NPORT-EX 2 verticalnport.htm VERTICAL NQ

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES  - 108.7 %      
 $        112,610   Loan ID 200003 Fixed 7.250% 9/1/2035  $                101,708
             48,058   Loan ID 200012 ARM 9.800% 7/1/2037                      45,047
             34,383   Loan ID 200016 ARM 10.375% 1/1/2031                      34,383
             45,969   Loan ID 200018 Fixed 7.000% 1/1/2033                      45,969
             96,906   Loan ID 200023 Fixed 5.875% 12/1/2050                      90,136
           205,192   Loan ID 200026 Fixed 4.750% 1/1/2050                    205,192
           228,102   Loan ID 200028 Fixed 4.875% 6/1/2050                    228,102
           198,898   Loan ID 200029 Fixed 6.310% 7/1/2037                    124,867
           316,805   Loan ID 200032 Fixed 3.130% 1/1/2051                    300,553
           534,765   Loan ID 200035 Fixed 4.625% 11/1/2050                    459,952
           148,144   Loan ID 200037 Fixed 7.800% 5/1/2035                    148,144
           109,193   Loan ID 200041 Fixed 4.875% 8/1/2039                    109,193
             38,130   Loan ID 200042 Fixed 7.000% 12/1/2037                      38,130
             47,042   Loan ID 200043 Fixed 6.125% 7/1/2039                      47,042
             48,611   Loan ID 200048 Fixed 5.500% 8/1/2039                      48,611
           144,049   Loan ID 200052 Fixed 5.125% 5/1/2040                    144,049
             51,393   Loan ID 200054 Fixed 8.250% 3/1/2039                      51,393
             77,564   Loan ID 200055 Fixed 10.000% 1/5/2036                      73,686
             30,442   Loan ID 200060 Fixed 5.750% 8/1/2039                      30,442
             24,054   Loan ID 200065 ARM 8.375% 1/1/2037                      21,890
           186,538   Loan ID 200075 Fixed 4.250% 2/1/2042                    186,336
           157,871   Loan ID 200076 Fixed 4.250% 12/1/2041                      87,397
             20,888   Loan ID 200078 Fixed 7.000% 8/1/2036                      20,888
           132,813   Loan ID 200079 Fixed 5.000% 2/1/2059                    119,852
             63,891   Loan ID 200082 Fixed 8.250% 4/1/2040                      58,127
           173,519   Loan ID 200084 Fixed 7.000% 3/1/2039                      71,596
           216,463   Loan ID 200087 Fixed 6.000% 3/1/2051                    202,443
           114,820   Loan ID 200088 Fixed 7.000% 6/1/2039                    100,997
           249,268   Loan ID 200089 Fixed 3.875% 3/1/2052                    220,576
           270,257   Loan ID 200090 Fixed 4.500% 11/1/2036                    187,519
           121,964   Loan ID 200093 Fixed 5.000% 2/1/2038                    121,964
             69,659   Loan ID 200102 Fixed 8.250% 3/1/2040                      68,741
           106,035   Loan ID 200110 Fixed 8.250% 8/1/2039                    106,035
             68,209   Loan ID 200128 Fixed 4.710% 7/1/2037                      60,801
           440,765   Loan ID 200129 Fixed 4.625% 3/1/2052                    393,560
             24,711   Loan ID 200131 Fixed 3.875% 11/1/2027                      24,431
           114,051   Loan ID 200135 Fixed 4.375% 12/1/2042                    114,051
           117,214   Loan ID 200137 Fixed 4.500% 9/1/2042                    117,214
             72,257   Loan ID 200141 Fixed 4.250% 2/1/2042                      71,906
           117,632   Loan ID 200143 Fixed 3.000% 2/1/2037                    112,395
           376,774   Loan ID 200145 Fixed 4.625% 8/1/2051                    363,269
             93,787   Loan ID 200152 ARM 4.625% 9/1/2037                      92,043
           142,875   Loan ID 200158 Fixed 3.625% 12/1/2042                    140,304
           115,413   Loan ID 200160 Fixed 3.250% 2/1/2043                    111,573
           203,887   Loan ID 200162 Fixed 3.875% 7/1/2042                    201,684
           182,990   Loan ID 200165 Fixed 4.375% 12/1/2041                    182,990
             97,978   Loan ID 200168 Fixed 3.750% 10/1/2042                      96,305
             20,958   Loan ID 200169 Fixed 6.923% 9/1/2034                      18,317
           128,473   Loan ID 200172 Fixed 7.250% 2/1/2037                    128,473
             83,691   Loan ID 200174 Fixed 7.340% 4/1/2037                      83,691
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $          47,968   Loan ID 200175 Fixed 9.600% 5/1/2037  $                  47,968
             21,391   Loan ID 200177 Fixed 8.000% 1/11/2022                      20,321
           105,845   Loan ID 200181 Fixed 7.500% 6/1/2041                    105,845
             68,408   Loan ID 200184 Fixed 4.375% 12/1/2042                      68,356
             26,346   Loan ID 200185 Fixed 5.375% 6/1/2042                      26,346
             50,174   Loan ID 200186 Fixed 5.125% 8/1/2042                      50,174
           306,876   Loan ID 200190 Fixed 3.625% 11/1/2042                    301,399
           152,147   Loan ID 200194 Fixed 4.750% 9/1/2041                    152,147
           240,610   Loan ID 200195 Fixed 3.875% 3/1/2042                    237,978
             93,438   Loan ID 200196 Fixed 4.500% 1/1/2043                      93,438
             38,122   Loan ID 200198 Fixed 5.250% 10/1/2042                      38,122
           262,256   Loan ID 200199 Fixed 4.000% 9/1/2042                    260,080
           226,384   Loan ID 200200 Fixed 3.875% 9/1/2042                    223,587
             39,934   Loan ID 200201 Fixed 5.125% 8/1/2041                      39,934
             20,828   Loan ID 200206 Fixed 3.990% 12/1/2042                      20,594
             43,154   Loan ID 200208 Fixed 4.250% 1/1/2043                      43,049
           176,440   Loan ID 200209 Fixed 3.875% 8/1/2042                    174,526
             49,284   Loan ID 200214 Fixed 5.750% 7/1/2039                      49,284
