0.574% 5.4290 02/25/37 110,037
778,823 Lehman XS Trust 2007-6 Series 2007-6 2A1(c) TSFR1M + 0.534% 5.3890 05/25/37 598,629
332,556 Mastr Specialized Loan Trust Series 2005-2 B(d),(e) 6.2500 07/25/35 330,971
4,479 Merrill Lynch Mortgage Investors Trust Series 2005-WMC1 M2(c) TSFR1M + 0.909% 5.7640 09/25/35 4,311
12,209 Morgan Stanley A.B.S Capital I Inc Trust 2004-NC7 Series 2004-NC7 M4(c) TSFR1M + 1.839% 6.6940 07/25/34 13,077
150,908 Morgan Stanley A.B.S Capital I Inc Trust 2005-WMC4 Series 2005-WMC4 M6(c) TSFR1M + 1.164% 6.0190 04/25/35 145,146
1,136,432 Newcastle Mortgage Securities Trust 2007-1 Series 2007-1 M2(c) TSFR1M + 0.764% 5.6190 04/25/37 1,779,562
932,160 Ownit Mortgage Loan Trust Series 2004-1 Series 2004-1 B2(c) TSFR1M + 2.889% 7.7440 07/25/35 1,031,198
3,364,056 Park Place Securities Inc Asset-Backed Series 2005-WCW1 M5(c) TSFR1M + 1.104% 5.9590 09/25/35 2,844,429
1,325,384 People’s Choice Home Loan Securities Trust Series 2004-2 M5(c) TSFR1M + 2.814% 7.6690 10/25/34 841,554
971,793 Quest Trust Series 2004-X2 M3(c),(e) TSFR1M + 3.339% 8.1940 06/25/34 912,977
377,319 RAAC Series 2005-SP2 Trust Series 2005-SP2 2A(c) TSFR1M + 0.714% 5.5690 06/25/44 323,093
196,312 RAAC Series 2006-SP1 Trust Series 2006-SP1 M2(c) TSFR1M + 0.939% 5.7940 09/25/45 140,941
378,658 RAAC Series 2007-RP4 Trust Series 2007-RP4 A(c),(e) TSFR1M + 0.464% 5.6690 11/25/46 367,411
358,780 RAMP Series 2003-RS7 Trust Series 2003-RS7 MII3(c) TSFR1M + 3.714% 4.7630 08/25/33 291,388
405,876 RAMP Series 2003-RS9 Trust Series 2003-RS9 MII2(c) TSFR1M + 1.914% 4.9090 10/25/33 399,033

See accompanying notes to financial statements.

13

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Principal Coupon
Amount ($) Spread Rate (%) Maturity Fair Value
NON-AGENCY ASSET BACKED SECURITIES - 100.1% (Continued)
RESIDENTIAL MORTGAGE - 24.8% (Continued)
158,971 RAMP Series 2005-RS8 Trust Series 2005-RS8 M2(c) TSFR1M + 0.614% 5.7190 09/25/35 $ 158,223
2,531,844 RAMP Series 2006-RZ2 Trust Series 2006-RZ2 M2(c) TSFR1M + 0.454% 5.4790 05/25/36 2,803,266
187,057 RAMP Series 2007-RS2 Trust Series 2007-RS2 A3(c) TSFR1M + 0.854% 5.7090 05/25/37 170,170
75,862 SACO I Trust 2006-3 Series 2006-3 A1(c) TSFR1M + 0.474% 5.3290 04/25/36 181,397
52,691 Saxon Asset Securities Trust 2004-2 Series 2004-2 MV3(c) TSFR1M + 2.019% 4.0990 08/25/35 53,161
948,250 Saxon Asset Securities Trust 2005-1 Series 2005-1 B3(c) TSFR1M + 3.639% 1.7940 05/25/35 64,360
4,500,000 Saxon Asset Securities Trust 2007-4 Series 2007-4 M1(c),(e) TSFR1M + 3.114% 7.9690 12/25/37 2,843,988
142,039 Securitized Asset Backed Receivables, LLC Trust Series 2004-NC3 M2(c) TSFR1M + 1.794% 6.6490 09/25/34 140,291
93,181 SG Mortgage Securities Trust 2006-OPT2 Series 2006-OPT2 A3C(c) TSFR1M + 0.264% 5.1190 10/25/36 86,677
28,188 Soundview Home Loan Trust 2004-WMC1 Series 2004-WMC1 M4(c) TSFR1M + 1.314% 6.1690 01/25/35 22,758
166,394 Specialty Underwriting & Residential Finance Trust Series 2003-BC2 B1(c) TSFR1M + 4.614% 9.4690 06/25/34 176,835
41,300 Structured Asset Investment Loan Trust 2003-BC2 Series 2003-BC2 A2(c) TSFR1M + 0.834% 5.6890 04/25/33 42,670
145,759 Structured Asset Investment Loan Trust 2003-BC4 Series 2003-BC4 M4(c) TSFR1M + 4.989% 9.8440 06/25/33 179,926
68,262 Structured Asset Investment Loan Trust 2003-BC8 Series 2003-BC8 M2(c) TSFR1M + 2.739% 7.5940 08/25/33 63,256
508,601 Structured Asset Investment Loan Trust 2004-5 Series 2004-5 M7(c) TSFR1M + 3.114% 7.9690 05/25/34 449,574
71,562 Structured Asset Investment Loan Trust 2004-9 Series 2004-9 M6(c) TSFR1M + 2.889% 7.7440 10/25/34 78,020
512,216 Structured Asset Investment Loan Trust 2004-BNC2 Series 2004-BNC2 M1(c) TSFR1M + 1.389% 6.2440 12/25/34 493,015
2,147,949 Structured Asset Investment Loan Trust 2005-9 Series 2005-9 M2(c) (i) TSFR1M + 0.789% 5.6440 11/25/35 1,941,419
230,308 Structured Asset Securities Corp Mortgage Series 2003-36XS M1(d) 5.2150 11/25/33 206,194
250,621 Structured Asset Securities Corp Mortgage Series 2004-6XS M1(d) 5.6700 03/25/34 243,193
33,588 Wilshire Mortgage Loan Trust Series 1997-2 A7(b) 6.8350 03/25/28 33,429
20,706 Wilshire Mortgage Loan Trust Series 1997-2 M2(b) 7.4250 05/25/28 20,615
47,763,225
WHOLE BUSINESS - 0.2%
351,160 Business Loan Express Business Loan Trust 2007-A Series 2007-AA B(c),(e) TSFR1M + 1.214% 6.1750 10/20/40 295,824
TOTAL NON-AGENCY ASSET BACKED SECURITIES (Cost $205,842,024) 192,480,151

