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Blu Giant, LLC

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

form n-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22554

 

Vertical Capital Income Fund

(Exact name of registrant as specified in charter)

 

80 Arkay Drive, Hauppauge, NY 11788

(Address of principal executive offices) (Zip code)

 

Richard Malinowski

Gemini Fund Services, LLC, 80 Arkay Drive, Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2734

 

Date of fiscal year end: 09/30

 

Date of reporting period: 06/30/16

 

 

Item 1. Schedule of Investments.

 

*Explanatory note

 

The Registrant is filing this amendment (“Amendment”) to its Form N-Q for the period ended June 30, 2016 (the “Report”) to reflect changes to the Report for the Vertical Capital Income Fund’s schedule of portfolio investments under Item 1 originally filed with the Securities and Exchange Commission on August 29, 2016 (Accession Number 0001580642-16-010554).

 

Except as otherwise noted above, the Report was accurate, timely distributed to shareholders, as applicable, and contained all information required per Form N-Q.

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES - 91.8%              
$120,515   Loan ID 200003  Fixed   7.250%  9/1/2035  $112,728 
 272,262   Loan ID 200004  Fixed   7.990%  10/1/2036   285,875 
 70,653   Loan ID 200006  ARM   7.990%  1/1/2036   74,186 
 51,579   Loan ID 200008  ARM   4.250%  3/28/2035   54,158 
 51,555   Loan ID 200012  ARM   9.800%  7/1/2037   44,624 
 57,377   Loan ID 200013  Fixed   5.250%  9/1/2040   52,566 
 38,401   Loan ID 200015  Fixed   7.000%  8/1/2030   12,049 
 40,184   Loan ID 200016  ARM   10.375%  1/1/2031   42,193 
 53,878   Loan ID 200018  Fixed   7.000%  1/1/2033   53,429 
 61,732   Loan ID 200019  Fixed   5.000%  12/1/2036   64,819 
 77,860   Loan ID 200020  Fixed   5.630%  7/1/2033   81,753 
 100,953   Loan ID 200023  Fixed   5.875%  12/1/2050   83,562 
 135,531   Loan ID 200025  ARM   3.380%  3/1/2034   142,307 
 205,980   Loan ID 200026  Interest Only   4.750%  1/1/2050   152,296 
 228,102   Loan ID 200028  Interest Only   4.750%  6/1/2050   223,061 
 219,150   Loan ID 200029  Fixed   6.310%  7/1/2037   171,917 
 280,484   Loan ID 200031  Fixed   5.000%  1/1/2051   294,508 
 339,866   Loan ID 200032  Fixed   3.130%  1/1/2051   331,205 
 563,741   Loan ID 200035  Fixed   4.000%  11/1/2050   487,524 
 67,413   Loan ID 200036  Fixed   7.940%  1/12/2034   70,783 
 165,940   Loan ID 200037  Fixed   7.800%  5/1/2035   174,237 
 122,529   Loan ID 200041  Fixed   4.875%  8/1/2039   121,719 
 41,888   Loan ID 200042  Fixed   7.000%  12/1/2037   43,982 
 63,570   Loan ID 200043  Fixed   6.125%  7/1/2039   66,748 
 121,982   Loan ID 200045  Fixed   5.625%  12/1/2038   128,081 
 38,804   Loan ID 200046  Fixed   8.000%  7/1/2027   40,744 
 53,633   Loan ID 200048  Fixed   5.500%  8/1/2039   56,315 
 89,285   Loan ID 200051  Fixed   8.150%  10/1/2040   25,888 
 159,541   Loan ID 200052  Fixed   5.125%  5/1/2040   157,402 
 61,149   Loan ID 200053  Fixed   5.000%  9/1/2042   31,137 
 56,335   Loan ID 200054  Fixed   8.250%  3/1/2039   59,152 
 84,212   Loan ID 200055  Fixed   10.000%  1/5/2036   88,422 
 127,883   Loan ID 200057  ARM   3.130%  10/1/2036   114,044 
 59,965   Loan ID 200059  Fixed   6.000%  8/1/2039   56,942 
 35,339   Loan ID 200060  Fixed   5.750%  8/1/2039   37,106 
 31,923   Loan ID 200061  Fixed   5.750%  7/1/2024   33,519 
 26,870   Loan ID 200065  ARM   6.875%  1/1/2037   28,214 
 223,928   Loan ID 200072  Fixed   0.000%  2/1/2051   235,125 
 173,013   Loan ID 200073  Fixed   0.000%  2/1/2026   181,664 
 159,994   Loan ID 200074  Fixed   0.000%  2/1/2031   167,994 
 206,540   Loan ID 200075  Fixed   4.250%  2/1/2042   216,867 
 171,966   Loan ID 200076  Fixed   4.250%  12/1/2041   130,612 
 74,040   Loan ID 200077  Fixed   3.750%  8/1/2042   77,145 
 33,367   Loan ID 200078  Fixed   7.000%  8/1/2036   29,443 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$136,341   Loan ID 200079  Fixed   2.000%  8/1/2049  $75,138 
 138,988   Loan ID 200081  Fixed   2.000%  9/1/2037   45,895 
 68,447   Loan ID 200082  Fixed   8.250%  4/1/2040   62,433 
 188,383   Loan ID 200084  Fixed   7.000%  3/1/2039   165,399 
 198,947   Loan ID 200086  Fixed   3.000%  11/1/2050   111,991 
 225,167   Loan ID 200087  Fixed   5.000%  3/1/2051   176,590 
 124,669   Loan ID 200088  Fixed   7.000%  6/1/2039   109,216 
 270,833   Loan ID 200089  Fixed   2.000%  3/1/2052   176,989 
 275,043   Loan ID 200090  Fixed   2.000%  11/1/2036   58,292 
 287,012   Loan ID 200091  Fixed   2.000%  11/1/2051   187,246 
 263,061   Loan ID 200092  Fixed   3.380%  5/1/2036   176,795 
 136,369   Loan ID 200093  Fixed   5.000%  2/1/2038   124,374 
 234,518   Loan ID 200094  ARM   3.130%  9/1/2037   187,684 
 383,187   Loan ID 200100  Fixed   5.000%  7/1/2037   350,161 
 74,679   Loan ID 200102  Fixed   8.250%  3/1/2040   68,328 
 185,945   Loan ID 200105  Fixed   3.000%  12/1/2050   83,861 
 156,941   Loan ID 200106  Fixed   2.000%  2/1/2052   69,102 
 444,410   Loan ID 200107  Fixed   2.000%  7/1/2052   188,366 
 188,190   Loan ID 200108  Fixed   3.000%  6/1/2047   146,951 
 113,869   Loan ID 200110  Fixed   8.250%  8/1/2039   104,163 
 206,929   Loan ID 200111  Fixed   6.000%  11/1/2050   55,943 
 305,250   Loan ID 200112  Fixed   3.000%  9/1/2049   89,929 
 126,364   Loan ID 200114  Fixed   2.000%  10/1/2051   64,454 
 409,275   Loan ID 200115  Fixed   2.000%  11/1/2051   127,240 
 148,692   Loan ID 200116  Fixed   7.125%  3/1/2039   130,816 
 407,425   Loan ID 200125  Fixed   2.000%  5/1/2051   181,074 
 126,653   Loan ID 200126  Fixed   8.250%  8/1/2039   116,000 
 141,983   Loan ID 200127  Fixed   5.000%  8/1/2039   50,283 
 73,340   Loan ID 200128  Fixed   3.000%  7/1/2037   23,081 
 462,582   Loan ID 200129  Fixed   4.625%  3/1/2052   352,556 
 35,033   Loan ID 200131  Fixed   3.875%  11/1/2027   36,774 
 230,840   Loan ID 200133  Fixed   3.490%  1/1/2043   238,372 
 186,491   Loan ID 200134  Fixed   3.750%  12/1/2042   192,706 
 124,885   Loan ID 200135  Fixed   4.375%  12/1/2042   131,129 
 235,736   Loan ID 200136  Fixed   2.875%  10/1/2027   232,438 
 128,166   Loan ID 200137  Fixed   4.500%  9/1/2042   134,575 
 47,264   Loan ID 200139  Fixed   4.625%  5/1/2027   49,627 
 80,002   Loan ID 200141  Fixed   4.250%  2/1/2042   84,002 
 128,424   Loan ID 200143  Fixed   3.000%  2/1/2037   129,097 
 392,802   Loan ID 200145  Fixed   2.000%  8/1/2051   219,317 
 100,089   Loan ID 200152  ARM   3.630%  9/1/2037   90,249 
 99,058   Loan ID 200154  Fixed   11.050%  9/1/2037   104,011 
 54,116   Loan ID 200156  Fixed   8.130%  9/19/2032   53,837 
 122,981   Loan ID 200157  Fixed   3.750%  1/1/2043   121,295 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$158,994   Loan ID 200158  Fixed   3.625%  12/1/2042  $147,461 
 184,441   Loan ID 200159  Fixed   3.750%  6/1/2042   192,742 
 128,720   Loan ID 200160  Fixed   3.250%  2/1/2043   130,394 
 473,026   Loan ID 200161  Fixed   3.875%  11/1/2041   496,677 
 228,032   Loan ID 200162  Fixed   3.875%  7/1/2042   239,433 
 120,889   Loan ID 200163  Fixed   4.000%  1/1/2042   126,933 
 103,804   Loan ID 200164  Fixed   4.000%  7/1/2042   108,994 
 200,446   Loan ID 200165  Fixed   4.375%  12/1/2041   210,468 
 119,925   Loan ID 200166  Fixed   4.000%  2/1/2032   125,921 
 126,908   Loan ID 200168  Fixed   3.750%  10/1/2042   131,750 
 24,496   Loan ID 200169  Fixed   6.923%  9/1/2034   25,721 
 100,274   Loan ID 200171  Fixed   6.500%  4/1/2036   105,288 
 142,899   Loan ID 200172  Fixed   7.250%  2/1/2037   150,044 
 92,583   Loan ID 200174  Fixed   7.340%  4/1/2037   97,212 
 53,689   Loan ID 200175  Fixed   9.600%  5/1/2037   56,374 
 57,345   Loan ID 200177  Fixed   8.000%  1/11/2022   60,212 
 42,687   Loan ID 200178  Fixed   6.500%  5/10/2016   44,821 
 20,697   Loan ID 200179  Fixed   7.250%  7/27/2019   20,697 
 19,088   Loan ID 200180  Fixed   6.500%  7/8/2016   20,043 
 110,023   Loan ID 200181  Fixed   7.500%  3/1/2016   115,524 
 86,181   Loan ID 200182  Fixed   8.750%  10/10/2016   90,490 
 262,947   Loan ID 200183  Fixed   4.125%  12/1/2032   276,095 
 75,386   Loan ID 200184  Fixed   4.375%  12/1/2042   71,208 
 28,599   Loan ID 200185  Fixed   5.375%  6/1/2042   30,029 
 54,546   Loan ID 200186  Fixed   5.125%  8/1/2042   57,273 
 152,882   Loan ID 200188  Fixed   3.875%  2/1/2043   160,526 
 171,452   Loan ID 200189  Fixed   4.125%  8/1/2042   180,025 
 340,664   Loan ID 200190  Fixed   3.625%  11/1/2042   354,633 
 132,637   Loan ID 200191  Fixed   4.125%  11/1/2042   139,059 
 166,897   Loan ID 200194  Fixed   4.750%  9/1/2041   175,242 
 271,403   Loan ID 200195  Fixed   3.875%  3/1/2042   284,974 
 102,014   Loan ID 200196  Fixed   4.500%  1/1/2043   107,115 
 39,732   Loan ID 200197  Fixed   4.750%  11/1/2042   41,719 
 41,557   Loan ID 200198  Fixed   5.250%  10/1/2042   43,635 
 293,004   Loan ID 200199  Fixed   4.000%  9/1/2042   307,655 