           105,917   Loan ID 200216 Fixed 5.750% 9/1/2039                    105,917
           133,906   Loan ID 200217 Fixed 5.250% 7/1/2040                    133,906
             68,469   Loan ID 200218 Fixed 4.250% 12/1/2041                      68,330
           172,643   Loan ID 200224 Fixed 4.000% 7/1/2043                    171,494
             75,984   Loan ID 200226 Fixed 5.250% 7/1/2041                      75,984
             47,007   Loan ID 200228 Fixed 4.625% 8/1/2042                      47,007
             63,265   Loan ID 200232 Fixed 3.875% 8/1/2042                      62,621
           109,412   Loan ID 200243 Fixed 3.750% 4/1/2043                    107,567
             24,656   Loan ID 200244 Fixed 5.000% 5/1/2042                      24,656
           186,344   Loan ID 200245 Fixed 3.875% 3/1/2043                    184,262
             84,064   Loan ID 200286 Fixed 4.500% 7/1/2043                      84,064
             93,727   Loan ID 200287 Fixed 4.375% 7/1/2043                      93,727
           189,378   Loan ID 200296 Fixed 3.250% 2/1/2043                    183,007
           113,269   Loan ID 200300 Fixed 8.400% 10/20/2037                    113,269
             93,652   Loan ID 200302 Fixed 9.875% 10/1/2035                      93,652
           124,516   Loan ID 200304 Fixed 7.250% 10/1/2033                    124,516
             34,889   Loan ID 200313 Fixed 8.500% 3/1/2028                      34,889
           275,440   Loan ID 200315 ARM 4.750% 6/1/2037                    250,847
             62,965   Loan ID 200317 Fixed 7.000% 9/1/2032                      62,965
             71,086   Loan ID 200326 Fixed 8.375% 10/1/2036                      71,086
           240,423   Loan ID 200330 Fixed 7.000% 8/1/2037                      96,946
             92,731   Loan ID 200332 Fixed 5.775% 10/1/2037                      92,731
             85,982   Loan ID 200334 Fixed 7.000% 1/1/2033                      85,982
           256,611   Loan ID 200335 Fixed 5.000% 11/1/2052                    247,608
             39,701   Loan ID 200337 Fixed 7.000% 10/1/2034                      39,701
             44,420   Loan ID 200338 ARM 10.500% 8/1/2029                      44,420
           131,271   Loan ID 200339 Fixed 2.000% 10/1/2033                    119,230
             28,211   Loan ID 200340 Fixed 7.000% 3/1/2030                      28,211
             56,211   Loan ID 200348 Fixed 6.500% 7/1/2038                      56,211
           226,927   Loan ID 200349 Fixed 7.000% 1/1/2037                    210,600
             66,477   Loan ID 200352 Fixed 7.000% 8/1/2030                      66,477
             78,469   Loan ID 200358 Fixed 5.000% 4/1/2025                      78,469
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $          62,882   Loan ID 200361 Fixed 7.500% 1/1/2034  $                  62,882
             79,456   Loan ID 200366 Fixed 6.250% 3/1/2034                      79,456
           157,644   Loan ID 200368 Fixed 4.500% 4/1/2036                    157,644
             67,417   Loan ID 200374 ARM 7.125% 5/1/2034                      64,047
           175,444   Loan ID 200380 Fixed 4.220% 4/1/2049                    165,844
           278,590   Loan ID 200384 Fixed 5.000% 11/1/2047                    262,917
           136,244   Loan ID 200385 Fixed 8.250% 1/1/2040                    136,244
           116,927   Loan ID 200389 Fixed 4.820% 8/1/2047                      16,434
           189,826   Loan ID 200390 Fixed 4.780% 4/16/2047                    170,388
           146,715   Loan ID 200391 Fixed 4.000% 1/13/2035                    145,620
             59,533   Loan ID 200392 Fixed 10.000% 6/5/2034                      56,557
             74,142   Loan ID 200395 Fixed 4.860% 4/1/2047                      42,391
             67,779   Loan ID 200396 Fixed 10.000% 2/1/2036                      67,779
             77,556   Loan ID 200397 ARM 5.000% 9/1/2037                      76,592
             63,372   Loan ID 200399 Fixed 4.980% 6/1/2037                      63,372
             43,104   Loan ID 200403 Fixed 8.300% 10/15/2032                      43,104
             52,086   Loan ID 200404 Fixed 8.100% 5/1/2037                      52,086
             85,083   Loan ID 200405 Fixed 4.870% 12/1/2035                      85,083
           112,019   Loan ID 200406 Fixed 4.875% 10/1/2051                    112,019
           220,303   Loan ID 200407 Fixed 6.500% 4/1/2042                    220,303
           332,819   Loan ID 200409 Fixed 6.000% 2/1/2049                    309,141
             98,181   Loan ID 200411 Fixed 8.275% 6/1/2037                      98,181
             63,587   Loan ID 200417 Fixed 7.000% 5/1/2035                      63,587
           148,898   Loan ID 200420 Fixed 4.225% 4/10/2038                    147,677
             70,531   Loan ID 200421 Fixed 7.710% 8/1/2037                      70,531
           130,014   Loan ID 200422 Fixed 3.830% 8/1/2053                    114,978
           119,865   Loan ID 200423 Fixed 4.500% 6/1/2043                    119,865
           206,682   Loan ID 200430 Fixed 3.625% 7/1/2043                    202,617
           271,674   Loan ID 200432 Fixed 4.875% 5/1/2043                    271,674
           119,547   Loan ID 200433 Fixed 4.250% 8/1/2043                    119,362
           191,076   Loan ID 200435 Fixed 4.625% 11/1/2052                    191,076
             40,690   Loan ID 200439 Fixed 5.000% 8/1/2041                      38,656
           136,403   Loan ID 200445 Fixed 5.250% 2/1/2039                    136,403
             35,777   Loan ID 200447 Fixed 5.875% 11/4/2034                      35,777
             74,043   Loan ID 200448 Fixed 5.750% 5/1/2042                      68,748
           130,746   Loan ID 200449 Fixed 5.000% 2/1/2042                    130,746
           330,357   Loan ID 200451 Fixed 6.250% 7/1/2038                    313,839