See accompanying notes to financial statements.

14

DEER PARK TOTAL RETURN CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2024
Shares Fair Value
SHORT-TERM INVESTMENT - 0.4%
MONEY MARKET FUND - 0.4%
801,094 First American Government Obligations Fund - Class X, 4.82% (Cost $801,094)(k) $ 801,094
TOTAL INVESTMENTS - 102.5% (Cost $222,103,947) $ 197,153,386
REVERSE REPURCHASE AGREEMENTS - (2.3)% (4,442,000 )
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% (356,481 )
NET ASSETS - 100.0% $ 192,354,905
ABS - Asset Backed Securities
CMBS - Commercial Mortgage Backed Securities
LLC - Limited Liability Company
LTD - Limited Company
REMIC - Real Estate Mortgage Investment Conduit
12MTA - 12-Month Treasury Average
H15T1Y - US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
PRIME - Prime Rate by Country United States
SOFR30A - United States Secured Overnight Financing Rate (SOFR) Over A Rolling 30-Day Period
TSFR1M - Term Secured Overnight Financing Rate (SOFR) 1 month
TSFR6M - Term Secured Overnight Financing Rate (SOFR) 6 month
US0001M - Intercontinental Exchange London Interbank Offered Rate (ICE LIBOR) USD 1 Month
(a) Interest only securities.
(b) Variable rate security; the rate shown represents the rate on September 30, 2024.
(c) 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.
(d) Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at September 30, 2024.
(e) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2024 the total market value of 144A securities is $52,100,871 or 27.1% of net assets.
(f) Zero coupon bond.
(g) Percentage rounds to less than 0.1%.
(h) Amount represents less than $1.
(i) All or a portion of the security is pledged as collateral for open reverse repurchase agreements. See Note 5.
(j) Illiquid security. Total illiquid securities represent 3.2% of net assets as of September 30, 2024.
(k) Rate disclosed is the seven day effective yield as of September 30, 2024.
(l) The fair value of this investment is determined using significant unobservable inputs.

See accompanying notes to financial statements.

15

Deer Park Total Return Credit Fund
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2024
ASSETS
Investments (cost $222,103,947), at fair value $ 197,153,386
Collateral held at broker 17,068
Receivable for securities sold 1,634,832
Interest & dividend receivable 742,130
Receivable for fund shares sold 56,602
Prepaid expenses and other assets 19,390
TOTAL ASSETS 199,623,408
LIABILITIES
Payable for reverse repurchase agreements 4,442,000
Due to custodian 1,634,832
Payable for fund shares redeemed 783,291
Investment advisory fees payable 199,585
Payable to related parties 64,871
Interest payable for reverse repurchase agreements 10,535
Distribution (12b-1) fees payable 8,876
Accrued expenses and other liabilities 124,513
TOTAL LIABILITIES 7,268,503
NET ASSETS $ 192,354,905
Net Assets Consist Of:
Paid in capital $ 316,153,099
Accumulated deficit (123,798,194 )
NET ASSETS $ 192,354,905
Net Asset Value Per Share:
Class A Shares:
Net Assets $ 32,544,501
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) 3,878,447
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share $ 8.39
Maximum offering price per share (maximum sales charge of 5.75%) (a) $ 8.90
Class C Shares:
Net Assets $ 2,523,283
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) 301,845
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share $ 8.36
Class I Shares:
Net Assets $ 157,287,121
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) 18,718,745
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share $ 8.40
(a) On investments of $1 million or more, the maximum sales charge will not apply.

See accompanying notes to financial statements.

16

Deer Park Total Return Credit Fund
STATEMENT OF OPERATIONS
For the Year Ended September 30, 2024
INVESTMENT INCOME
Interest income $ 17,655,907
TOTAL INVESTMENT INCOME 17,655,907
EXPENSES
Investment advisory fees 5,339,093
Distribution (12b-1) Fees:
Class A 159,992
Class C 29,532
Interest expense for reverse repurchase agreements 1,280,634
Administrative services fees 443,650
Professional fees 244,191
Third party administrative servicing fees 210,301
Line of credit interest expense 205,135
Registration fees 97,443
Transfer agent fees 90,265
Accounting services fees 82,326
Printing and postage expenses 55,574
Custodian fees 47,663
Compliance officer fees 32,519
Trustees fees and expenses 21,760
Insurance expense 7,540
Other expenses 73,874
TOTAL EXPENSES 8,421,492
Less: Fees waived by the Adviser (1,605,473 )
NET EXPENSES 6,816,019
NET INVESTMENT INCOME 10,839,888
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized loss from security transactions (16,541,468 )
Net change in unrealized appreciation on investments 23,299,111
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 6,757,643
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 17,597,531

See accompanying notes to financial statements.