 249,593   Loan ID 200200  Fixed   3.875%  9/1/2042   228,153 
 57,043   Loan ID 200201  Fixed   5.125%  8/1/2041   59,895 
 60,060   Loan ID 200202  Fixed   4.375%  12/1/2042   63,063 
 24,512   Loan ID 200206  Fixed   3.990%  12/1/2042   25,706 
 49,992   Loan ID 200208  Fixed   4.250%  1/1/2043   52,491 
 211,766   Loan ID 200209  Fixed   3.875%  8/1/2042   222,354 
 75,759   Loan ID 200210  Fixed   4.625%  5/1/2043   79,547 
 137,059   Loan ID 200212  Fixed   3.875%  2/1/2042   114,372 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$289,564   Loan ID 200213  Fixed   4.125%  1/1/2038  $248,298 
 57,433   Loan ID 200214  Fixed   5.750%  7/1/2039   60,304 
 117,138   Loan ID 200216  Fixed   5.750%  9/1/2039   118,347 
 147,208   Loan ID 200217  Fixed   5.250%  7/1/2040   154,568 
 76,606   Loan ID 200218  Fixed   4.250%  12/1/2041   42,444 
 202,974   Loan ID 200219  Fixed   4.250%  4/1/2043   213,123 
 218,373   Loan ID 200220  Fixed   3.875%  5/1/2043   201,115 
 168,475   Loan ID 200221  Fixed   4.250%  4/1/2043   176,899 
 128,496   Loan ID 200222  Fixed   4.125%  5/1/2043   122,112 
 213,186   Loan ID 200224  Fixed   4.000%  7/1/2043   202,877 
 83,575   Loan ID 200226  Fixed   5.250%  7/1/2041   83,575 
 51,941   Loan ID 200228  Fixed   4.625%  8/1/2042   54,538 
 165,670   Loan ID 200229  Fixed   3.750%  7/1/2042   171,195 
 149,147   Loan ID 200230  Fixed   3.500%  2/1/2043   136,863 
 133,156   Loan ID 200231  Fixed   3.625%  12/1/2042   110,120 
 70,061   Loan ID 200232  Fixed   3.875%  8/1/2042   73,564 
 178,839   Loan ID 200233  Fixed   2.990%  11/1/2027   178,525 
 95,117   Loan ID 200235  Fixed   3.750%  12/1/2042   99,435 
 320,296   Loan ID 200238  ARM   3.625%  7/1/2035   187,450 
 121,084   Loan ID 200243  Fixed   3.750%  4/1/2043   123,710 
 28,712   Loan ID 200244  Fixed   5.000%  5/1/2042   30,148 
 206,298   Loan ID 200245  Fixed   3.875%  3/1/2043   216,612 
 93,479   Loan ID 200286  Fixed   4.500%  7/1/2043   98,153 
 102,391   Loan ID 200287  Fixed   4.375%  7/1/2043   107,510 
 344,210   Loan ID 200288  Fixed   4.375%  11/1/2041   361,421 
 349,571   Loan ID 200289  Fixed   5.500%  9/1/2043   367,050 
 295,653   Loan ID 200290  Fixed   4.250%  4/1/2043   310,436 
 182,755   Loan ID 200294  Fixed   3.875%  2/1/2043   191,532 
 260,638   Loan ID 200295  Fixed   3.875%  6/1/2043   273,326 
 210,642   Loan ID 200296  Fixed   3.250%  2/1/2043   210,051 
 182,562   Loan ID 200297  Fixed   3.375%  10/1/2042   186,792 
 198,218   Loan ID 200299  Fixed   3.625%  10/1/2042   182,920 
 119,635   Loan ID 200300  Fixed   8.400%  10/20/2037   125,617 
 103,338   Loan ID 200302  Fixed   9.875%  10/1/2035   90,083 
 72,302   Loan ID 200303  Fixed   5.250%  10/1/2032   41,462 
 143,628   Loan ID 200304  Fixed   7.250%  10/1/2033   150,809 
 250,929   Loan ID 200305  Fixed   7.000%  3/1/2036   172,569 
 727,497   Loan ID 200306  Fixed   4.870%  5/1/2049   710,533 
 49,181   Loan ID 200307  Fixed   6.500%  7/1/2031   49,181 
 111,246   Loan ID 200308  ARM   6.750%  5/1/2035   44,645 
 211,982   Loan ID 200309  Fixed   2.000%  12/1/2048   199,692 
 133,782   Loan ID 200312  Fixed   9.000%  4/1/2039   140,471 
 46,987   Loan ID 200313  Fixed   8.500%  3/1/2028   33,106 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$63,524   Loan ID 200314  Fixed   8.000%  3/1/2040  $35,484 
 313,089   Loan ID 200315  ARM   3.630%  6/1/2037   232,091 
 75,363   Loan ID 200317  Fixed   7.000%  9/1/2032   78,893 
 297,598   Loan ID 200318  Fixed   6.500%  10/1/2036   287,710 
 302,956   Loan ID 200321  Fixed   2.375%  6/1/2049   166,532 
 550,383   Loan ID 200324  Fixed   5.500%  11/1/2037   232,815 
 556,631   Loan ID 200325  Fixed   6.000%  5/1/2042   211,357 
 78,057   Loan ID 200326  Fixed   8.375%  10/1/2036   81,960 
 152,008   Loan ID 200327  Fixed   6.790%  10/26/2036   125,818 
 255,923   Loan ID 200330  Fixed   7.000%  8/1/2037   267,913 
 103,498   Loan ID 200332  Fixed   5.775%  10/1/2037   108,673 
 91,718   Loan ID 200334  Fixed   7.000%  1/1/2033   85,796 
 274,040   Loan ID 200335  Fixed   2.000%  11/1/2052   202,300 
 119,538   Loan ID 200336  Fixed   7.000%  12/1/2042   38,573 
 45,626   Loan ID 200337  Fixed   7.000%  10/1/2034   47,907 
 53,575   Loan ID 200338  ARM   10.500%  8/1/2029   56,254 
 163,812   Loan ID 200339  Fixed   2.000%  10/1/2033   158,972 
 34,880   Loan ID 200340  Fixed   7.000%  3/1/2030   36,624 
 293,852   Loan ID 200341  Fixed   7.000%  8/1/2035   208,998 
 12,218   Loan ID 200342  Fixed   5.375%  10/1/2019   12,828 
 63,909   Loan ID 200348  Fixed   6.500%  7/1/2038   62,143 
 240,442   Loan ID 200349  Fixed   7.000%  1/1/2037   131,415 
 59,107   Loan ID 200350  Fixed   7.500%  3/1/2029   62,062 
 73,756   Loan ID 200352  Fixed   7.000%  8/1/2030   47,250 
 43,418   Loan ID 200355  ARM   8.130%  7/1/2032   40,258 
 136,037   Loan ID 200358  Fixed   3.000%  4/1/2025   135,544 
 29,598   Loan ID 200360  ARM   3.000%  1/1/2025   28,712 
 72,219   Loan ID 200361  Fixed   7.500%  1/1/2034   75,830 
 111,048   Loan ID 200362  Fixed   5.000%  6/1/2045   63,520 
 147,451   Loan ID 200363  Fixed   6.000%  3/1/2049   150,238 
 67,623   Loan ID 200366  Fixed   6.250%  1/1/2033   71,004 
 181,528   Loan ID 200368  Fixed   4.500%  4/1/2036   190,605 
 266,939   Loan ID 200369  Fixed   6.000%  4/1/2044   280,286 
 61,555   Loan ID 200373  Fixed   7.000%  12/1/2036   53,922 
 76,941   Loan ID 200374  ARM   7.000%  5/1/2034   76,941 
 430,735   Loan ID 200376  Fixed   2.900%  6/1/2053   327,941 
 80,755   Loan ID 200377  ARM   3.500%  10/1/2036   36,874 
 232,577   Loan ID 200378  Fixed   5.500%  5/1/2045   217,822 
 186,369   Loan ID 200380  Fixed   4.220%  4/1/2049   85,872 
 290,732   Loan ID 200381  Fixed   4.780%  6/1/2037   261,331 
 114,030   Loan ID 200382  Fixed   4.850%  7/1/2037   30,071 
 393,577   Loan ID 200383  Fixed   5.030%  12/1/2046   387,236 
 297,835   Loan ID 200384  Fixed   5.000%  11/1/2047   257,689 
 147,063   Loan ID 200385  Fixed   8.250%  1/1/2040   154,416 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$224,167   Loan ID 200386  Fixed   6.000%  3/1/2041  $214,096 
 75,805   Loan ID 200387  Fixed   4.000%  6/1/2039   66,243 
 195,160   Loan ID 200388  Fixed   4.000%  3/1/2051   166,583 
 122,205   Loan ID 200389  Fixed   4.820%  8/1/2047   110,342 
 202,904   Loan ID 200390  Fixed   4.780%  4/16/2047   182,953 
 177,334   Loan ID 200391  Fixed   4.000%  1/13/2035   167,760 
 67,950   Loan ID 200392  Fixed   10.000%  6/5/2034   45,056 
 105,672   Loan ID 200393  Fixed   5.070%  8/1/2037   91,276 
 130,205   Loan ID 200394  Fixed   7.150%  8/1/2037   136,707 
 80,012   Loan ID 200395  Fixed   4.860%  4/1/2047   71,995 
 73,654   Loan ID 200396  Fixed   10.000%  2/1/2036   77,337 
 117,384   Loan ID 200397  ARM   9.375%  9/1/2037   113,114 
 137,938   Loan ID 200398  Fixed   4.800%  2/1/2037   124,125 
 79,773   Loan ID 200399  Fixed   4.980%  6/1/2037   62,533 
 53,167   Loan ID 200403  Fixed   8.300%  10/15/2032   54,502 
 58,042   Loan ID 200404  Fixed   8.100%  5/1/2037   60,944 
 99,988   Loan ID 200405  Fixed   4.870%  12/1/2035   90,520 
 117,401   Loan ID 200406  Fixed   4.875%  10/1/2051   114,835 
 236,347   Loan ID 200407  Fixed   6.500%  4/1/2042   244,378 
 204,131   Loan ID 200408  Fixed   6.000%  4/1/2039   171,149 
 347,534   Loan ID 200409  Fixed   6.000%  2/1/2049   283,009 
 106,949   Loan ID 200411  Fixed   8.275%  6/1/2037   112,297 
 312,047   Loan ID 200412  Fixed   5.500%  8/1/2040   197,468 
 252,030   Loan ID 200413  Fixed   5.150%  11/1/2047   249,427 
 86,184   Loan ID 200415  Fixed   6.000%  4/1/2050   38,349 
 183,975   Loan ID 200416  Fixed   4.670%  8/1/2053   165,429 
 71,839   Loan ID 200417  Fixed   7.000%  5/1/2035   75,430 
 57,257   Loan ID 200418  Fixed   4.000%  6/1/2035   54,598 
 168,272   Loan ID 200419  Fixed   4.000%  12/19/2035   155,154 
 169,219   Loan ID 200420  Fixed   4.225%  4/10/2038   147,911 
 77,229   Loan ID 200421  Fixed   7.710%  8/1/2037   77,823 
 137,132   Loan ID 200422  Fixed   3.830%  8/1/2053   97,740 
 131,667   Loan ID 200423  Fixed   4.500%  6/1/2043   109,774 
 115,374   Loan ID 200424  Fixed   4.000%  9/1/2028   121,142 
 254,444   Loan ID 200427  Fixed   3.625%  3/1/2043   264,444 
 228,403   Loan ID 200430  Fixed   3.625%  7/1/2043   236,783 
 191,423   Loan ID 200431  Fixed   4.625%  7/1/2043   200,994 
 310,032   Loan ID 200432  Fixed   4.875%  5/1/2043   325,534 
 130,668   Loan ID 200433  Fixed   4.250%  8/1/2043   137,201 
 161,956   Loan ID 200434  Fixed   5.250%  10/1/2043   170,053 
 200,472   Loan ID 200435  Fixed   4.625%  11/1/2052   194,715 
 216,507   Loan ID 200436  Fixed   3.750%  4/1/2043   225,688 
 333,743   Loan ID 200437  Fixed   5.625%  10/1/2043   350,430 
 44,835   Loan ID 200439  Fixed   5.000%  8/1/2041   47,077 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$195,873   Loan ID 200441  Fixed   6.000%  4/1/2045  $162,727 
 443,091   Loan ID 200442  Fixed   5.000%  12/1/2043   274,768 
 274,719   Loan ID 200443  Fixed   6.250%  7/1/2049   180,816 