                  420   Loan ID 200453 ARM 6.000% 3/1/2026                           399
           178,066   Loan ID 200460 Fixed 7.000% 7/1/2041                    178,066
           365,264   Loan ID 200462 Fixed 6.000% 7/1/2045                    341,665
           226,192   Loan ID 200465 Fixed 6.500% 7/1/2037                    223,793
           101,915   Loan ID 200468 Fixed 5.625% 12/1/2044                      16,051
           118,481   Loan ID 200469 Fixed 6.500% 7/1/2037                    112,415
           267,174   Loan ID 200473 Fixed 4.000% 12/1/2042                    237,225
           233,546   Loan ID 200474 Fixed 5.750% 11/1/2050                    233,546
           184,197   Loan ID 200476 Fixed 6.000% 9/1/2050                    184,197
             85,171   Loan ID 200482 Fixed 4.375% 11/1/2028                      85,171
             80,009   Loan ID 200483 Fixed 4.375% 11/1/2028                      80,009
             69,235   Loan ID 200485 Fixed 4.125% 2/1/2043                      68,897
           226,715   Loan ID 200486 Fixed 3.500% 1/1/2043                    221,306
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        105,354   Loan ID 200489 Fixed 4.000% 3/1/2043  $                104,366
           186,801   Loan ID 200491 Fixed 5.500% 10/1/2039                    186,801
           111,851   Loan ID 200492 Fixed 4.000% 1/1/2043                    110,953
           258,248   Loan ID 200494 Fixed 4.625% 10/1/2043                    258,248
           294,096   Loan ID 200497 Fixed 3.250% 4/1/2043                    283,894
           250,933   Loan ID 200499 Fixed 4.250% 1/1/2043                    250,069
           193,113   Loan ID 200500 Fixed 5.875% 2/1/2037                    193,113
           341,879   Loan ID 200504 Fixed 3.375% 3/1/2043                    331,665
             63,509   Loan ID 200507 Fixed 4.500% 9/1/2042                      63,509
           307,598   Loan ID 200514 Fixed 3.000% 4/1/2047                    293,951
             91,450   Loan ID 200515 Fixed 8.250% 2/1/2039                      91,450
             94,762   Loan ID 200517 Fixed 8.000% 5/1/2039                      66,300
           186,311   Loan ID 200518 Fixed 3.000% 12/1/2050                    177,995
           294,675   Loan ID 200519 Fixed 3.000% 11/1/2049                    281,893
           103,732   Loan ID 200527 Fixed 4.500% 12/1/2043                    103,732
           368,011   Loan ID 200529 Fixed 4.625% 2/1/2044                    368,011
           162,496   Loan ID 200531 Fixed 4.625% 11/1/2043                    162,496
             99,884   Loan ID 200532 Fixed 3.250% 7/1/2043                      96,450
             70,712   Loan ID 200537 Fixed 4.500% 3/1/2042                      70,712
             77,378   Loan ID 200540 Fixed 3.875% 2/1/2043                      76,512
             43,264   Loan ID 200545 Fixed 4.375% 2/1/2029                      43,264
           114,399   Loan ID 200546 Fixed 5.375% 12/1/2043                    114,399
           154,254   Loan ID 200548 Fixed 5.250% 2/1/2044                    154,254
           125,943   Loan ID 200564 Fixed 4.875% 5/1/2039                    125,943
           120,495   Loan ID 200567 Fixed 3.375% 5/1/2043                    116,985
             87,647   Loan ID 200573 Fixed 3.750% 9/1/2042                      86,263
           121,629   Loan ID 200574 Fixed 4.875% 1/1/2044                    121,629
           169,039   Loan ID 200578 Fixed 4.750% 8/1/2040                    169,039
             44,578   Loan ID 200579 Fixed 4.875% 5/1/2042                      44,578
           158,095   Loan ID 200580 Fixed 4.125% 11/1/2041                    157,469
             50,322   Loan ID 200583 Fixed 3.625% 9/1/2027                      49,385
           299,884   Loan ID 200586 Fixed 3.500% 1/1/2043                    292,931
           230,580   Loan ID 200588 Fixed 3.750% 5/1/2042                    227,347
             61,334   Loan ID 200593 Fixed 3.875% 6/1/2042                      60,648
           210,475   Loan ID 200594 Fixed 4.250% 4/1/2043                    210,309
             35,578   Loan ID 200597 Fixed 5.625% 2/1/2044                      35,578
           169,572   Loan ID 200602 Fixed 3.750% 3/1/2043                    167,074
             67,279   Loan ID 200604 Fixed 3.500% 1/1/2043                      65,720
           138,477   Loan ID 200605 Fixed 4.875% 12/1/2043                    138,477
           123,588   Loan ID 200608 Fixed 4.125% 11/1/2043                    123,086
           116,199   Loan ID 200612 Fixed 4.500% 2/1/2043                    116,199
           187,385   Loan ID 200613 Fixed 3.369% 1/1/2043                    182,262
             94,505   Loan ID 200615 Fixed 4.250% 8/1/2043                      94,342
           317,633   Loan ID 200616 Fixed 4.875% 2/1/2044                    317,633
           210,907   Loan ID 200620 Fixed 4.250% 10/1/2043                    210,518
           121,232   Loan ID 200621 Fixed 3.625% 1/1/2043                    118,660
             66,773   Loan ID 200623 Fixed 4.375% 12/1/2042                      66,773
           121,619   Loan ID 200627 Fixed 4.250% 10/1/2043                    115,538
           154,625   Loan ID 200630 Fixed 5.250% 9/1/2043                    154,625
           322,974   Loan ID 200632 Fixed 5.250% 5/1/2044                    322,974
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        210,883   Loan ID 200633 Fixed 5.125% 5/1/2044  $                210,883
           214,078   Loan ID 200634 Fixed 4.375% 1/1/2044                    214,078
           136,152   Loan ID 200642 Fixed 5.000% 3/1/2044                    136,152
           110,258   Loan ID 200645 Fixed 5.000% 4/1/2044                    110,258
           131,848   Loan ID 200649 Fixed 4.375% 3/1/2044                    131,848
           121,200   Loan ID 200650 Fixed 4.875% 5/1/2044                    121,200