17

Deer Park Total Return Credit Fund
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended Year Ended
September 30, 2024 September 30, 2023
FROM OPERATIONS
Net investment income $ 10,839,888 $ 20,605,902
Net realized loss from security transactions (16,541,468 ) (4,657,074 )
Net change in unrealized appreciation (depreciation) of investments 23,299,111 (30,128,322 )
Net increase (decrease) in net assets resulting from operations 17,597,531 (14,179,494 )
DISTRIBUTIONS TO SHAREHOLDERS
From return of capital:
Class A (1,184,232 ) (1,480,543 )
Class C (66,432 ) (47,000 )
Class I (5,571,472 ) (5,217,925 )
Total distributions paid:
Class A (3,011,075 ) (5,234,371 )
Class C (109,248 ) (185,572 )
Class I (10,470,316 ) (18,343,608 )
Net decrease in net assets resulting from distributions to shareholders (20,412,775 ) (30,509,019 )
FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A 7,367,980 16,454,845
Class C 385,630 187,350
Class I 50,397,644 90,180,521
Net asset value of shares issued in reinvestment of distributions:
Class A 4,168,524 6,672,637
Class C 143,418 196,353
Class I 14,841,915 21,603,813
Payments for shares redeemed:
Class A (67,981,779 ) (46,576,403 )
Class C (1,159,834 ) (1,909,048 )
Class I (205,346,753 ) (241,334,126 )
Net decrease in net assets resulting from shares of beneficial interest (197,183,255 ) (154,524,058 )
TOTAL DECREASE IN NET ASSETS (199,998,499 ) (199,212,571 )
NET ASSETS
Beginning of Year 392,353,404 591,565,975
End of Year $ 192,354,905 $ 392,353,404

See accompanying notes to financial statements.

18

Deer Park Total Return Credit Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
Year Ended Year Ended
September 30, 2024 September 30, 2023
SHARE ACTIVITY
Class A:
Shares sold 863,954 1,817,727
Shares reinvested 487,856 754,681
Shares redeemed (7,983,351 ) (5,219,744 )
Net decrease in shares of beneficial interest outstanding (6,631,541 ) (2,647,336 )
Class C:
Shares sold 45,069 21,078
Shares reinvested 16,878 22,251
Shares redeemed (136,025 ) (216,750 )
Net decrease in shares of beneficial interest outstanding (74,078 ) (173,421 )
Class I:
Shares sold 5,869,939 10,051,593
Shares reinvested 1,736,740 2,439,589
Shares redeemed (23,947,297 ) (26,939,475 )
Net decrease in shares of beneficial interest outstanding (16,340,618 ) (14,448,293 )

See accompanying notes to financial statements.

19

Deer Park Total Return Credit Fund
FINANCIAL HIGHLIGHTS

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

Year Ended Year Ended Year Ended Year Ended Year Ended
Class A September 30, 2024 September 30, 2023 September 30, 2022 September 30, 2021 September 30, 2020
Net asset value, beginning of year $ 8.53 $ 9.35 $ 10.75 $ 10.37 $ 10.98
Activity from investment operations:
Net investment income (1) 0.29 0.37 0.33 0.29 0.22
Net realized and unrealized gain (loss) on investments 0.15 (0.62 ) (1.22 ) 0.60 (0.31 )
Total from investment operations 0.44 (0.25 ) (0.89 ) 0.89 (0.09 )
Less distributions from:
Net investment income (0.35 ) (0.43 ) (0.34 ) (0.39 ) (0.51 )
Return of capital (0.23 ) (0.14 ) (0.17 ) (0.12 ) (0.01 )
Total distributions (0.58 ) (0.57 ) (0.51 ) (0.51 ) (0.52 )
Net asset value, end of year $ 8.39 $ 8.53 $ 9.35 $ 10.75 $ 10.37
Total return (2) 5.24 % (2.73 )% (8.51 )% 8.82 % (0.50 )%
Net assets, at end of year (000s) $ 32,545 $ 89,664 $ 123,018 $ 115,606 $ 112,937
Ratio of gross expenses to average net assets (3) 2.96 % (8) 2.64 % (7) 2.43 % (6) 2.39 % (5) 2.40 % (4)
Ratio of net expenses to average net assets 2.43 % (8) 2.26 % (7) 2.11 % (6) 2.15 % (5) 2.20 % (4)
Ratio of net investment income to average net assets 3.36 % 4.17 % 3.26 % 2.72 % 2.15 %
Portfolio Turnover Rate 2 % 1 % 17 % 17 % 11 %
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year.
(2) 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.
(3) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(4) Includes 0.03% for the year ended September 30, 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.
(5) Includes 0.01% for the year ended September 30, 2021 attributed to broker margin interest expense, which is not subject to waiver by the Adviser.
(6) Includes 0.03% for the year ended September 30, 2022 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.
(7) Includes 0.26% for the year ended September 30, 2023 attributed to interest on reverse repurchase agreements, line of credit expense and extraordinary expenses which are not subject to waiver by the Adviser.
(8) Includes 0.54% for the year ended September 30, 2024 attributed to interest on reverse repurchase agreements, line of credit expense and extraordinary expenses which are not subject to waiver by the Adviser.