 260,766   Loan ID 200444  Fixed   4.380%  11/1/2038   194,446 
 164,307   Loan ID 200445  Fixed   5.250%  2/1/2039   172,522 
 53,671   Loan ID 200447  Fixed   5.875%  11/4/2034   56,355 
 79,125   Loan ID 200448  Fixed   5.750%  5/1/2042   54,894 
 127,884   Loan ID 200449  Fixed   5.000%  7/1/2041   125,876 
 364,922   Loan ID 200451  Fixed   6.250%  7/1/2038   383,168 
 135,459   Loan ID 200452  Fixed   2.000%  11/1/2041   100,347 
 16,504   Loan ID 200453  ARM   6.250%  3/1/2026   17,329 
 243,766   Loan ID 200456  Fixed   2.000%  11/1/2038   222,526 
 211,359   Loan ID 200457  Fixed   5.750%  12/10/2030   217,205 
 191,126   Loan ID 200460  Fixed   7.000%  7/1/2041   200,682 
 387,011   Loan ID 200462  Fixed   6.000%  7/1/2037   323,765 
 157,763   Loan ID 200463  Fixed   6.000%  3/1/2037   34,972 
 411,571   Loan ID 200464  ARM   8.750%  8/1/2037   149,791 
 248,154   Loan ID 200465  Fixed   6.500%  7/1/2037   241,499 
 451,091   Loan ID 200466  Fixed   7.000%  7/1/2037   395,369 
 359,059   Loan ID 200467  Fixed   5.500%  9/1/2044   325,956 
 105,489   Loan ID 200468  Fixed   5.625%  12/1/2044   86,150 
 130,932   Loan ID 200469  Fixed   6.500%  7/1/2037   112,058 
 294,856   Loan ID 200473  Fixed   4.000%  12/1/2042   207,867 
 243,805   Loan ID 200474  Fixed   5.750%  11/1/2050   255,996 
 169,945   Loan ID 200475  Fixed   5.450%  7/1/2049   173,195 
 192,868   Loan ID 200476  Fixed   6.000%  9/1/2050   199,873 
 219,741   Loan ID 200477  Fixed   4.125%  12/1/2028   230,728 
 130,602   Loan ID 200479  Fixed   3.500%  8/1/2026   134,658 
 114,962   Loan ID 200482  Fixed   4.375%  11/1/2028   120,710 
 107,995   Loan ID 200483  Fixed   4.375%  11/1/2028   113,395 
 75,880   Loan ID 200485  Fixed   4.125%  2/1/2043   79,674 
 252,841   Loan ID 200486  Fixed   3.500%  1/1/2043   260,734 
 470,674   Loan ID 200487  Fixed   6.000%  3/1/2037   204,238 
 161,158   Loan ID 200488  Fixed   4.250%  1/1/2044   151,354 
 116,238   Loan ID 200489  Fixed   4.000%  3/1/2043   107,363 
 82,703   Loan ID 200490  Fixed   4.000%  11/1/2028   86,838 
 207,478   Loan ID 200491  Fixed   5.500%  10/1/2039   217,851 
 122,903   Loan ID 200492  Fixed   4.000%  1/1/2043   129,048 
 67,518   Loan ID 200493  Fixed   4.500%  12/1/2025   70,894 
 280,181   Loan ID 200494  Fixed   4.625%  10/1/2043   294,190 
 357,869   Loan ID 200495  Fixed   4.875%  12/1/2041   375,762 
 203,841   Loan ID 200496  Fixed   3.875%  2/1/2043   213,693 
 327,613   Loan ID 200497  Fixed   3.250%  4/1/2043   333,025 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$274,716   Loan ID 200499  Fixed   4.250%  1/1/2043  $288,452 
 222,057   Loan ID 200500  Fixed   5.875%  2/1/2037   225,238 
 152,643   Loan ID 200501  Fixed   7.250%  12/1/2037   160,275 
 191,954   Loan ID 200502  Fixed   5.000%  6/1/2049   118,582 
 264,270   Loan ID 200503  Fixed   7.500%  8/1/2037   277,484 
 388,972   Loan ID 200504  Fixed   3.375%  3/1/2043   397,374 
 75,024   Loan ID 200507  Fixed   4.500%  9/1/2042   78,775 
 250,360   Loan ID 200508  Fixed   2.000%  10/1/2040   203,033 
 305,490   Loan ID 200509  Fixed   2.000%  12/1/2052   118,710 
 250,170   Loan ID 200511  Fixed   4.875%  1/1/2044   262,679 
 337,000   Loan ID 200514  Fixed   3.000%  4/1/2047   299,118 
 100,746   Loan ID 200515  Fixed   8.250%  2/1/2039   105,784 
 392,642   Loan ID 200516  Fixed   5.250%  1/1/2037   166,363 
 105,090   Loan ID 200517  Fixed   8.000%  5/1/2039   95,600 
 205,068   Loan ID 200518  Fixed   3.000%  12/1/2050   177,090 
 317,680   Loan ID 200519  Fixed   3.000%  11/1/2049   276,843 
 68,189   Loan ID 200520  Fixed   3.260%  7/1/2053   47,464 
 122,053   Loan ID 200524  Fixed   3.500%  6/1/2043   124,318 
 288,199   Loan ID 200525  Fixed   3.250%  12/1/2042   255,343 
 112,663   Loan ID 200527  Fixed   4.500%  12/1/2043   118,296 
 138,293   Loan ID 200528  Fixed   4.375%  2/1/2044   145,208 
 400,563   Loan ID 200529  Fixed   4.625%  2/1/2044   420,591 
 32,781   Loan ID 200530  Fixed   5.375%  2/1/2044   34,420 
 176,217   Loan ID 200531  Fixed   4.625%  11/1/2043   185,028 
 113,583   Loan ID 200532  Fixed   3.250%  7/1/2043   100,599 
 59,302   Loan ID 200536  Fixed   3.750%  10/1/2042   41,120 
 123,797   Loan ID 200537  Fixed   4.500%  3/1/2042   118,811 
 93,871   Loan ID 200538  Fixed   4.750%  1/1/2043   98,565 
 85,285   Loan ID 200540  Fixed   3.875%  2/1/2043   89,550 
 57,601   Loan ID 200543  ARM   7.250%  2/1/2037   6,907 
 58,970   Loan ID 200545  Fixed   4.375%  2/1/2029   61,919 
 122,925   Loan ID 200546  Fixed   5.375%  12/1/2043   129,071 
 170,736   Loan ID 200548  Fixed   5.250%  2/1/2044   179,273 
 145,531   Loan ID 200550  Fixed   3.750%  3/1/2043   151,759 
 222,201   Loan ID 200555  Fixed   4.375%  1/1/2044   233,311 
 109,010   Loan ID 200557  Fixed   9.077%  8/1/2035   114,461 
 120,922   Loan ID 200560  Fixed   5.750%  5/1/2035   126,968 
 226,155   Loan ID 200561  Fixed   6.375%  12/1/2036   219,372 
 140,504   Loan ID 200564  Fixed   4.875%  5/1/2039   133,401 
 536,353   Loan ID 200565  ARM   4.000%  6/1/2037   447,921 
 378,729   Loan ID 200566  Fixed   6.500%  7/1/2047   323,600 
 133,576   Loan ID 200567  Fixed   3.375%  5/1/2043   136,782 
 100,271   Loan ID 200569  Fixed   5.125%  2/1/2044   105,285 
 432,519   Loan ID 200570  Fixed   3.625%  6/1/2043   449,131 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$137,860   Loan ID 200571  Fixed   4.500%  7/1/2043  $144,753 
 167,385   Loan ID 200572  Fixed   4.375%  3/1/2044   175,755 
 97,110   Loan ID 200573  Fixed   3.750%  9/1/2042   100,843 
 131,634   Loan ID 200574  Fixed   4.875%  1/1/2044   138,216 
 183,396   Loan ID 200577  Fixed   3.125%  4/1/2028   184,885 
 185,801   Loan ID 200578  Fixed   4.750%  8/1/2040   195,091 
 49,255   Loan ID 200579  Fixed   4.875%  5/1/2042   47,849 
 177,962   Loan ID 200580  Fixed   4.125%  11/1/2041   170,804 
 39,044   Loan ID 200581  Fixed   4.750%  9/1/2042   40,673 
 377,251   Loan ID 200582  Fixed   4.000%  11/1/2042   320,649 
 88,620   Loan ID 200583  Fixed   3.625%  9/1/2027   92,065 
 353,166   Loan ID 200584  Fixed   3.375%  4/1/2043   308,452 
 161,580   Loan ID 200585  Fixed   4.000%  5/1/2042   84,187 
 331,637   Loan ID 200586  Fixed   3.500%  1/1/2043   342,390 
 255,172   Loan ID 200588  Fixed   3.750%  5/1/2042   267,210 
 61,058   Loan ID 200590  Fixed   4.125%  7/1/2042   64,111 
 103,893   Loan ID 200591  Fixed   4.875%  3/1/2043   109,088 
 99,520   Loan ID 200592  Fixed   4.375%  6/1/2042   104,496 
 68,046   Loan ID 200593  Fixed   3.875%  6/1/2042   70,309 
 230,096   Loan ID 200594  Fixed   4.250%  4/1/2043   222,601 
 39,868   Loan ID 200597  Fixed   5.625%  2/1/2044   41,861 
 137,088   Loan ID 200598  Fixed   4.625%  2/1/2044   143,592 
 121,690   Loan ID 200599  Fixed   4.125%  2/1/2043   127,775 
 200,481   Loan ID 200600  Fixed   4.625%  4/1/2044   210,505 
 110,194   Loan ID 200601  Fixed   4.000%  3/1/2043   115,703 
 186,870   Loan ID 200602  Fixed   3.750%  3/1/2043   195,427 
 71,724   Loan ID 200603  Fixed   4.125%  6/1/2043   75,310 
 74,410   Loan ID 200604  Fixed   3.500%  1/1/2043   76,763 
 142,187   Loan ID 200605  Fixed   4.875%  11/1/2043   85,219 
 129,815   Loan ID 200606  Fixed   3.625%  12/1/2042   133,279 
 223,616   Loan ID 200607  Fixed   2.875%  11/1/2027   221,960 
 137,314   Loan ID 200608  Fixed   4.125%  11/1/2043   131,625 
 58,069   Loan ID 200611  Fixed   4.625%  5/1/2043   60,973 
 127,343   Loan ID 200612  Fixed   4.500%  2/1/2043   124,276 
 207,775   Loan ID 200613  Fixed   3.369%  1/1/2043   209,954 
 104,614   Loan ID 200614  Fixed   5.000%  1/1/2044   109,844 
 103,109   Loan ID 200615  Fixed   4.250%  8/1/2043   108,265 
 342,493   Loan ID 200616  Fixed   4.875%  2/1/2044   359,618 
 93,334   Loan ID 200617  Fixed   4.750%  9/1/2043   44,388 
 130,488   Loan ID 200618  Fixed   4.375%  5/1/2042   137,012 
 231,957   Loan ID 200620  Fixed   4.250%  10/1/2043   201,104 
 133,842   Loan ID 200621  Fixed   3.625%  1/1/2043   138,051 
 74,390   Loan ID 200623  Fixed   4.375%  12/1/2042   78,110 
 257,414   Loan ID 200624  Fixed   4.125%  4/1/2043   270,285 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$118,073   Loan ID 200626  Fixed   4.500%  10/1/2043  $104,053 
 133,381   Loan ID 200627  Fixed   4.250%  10/1/2043   140,050 
 82,330   Loan ID 200628  Fixed   3.250%  2/1/2028   83,564 
 156,085   Loan ID 200629  Fixed   4.375%  9/1/2043   147,538 
 167,291   Loan ID 200630  Fixed   5.250%  9/1/2043   175,655 
 294,717   Loan ID 200631  Fixed   3.250%  6/1/2043   300,166 
 346,789   Loan ID 200632  Fixed   5.250%  5/1/2044   364,128 
 226,768   Loan ID 200633  Fixed   5.125%  5/1/2044   238,106 
 235,127   Loan ID 200634  Fixed   4.375%  1/1/2044   221,146 
 107,139   Loan ID 200635  Fixed   3.750%  5/1/2029   110,629 
 196,803   Loan ID 200636  Fixed   3.750%  2/1/2053   206,643 
 189,764   Loan ID 200638  Fixed   3.875%  3/1/2043   157,874 
 170,986   Loan ID 200641  Fixed   5.250%  4/1/2044   179,535 