           212,895   Loan ID 200651 Fixed 3.625% 7/1/2043                    208,658
           128,461   Loan ID 200655 Fixed 3.375% 5/1/2043                    124,873
           143,358   Loan ID 200656 Fixed 6.875% 7/1/2037                    109,267
           139,568   Loan ID 200657 Fixed 4.875% 8/1/2051                    139,568
           166,010   Loan ID 200660 Fixed 5.875% 3/1/2038                    166,010
           196,366   Loan ID 200662 Fixed 5.000% 3/1/2044                    196,366
             64,422   Loan ID 200663 Fixed 4.750% 5/1/2044                      64,422
           277,314   Loan ID 200668 Fixed 3.625% 4/1/2043                    272,377
           145,643   Loan ID 200669 Fixed 5.250% 4/1/2044                    145,643
             48,117   Loan ID 200670 Fixed 4.375% 2/1/2029                      48,117
           220,835   Loan ID 200671 Fixed 4.625% 8/1/2043                    220,835
           143,907   Loan ID 200672 Fixed 3.750% 7/1/2043                    141,571
           289,018   Loan ID 200674 Fixed 4.500% 5/1/2044                    289,018
             90,299   Loan ID 200677 Fixed 3.625% 5/1/2028                      88,583
           430,600   Loan ID 200678 Fixed 4.375% 2/1/2044                    430,600
           238,499   Loan ID 200679 Fixed 5.000% 4/1/2044                    213,308
           177,461   Loan ID 200682 Fixed 4.875% 5/1/2044                    168,559
           118,239   Loan ID 200684 Fixed 4.875% 4/1/2044                    118,239
           215,045   Loan ID 200685 Fixed 4.875% 5/1/2044                    215,045
           208,406   Loan ID 200690 Fixed 4.250% 4/1/2044                    208,269
           227,973   Loan ID 200692 Fixed 4.625% 7/1/2044                    227,973
             99,447   Loan ID 200694 Fixed 4.500% 9/1/2043                      99,447
             44,016   Loan ID 200696 Fixed 3.750% 10/1/2042                      43,400
             84,068   Loan ID 200700 Fixed 4.250% 2/1/2044                      83,944
           160,533   Loan ID 200701 Fixed 4.750% 6/1/2044                    142,779
             89,864   Loan ID 200704 Fixed 4.375% 3/1/2043                      89,745
           122,228   Loan ID 200708 Fixed 4.875% 2/1/2044                    122,228
             47,394   Loan ID 200709 Fixed 4.375% 4/1/2043                      47,394
           107,258   Loan ID 200710 Fixed 4.500% 7/1/2044                    107,258
           572,266   Loan ID 200714 Fixed 4.175% 11/1/2036                    534,731
           194,815   Loan ID 200716 ARM 4.500% 8/1/2037                    165,903
           132,662   Loan ID 200720 ARM 4.500% 4/1/2042                    124,687
           144,678   Loan ID 200726 Fixed 4.375% 9/1/2037                    130,388
           149,373   Loan ID 200727 Fixed 3.500% 7/1/2037                    146,157
           186,722   Loan ID 200732 Fixed 4.125% 9/1/2027                    153,271
           212,327   Loan ID 200733 Fixed 3.750% 12/1/2042                    209,216
             94,380   Loan ID 200735 Fixed 4.500% 6/1/2044                      94,380
           135,397   Loan ID 200736 Fixed 4.750% 5/1/2044                    128,330
           164,443   Loan ID 200742 Fixed 4.250% 4/1/2043                    163,899
           177,220   Loan ID 200744 Fixed 3.625% 6/1/2043                    173,780
           421,367   Loan ID 200748 Fixed 4.750% 12/1/2043                    421,367
             56,139   Loan ID 200753 Fixed 5.250% 5/1/2044                      56,139
             50,644   Loan ID 200755 Fixed 4.250% 6/1/2043                      50,591
           174,999   Loan ID 200756 Fixed 4.875% 11/1/2043                    174,999
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        115,444   Loan ID 200759 Fixed 3.750% 6/1/2043  $                113,832
           276,475   Loan ID 200762 Fixed 3.875% 5/1/2042                    273,609
           191,848   Loan ID 200765 Fixed 4.875% 11/1/2043                    147,915
           451,657   Loan ID 200766 Fixed 3.625% 12/1/2042                    443,524
           166,732   Loan ID 200771 Fixed 4.500% 4/1/2043                    151,632
           227,076   Loan ID 200772 Fixed 3.750% 3/1/2043                    223,850
           189,305   Loan ID 200774 Fixed 3.875% 7/1/2043                    187,261
             41,455   Loan ID 200775 Fixed 4.250% 4/1/2043                      41,336
             75,676   Loan ID 200776 Fixed 4.250% 3/1/2044                      75,537
             50,342   Loan ID 200777 Fixed 4.750% 6/1/2044                      50,123
           157,457   Loan ID 200781 Fixed 4.625% 9/1/2044                    157,457
           131,983   Loan ID 200783 Fixed 4.750% 9/1/2044                    131,983
           104,870   Loan ID 200785 Fixed 4.500% 8/1/2044                    104,870
           212,109   Loan ID 200786 Fixed 4.625% 7/1/2044                    212,109
             40,606   Loan ID 200787 Fixed 4.750% 9/1/2044                      40,606
           120,440   Loan ID 200789 Fixed 3.750% 9/1/2044                    118,650
           141,600   Loan ID 200790 Fixed 4.250% 8/1/2044                    141,530
           190,923   Loan ID 200791 Fixed 4.875% 6/1/2044                    190,923
             83,991   Loan ID 200795 Fixed 6.750% 8/1/2036                      72,461
             68,866   Loan ID 200796 Fixed 5.880% 12/1/2053                      36,926
             49,585   Loan ID 200799 Fixed 4.000% 2/5/2053                      48,504
             62,162   Loan ID 200800 Fixed 4.000% 1/1/2053                      58,575
           148,935   Loan ID 200805 Fixed 4.625% 7/1/2050                    137,738
           155,013   Loan ID 200806 Fixed 5.000% 8/1/2049                    145,987
             55,096   Loan ID 200808 Fixed 4.250% 11/1/2050                      46,279
           113,487   Loan ID 200809 Fixed 5.000% 4/1/2050                      95,080