See accompanying notes to financial statements.

20

Deer Park Total Return Credit Fund
FINANCIAL HIGHLIGHTS

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

Year Ended Year Ended Year Ended Year Ended Year Ended
Class C September 30, 2024 September 30, 2023 September 30, 2022 September 30, 2021 September 30, 2020
Net asset value, beginning of year $ 8.50 $ 9.32 $ 10.71 $ 10.34 $ 10.94
Activity from investment operations:
Net investment income (1) 0.22 0.30 0.22 0.21 0.15
Net realized and unrealized gain (loss) on investments 0.15 (0.62 ) (1.17 ) 0.59 (0.30 )
Total from investment operations 0.37 (0.32 ) (0.95 ) 0.80 (0.15 )
Less distributions from:
Net investment income (0.30 ) (0.38 ) (0.29 ) (0.33 ) (0.44 )
Return of capital (0.21 ) (0.12 ) (0.15 ) (0.10 ) (0.01 )
Total distributions (0.51 ) (0.50 ) (0.44 ) (0.43 ) (0.45 )
Net asset value, end of year $ 8.36 $ 8.50 $ 9.32 $ 10.71 $ 10.34
Total return (2) 4.47 % (3.47 )% (9.14 )% 7.92 % (1.15 )%
Net assets, at end of year (000s) $ 2,523 $ 3,196 $ 5,119 $ 8,234 $ 10,637
Ratio of gross expenses to average net assets (3) 3.71 % (8) 3.39 % (7) 3.18 % (6) 3.14 % (5) 3.15 % (4)
Ratio of net expenses to average net assets 3.18 % (8) 3.01 % (7) 2.87 % (6) 2.90 % (5) 2.95 % (4)
Ratio of net investment income to average net assets 2.62 % 3.37 % 2.16 % 1.97 % 1.39 %
Portfolio Turnover Rate 2 % 1 % 17 % 17 % 11 %
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year.
(2) 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.
(3) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(4) Includes 0.03% for the year ended September 30, 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.
(5) Includes 0.01% for the year ended September 30, 2021 attributed to broker margin interest expense, which is not subject to waiver by the Adviser.
(6) Includes 0.03% for the year ended September 30, 2022 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.
(7) Includes 0.26% for the year ended September 30, 2023 attributed to interest on reverse repurchase agreements, line of credit expense and extraordinary expenses which are not subject to waiver by the Adviser.
(8) Includes 0.54% for the year ended September 30, 2024 attributed to interest on reverse repurchase agreements, line of credit expense and extraordinary expenses which are not subject to waiver by the Adviser.

See accompanying notes to financial statements.

21

Deer Park Total Return Credit Fund
FINANCIAL HIGHLIGHTS

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

Year Ended Year Ended Year Ended Year Ended Year Ended
Class I September 30, 2024 September 30, 2023 September 30, 2022 September 30, 2021 September 30, 2020
Net asset value, beginning of year $ 8.54 $ 9.36 $ 10.76 $ 10.38 $ 10.99
Activity from investment operations:
Net investment income (1) 0.31 0.39 0.32 0.31 0.25
Net realized and unrealized gain (loss) on investments 0.15 (0.62 ) (1.18 ) 0.61 (0.31 )
Total from investment operations 0.46 (0.23 ) (0.86 ) 0.92 (0.06 )
Less distributions from:
Net investment income (0.36 ) (0.45 ) (0.36 ) (0.42 ) (0.54 )
Return of capital (0.24 ) (0.14 ) (0.18 ) (0.12 ) (0.01 )
Total distributions (0.60 ) (0.59 ) (0.54 ) (0.54 ) (0.55 )
Net asset value, end of year $ 8.40 $ 8.54 $ 9.36 $ 10.76 $ 10.38
Total return (2) 5.50 % (9) (2.48 )% (9) (8.27 )% 9.09 % (0.24 )%
Net assets, at end of year (000s) $ 157,287 $ 299,494 $ 463,430 $ 701,732 $ 583,566
Ratio of gross expenses to average net assets (3) 2.71 % (8) 2.39 % (7) 2.18 % (6) 2.14 % (5) 2.15 % (4)
Ratio of net expenses to average net assets 2.18 % (8) 2.01 % (7) 1.87 % (6) 1.90 % (5) 1.95 % (4)
Ratio of net investment income to average net assets 3.65 % 4.41 % 3.05 % 2.97 % 2.43 %
Portfolio Turnover Rate 2 % 1 % 17 % 17 % 11 %
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year.
(2) 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.
(3) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(4) Includes 0.03% for the year ended September 30, 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.
(5) Includes 0.01% for the year ended September 30, 2021 attributed to broker margin interest expense, which is not subject to waiver by the Adviser.
(6) Includes 0.03% for the year ended September 30, 2022 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.
(7) Includes 0.26% for the year ended September 30, 2023 attributed to interest on reverse repurchase agreements, line of credit expense and extraordinary expenses which are not subject to waiver by the Adviser.
(8) Includes 0.54% for the year ended September 30, 2024 attributed to interest on reverse repurchase agreements, line of credit expense and extraordinary expenses which are not subject to waiver by the Adviser.
(9) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

See accompanying notes to financial statements.