 146,747   Loan ID 200642  Fixed   5.000%  3/1/2044   135,106 
 170,089   Loan ID 200644  Fixed   4.750%  3/1/2044   178,593 
 118,918   Loan ID 200645  Fixed   5.000%  4/1/2044   124,864 
 119,001   Loan ID 200647  Fixed   4.250%  1/1/2044   124,951 
 155,240   Loan ID 200648  Fixed   4.750%  3/1/2044   163,002 
 144,370   Loan ID 200649  Fixed   4.375%  3/1/2044   100,414 
 130,734   Loan ID 200650  Fixed   4.875%  5/1/2044   126,137 
 265,007   Loan ID 200651  Fixed   3.625%  7/1/2043   274,403 
 171,291   Loan ID 200652  Fixed   4.125%  5/1/2038   120,369 
 354,317   Loan ID 200653  Fixed   4.000%  4/1/2053   338,421 
 281,020   Loan ID 200654  Fixed   5.125%  2/1/2041   151,958 
 142,063   Loan ID 200655  Fixed   3.375%  5/1/2043   142,823 
 154,309   Loan ID 200656  Fixed   6.875%  7/1/2037   62,719 
 146,381   Loan ID 200657  Fixed   4.875%  8/1/2051   153,700 
 286,420   Loan ID 200659  Fixed   4.000%  3/1/2053   201,543 
 184,025   Loan ID 200660  Fixed   5.875%  3/1/2038   193,226 
 213,664   Loan ID 200662  Fixed   5.000%  3/1/2044   224,347 
 69,585   Loan ID 200663  Fixed   4.750%  5/1/2044   73,064 
 278,235   Loan ID 200664  Fixed   4.750%  4/1/2044   275,850 
 271,522   Loan ID 200665  Fixed   5.299%  12/1/2046   130,631 
 217,913   Loan ID 200666  Fixed   5.890%  8/26/2035   138,672 
 305,690   Loan ID 200668  Fixed   3.625%  4/1/2043   313,849 
 156,780   Loan ID 200669  Fixed   5.250%  4/1/2044   164,619 
 65,237   Loan ID 200670  Fixed   4.375%  2/1/2029   68,449 
 239,811   Loan ID 200671  Fixed   4.625%  8/1/2043   233,872 
 159,743   Loan ID 200672  Fixed   3.750%  7/1/2043   147,793 
 312,333   Loan ID 200674  Fixed   4.500%  5/1/2044   296,786 
 290,395   Loan ID 200675  Fixed   5.125%  4/1/2044   304,915 
 125,876   Loan ID 200677  Fixed   3.625%  5/1/2028   130,736 
 471,028   Loan ID 200678  Fixed   4.375%  2/1/2044   494,579 
 257,062   Loan ID 200679  Fixed   5.000%  4/1/2044   202,453 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$191,874   Loan ID 200682  Fixed   4.875%  5/1/2044  $173,713 
 215,237   Loan ID 200683  Fixed   4.500%  4/1/2044   225,999 
 127,558   Loan ID 200684  Fixed   4.875%  4/1/2044   133,936 
 232,251   Loan ID 200685  Fixed   4.875%  5/1/2044   243,864 
 184,925   Loan ID 200688  Fixed   4.250%  3/1/2053   119,701 
 136,160   Loan ID 200689  Fixed   4.375%  12/1/2043   126,743 
 228,285   Loan ID 200690  Fixed   4.250%  4/1/2044   216,224 
 289,956   Loan ID 200691  Fixed   4.500%  5/1/2044   304,454 
 246,520   Loan ID 200692  Fixed   4.625%  7/1/2044   255,242 
 108,140   Loan ID 200694  Fixed   4.500%  9/1/2043   113,547 
 49,178   Loan ID 200696  Fixed   3.750%  10/1/2042   51,501 
 137,247   Loan ID 200697  Fixed   4.500%  1/1/2044   130,181 
 189,698   Loan ID 200699  Fixed   4.125%  7/1/2044   198,514 
 95,220   Loan ID 200700  Fixed   4.250%  2/1/2044   99,981 
 169,402   Loan ID 200701  Fixed   4.750%  6/1/2044   177,872 
 98,127   Loan ID 200704  Fixed   4.375%  3/1/2043   103,033 
 135,049   Loan ID 200705  Fixed   4.625%  4/1/2044   141,802 
 104,017   Loan ID 200706  Fixed   4.990%  6/1/2044   109,218 
 100,678   Loan ID 200707  Fixed   4.875%  2/1/2044   105,712 
 134,497   Loan ID 200708  Fixed   4.875%  2/1/2044   141,222 
 51,925   Loan ID 200709  Fixed   4.375%  4/1/2043   54,521 
 116,807   Loan ID 200710  Fixed   4.500%  7/1/2044   122,647 
 117,494   Loan ID 200711  Fixed   3.750%  7/1/2043   108,611 
 218,607   Loan ID 200712  Fixed   3.875%  2/1/2044   200,900 
 98,774   Loan ID 200713  Fixed   4.250%  12/1/2043   103,713 
 607,192   Loan ID 200714  Fixed   3.180%  11/1/2036   452,178 
 211,049   Loan ID 200716  ARM   3.440%  8/1/2037   136,785 
 144,434   Loan ID 200720  ARM   3.500%  4/1/2042   91,227 
 187,058   Loan ID 200721  Fixed   3.000%  8/1/2037   119,008 
 191,871   Loan ID 200725  Fixed   7.000%  7/1/2037   88,149 
 150,438   Loan ID 200726  Fixed   4.125%  9/1/2037   68,363 
 174,489   Loan ID 200727  Fixed   2.625%  7/1/2037   144,538 
 344,336   Loan ID 200729  ARM   3.630%  11/1/2037   172,389 
 446,642   Loan ID 200730  ARM   2.750%  9/1/2036   272,929 
 200,658   Loan ID 200732  Fixed   4.130%  9/1/2027   175,228 
 234,334   Loan ID 200733  Fixed   3.750%  12/1/2042   245,191 
 246,376   Loan ID 200734  ARM   3.375%  4/1/2044   257,566 
 103,342   Loan ID 200735  Fixed   4.500%  6/1/2044   108,260 
 146,221   Loan ID 200736  Fixed   4.750%  5/1/2044   130,952 
 144,227   Loan ID 200737  Fixed   4.750%  5/1/2044   91,335 
 595,792   Loan ID 200738  Fixed   4.125%  6/1/2044   625,581 
 357,267   Loan ID 200739  Fixed   4.625%  8/1/2044   324,029 
 133,388   Loan ID 200740  Fixed   4.875%  6/1/2044   140,057 
 111,376   Loan ID 200741  Fixed   4.250%  6/1/2044   49,666 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$179,968   Loan ID 200742  Fixed   4.250%  4/1/2043  $179,968 
 195,026   Loan ID 200744  Fixed   3.625%  6/1/2043   202,474 
 124,845   Loan ID 200745  Fixed   3.250%  6/1/2043   111,503 
 371,355   Loan ID 200746  Fixed   5.250%  6/1/2044   340,358 
 337,307   Loan ID 200747  Fixed   4.125%  5/1/2043   351,327 
 456,888   Loan ID 200748  Fixed   4.750%  12/1/2043   479,733 
 155,907   Loan ID 200749  Fixed   4.750%  9/1/2043   163,702 
 246,799   Loan ID 200750  Fixed   4.750%  5/1/2044   259,139 
 171,903   Loan ID 200752  Fixed   4.750%  10/1/2043   137,976 
 60,668   Loan ID 200753  Fixed   5.250%  5/1/2044   58,453 
 226,858   Loan ID 200754  Fixed   4.750%  8/1/2044   237,102 
 56,659   Loan ID 200755  Fixed   4.250%  6/1/2043   54,511 
 192,428   Loan ID 200756  Fixed   4.875%  11/1/2043   189,984 
 129,032   Loan ID 200759  Fixed   3.750%  6/1/2043   117,724 
 175,978   Loan ID 200760  Fixed   3.750%  6/1/2043   183,661 
 306,450   Loan ID 200762  Fixed   3.875%  5/1/2042   317,723 
 156,318   Loan ID 200763  Fixed   4.250%  11/1/2043   149,512 
 207,848   Loan ID 200765  Fixed   4.875%  11/1/2043   203,869 
 501,909   Loan ID 200766  Fixed   3.625%  12/1/2042   522,490 
 138,743   Loan ID 200770  Fixed   4.000%  5/1/2043   121,982 
 179,043   Loan ID 200771  Fixed   4.500%  4/1/2043   170,939 
 251,524   Loan ID 200772  Fixed   3.750%  3/1/2043   263,363 
 58,967   Loan ID 200773  Fixed   3.750%  10/1/2043   46,966 
 209,337   Loan ID 200774  Fixed   3.875%  7/1/2043   219,561 
 45,315   Loan ID 200775  Fixed   4.250%  4/1/2043   47,581 
 82,777   Loan ID 200776  Fixed   4.250%  3/1/2044   78,519 
 54,358   Loan ID 200777  Fixed   4.750%  6/1/2044   50,696 
 108,479   Loan ID 200778  Fixed   4.625%  6/1/2044   113,903 
 145,028   Loan ID 200779  Fixed   4.625%  8/1/2044   152,280 
 170,083   Loan ID 200781  Fixed   4.625%  9/1/2044   178,587 
 142,292   Loan ID 200783  Fixed   4.750%  9/1/2044   140,529 
 116,319   Loan ID 200785  Fixed   4.500%  8/1/2044   120,974 
 230,476   Loan ID 200786  Fixed   4.625%  7/1/2044   223,555 
 43,781   Loan ID 200787  Fixed   4.750%  9/1/2044   45,701 
 196,402   Loan ID 200788  Fixed   3.625%  12/1/2028   201,778 
 132,460   Loan ID 200789  Fixed   3.750%  9/1/2044   120,381 
 153,658   Loan ID 200790  Fixed   4.250%  8/1/2044   148,642 
 206,121   Loan ID 200791  Fixed   4.875%  6/1/2044   216,427 
 366,484   Loan ID 200792  Fixed   3.375%  1/1/2043   231,764 
 372,121   Loan ID 200793  Fixed   2.000%  10/1/2051   155,381 
 234,344   Loan ID 200794  Fixed   3.000%  4/1/2050   56,528 
 95,492   Loan ID 200795  Fixed   6.750%  8/1/2036   92,353 
 72,305   Loan ID 200796  Fixed   2.170%  12/1/2053   47,314 
 420,837   Loan ID 200797  Fixed   4.000%  6/1/2052   364,042 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$59,882   Loan ID 200799  Fixed   4.000%  2/5/2053  $59,621 
 61,199   Loan ID 200800  Fixed   4.000%  1/1/2053   36,993 
 215,951   Loan ID 200802  Fixed   6.000%  1/1/2042   69,636 
 361,790   Loan ID 200803  Fixed   2.250%  11/1/2050   140,155 
 155,490   Loan ID 200805  Fixed   4.000%  7/1/2050   112,871 
 158,953   Loan ID 200806  Fixed   5.000%  8/1/2049   92,139 
 298,195   Loan ID 200807  Fixed   2.460%  7/1/2047   188,957 
 58,638   Loan ID 200808  Fixed   3.000%  11/1/2050   22,397 
 117,156   Loan ID 200809  Fixed   4.000%  4/1/2050   50,492 
 139,387   Loan ID 200810  Fixed   4.000%  1/1/2050   84,107 
 111,428   Loan ID 200811  Fixed   4.000%  4/1/2050   78,264 
 273,272   Loan ID 200813  Fixed   2.000%  12/1/2049   119,961 
 243,251   Loan ID 200814  Fixed   8.250%  7/1/2039   248,675 
 315,013   Loan ID 200815  Fixed   2.000%  3/1/2053   160,403 
 282,716   Loan ID 200817  Fixed   4.000%  1/1/2050   184,515 
 54,626   Loan ID 200818  Fixed   3.490%  8/1/2051   45,225 
 264,687   Loan ID 200819  Fixed   2.000%  9/1/2053   112,580 
 136,282   Loan ID 200820  Fixed   4.000%  7/1/2044   126,188 
 212,109   Loan ID 200821  Fixed   4.250%  8/1/2044   219,104 
 322,407   Loan ID 200822  Fixed   4.750%  1/1/2042   338,527 
 82,762   Loan ID 200823  Fixed   4.250%  9/1/2044   79,753 
 225,135   Loan ID 200824  Fixed   4.250%  8/1/2044   209,255 
 107,753   Loan ID 200826  Fixed   4.375%  9/1/2044   113,024 