           226,957   Loan ID 200814 Fixed 8.250% 7/1/2039                    226,957
           274,654   Loan ID 200817 Fixed 5.000% 1/1/2050                    253,095
           195,401   Loan ID 200821 Fixed 4.250% 8/1/2044                    195,273
             75,859   Loan ID 200823 Fixed 4.250% 9/1/2044                      75,793
           207,454   Loan ID 200824 Fixed 4.250% 8/1/2044                    206,512
             99,067   Loan ID 200826 Fixed 4.375% 9/1/2044                      98,947
           189,241   Loan ID 200829 Fixed 4.375% 7/1/2043                    189,241
           186,397   Loan ID 200830 ARM 2.875% 7/1/2044                    183,367
             50,620   Loan ID 200831 Fixed 4.250% 10/1/2044                      50,432
           317,156   Loan ID 200832 Fixed 4.250% 10/1/2044                    316,107
           149,089   Loan ID 200834 Fixed 4.125% 7/1/2043                    148,442
           307,392   Loan ID 200835 Fixed 5.000% 8/1/2043                    307,392
           216,996   Loan ID 200839 Fixed 5.000% 5/1/2044                    216,996
           277,848   Loan ID 200844 Fixed 4.500% 7/1/2043                    277,848
           189,168   Loan ID 200846 Fixed 4.375% 11/1/2043                    189,168
           171,574   Loan ID 200847 Fixed 4.750% 10/1/2044                    171,574
           100,213   Loan ID 200853 Fixed 5.000% 4/1/2037                    100,213
           179,611   Loan ID 200856 Fixed 6.500% 6/1/2042                    158,008
           252,524   Loan ID 200858 Fixed 5.000% 1/1/2053                    252,524
           158,527   Loan ID 200860 Fixed 3.875% 3/1/2052                    146,870
           405,688   Loan ID 200861 Fixed 3.000% 6/1/2054                    263,235
           234,545   Loan ID 200863 Fixed 3.380% 7/1/2052                    227,997
           250,417   Loan ID 200866 Fixed 3.400% 5/1/2053                    243,979
           107,683   Loan ID 200867 Fixed 4.370% 9/1/2053                      92,711
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        191,657   Loan ID 200873 Fixed 5.525% 11/1/2053  $                145,220
           176,892   Loan ID 200880 Fixed 4.250% 6/1/2043                    176,655
             62,698   Loan ID 200883 Fixed 3.375% 5/1/2028                      60,850
             80,712   Loan ID 200886 Fixed 4.250% 10/1/2044                      80,541
           237,261   Loan ID 200887 Fixed 4.750% 9/1/2044                    237,261
           192,709   Loan ID 200891 Fixed 4.250% 10/1/2044                    192,192
           234,045   Loan ID 200892 Fixed 3.750% 9/1/2043                    230,221
           208,244   Loan ID 200895 Fixed 3.875% 11/1/2043                    206,068
           181,606   Loan ID 200897 Fixed 4.750% 10/1/2044                    181,606
           311,038   Loan ID 200900 Fixed 4.375% 9/1/2044                    311,038
           362,131   Loan ID 200907 ARM 4.550% 8/1/2047                    347,274
           100,396   Loan ID 200908 Fixed 4.000% 6/1/2049                      99,756
           120,539   Loan ID 200909 Fixed 4.870% 4/1/2047                    120,539
           670,664   Loan ID 200912 Fixed 4.500% 3/1/2037                    670,664
             56,076   Loan ID 200913 Fixed 4.250% 5/1/2047                      52,360
           140,263   Loan ID 200914 Fixed 2.875% 12/1/2047                    121,143
             78,765   Loan ID 200916 Fixed 4.000% 10/1/2037                      77,611
           153,106   Loan ID 200917 Fixed 4.875% 1/1/2051                    153,106
             87,815   Loan ID 200921 ARM 4.625% 7/1/2051                      87,199
           404,411   Loan ID 200922 Fixed 3.340% 9/1/2053                    399,334
           492,510   Loan ID 200924 Fixed 5.500% 9/1/2051                    492,510
           291,318   Loan ID 200927 Fixed 3.000% 8/1/2038                    279,195
           111,066   Loan ID 200928 Fixed 4.800% 12/1/2036                    105,513
           377,201   Loan ID 200931 Fixed 4.250% 12/1/2052                    366,610
           282,571   Loan ID 200933 Fixed 4.250% 3/1/2043                    282,088
           106,452   Loan ID 200934 Fixed 3.810% 1/1/2043                    104,981
           184,088   Loan ID 200940 Fixed 3.250% 2/1/2043                    177,667
           106,720   Loan ID 200941 Fixed 3.780% 1/1/2043                    105,110
           257,740   Loan ID 200942 Fixed 4.000% 4/1/2043                    255,799
             97,886   Loan ID 200944 Fixed 4.500% 2/1/2044                      97,886
           269,885   Loan ID 200947 Fixed 4.000% 2/1/2043                    267,695
           122,095   Loan ID 200948 Fixed 4.625% 12/1/2042                    100,749
           260,690   Loan ID 200949 Fixed 3.875% 4/1/2043                    257,899
           169,638   Loan ID 200952 Fixed 3.875% 1/1/2043                    167,742
           109,011   Loan ID 200953 Fixed 3.750% 12/1/2042                    107,238
           302,396   Loan ID 200955 Fixed 3.250% 5/1/2043                    292,260
           253,633   Loan ID 200956 Fixed 5.000% 8/1/2051                    253,633
           390,189   Loan ID 200959 Fixed 4.000% 11/1/2042                    387,371
           329,140   Loan ID 200960 Fixed 3.500% 1/1/2043                    321,264
           192,150   Loan ID 200962 Fixed 4.250% 10/1/2044                    191,763
           330,185   Loan ID 200964 Fixed 3.750% 7/1/2043                    325,344
           137,981   Loan ID 200966 Fixed 4.875% 7/1/2044                    137,981
             89,844   Loan ID 200968 Fixed 4.250% 11/1/2044                      47,604
           342,094   Loan ID 200969 Fixed 4.875% 8/1/2043                    342,094
           145,156   Loan ID 200974 Fixed 4.250% 10/1/2044                    144,789