22

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS

September 30, 2024

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 (“NAV”). Class A shares are offered at NAV 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

23

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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 NAV.

The Fund may hold investments, 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 the Adviser as its valuation designee (the “Valuation Designee”) . The Board 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 the Valuation Designee in determining a security-specific fair value. The Board is responsible for reviewing and approving fair value methodologies utilized by the Valuation Designee, which approval shall be based upon whether the Valuation Designee followed the valuation procedures established by the Board.

Fair Valuation Process - The applicable investments are valued by the Valuation Designee pursuant to valuation procedures established by the Board. For example, 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 Valuation Designee, the prices or values available do not represent the fair value of the instrument; factors which may cause the Valuation Designee 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; and (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 NAV. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid investments, such as private investments or non-traded securities are valued 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 a current bid from such independent dealers or other independent parties is unavailable, the Valuation Designee 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 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.

24

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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.

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 September 30, 2024 for the Fund’s assets and liabilities measured at fair value:

Assets* Level 1 Level 2 Level 3 Total
Agency Asset Backed Securities $ - $ 3,872,141 $ - $ 3,872,141
Non-Agency Asset Backed Securities - 192,479,769 382 192,480,151
Short-Term Investment 801,094 - - 801,094
Total $ 801,094 $ 196,351,910 $ 382 $ 197,153,386
* See Schedule of Investments for industry classification.

Transfers between Level 2 and Level 3 generally relate to whether significant unobservable inputs are used for the fair value measurements.

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Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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

Non-Agency Asset
Backed Securities
Beginning Value at October 1, 2023 $ -
Total realized gain (loss) (2,267 )
Appreciation (depreciation) 131
Purchase -
Proceeds from Sales -
Net transfers in/out of level 3 2,518
Ending Value at September 30, 2024 $ 382

Significant unobservable valuation inputs for Level 3 investments as of September 30, 2024, are as follows:

Fair Value at Valuation Unobservable
Non-Agency Asset Backed Securities September 30, 2024 Technique Inputs Selected Inputs
Ameriquest Mortgage Securities Asset-Backed $ 381 Market / Liquidation approach Expected future cash payments N/A
New Century Home Equity Loan Trust 2004-1 Series 2004-1 M2 1 Market / Liquidation approach Priced securities include yield to maturity 144.78 %
Conditional Prepayment Rate 7.55 %
Constant Default Rate 1.02 %
Loss severities 2.71 %
DSLA Mortgage Loan Trust 2005-AR1 Series 2005-AR1 2A2 - Market / Liquidation approach Priced securities include yield to maturity 0.01 %
Conditional Prepayment Rate 4.95 %
Constant Default Rate 3.66 %
Loss severities -0.10 %

Interest Only Securities - The Fund 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, the 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 securities traditional mortgage-backed securities, and in some cases such market value may be extremely volatile.

26

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

Security Transactions and Related Income - Security transactions are accounted for on the trade date. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized to the call date. 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.

Option Transactions - The Fund is subject to equity price and interest rate risk in the normal course of pursuing its investment objective and may purchase or sell options to help hedge against risk. When the Fund writes put and call options, an amount equal to the premium received is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As writer of an option, the Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option.

The Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Fund’s portfolios or to gain inverse exposure to market index. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. Call options are purchased to allow the Fund to enter a futures contract or purchase an exchange-traded note at a specified price. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security, index, or future rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security, index, or future in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Fund since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default.

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. The Fund, as of September 30, 2024 has $(1,634,832) due to pending trade settlements at the custodian.

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Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

Dividends and Distributions to Shareholders - Dividends from net investment income, if any, are declared and paid monthly. 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 “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 funds in the Trust.

Credit Facility - Effective August 1, 2023, the Fund entered into a revolving, uncommitted $160,000,000 line of credit with U.S. Bank National Association (the “Revolving Credit Agreement”) which expired on July 29, 2024. Effective July 29, 2024, the Fund entered into an amended and restated agreement, dated July 29, 2024, with a $150,000,000 line credit with U.S. Bank National Association (the “Amended and Restated Revolving Credit Agreement”) set to expire on July 28, 2025. Borrowings under the Amended and Restated Revolving Credit Agreement bear interest at Prime Rate minus 1% per month. There are no fees charged on the unused portion of the line of credit. For the year ended September 30, 2023 through September 30, 2024, amounts outstanding to the Fund under the credit facility at no time were permitted to exceed $150,000,000.

For the year ended September 30, 2024, the interest expense was $205,135 for the Fund. There was no outstanding balance as of September 30, 2024. The average borrowings for the Fund for the period the line was drawn, October 1, 2023 through September 30, 2024, was $4,386,844 at an average borrowing rate of 7.48%. At September 30, 2024, the maximum borrowing interest rate was 7.5%.

Federal Income Taxes - The Fund complies 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 September 30, 2021 through September 30, 2023 tax years, or expected to be taken in the Fund’s September 30, 2024 tax returns. The Fund identifies its major tax jurisdictions as U.S. federal, Ohio 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

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Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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 may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, climate-change or climate-related events, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years 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. 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 Fund 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.

Mortgage-Backed and Asset Backed Securities Risk - The default rate on underlying mortgage loans or asset loans may be higher than anticipated, potentially reducing payments to the Fund. Default rates are sensitive to overall economic conditions such as unemployment, wage levels and economic growth rates. Mortgage-backed securities are susceptible to maturity risk because issuers of securities held by the Fund are able to prepay principal due on these securities, particularly during periods of declining interest rates.