 189,099   Loan ID 200827  Fixed   3.875%  6/1/2044   175,084 
 238,136   Loan ID 200828  Fixed   4.375%  7/1/2044   222,150 
 251,686   Loan ID 200829  Fixed   4.375%  7/1/2043   264,270 
 213,233   Loan ID 200830  ARM   2.875%  7/1/2044   183,145 
 81,959   Loan ID 200831  Fixed   4.250%  10/1/2044   83,966 
 346,189   Loan ID 200832  Fixed   4.250%  10/1/2044   322,827 
 362,217   Loan ID 200833  Fixed   4.250%  1/1/2043   380,328 
 163,003   Loan ID 200834  Fixed   4.125%  7/1/2043   171,153 
 332,958   Loan ID 200835  Fixed   5.000%  8/1/2043   349,606 
 334,357   Loan ID 200837  Fixed   4.625%  8/1/2044   346,886 
 186,079   Loan ID 200838  Fixed   3.750%  8/1/2044   165,890 
 238,416   Loan ID 200839  Fixed   5.000%  5/1/2044   250,337 
 184,315   Loan ID 200842  Fixed   4.250%  8/1/2044   174,812 
 363,724   Loan ID 200843  Fixed   4.750%  10/1/2043   381,910 
 308,100   Loan ID 200844  Fixed   4.500%  7/1/2043   323,505 
 207,104   Loan ID 200846  Fixed   4.375%  11/1/2043   184,180 
 184,566   Loan ID 200847  Fixed   4.750%  10/1/2044   193,794 
 179,882   Loan ID 200848  Fixed   2.000%  6/1/2051   107,317 
 226,676   Loan ID 200849  Fixed   5.014%  11/1/2047   97,261 
 147,266   Loan ID 200850  Fixed   2.000%  6/1/2051   58,503 
 188,996   Loan ID 200851  Fixed   5.000%  7/1/2051   119,119 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$621,543   Loan ID 200852  Fixed   2.868%  2/1/2053  $520,067 
 114,150   Loan ID 200853  Fixed   3.820%  4/1/2037   85,530 
 106,036   Loan ID 200854  Fixed   2.500%  4/1/2053   96,772 
 225,265   Loan ID 200855  ARM   3.790%  7/1/2037   174,168 
 216,000   Loan ID 200856  Fixed   6.000%  6/1/2042   101,326 
 244,616   Loan ID 200857  Fixed   2.125%  7/1/2040   90,637 
 269,539   Loan ID 200858  Fixed   2.000%  1/1/2053   216,161 
 245,032   Loan ID 200859  Fixed   2.170%  12/1/2052   101,871 
 169,265   Loan ID 200860  Fixed   2.000%  3/1/2052   61,223 
 433,157   Loan ID 200861  Fixed   2.000%  6/1/2054   360,543 
 157,559   Loan ID 200862  Fixed   2.748%  8/1/2050   80,963 
 254,799   Loan ID 200863  Fixed   2.000%  7/1/2052   211,000 
 267,974   Loan ID 200864  Fixed   3.000%  1/1/2037   175,538 
 211,648   Loan ID 200865  Fixed   3.060%  11/1/2053   166,136 
 270,307   Loan ID 200866  Fixed   2.000%  5/1/2053   244,142 
 115,420   Loan ID 200867  Fixed   2.370%  9/1/2053   74,790 
 317,071   Loan ID 200869  ARM   3.820%  4/1/2037   120,278 
 2,762,526   Loan ID 200871  Fixed   2.000%  8/1/2053   1,123,415 
 391,754   Loan ID 200872  Fixed   3.200%  8/1/2050   226,003 
 201,515   Loan ID 200873  Fixed   3.525%  11/1/2053   141,268 
 215,412   Loan ID 200874  Fixed   2.000%  11/1/2047   86,510 
 574,904   Loan ID 200875  Fixed   2.000%  5/1/2054   446,952 
 201,430   Loan ID 200876  ARM   3.130%  5/1/2035   191,261 
 396,218   Loan ID 200877  Fixed   4.750%  9/1/2042   350,816 
 137,391   Loan ID 200878  Fixed   3.000%  7/1/2050   90,769 
 194,372   Loan ID 200880  Fixed   4.250%  6/1/2043   204,091 
 179,246   Loan ID 200882  Fixed   5.125%  9/1/2043   188,208 
 87,510   Loan ID 200883  Fixed   3.375%  5/1/2028   89,354 
 175,781   Loan ID 200885  Fixed   4.875%  10/1/2044   179,461 
 97,664   Loan ID 200886  Fixed   4.250%  10/1/2044   100,731 
 255,794   Loan ID 200887  Fixed   4.750%  9/1/2044   268,583 
 240,414   Loan ID 200888  Fixed   4.500%  9/1/2044   210,564 
 136,339   Loan ID 200890  Fixed   4.375%  11/1/2044   116,588 
 210,081   Loan ID 200891  Fixed   4.250%  10/1/2044   198,291 
 258,378   Loan ID 200892  Fixed   3.750%  9/1/2043   232,667 
 225,892   Loan ID 200893  Fixed   5.000%  11/1/2043   237,187 
 99,831   Loan ID 200894  Fixed   5.000%  10/1/2043   104,822 
 229,224   Loan ID 200895  Fixed   3.875%  11/1/2043   237,381 
 197,760   Loan ID 200897  Fixed   4.750%  10/1/2044   142,558 
 222,589   Loan ID 200898  Fixed   4.250%  10/1/2043   187,455 
 378,173   Loan ID 200900  Fixed   4.375%  9/1/2044   362,049 
 670,655   Loan ID 200902  Fixed   4.250%  9/1/2044   704,188 
 254,223   Loan ID 200904  Fixed   5.125%  9/1/2044   247,729 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$406,735   Loan ID 200905  Fixed   5.375%  9/1/2044  $426,588 
 319,282   Loan ID 200906  Fixed   4.875%  2/1/2035   335,246 
 354,946   Loan ID 200907  ARM   3.500%  8/1/2047   287,391 
 107,164   Loan ID 200908  Fixed   4.000%  6/1/2049   100,992 
 116,815   Loan ID 200909  Fixed   4.870%  3/1/2046   122,656 
 205,283   Loan ID 200910  Fixed   3.300%  4/1/2053   173,155 
 150,092   Loan ID 200911  Fixed   3.380%  9/1/2053   75,748 
 723,314   Loan ID 200912  Fixed   4.500%  3/1/2037   596,939 
 60,320   Loan ID 200913  Fixed   4.250%  5/1/2047   52,902 
 154,221   Loan ID 200914  Fixed   2.875%  12/1/2047   113,946 
 144,386   Loan ID 200915  Fixed   2.990%  9/1/2053   41,991 
 96,667   Loan ID 200916  Fixed   4.000%  10/1/2037   98,847 
 161,645   Loan ID 200917  Fixed   4.875%  1/1/2051   169,728 
 515,918   Loan ID 200918  Fixed   3.875%  10/1/2035   467,778 
 556,008   Loan ID 200919  Fixed   3.000%  8/1/2045   484,462 
 99,650   Loan ID 200921  ARM   3.250%  7/1/2051   95,015 
 428,690   Loan ID 200922  Fixed   3.340%  9/1/2053   398,090 
 439,367   Loan ID 200923  Fixed   3.750%  12/1/2036   361,832 
 513,582   Loan ID 200924  Fixed   5.000%  9/1/2051   455,939 
 467,224   Loan ID 200925  Fixed   4.000%  4/1/2055   488,322 
 335,649   Loan ID 200927  Fixed   3.000%  8/1/2038   338,449 
 125,986   Loan ID 200928  Fixed   4.800%  12/1/2036   132,285 
 164,964   Loan ID 200929  Fixed   4.625%  1/1/2043   173,212 
 245,645   Loan ID 200930  Fixed   3.000%  12/1/2050   164,211 
 393,202   Loan ID 200931  Fixed   4.250%  12/1/2052   294,403 
 309,484   Loan ID 200933  Fixed   4.250%  3/1/2043   324,959 
 117,497   Loan ID 200934  Fixed   3.810%  1/1/2043   122,764 
 182,445   Loan ID 200935  Fixed   3.875%  4/1/2043   189,064 
 200,716   Loan ID 200936  Fixed   4.000%  5/1/2042   200,716 
 177,899   Loan ID 200938  Fixed   4.125%  4/1/2043   186,794 
 124,940   Loan ID 200939  Fixed   4.170%  5/1/2042   131,187 
 204,556   Loan ID 200940  Fixed   3.250%  2/1/2043   207,658 
 119,234   Loan ID 200941  Fixed   3.780%  1/1/2043   124,475 
 286,287   Loan ID 200942  Fixed   4.000%  4/1/2043   300,601 
 106,869   Loan ID 200944  Fixed   4.500%  2/1/2044   101,881 
 144,104   Loan ID 200945  Fixed   5.125%  4/1/2044   151,309 
 295,614   Loan ID 200947  Fixed   4.000%  2/1/2043   310,395 
 132,146   Loan ID 200948  Fixed   4.625%  12/1/2042   125,163 
 288,623   Loan ID 200949  Fixed   3.875%  4/1/2043   303,054 
 186,634   Loan ID 200952  Fixed   3.875%  1/1/2043   195,966 
 120,916   Loan ID 200953  Fixed   3.750%  12/1/2042   108,908 
 389,022   Loan ID 200954  Fixed   3.625%  1/1/2043   403,981 
 339,249   Loan ID 200955  Fixed   3.250%  5/1/2043   345,112 
 266,432   Loan ID 200956  Fixed   5.000%  8/1/2051   261,547 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$171,767   Loan ID 200957  Fixed   3.875%  6/1/2043  $180,355 
 98,647   Loan ID 200958  Fixed   3.875%  6/1/2043   103,100 
 429,707   Loan ID 200959  Fixed   4.000%  11/1/2042   451,193 
 385,666   Loan ID 200960  Fixed   3.500%  1/1/2043   397,002 
 182,829   Loan ID 200961  Fixed   4.750%  6/1/2043   191,971 
 212,778   Loan ID 200962  Fixed   4.250%  10/1/2044   199,348 
 120,772   Loan ID 200963  Fixed   4.750%  9/1/2044   114,564 
 362,830   Loan ID 200964  Fixed   3.750%  7/1/2043   379,438 
 210,781   Loan ID 200965  Fixed   4.125%  11/1/2044   190,711 
 149,548   Loan ID 200966  Fixed   4.875%  7/1/2044   143,084 
 97,042   Loan ID 200968  Fixed   4.250%  11/1/2044   81,067 
 370,565   Loan ID 200969  Fixed   4.875%  8/1/2043   389,094 
 136,040   Loan ID 200972  Fixed   4.750%  2/1/2044   142,842 
 157,383   Loan ID 200974  Fixed   4.250%  10/1/2044   150,338 
 58,445   Loan ID 200975  Fixed   4.750%  12/1/2044   61,367 
 358,581   Loan ID 200977  Fixed   4.875%  9/1/2044   376,510 
 181,702   Loan ID 200980  Fixed   4.250%  11/1/2044   187,511 
 217,918   Loan ID 200983  Fixed   4.375%  8/1/2044   209,733 
 156,275   Loan ID 200984  Fixed   5.000%  10/1/2043   164,089 
 265,212   Loan ID 200985  Fixed   4.250%  12/1/2044   233,479 
 157,014   Loan ID 200986  Fixed   4.250%  12/1/2044   164,865 
 116,795   Loan ID 200987  Fixed   4.625%  10/1/2044   121,311 
 223,960   Loan ID 200989  Fixed   3.750%  6/1/2029   232,418 
 291,827   Loan ID 200992  Fixed   4.125%  5/1/2043   306,418 
 173,117   Loan ID 200993  Fixed   2.004%  7/15/2049   160,412 
 206,370   Loan ID 200994  Fixed   4.125%  5/1/2053   115,294 
 200,393   Loan ID 200995  Fixed   2.750%  5/1/2047   110,972 
 57,780   Loan ID 200996  Fixed   2.500%  8/1/2048   42,758 
 100,099   Loan ID 200997  Fixed   2.000%  3/1/2051   72,399 
 371,105   Loan ID 200998  Fixed   3.880%  12/1/2050   322,876 
 98,446   Loan ID 200999  Fixed   4.250%  4/1/2044   103,369 
 75,390   Loan ID 201000  Fixed   5.125%  2/1/2039   74,199 
 107,698   Loan ID 201001  Fixed   7.413%  9/1/2037   43,838 