           333,547   Loan ID 200977 Fixed 4.875% 9/1/2044                    333,547
           190,428   Loan ID 200983 Fixed 4.375% 8/1/2044                    180,906
           108,217   Loan ID 200987 Fixed 4.625% 10/1/2044                    108,217
           153,770   Loan ID 200993 Fixed 2.004% 7/15/2049                    136,911
             51,197   Loan ID 200996 Fixed 2.500% 8/1/2048                      42,572
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        346,279   Loan ID 200998 Fixed 3.875% 12/1/2050  $                340,365
           121,568   Loan ID 201005 Fixed 4.750% 7/1/2041                    121,568
             40,387   Loan ID 201006 Fixed 6.875% 3/1/2038                      40,387
             83,521   Loan ID 201007 Fixed 7.125% 4/1/2037                      83,521
             74,440   Loan ID 201010 Fixed 5.500% 4/1/2039                      74,440
             43,677   Loan ID 201012 Fixed 7.500% 12/1/2038                      43,677
             53,085   Loan ID 201013 Fixed 7.500% 12/1/2038                      47,277
             95,132   Loan ID 201016 Fixed 6.500% 2/1/2036                      95,132
             69,878   Loan ID 201022 ARM 4.000% 5/1/2037                      56,733
           130,568   Loan ID 201023 Fixed 6.450% 2/1/2036                    123,746
           101,869   Loan ID 201027 ARM 9.538% 3/1/2037                    101,869
             97,420   Loan ID 201030 Fixed 5.000% 7/1/2042                      97,420
           134,136   Loan ID 201032 Fixed 4.500% 11/1/2044                    111,274
           270,673   Loan ID 201033 Fixed 4.125% 12/1/2044                    269,654
             83,188   Loan ID 201036 Fixed 4.375% 12/1/2044                      83,188
             65,631   Loan ID 201037 Fixed 8.250% 7/1/2039                      65,631
             87,491   Loan ID 201041 Fixed 3.750% 11/1/2052                      85,717
           108,172   Loan ID 201043 Fixed 4.000% 4/1/2039                    100,742
           165,406   Loan ID 201044 Fixed 4.870% 3/29/2037                    165,406
           100,940   Loan ID 201045 Fixed 3.375% 7/1/2037                      94,681
           276,448   Loan ID 201046 Fixed 3.000% 10/1/2058                    131,593
           105,125   Loan ID 201047 Fixed 3.625% 4/1/2053                    101,893
             63,006   Loan ID 201053 Fixed 3.860% 7/1/2053                      62,334
           201,183   Loan ID 201054 Fixed 2.400% 5/17/2050                    167,118
           562,765   Loan ID 201056 Fixed 3.000% 7/1/2054                    481,656
           158,006   Loan ID 201057 Fixed 4.000% 1/1/2050                    137,017
           119,359   Loan ID 201058 Fixed 4.250% 8/1/2037                    119,288
             99,944   Loan ID 201060 ARM 4.000% 7/1/2035                      83,144
             83,990   Loan ID 201061 Fixed 5.000% 2/1/2050                      77,365
           112,373   Loan ID 201062 Fixed 3.100% 4/1/2047                    108,004
           118,235   Loan ID 201063 Fixed 4.000% 9/1/2047                    111,358
           219,525   Loan ID 201066 Fixed 4.250% 12/1/2046                    219,420
           412,364   Loan ID 201067 Fixed 4.750% 1/1/2044                    412,364
             64,599   Loan ID 201069 Fixed 4.625% 12/1/2044                      64,599
             84,894   Loan ID 201072 Fixed 3.500% 3/1/2028                      83,007
             90,392   Loan ID 201075 Fixed 4.375% 10/1/2044                      90,392
           214,175   Loan ID 201084 Fixed 5.000% 8/1/2038                    203,466
           149,694   Loan ID 201091 Fixed 4.125% 1/1/2045                    148,032
           240,400   Loan ID 201092 Fixed 5.250% 4/1/2046                    217,427
           132,227   Loan ID 201093 Fixed 4.125% 2/1/2045                      93,094
           136,441   Loan ID 201094 Fixed 4.550% 3/1/2044                    136,441
           331,066   Loan ID 201101 Fixed 4.625% 3/1/2045                    331,066
           142,817   Loan ID 201103 ARM 3.750% 5/1/2044                    141,619
           151,590   Loan ID 201104 Fixed 4.375% 4/1/2045                    151,330
             71,093   Loan ID 201107 Fixed 5.150% 2/1/2036                      71,093
           150,051   Loan ID 201108 Fixed 4.750% 2/1/2054                      71,813
           480,482   Loan ID 201110 ARM 4.875% 4/1/2037                    374,537
           156,596   Loan ID 201111 Fixed 4.875% 4/1/2050                    138,102
           225,747   Loan ID 201112 Fixed 4.750% 8/1/2037                    201,219
             76,471   Loan ID 201113 Fixed 5.750% 12/1/2052                      76,471
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        116,193   Loan ID 201114 Fixed 8.087% 5/1/2054  $                  70,044
           487,855   Loan ID 201115 Fixed 4.000% 2/1/2051                    380,119
             74,060   Loan ID 201121 Fixed 4.125% 10/1/2037                      72,330
             82,052   Loan ID 201122 Fixed 4.750% 11/1/2048                      82,052
           225,384   Loan ID 201124 Fixed 4.750% 4/1/2040                    225,384
             74,903   Loan ID 201127 ARM 3.500% 4/1/2037                      65,586
           108,926   Loan ID 201130 Fixed 4.850% 12/1/2037                    108,926
           114,955   Loan ID 201131 Fixed 8.250% 5/1/2053                    114,955
           164,483   Loan ID 201132 Fixed 4.250% 7/1/2037                    157,244
           190,356   Loan ID 201134 Fixed 4.000% 10/1/2053                    183,187
           157,161   Loan ID 201139 Fixed 3.000% 11/1/2053                    110,335
           142,190   Loan ID 201140 Fixed 4.870% 1/1/2038                    142,190
             81,686   Loan ID 201143 Fixed 3.500% 11/1/2037                      77,272
           126,776   Loan ID 201146 Fixed 4.875% 8/1/2054                    119,888