Volatility Risk - The Fund may have investments that appreciate or decrease significantly in value over short periods of time. This may cause the Fund’s NAV per share to experience significant increases or declines in value over short periods of time.

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Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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 year ended September 30, 2024, cost of purchases and proceeds from sales of portfolio securities, other than short sales, short-term investments and U.S. Government securities, amounted to $5,104,865 and $208,505,859, respectively.

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 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. Effective June 26, 2024, the management fee received by the Adviser was reduced to an annual rate of 1.49% of the Fund’s average daily net assets. For the year ended September 30, 2024, the Fund incurred $5,339,093 in advisory fees of which $199,585 is payable as of September 30, 2024 and included in the Statement of Assets and Liabilities under the Liabilities section.

Pursuant to a written contract (the “Waiver Agreement”), the Adviser had agreed, at least until January 31, 2025, 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 2.00% per annum of Class A average daily net assets, 2.75% per annum of Class C average daily net assets, and 1.75% per annum of Class I average daily net assets (the “expense limitation”). Effective June 26, 2024, the expense limitation for the Fund was reduced from 2.00%, 2.75%, and 1.75% to 1.55%, 2.30% and 1.30% for Class A, Class C and Class I shares, respectively, at least until January 31, 2026.

30

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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 effective date of the Waiver Agreement (or any similar agreement). The Board may terminate the Waiver Agreement on 60 days written notice to the Adviser.

For the year ended September 30, 2024, the Adviser waived fees of $1,605,473 pursuant to the Waiver Agreement.

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

9/30/2025 9/30/2026 9/30/2027
$ 2,269,245 $ 1,794,509 $ 1,605,473

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 (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 Adviser. 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 year ended September 30, 2024, the Fund paid $159,992 and $29,532 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 year ended September 30, 2024, the Distributor received $519 from front-end sales charges of which $70 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:

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

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Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

Northern Lights Compliance Services, LLC(“NLCS”) - NLCS, an affiliate of UFS 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 UFS 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.

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.

Transactions involving securities repurchase agreements are treated as collateralized borrowings and are recorded at their contracted amounts which approximate fair value. In addition, interest is included in interest payable. As of September 30, 2024, the Fund held reverse repurchase agreements with Société Générale and Mizuho as the counterparty. The carrying amount of the Fund’s payable for reverse repurchase agreements as reported on the Statement of Assets and Liabilities approximates its fair value.

Further, as of September 30, 2024, securities with approximately $11,506,678 of fair market value are pledged to collateralize reverse repurchase agreements. Of this, 100.0% are Non-Agency Asset Backed Securities.

For the year ended September 30, 2024, the Fund entered into several repurchase financing transactions contemporaneously with the initial purchase of securities from Société Générale and Mizuho counterparty’s, which are considered to be secured borrowings. The following table summarizes the Fund’s borrowings classified as reverse repurchase agreements.

As of September 30, 2024
Less than 1 1 to 2 2 Months or
Month Months Greater Total
Reverse Repurchase Agreements
Non-Agency Asset Backed Securities $ - $ - $ 4,442,000 $ 4,442,000
Total $ - $ - $ 4,442,000 $ 4,442,000
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

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Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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.

As of September 30, 2024, the Fund held the following instruments that were subject to offsetting on the Statement of Assets and Liabilities:

Liabilities:
Gross Amounts Net Amounts Gross Amounts not offset in the
Statement of Assets and Liabilities
Description Counterparty Gross
Amounts of
Recognized
Liabilities 		Offset in the
Statement of
Assets and
Liabilities 		presented in the
Statement of
Assets and
Liabilities 		Financial
Instruments 		Cash
Collateral
Pledged 		Net
Amount *
Reverse Repurchase Agreements Mizuho $ (2,865,000 ) $ - $ (2,865,000 ) $ 2,847,932 $ 17,068 $ -
Reverse Repurchase Agreements Société Générale (1,577,000 ) - (1,577,000 ) 1,577,000 - -
Total Reverse Repurchase Agreements $ (4,442,000 ) $ - $ (4,442,000 ) $ 4,424,932 $ - $ -
* Not less than 0
7. CONTROL OWNERSHIP

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a portfolio creates presumption of the control of the portfolio, under section 2(a)(9) of the 1940 Act. As of September 30, 2024, Charles Schwab held 44.8% of the voting securities of the Fund and may be deemed to control the Fund.

8. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

The tax character of distributions paid during the fiscal years ended September 30, 2024, and September 30, 2023, was as follows:

Fiscal Year Ended Fiscal Year Ended
September 30, 2024 September 30, 2023
Ordinary Income $ 13,590,639 $ 23,763,550
Long-Term Capital Gain - -
Return of Capital 6,822,136 6,745,469
$ 20,412,775 $ 30,509,019

As of September 30, 2024, 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/ Distributable Earnings/
Income Gains Late Year Loss Forwards Differences (Depreciation) (Accumulated Deficit)
$ - $ - $ (19,314,584 ) $ (54,143,023 ) $ - $ (24,950,561 ) $ (98,408,168 )

33

Deer Park Total Return Credit Fund

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2024

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 $19,314,584.

At September 30, 2024, the Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains, as follows:

Short-Term Long-Term Total CLCF Utilized
$ 35,383,437 $ 18,759,586 $ 54,143,023 $ -

As a result of the acquisition of another Fund, $8,245,176 and $17,144,850 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.

9. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION - TAX BASIS

At September 30, 2024, the aggregate cost for federal tax purposes (including reverse repurchase agreements), which differs from fair market value by net unrealized appreciation (depreciation) of securities, are as follows:

Gross Tax Net
Cost for Federal Gross Unrealized Unrealized Unrealized
Tax purposes Appreciation Depreciation Depreciation
$ 217,661,947 $ 28,206,552 $ (53,157,113 ) $ (24,950,561 )
10. 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, other than the following:

On October 30, 2024, the Board approved and declared the following distributions:

Distributions Per Share Record Date Payable Date
Class A 0.0483 10/29/2024 10/31/2024
Class C 0.0434 10/29/2024 10/31/2024
Class I 0.0500 10/29/2024 10/31/2024

34

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Northern Lights Fund Trust

and Shareholders of Deer Park Total Return Credit Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Deer Park Total Return Credit Fund (the Fund), a series of the Northern Lights Fund Trust, including the schedule of investments, as of September 30, 2024, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the related notes to the financial statements (collectively, the financial statements), and the financial highlights for each of the five years in the period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2024, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned as of September 30, 2024, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

/s/ RSM US LLP

We have served as the auditor of one or more Princeton Fund Advisors, LLC advised investment companies since 2010.

Denver, Colorado

November 29, 2024

35

Deer Park Total Return Credit Fund

SUPPLEMENTAL INFORMATION (Unaudited)

September 30, 2024

Approval of Amended Advisory Agreement - Deer Park Total Return Credit Fund*

In connection with the regular meeting held on June 26-27, 2024 of the Board of Trustees (the “Trustees” or the “Board”) of the Northern Lights Fund Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of the amended investment advisory agreement (the “Amended Advisory Agreement”) between Princeton Fund Advisors, LLC (“Adviser”) and the Trust, with respect to the Deer Park Total Return Credit Fund (the “Fund”). In considering the approval of the Amended Advisory Agreement, the Board received materials specifically relating to the Amended Advisory Agreement.

The Trustees were assisted by independent legal counsel throughout the advisory agreement review process. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Amended Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Amended Advisory Agreement.

Nature, Extent, and Quality of Services. The Trustees noted that Adviser was founded in 2011 and managed over $900 million in assets directly, and approximately $3.4 billion in assets with affiliates. The Trustees noted that Adviser both developed their own alternative strategies and partnered with reputable alternative strategy managers. The Trustees reviewed the background information of the key investment personnel responsible for servicing the Fund and acknowledged their extensive experience with hedge fund strategies and other alternative products. The Trustees noted that Adviser conducted ongoing due diligence of its sub-adviser and discussed the delegation of responsibilities and fees among Adviser and its co-adviser and sub-adviser. They considered the potential impact of the proposed Restructuring on the day-to-day operations of Adviser. The Trustees agreed that Adviser possessed adequate resources and expertise to support its investment strategies and agreed that they expected Adviser to continue providing high quality service to the Fund for the benefit of its shareholders.

Performance. The Trustees noted that the Fund outperformed the aggregate bond index over the prior one-year, three-year, five-year, and since inception periods. The Trustee’s further noted that the Fund’s returns generally lagged the peer group and category median returns. The Trustees acknowledged the Fund’s investment in mortgage-backed securities and its focus on income generation, and accordingly agreed that the Fund’s performance was satisfactory.

Fees and Expenses. The Trustees noted that the Fund proposed a reduction in the annual advisory fee of 1.84% to 1.49%, which was higher than the peer group and category averages, but within the range of fees of the peer group. The Trustees further noted that the lower expense cap proposed by Adviser would bring the net expenses well below the high of the peer group and category. The Trustees acknowledged the complexity of the Fund’s investment strategy and the resources and expertise required to implement such strategy, and Adviser’s role in overseeing

36

Deer Park Total Return Credit Fund

SUPPLEMENTAL INFORMATION (Unaudited)(Continued)

September 30, 2024

the sub-adviser. The Trustees also considered the cost of the sub-advisory services. Accordingly, the Trustees agreed that the advisory fee was not unreasonable.

Economies of Scale. The Trustees considered whether Adviser had achieved economies of scale with respect to its relationship with the Fund. The Trustee’s considered Adviser’s statements that the Fund’s strategies presented some capacity limitations, which would limit potential growth and revenue to Adviser. They discussed the current asset levels of the Fund, and considered the additional responsibilities assumed by Adviser as a result of new 1940 Act regulations, and Adviser’s assessment of the additional resources expended by Adviser to ensure each Adviser’s compliance. The Board acknowledged that Adviser had waived a portion of its fees with respect to the Fund, providing shareholders with the benefits of a larger fund by reducing overall fees paid by the shareholders. The Trustees concluded that Adviser was appropriately providing a reasonable net expense ratio to all shareholders of the Fund.

Profitability. The Trustees reviewed the profitability analysis provided by Adviser in terms of actual dollars and as a percentage of revenue with respect to the Fund. The Trustees noted that Adviser had varying degrees of profits with respect to the Fund. They considered Adviser had proposed a fee reduction for the Fund, which would result in a proportionate reduction in the sub-advisory fee. The Trustees noted Adviser’s assessment of the reasonableness of the profits, citing the business and other risks assumed by Adviser in managing publicly offered investments, the quality of services provided, and its internal targets for the business to warrant the use of its capital and the opportunity costs. The Trustees concluded that Adviser’s profitability with respect to the Fund was not excessive.