 34,379   Loan ID 201002  Fixed   0.000%  10/1/2024   36,098 
 133,673   Loan ID 201005  Fixed   4.750%  7/1/2041   140,357 
 44,391   Loan ID 201006  Fixed   6.875%  3/1/2038   46,611 
 83,521   Loan ID 201007  Fixed   7.125%  4/1/2037   87,697 
 78,970   Loan ID 201008  Fixed   7.125%  10/1/2038   82,918 
 74,015   Loan ID 201009  Fixed   0.000%  4/1/2033   77,716 
 82,995   Loan ID 201010  Fixed   5.500%  4/1/2039   81,023 
 46,163   Loan ID 201011  Fixed   0.000%  2/1/2023   48,472 
 47,357   Loan ID 201012  Fixed   7.500%  12/1/2038   49,725 
 57,558   Loan ID 201013  Fixed   7.500%  12/1/2038   51,307 
 96,239   Loan ID 201014  Fixed   0.000%  2/1/2033   101,051 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$18,098   Loan ID 201015  Fixed   0.000%  3/29/2021  $19,003 
 109,316   Loan ID 201016  Fixed   6.500%  2/1/2036   112,584 
 27,717   Loan ID 201017  Fixed   0.000%  4/1/2032   29,103 
 318,946   Loan ID 201018  Fixed   6.750%  6/1/2037   334,893 
 101,622   Loan ID 201019  ARM   2.875%  2/1/2037   106,703 
 100,845   Loan ID 201020  Fixed   0.000%  10/1/2034   105,887 
 106,089   Loan ID 201021  Fixed   6.870%  8/1/2047   111,394 
 82,415   Loan ID 201022  ARM   3.130%  5/1/2037   65,318 
 146,289   Loan ID 201023  Fixed   6.450%  2/1/2036   125,414 
 101,134   Loan ID 201024  Fixed   9.000%  3/1/2037   106,191 
 190,515   Loan ID 201025  ARM   2.875%  1/1/2042   181,549 
 82,911   Loan ID 201026  Fixed   7.750%  12/1/2035   53,698 
 107,877   Loan ID 201027  Fixed   9.538%  3/1/2037   113,270 
 172,280   Loan ID 201028  Fixed   4.625%  4/1/2044   180,894 
 106,001   Loan ID 201030  Fixed   5.000%  7/1/2042   111,301 
 144,866   Loan ID 201032  Fixed   4.500%  11/1/2044   134,563 
 293,148   Loan ID 201033  Fixed   4.125%  12/1/2044   280,862 
 106,325   Loan ID 201035  Fixed   4.375%  9/1/2044   63,706 
 99,581   Loan ID 201036  Fixed   4.375%  12/1/2044   91,917 
 70,364   Loan ID 201037  Fixed   8.250%  7/1/2039   73,882 
 113,503   Loan ID 201038  Fixed   8.250%  5/1/2039   58,063 
 462,886   Loan ID 201039  ARM   4.500%  10/1/2045   188,179 
 281,427   Loan ID 201040  Fixed   2.000%  11/1/2045   209,172 
 92,513   Loan ID 201041  Fixed   3.750%  11/1/2052   77,559 
 119,613   Loan ID 201043  Fixed   4.000%  4/1/2039   119,145 
 188,309   Loan ID 201044  Fixed   4.870%  3/29/2037   179,728 
 114,159   Loan ID 201045  Fixed   2.000%  7/1/2037   87,508 
 268,478   Loan ID 201046  Fixed   2.000%  4/1/2053   206,230 
 110,707   Loan ID 201047  Fixed   3.000%  4/1/2053   77,968 
 176,646   Loan ID 201048  Fixed   2.000%  4/1/2052   126,844 
 491,829   Loan ID 201049  Fixed   2.000%  4/1/2052   329,657 
 653,263   Loan ID 201050  Fixed   2.000%  8/1/2053   376,414 
 276,107   Loan ID 201051  Fixed   3.174%  9/1/2053   232,783 
 130,646   Loan ID 201052  Fixed   3.000%  4/1/2053   58,025 
 66,536   Loan ID 201053  Fixed   3.860%  7/1/2053   57,899 
 218,532   Loan ID 201054  Fixed   2.400%  5/17/2050   150,965 
 606,169   Loan ID 201056  Fixed   2.000%  7/1/2054   515,400 
 172,364   Loan ID 201057  Fixed   2.000%  1/1/2050   137,826 
 139,905   Loan ID 201058  Fixed   2.500%  8/1/2037   118,589 
 137,078   Loan ID 201059  Fixed   2.000%  4/1/2053   125,511 
 118,291   Loan ID 201060  ARM   3.130%  7/1/2035   88,880 
 88,267   Loan ID 201061  Fixed   4.000%  3/1/2050   60,443 
 122,237   Loan ID 201062  Fixed   3.100%  4/1/2047   109,450 
 127,427   Loan ID 201063  Fixed   4.000%  9/1/2047   109,747 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$51,583   Loan ID 201064  Fixed   2.000%  12/1/2052  $39,608 
 218,050   Loan ID 201065  Fixed   3.000%  7/1/2037   170,157 
 235,987   Loan ID 201066  Fixed   4.250%  12/1/2046   247,787 
 446,105   Loan ID 201067  Fixed   4.750%  1/1/2044   429,048 
 305,002   Loan ID 201068  Fixed   5.250%  5/1/2044   320,252 
 70,956   Loan ID 201069  Fixed   4.625%  12/1/2044   68,813 
 631,766   Loan ID 201070  Fixed   4.250%  2/1/2045   663,354 
 182,403   Loan ID 201071  Fixed   4.625%  11/1/2044   172,592 
 122,079   Loan ID 201072  Fixed   3.500%  3/1/2028   99,255 
 51,911   Loan ID 201073  Fixed   3.125%  4/1/2023   52,134 
 97,891   Loan ID 201075  Fixed   4.375%  10/1/2044   101,451 
 130,094   Loan ID 201076  Fixed   3.500%  12/1/2042   131,870 
 138,728   Loan ID 201077  Fixed   3.625%  7/1/2044   125,336 
 269,745   Loan ID 201081  ARM   3.000%  10/1/2044   273,785 
 126,321   Loan ID 201082  Fixed   3.875%  12/1/2044   113,909 
 373,769   Loan ID 201083  Fixed   5.375%  2/1/2044   184,926 
 232,234   Loan ID 201084  Fixed   5.000%  8/1/2038   232,242 
 150,466   Loan ID 201086  Fixed   4.625%  11/1/2044   145,260 
 275,462   Loan ID 201089  Fixed   4.000%  8/1/2044   228,169 
 257,213   Loan ID 201090  Fixed   3.625%  11/1/2044   264,375 
 162,889   Loan ID 201091  Fixed   4.125%  1/1/2045   147,920 
 262,218   Loan ID 201092  Fixed   5.250%  9/1/2043   275,329 
 140,558   Loan ID 201093  Fixed   4.125%  9/1/2043   71,922 
 154,977   Loan ID 201094  Fixed   4.550%  3/1/2044   145,460 
 239,197   Loan ID 201095  Fixed   3.875%  8/1/2044   219,454 
 241,359   Loan ID 201097  Fixed   3.990%  1/1/2045   216,752 
 152,215   Loan ID 201099  Fixed   2.875%  3/1/2030   144,020 
 99,648   Loan ID 201100  Fixed   4.125%  7/1/2043   104,630 
 357,536   Loan ID 201101  Fixed   4.625%  3/1/2045   313,503 
 159,211   Loan ID 201103  ARM   2.875%  5/1/2044   163,970 
 163,696   Loan ID 201104  Fixed   4.375%  4/1/2045   152,988 
 301,568   Loan ID 201105  Fixed   4.250%  11/1/2044   313,753 
 82,271   Loan ID 201107  Fixed   5.150%  2/1/2036   81,458 
 154,540   Loan ID 201108  Fixed   4.750%  2/1/2054   150,038 
 546,952   Loan ID 201110  ARM   3.750%  4/1/2037   355,694 
 162,660   Loan ID 201111  Fixed   4.000%  4/1/2050   71,062 
 254,737   Loan ID 201112  Fixed   4.750%  8/1/2037   215,315 
 79,232   Loan ID 201113  Fixed   5.750%  12/1/2052   83,193 
 111,005   Loan ID 201114  Fixed   8.087%  5/1/2054   95,686 
 515,825   Loan ID 201115  Fixed   4.000%  2/1/2051   481,749 
 82,756   Loan ID 201116  Fixed   4.250%  10/1/2052   37,197 
 130,367   Loan ID 201117  Fixed   4.500%  11/1/2037   99,533 
 217,350   Loan ID 201118  Fixed   2.000%  11/1/2054   140,278 
 132,771   Loan ID 201119  Fixed   4.000%  5/1/2034   135,343 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$54,428   Loan ID 201120  Fixed   4.500%  4/1/2037  $48,235 
 94,528   Loan ID 201121  Fixed   2.000%  11/1/2048   63,301 
 86,923   Loan ID 201122  Fixed   4.750%  11/1/2048   78,717 
 174,699   Loan ID 201123  Fixed   2.000%  7/1/2054   110,485 
 254,047   Loan ID 201124  Fixed   4.000%  4/1/2040   226,389 
 440,644   Loan ID 201126  Fixed   6.500%  4/1/2049   232,257 
 83,684   Loan ID 201127  ARM   2.750%  4/1/2037   24,829 
 280,568   Loan ID 201128  Fixed   2.000%  10/1/2036   155,452 
 160,956   Loan ID 201129  Fixed   4.875%  6/1/2051   157,014 
 124,634   Loan ID 201130  Fixed   4.850%  2/1/2038   124,634 
 117,432   Loan ID 201131  Fixed   5.353%  5/1/2053   42,854 
 172,235   Loan ID 201132  Fixed   2.000%  7/1/2037   131,220 
 154,740   Loan ID 201133  Fixed   2.000%  6/1/2051   118,153 
 201,269   Loan ID 201134  Fixed   2.000%  10/1/2053   137,723 
 538,409   Loan ID 201135  Fixed   2.000%  6/1/2051   267,286 
 529,257   Loan ID 201136  Fixed   2.000%  2/1/2036   465,679 
 293,397   Loan ID 201137  Fixed   2.000%  12/1/2052   224,673 
 60,419   Loan ID 201138  Fixed   4.250%  3/1/2034   58,548 
 165,843   Loan ID 201139  Fixed   2.000%  11/1/2053   70,630 
 160,587   Loan ID 201140  Fixed   4.870%  1/1/2038   145,520 
 144,306   Loan ID 201141  Fixed   2.000%  5/1/2052   109,016 
 452,055   Loan ID 201142  Fixed   2.000%  9/1/2035   362,902 
 91,718   Loan ID 201143  Fixed   2.000%  11/1/2037   77,328 
 103,753   Loan ID 201144  Fixed   3.000%  9/1/2045   92,726 
 231,207   Loan ID 201145  Fixed   4.380%  4/1/2051   220,807 
 133,891   Loan ID 201146  Fixed   4.875%  8/1/2054   121,379 
 111,044   Loan ID 201147  Fixed   2.000%  11/1/2051   82,539 
 98,929   Loan ID 201148  Fixed   3.950%  10/1/2042   103,875 
 279,906   Loan ID 201149  Fixed   5.719%  6/1/2051   219,791 
 123,631   Loan ID 201150  Fixed   2.000%  7/1/2037   94,267 
 481,541   Loan ID 201152  Fixed   2.000%  8/1/2050   416,018 
 251,335   Loan ID 201153  Fixed   3.000%  6/1/2050   179,423 
 62,981   Loan ID 201154  ARM   3.500%  11/1/2041   66,130 
 97,043   Loan ID 201155  Fixed   2.000%  11/1/2053   64,681 
 65,260   Loan ID 201156  Fixed   4.000%  4/1/2050   47,249 
 293,044   Loan ID 201157  Fixed   4.000%  3/1/2055   307,696 
 298,191   Loan ID 201158  Fixed   2.000%  8/1/2052   243,971 
 71,569   Loan ID 201159  Fixed   2.000%  6/1/2039   23,044 
 204,637   Loan ID 201160  Fixed   4.000%  10/1/2049   117,125 
 298,155   Loan ID 201161  Fixed   3.000%  6/1/2054   154,904 
 144,444   Loan ID 201162  Fixed   2.125%  12/1/2052   97,052 
 385,525   Loan ID 201163  Fixed   4.000%  12/1/2049   186,984 
 166,990   Loan ID 201164  Fixed   3.000%  11/1/2051   136,062 