           105,474   Loan ID 201147 Fixed 4.125% 11/1/2051                    102,312
             89,439   Loan ID 201148 Fixed 3.950% 10/1/2042                      88,765
           312,518   Loan ID 201149 Fixed 5.000% 5/1/2058                      55,891
             90,265   Loan ID 201155 Fixed 4.000% 11/1/2053                      59,918
             61,684   Loan ID 201156 Fixed 5.000% 4/1/2050                      58,255
           279,607   Loan ID 201157 Fixed 4.000% 3/1/2055                    277,754
           196,341   Loan ID 201160 Fixed 4.920% 10/1/2049                    175,184
           368,726   Loan ID 201163 Fixed 4.750% 12/1/2049                    313,989
           159,488   Loan ID 201164 Fixed 4.250% 11/1/2051                    159,434
           103,473   Loan ID 201165 Fixed 4.750% 1/1/2044                    103,473
           416,673   Loan ID 201168 Fixed 3.875% 4/1/2052                    401,640
             98,125   Loan ID 201169 Fixed 5.934% 9/1/2037                      95,659
             59,404   Loan ID 201170 Fixed 4.375% 7/1/2037                      59,404
           103,813   Loan ID 201173 Fixed 4.280% 11/1/2047                      80,061
           138,589   Loan ID 201174 Fixed 4.750% 1/1/2053                    138,589
           129,742   Loan ID 201176 Fixed 4.250% 7/1/2053                    129,662
           293,103   Loan ID 201179 Fixed 4.750% 5/1/2051                    277,029
           271,275   Loan ID 201181 Fixed 4.500% 4/1/2034                    271,275
           127,635   Loan ID 201183 Fixed 3.500% 10/1/2052                    123,981
             60,260   Loan ID 201184 Fixed 4.000% 6/1/2049                      59,883
           248,609   Loan ID 201185 Fixed 7.250% 10/1/2053                    248,609
             77,523   Loan ID 201187 Fixed 4.000% 11/1/2048                      50,064
           597,879   Loan ID 201196 Fixed 4.000% 11/1/2036                    387,387
           318,402   Loan ID 201199 Fixed 5.125% 11/1/2046                    318,402
           424,740   Loan ID 201204 Fixed 3.750% 4/1/2045                    417,789
           139,883   Loan ID 201205 Fixed 4.625% 1/1/2045                    139,883
           122,749   Loan ID 201206 Fixed 3.990% 4/1/2045                    121,803
           403,710   Loan ID 201207 Fixed 4.625% 8/1/2051                    403,710
           108,686   Loan ID 201208 Fixed 4.625% 4/1/2045                    108,686
           169,564   Loan ID 201209 Fixed 4.250% 4/1/2045                    169,394
           358,524   Loan ID 201212 Fixed 4.625% 10/1/2058                    318,595
           187,304   Loan ID 201213 Fixed 4.875% 8/1/2044                    187,304
           512,276   Loan ID 201214 ARM 3.750% 9/1/2043                    228,691
           118,374   Loan ID 201218 Fixed 4.125% 1/1/2045                    117,083
             59,606   Loan ID 201221 Fixed 3.250% 5/1/2043                      59,322
             45,767   Loan ID 201222 Fixed 5.125% 1/1/2045                      45,767
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        178,133   Loan ID 201223 Fixed 3.875% 4/1/2030  $                178,133
             53,392   Loan ID 201226 Fixed 5.000% 3/1/2045                      53,392
             41,999   Loan ID 201229 Fixed 3.250% 7/1/2024                      41,999
           243,782   Loan ID 201233 Fixed 4.500% 12/1/2044                    243,605
           220,836   Loan ID 201237 Fixed 3.750% 5/1/2045                    217,481
           150,898   Loan ID 201240 Fixed 4.250% 10/1/2045                      57,758
           280,527   Loan ID 201241 Fixed 4.375% 7/1/2045                    280,527
           214,772   Loan ID 201242 Fixed 4.625% 11/1/2044                    214,772
           104,492   Loan ID 201243 Fixed 4.625% 11/1/2045                    104,492
           379,532   Loan ID 201244 Fixed 4.500% 6/1/2045                    379,532
           107,850   Loan ID 201245 Fixed 4.750% 8/1/2044                    107,850
             95,390   Loan ID 201248 Fixed 4.875% 7/1/2044                      95,390
           463,607   Loan ID 201249 Fixed 4.625% 3/1/2059                    434,512
           154,364   Loan ID 201254 ARM 9.000% 9/1/2034                    146,646
           226,757   Loan ID 201255 ARM 8.500% 6/1/2035                    226,757
             12,277   Loan ID 201256 ARM 10.500% 10/1/2021                      11,663
           226,596   Loan ID 201257 Fixed 4.500% 5/1/2044                    226,592
             86,170   Loan ID 201258 Fixed 4.500% 6/1/2045                      79,549
           164,104   Loan ID 201260 Fixed 4.750% 9/1/2045                    164,104
             47,670   Loan ID 201263 Fixed 4.750% 10/1/2045                      47,257
           340,862   Loan ID 201265 Fixed 4.750% 6/1/2045                    340,862
           138,921   Loan ID 201266 Fixed 4.500% 2/1/2046                    138,921
           143,388   Loan ID 201270 Fixed 4.125% 2/1/2045                    142,603
           241,745   Loan ID 201271 Fixed 4.500% 6/1/2045                    153,431
           132,271   Loan ID 201272 Fixed 4.750% 11/1/2044                    132,271
           230,438   Loan ID 201273 Fixed 4.500% 12/1/2045                    230,438
           206,401   Loan ID 201274 Fixed 4.125% 10/1/2045                    204,393
           181,953   Loan ID 201278 Fixed 3.750% 12/1/2045                    176,072
           353,556   Loan ID 201280 Fixed 4.500% 4/1/2046                    353,556
           124,114   Loan ID 201282 Fixed 5.250% 1/1/2046                    124,114
           109,211   Loan ID 201284 Fixed 3.625% 2/1/2029                    109,211
             26,746   Loan ID 201285 Fixed 4.625% 11/1/2028                      26,746
           105,040   Loan ID 201286 Fixed 4.375% 12/1/2045                    105,040
             80,859   Loan ID 201289 Fixed 4.000% 3/1/2045                      79,922