Conclusion. Having requested and received such information from Adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the Amended Advisory Agreement and as assisted by the advice of counsel, the Trustees concluded that the approval of the Amended Advisory Agreement between the Trust and Adviser on behalf of the Fund, was in the best interests of the Fund and the Fund’s shareholders.

* Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

37

Deer Park Total Return Credit Fund

SUPPLEMENTAL INFORMATION (Unaudited)(Continued)

September 30, 2024

Renewal of Sub-Advisory Agreement - Deer Park Total Return Credit Fund*

In connection with the regular meeting held on June 26-27, 2024 of the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of the sub-advisory agreement (the “Sub-Advisory Agreement”) between Princeton Fund Advisers, LLC (“Adviser”) and Sub-Adviser Management Company, LP (“Sub-Adviser”), with respect to the Deer Park Total Return Credit Fund (the “Fund”). In considering the renewal of the Sub-Advisory Agreement, the Board received materials specifically relating to the Sub-Advisory Agreement.

The Trustees were assisted by independent legal counsel throughout the Sub-Advisory Agreement review process. The Board relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Sub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Sub-Advisory Agreement.

Nature, Extent, and Quality of Services. The Trustees noted that Sub-Adviser was a registered investment adviser founded in 2003 who managed approximately $3 billion in assets. The Trustees further noted that Sub-Adviser focused on structured credit strategies for high net worth and institutional investors via hedge funds, separately managed accounts, and a mutual fund. The Trustees reviewed the background information of the key personnel responsible for providing sub-advisory services to the Fund, considering their education and experience in managing hedge funds. The Trustees noted that the CFO of Sub-Adviser had been replaced earlier that year by an experienced internal candidate, and the quality of service rendered to the Fund was not expected to be affected. The Trustees noted that Sub-Adviser used a quantitative model to select securities with a high probability of being undervalued, and that it also used modelling software to monitor the Fund’s investments and ensure compliance with investment limitations and guidelines. The Trustees considered Sub-Adviser’s reputation as a leading provider of analytic services regarding structured mortgage products. The Trustees agreed that it expected the Sub-Adviser to continue providing quality service to Adviser and the Fund for the benefit of the Fund’s shareholders.

Performance. The Trustees noted that the Fund outperformed the aggregate bond index over the prior one-year, three-year, five-year, and since inception periods. The Trustee’s further noted that the Fund’s returns generally lagged the peer group and category median returns. The Trustees acknowledged the Fund’s investment in mortgage-backed securities and its focus on income generation, and accordingly agreed that the Fund’s performance was satisfactory.

Fees and Expenses. The Trustees noted that Sub-Adviser was paid a fee by Adviser equal to a percent of the net advisory fee earned by Adviser after the impact of the expense limitation agreement. They considered that the allocation to Sub-Adviser is adjusted based on a formula

38

Deer Park Total Return Credit Fund

SUPPLEMENTAL INFORMATION (Unaudited)(Continued)

September 30, 2024

agreed to by the parties. The Trustees considered the fees charged by Sub-Adviser for managing private investment vehicles. The Trustees also acknowledged the expense limitation agreement in place with respect to the Fund and the Fund’s cooperation in Adviser’s proposal to reduce the advisory fee. The Trustees agreed that the fee was not unreasonable.

Economies of Scale. The Board considered whether the Sub-Adviser had achieved economies of scale with respect to the management of the Fund but agreed that economies of scale was primarily an adviser-level issue which should consider the overall advisory agreement and the impact of the sub-advisory expense.

Profitability. The Board reviewed Sub-Adviser’s profitability analysis in connection with its relationship with the Fund, considering its profitability in absolute dollars and as a percentage of revenue. The Board noted that Sub-Adviser’s profitability with respect to its sub-advisory relationship with the Fund was not excessive.

Conclusion. Having requested and received such information from Sub-Adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the approval of the Sub-Advisory Agreement between Adviser and Sub-Adviser on behalf of The Fund was in the best interests of the Fund and the Fund’s shareholders.

*Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

39

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

Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.

INVESTMENT ADVISER

Princeton Fund Advisors, LLC

1580 Lincoln Street, Suite 680

Denver, CO 80203

INVESTMENT SUB-ADVISER

Deer Park Road Management Company, LP

1195 Bangtail Way

Steamboat Springs, CO 80487

ADMINISTRATOR

Ultimus Fund Solutions, LLC

225 Pictoria Drive, Suite 450

Cincinnati, OH 45246

Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies. Not applicable

Item 9. Proxy Disclosures for Open-End Management Investment Companies. Not applicable

Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. Included under Item 7 of this Form.

Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.

Included under Item 7 of this Form.

Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 13. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 15. Submission of Matters to a Vote of Security Holders.

None.

Item 16. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures as of a date within 90 days of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 18. Recovery of Erroneously Awarded Compensation.

(a) Not applicable.
(b) Not applicable.

Item 19. Exhibits.

(a)(1) Code of Ethics for Principal Executive and Senior Financial Officers. Exhibit 99.CODE
(a)(2) Not applicable
(a)(3) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto. Exhibit 99. CERT
(a)(4) Not applicable.
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto Exhibit 99.906CERT

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 12/09/24

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 12/09/24
By (Signature and Title)
/s/ James Colantino
James Colantino, Principal Financial Officer/Treasurer
Date 12/09/24