 115,327   Loan ID 201165  Fixed   4.750%  1/1/2044   121,093 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$120,671   Loan ID 201166  Fixed   2.000%  12/1/2054  $100,650 
 439,900   Loan ID 201168  Fixed   2.000%  4/1/2052   318,354 
 111,517   Loan ID 201169  Fixed   5.934%  9/1/2037   106,228 
 68,528   Loan ID 201170  Fixed   4.370%  7/1/2037   55,482 
 70,051   Loan ID 201171  Fixed   2.000%  5/1/2051   55,058 
 105,192   Loan ID 201172  Fixed   4.000%  6/1/2050   81,704 
 110,109   Loan ID 201173  Fixed   2.000%  11/1/2047   26,002 
 149,491   Loan ID 201174  Fixed   4.750%  1/1/2053   145,250 
 65,022   Loan ID 201175  Fixed   4.000%  9/1/2044   58,255 
 136,025   Loan ID 201176  Fixed   4.250%  8/1/2053   129,547 
 270,700   Loan ID 201177  Fixed   2.000%  7/1/2046   226,370 
 310,650   Loan ID 201178  Fixed   3.193%  6/1/2051   119,573 
 303,245   Loan ID 201179  Fixed   3.000%  5/1/2051   156,191 
 421,441   Loan ID 201180  Fixed   2.000%  6/1/2053   362,323 
 321,635   Loan ID 201181  Fixed   4.500%  4/1/2034   337,717 
 51,876   Loan ID 201182  Fixed   3.290%  3/1/2034   42,248 
 136,344   Loan ID 201183  Fixed   2.375%  10/1/2052   105,062 
 64,370   Loan ID 201184  Fixed   4.000%  6/1/2049   67,589 
 261,766   Loan ID 201185  Fixed   5.760%  10/1/2053   274,854 
 82,963   Loan ID 201187  Fixed   2.000%  11/1/2048   46,162 
 629,425   Loan ID 201188  Fixed   2.000%  8/1/2052   455,948 
 105,860   Loan ID 201189  Fixed   4.500%  12/1/2051   111,153 
 161,635   Loan ID 201190  Fixed   4.250%  6/1/2051   169,716 
 212,922   Loan ID 201191  Fixed   3.000%  2/1/2037   207,310 
 118,386   Loan ID 201192  Fixed   2.000%  2/1/2051   105,800 
 233,274   Loan ID 201193  Fixed   3.000%  5/1/2051   133,517 
 331,371   Loan ID 201194  Fixed   2.000%  6/1/2054   247,837 
 148,970   Loan ID 201195  Fixed   3.500%  9/1/2035   126,799 
 643,508   Loan ID 201196  Fixed   2.000%  11/1/2036   532,509 
 180,195   Loan ID 201197  Fixed   5.125%  8/1/2037   165,702 
 51,409   Loan ID 201198  Fixed   4.125%  9/1/2053   53,979 
 341,257   Loan ID 201199  Fixed   3.000%  11/1/2046   294,865 
 294,874   Loan ID 201200  Fixed   4.500%  3/1/2044   289,197 
 295,978   Loan ID 201201  Fixed   4.500%  8/1/2044   310,777 
 195,142   Loan ID 201202  Fixed   3.750%  8/1/2044   172,547 
 128,120   Loan ID 201203  Fixed   3.875%  12/1/2044   107,011 
 463,073   Loan ID 201204  Fixed   3.750%  4/1/2045   480,319 
 152,882   Loan ID 201205  Fixed   4.625%  1/1/2045   148,179 
 133,192   Loan ID 201206  Fixed   3.990%  4/1/2045   139,782 
 426,580   Loan ID 201207  Fixed   4.625%  8/1/2051   403,180 
 117,859   Loan ID 201208  Fixed   4.625%  4/1/2045   123,727 
 183,387   Loan ID 201209  Fixed   4.250%  4/1/2045   169,796 
 177,045   Loan ID 201210  Fixed   3.500%  12/1/2042   141,493 
 132,832   Loan ID 201211  Fixed   4.125%  7/1/2044   126,336 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$368,823   Loan ID 201212  Fixed   4.625%  3/1/2045  $232,516 
 204,808   Loan ID 201213  Fixed   4.875%  8/1/2044   208,008 
 563,609   Loan ID 201214  ARM   2.875%  9/1/2043   497,864 
 141,698   Loan ID 201215  Fixed   3.250%  3/1/2043   128,066 
 273,687   Loan ID 201216  Fixed   3.500%  2/1/2043   248,428 
 104,453   Loan ID 201217  Fixed   3.875%  5/1/2045   97,829 
 129,514   Loan ID 201218  Fixed   4.125%  1/1/2045   116,651 
 70,365   Loan ID 201219  Fixed   4.000%  7/1/2044   57,554 
 297,278   Loan ID 201220  Fixed   4.125%  8/1/2045   268,438 
 67,299   Loan ID 201221  Fixed   3.250%  5/1/2043   70,664 
 48,967   Loan ID 201222  Fixed   5.125%  1/1/2045   49,846 
 235,570   Loan ID 201223  Fixed   3.875%  4/1/2030   247,348 
 255,124   Loan ID 201224  Fixed   4.625%  9/1/2044   267,880 
 62,506   Loan ID 201226  Fixed   5.000%  3/1/2045   65,632 
 180,311   Loan ID 201227  Fixed   5.125%  3/1/2045   187,928 
 66,845   Loan ID 201228  Fixed   4.625%  3/1/2045   68,878 
 107,739   Loan ID 201229  Fixed   3.250%  7/1/2024   105,496 
 206,034   Loan ID 201230  Fixed   3.875%  3/1/2045   209,701 
 210,753   Loan ID 201231  Fixed   4.250%  8/1/2045   214,650 
 127,164   Loan ID 201232  Fixed   4.500%  1/1/2045   128,524 
 263,679   Loan ID 201233  Fixed   4.500%  12/1/2044   251,222 
 205,190   Loan ID 201234  Fixed   5.000%  10/1/2045   194,150 
 94,384   Loan ID 201235  Fixed   3.750%  7/1/2045   94,999 
 69,217   Loan ID 201236  Fixed   5.250%  2/1/2044   72,678 
 243,551   Loan ID 201237  Fixed   3.750%  5/1/2045   224,507 
 204,719   Loan ID 201238  Fixed   5.125%  12/1/2044   214,955 
 192,649   Loan ID 201239  Fixed   4.500%  3/1/2045   202,282 
 162,014   Loan ID 201240  Fixed   4.250%  10/1/2045   169,949 
 303,155   Loan ID 201241  Fixed   4.375%  7/1/2045   318,313 
 231,761   Loan ID 201242  Fixed   4.625%  11/1/2044   243,349 
 113,453   Loan ID 201243  Fixed   4.625%  11/1/2045   115,615 
 409,781   Loan ID 201244  Fixed   4.500%  6/1/2045   381,147 
 118,770   Loan ID 201245  Fixed   4.750%  8/1/2044   114,523 
 325,648   Loan ID 201246  Fixed   4.750%  1/1/2045   316,951 
 191,502   Loan ID 201247  Fixed   4.250%  5/1/2045   155,192 
 103,176   Loan ID 201248  Fixed   4.875%  7/1/2044   108,335 
 475,193   Loan ID 201249  Fixed   4.625%  8/1/2045   402,239 
 65,210   Loan ID 201250  Fixed   4.250%  10/1/2045   67,693 
 134,031   Loan ID 201251  Fixed   4.500%  8/1/2045   124,772 
 143,471   Loan ID 201252  Fixed   4.875%  9/1/2045   150,644 
 13,668   Loan ID 201253  ARM   8.750%  3/1/2019   14,351 
 165,254   Loan ID 201254  ARM   6.840%  9/1/2034   173,517 
 252,843   Loan ID 201255  ARM   7.000%  6/1/2035   265,485 
 43,352   Loan ID 201256  ARM   10.500%  10/1/2021   45,520 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$245,926   Loan ID 201257  Fixed   4.500%  5/1/2044  $258,223 
 93,369   Loan ID 201258  Fixed   4.500%  6/1/2045   77,251 
 121,536   Loan ID 201259  Fixed   4.625%  1/1/2046   101,002 
 176,175   Loan ID 201260  Fixed   4.750%  9/1/2045   184,983 
 102,699   Loan ID 201261  Fixed   4.125%  6/1/2045   106,950 
 62,262   Loan ID 201262  Fixed   4.200%  1/1/2046   64,392 
 51,514   Loan ID 201263  Fixed   4.750%  101/2045   41,900 
 191,342   Loan ID 201264  Fixed   5.000%  3/1/2045   169,013 
 366,260   Loan ID 201265  Fixed   4.750%  6/1/2045   376,919 
 149,205   Loan ID 201266  Fixed   4.500%  2/1/2046   149,457 
 191,562   Loan ID 201267  Fixed   4.875%  12/1/2045   191,030 
 243,176   Loan ID 201268  Fixed   4.250%  6/1/2045   255,335 
 127,948   Loan ID 201269  Fixed   4.375%  12/1/2045   76,950 
 156,857   Loan ID 201270  Fixed   4.125%  2/1/2045   143,161 
 261,328   Loan ID 201271  Fixed   4.500%  6/1/2045   243,528 
 143,745   Loan ID 201272  Fixed   4.750%  11/1/2044   148,029 
 248,115   Loan ID 201273  Fixed   4.500%  12/1/2045   242,018 
 224,115   Loan ID 201274  Fixed   4.125%  10/1/2045   204,324 
 579,384   Loan ID 201276  Fixed   4.000%  11/1/2045   608,353 
 198,786   Loan ID 201278  Fixed   3.750%  12/1/2045   165,669 
 322,304   Loan ID 201279  Fixed   4.875%  3/1/2046   302,761 
 379,496   Loan ID 201280  Fixed   4.500%  4/1/2046   361,668 
 157,487   Loan ID 201281  Fixed   4.875%  7/1/2044   163,674 
 132,540   Loan ID 201282  Fixed   5.250%  1/1/2046   104,809 
 113,879   Loan ID 201283  Fixed   4.250%  11/1/2045   117,043 
 146,765   Loan ID 201284  Fixed   3.625%  2/1/2029   154,103 
 35,953   Loan ID 201285  Fixed   4.625%  11/1/2028   37,750 
 113,070   Loan ID 201286  Fixed   4.375%  12/1/2045   116,956 
 190,840   Loan ID 201287  Fixed   3.625%  4/1/2046   152,285 
 127,901   Loan ID 201288  Fixed   4.500%  2/1/2046   113,620 
 88,144   Loan ID 201289  Fixed   4.000%  3/1/2045   90,343 
 255,498   Loan ID 201288  Fixed   4.750%  7/1/2045   268,273 
 311,536   Loan ID 201291  Fixed   5.000%  8/1/2045   318,849 
 83,802   Loan ID 201292  Fixed   4.500%  5/1/2045   87,992 
 38,116   Loan ID 201293  Fixed   4.875%  9/1/2045   39,274 
 130,356   Loan ID 201294  Fixed   4.625%  2/1/2046   113,557 
 101,890   Loan ID 201295  Fixed   4.500%  12/1/2045   78,685 
 783,634   Loan ID 201296  Fixed   4.250%  2/1/2046   817,062 
 351,235   Loan ID 201297  Fixed   4.875%  8/1/2045   368,797 
 157,187   Loan ID 201298  Fixed   4.250%  8/1/2045   160,567 
 263,045   Loan ID 201299  Fixed   4.250%  12/1/2045   193,813 
 203,000   Loan ID 201300  Fixed   4.750%  3/1/2046   206,884 
 75,775   Loan ID 201301  Fixed   4.550%  10/1/2044   78,054 
 121,381   Loan ID 201302  Fixed   4.250%  5/1/2045   126,698 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
June 30, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.8%              
$100,672   Loan ID 201303  Fixed   3.875%  3/1/2045   103,915 
 235,830   Loan ID 201304  Fixed   4.125%  2/1/2046   181,897 
 152,952   Loan ID 201305  Fixed   4.625%  8/1/2044   153,815 
 121,381   Loan ID 201306  Fixed   3.875%  9/1/2045   103,001 
 172,125   Loan ID 201307  Fixed   4.250%  11/1/2045   153,050 
     TOTAL MORTGAGE NOTES (Cost - $148,259,256)*       162,514,947 
                      
     OTHER INVESTMENTS* (Cost - $814,009)(a) - 0.5%       837,590 
                      
     TOTAL INVESTMENTS (Cost - $149,073,265)(a) - 92.3%      $163,352,537 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 7.7%       13,632,329 
     NET ASSETS - 100.0%             $176,984,866 

 

ARM - Adjustable Rate Mortgage

 

*Illiquid Securities

 

**Non-income producing security.

 

(a)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is the same as there are no book to tax differences.

 

Unrealized appreciation:  $25,196,946 
Unrealized depreciation:   (10,917,674)
Net unrealized appreciation:  $14,279,272 

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2016
 

The following is a summary of significant accounting policies followed by the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Fund follows the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

 

Security Valuation

 

Mortgage Notes – On October 13, 2015, the Fund began using an independent third-party pricing service, approved by the Fund’s Board of Trustees (“the Board”), to value its Mortgage Notes on a daily basis. The Fund had previously used the prior advisor’s proprietary model. The Fund’s NAV increased $0.76 per share upon conversion to the new pricing service on October 13, 2015. The revaluing of certain Mortgage Notes decreased the original October 13, 2015 value $0.42 cents per share (see Note 3 in the Fund’s Form N-CSR for the period ended September 30, 2016 filed with the Securities and Exchange Commission on March 22, 2017 for more details). The third-party pricing servicer uses a cash flow forecast and valuation model that focuses on forecasting the frequency, timing and severity of mortgage loss behavior. The model incorporates numerous observable loan-level factors such as unpaid principal balance, remaining term of the loan and coupon rate as well as macroeconomic data including yield curves, spreads to the Treasury curves and home price indexes. The model includes a number of unobservable factors and assumptions (such as voluntary and involuntary prepayment speeds, delinquency rates, foreclosure timing, and others) to determine a fair value. While the model requires a minimum set of data to develop a reasonable fair value, the model is capable of accepting additional data elements. The model makes certain assumptions unless a specific data element is included, in which case is uses the additional data. Not all assumptions have equal weighting in the model. Using assumptions in this manner is a part of the Fund’s valuation policy and procedures and provides consistency in the application of valuation assumptions. The third-party pricing servicer also benchmarks their pricing model against observable pricing levels being quoted by a range of market participants active in the purchase and sale of residential mortgage loans. The combination of loan level criteria and daily market adjustments produced a daily price for each Mortgage Note relative to current public market conditions.

 

Prior to purchase, each Mortgage Note goes through a due diligence process that includes considerations such as underwriting borrower credit, employment history, property valuation, and delinquency history with an overall emphasis on repayment of the Mortgage Notes. The purchase price of the Mortgage Notes reflects the overall risk relative to the findings of this due diligence process.

 

The Fund invests primarily in Mortgage Notes secured by residential real estate. The market or liquidation value of each type of residential real estate collateral may be adversely affected by numerous factors, including rising interest rates; changes in the national, state and local economic climate and real estate conditions; perceptions of prospective buyers of the safety, convenience and attractiveness of the properties; maintenance and insurance costs; changes in real estate taxes and other expenses; adverse changes in governmental rules and fiscal policies; adverse changes in zoning laws; and other factors beyond the control of the borrowers.

 

The Fund’s investments in Mortgage Notes are subject to liquidity risk because there is a limited secondary market for Mortgage Notes. Liquidity risk exists when particular investments of the Fund would be difficult to purchase or sell, possibly preventing the Fund from selling such illiquid securities at an advantageous time or price, or possibly requiring the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations.

 

Securities for which current market quotations are not readily available, such as the Mortgage Notes the Fund invests in, or for which quotations are not deemed to be representative of market values are valued at fair value as determined in good faith by or under the direction of the Board in accordance with the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”). The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2016
 

The valuation inputs and subsequent outputs are reviewed and maintained on a daily basis. Any calibrations or adjustments to the model that may be necessary are done on an as needed basis to facilitate fair pricing. Financial markets are monitored daily relative to the interest rate environment. If other available market data indicates that the pricing data from the third-party service is materially inaccurate, or pricing data is unavailable, the Fund undertakes a review of other available prices and takes additional steps to determine fair value. In all cases, the Fund validates its understanding of methodology and assumptions underlying the fair value used

 

The Fund follows guidance in ASC 820, Fair Value Measurement, where fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between the market participants at the measurement date. The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Notwithstanding, the actual sale price of a Mortgage Note will likely be different than its fair value determined under ASC 820. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. ASC 820 classifies the inputs used to measure these fair values into the following hierarchy:

 

Level 1 – Unadjusted quoted prices in active markets for identical and/or similar assets and liabilities that the Fund has the ability to access at the measurement date.

 

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

 

Level 3 – Significant 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 June 30, 2016 for the Fund’s assets measured at fair value:

 

Assets  Level 1   Level 2   Level 3   Total 
Mortgage Notes  $—   $—   $162,514,947   $162,514,947 
Other Investments   —    —    837,590   $837,590 
Total    $—   $—   $163,352,537   $163,352,537 

 

There were no transfers between levels during the current period presented. It is the Fund’s policy to record transfers into or out of levels at the end of the reporting period.

 

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

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2016

 

   Mortgage Notes   Other Investments   Total 
Beginning Balance - 10/1/15  $148,189,668   $487,243   $148,676,911 
Net realized gain (loss)   1,683,747    10,711    1,694,458 
Change in unrealized appreciation (depreciation)*   12,110,774    81,941    12,192,715 
Cost of purchases   14,113,989    —    14,113,989 
Proceeds from sales and principal paydowns   (14,258,628)   (78,496)   (14,337,124)
Amortization   1,008,036    3,552    1,011,588 
Net Transfers in/out of Level 3   (332,639)   332,639    — 
Ending balance - 6/30/16  $162,514,947   $837,590   $163,352,537 

 

*includes change in unrealized appreciation (depreciation) attributable to Level 3 investment still held at June 30, 2016 of $12,874,644.

 

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2016
 

The following table provides quantitative information about the Fund’s Level 3 values, as well as its inputs, as of June 30, 2016. The table is not all-inclusive, but provides information on the significant Level 3 inputs.

 

                Weighted
             Range of  Average of
          Unobservable  Unobservable  Unobservable
   Value   Valuation Technique  Inputs  Inputs  Inputs
                 
Mortgage Notes  $162,514,947   Comprehensive
pricing model with
emphasis on
discounted cash
flows		  Constant
prepayment rate		  0-46.4%  14.50%
           Deliquency  0-3,012 days  43 days
           Loan-to-Value  3-480%  94.0%
Other Investments   837,590   Market comparable  Sales prices  $55-$150 sq/ft  $116 sq/ft
Closing Balance  $163,352,537             

 

A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

Security Transactions and      
Investment Income -  Impact to Value if  Impact to Value if
Investment Security  Input Increases  Input Decreases
Constant Prepayment Rate  Increase  Decrease
Delinquency  Decrease  Increase
Loan to Value  Decrease  Increase

 

 

Item 2. Controls and Procedures.

 

(a)       The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

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

 

Item 3. Exhibits.

 

Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed herewith.

 

 

 

 
 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Vertical Capital Income Fund

 

By (Signature and Title)

*/s/ Michael D. Cohen

Michael D. Cohen, President/Principal Executive Officer

 

Date 5/26/17

 

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/ Michael D. Cohen

Michael D. Cohen, President/Principal Executive Officer

 

Date 5/26/17

 

By (Signature and Title)

*/s/ S. Jason Hall

S. Jason Hall, Treasurer/Principal Financial Officer

Date 5/26/17

Blu Giant, LLC

CERTIFICATIONS

 

I, Michael D. Cohen, certify that:

 

1.       I have reviewed this report on Form N-Q of the Vertical Capital Income Fund, a Series of the Vertical Capital Income Fund;

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the schedule of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

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

 

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

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

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

 

 

Date: 5/26/17

 

*/s/ Michael D. Cohen

Michael D. Cohen, President/Principal Executive Officer

 

 

 

 

 

 

 

 

 

 
 

 

 

I, S. Jason Hall, certify that:

 

1.       I have reviewed this report on Form N-Q of Vertical Capital Income Fund a Series of the Vertical Capital Income Fund;

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the schedule of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

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

 

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

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

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

 

 

Date: 5/26/17

 

*/s/ S. Jason Hall

S. Jason Hall, Treasurer/Principal Financial Officer