           236,141   Loan ID 201290 Fixed 4.750% 7/1/2045                    236,141
           291,659   Loan ID 201291 Fixed 5.000% 8/1/2045                    265,040
           117,950   Loan ID 201294 Fixed 4.625% 2/1/2046                    117,950
           728,729   Loan ID 201296 Fixed 4.250% 2/1/2046                    722,809
             69,604   Loan ID 201301 Fixed 4.550% 10/1/2044                      69,604
           129,214   Loan ID 201302 Fixed 4.250% 5/1/2045                    128,652
           141,600   Loan ID 201305 Fixed 4.625% 8/1/2044                    141,600
           111,310   Loan ID 201306 Fixed 3.875% 9/1/2045                    109,283
           168,073   Loan ID 201307 Fixed 4.250% 10/1/2048                    166,863
             59,577   Loan ID 201308 Fixed 4.625% 11/1/2045                      59,577
           154,754   Loan ID 201309 Fixed 4.000% 9/1/2045                    151,716
           310,534   Loan ID 201313 Fixed 4.625% 1/1/2046                    270,298
           107,720   Loan ID 201315 Fixed 4.375% 9/1/2045                    107,406
           155,194   Loan ID 201316 Fixed 4.500% 2/1/2046                    137,750
           164,431   Loan ID 201319 Fixed 4.375% 10/1/2045                    162,480
           130,465   Loan ID 201324 Fixed 5.250% 4/1/2046                    130,465
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        169,234   Loan ID 201326 Fixed 4.625% 3/1/2046  $                168,942
           182,615   Loan ID 201328 Fixed 4.250% 11/1/2045                      69,448
           334,656   Loan ID 201333 Fixed 3.875% 1/1/2046                    198,236
           184,881   Loan ID 201335 Fixed 4.750% 1/1/2046                    184,881
           182,999   Loan ID 201336 Fixed 4.750% 1/1/2046                    159,135
           398,563   Loan ID 201339 Fixed 4.625% 7/1/2045                    375,587
           138,882   Loan ID 201342 Fixed 4.750% 7/1/2045                    138,882
             70,436   Loan ID 201344 Fixed 5.000% 7/1/2044                      66,914
           130,051   Loan ID 201345 Fixed 4.125% 5/1/2045                    127,919
           230,823   Loan ID 201350 Fixed 4.000% 6/1/2045                      89,280
             65,788   Loan ID 201352 Fixed 4.875% 3/1/2045                      65,788
           482,163   Loan ID 201354 Fixed 3.375% 7/1/2046                    482,163
           129,676   Loan ID 201355 Fixed 5.250% 12/1/2045                    129,676
           144,863   Loan ID 201358 Fixed 4.875% 7/1/2045                    136,927
           139,330   Loan ID 201361 Fixed 5.250% 7/1/2044                    139,330
           107,629   Loan ID 201364 Fixed 3.875% 4/1/2046                    105,208
           325,874   Loan ID 201365 Fixed 4.250% 10/1/2045                    324,310
             46,267   Loan ID 201368 Fixed 5.125% 2/1/2045                      46,267
           175,376   Loan ID 201370 Fixed 4.250% 7/1/2046                    163,300
             96,934   Loan ID 201371 Fixed 4.125% 4/1/2046                      96,082
           250,692   Loan ID 201372 Fixed 4.625% 8/1/2046                    250,692
           150,540   Loan ID 201373 Fixed 5.125% 4/1/2046                    150,540
           138,778   Loan ID 201375 Fixed 4.500% 6/1/2045                    138,694
           275,387   Loan ID 201377 Fixed 3.875% 5/1/2046                    275,387
             65,702   Loan ID 201379 Fixed 5.000% 10/1/2045                      65,702
           303,996   Loan ID 201381 Fixed 4.875% 7/1/2045                    303,996
           129,829   Loan ID 201383 Fixed 4.125% 12/1/2045                    129,829
             75,877   Loan ID 201384 Fixed 4.375% 10/1/2045                      75,877
           134,295   Loan ID 201385 Fixed 4.625% 12/1/2045                    134,295
             67,595   Loan ID 201386 Fixed 5.250% 5/1/2046                      67,595
           227,398   Loan ID 201390 Fixed 5.125% 9/1/2045                    227,398
           383,743   Loan ID 201391 Fixed 5.125% 10/1/2045                    349,871
           162,057   Loan ID 201392 Fixed 3.750% 2/1/2046                    156,051
           418,048   Loan ID 201393 Fixed 3.750% 4/1/2056                    418,048
             74,083   Loan ID 201394 Fixed 6.700% 6/1/2034                      74,083
             82,807   Loan ID 201395 Fixed 6.300% 7/1/2044                      77,888
             82,857   Loan ID 201400 Fixed 4.750% 7/1/2044                      82,857
             87,387   Loan ID 201401 Fixed 4.750% 10/1/2044                      87,387
             90,739   Loan ID 201403 Fixed 4.750% 8/1/2044                      79,494
           130,338   Loan ID 201404 Fixed 4.750% 10/1/2044                    114,341
             69,153   Loan ID 201405 Fixed 5.250% 8/1/2044                      69,153
             52,882   Loan ID 201406 Fixed 4.250% 6/1/2046                      52,461
           234,100   Loan ID 201407 Fixed 4.875% 1/1/2046                    234,100
           158,121   Loan ID 201411 Fixed 4.750% 12/1/2045                    158,121
           138,045   Loan ID 201412 Fixed 5.750% 12/1/2045                    132,665
           325,906   Loan ID 201413 Fixed 4.500% 7/1/2045                    229,992
             71,086   Loan ID 201414 Fixed 4.250% 7/1/2044                      70,811
             54,335   Loan ID 201415 Fixed 8.000% 4/1/2034                      54,335
             58,336   Loan ID 201417 Fixed 6.000% 8/1/2037                      58,336
             40,318   Loan ID 201419 Fixed 10.000% 11/1/2033                      40,318
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $          55,348   Loan ID 201422 Fixed 4.625% 10/1/2046  $                  55,250
           662,486   Loan ID 201423 ARM 3.875% 6/1/2045                    662,486
           635,681   Loan ID 201425 Fixed 3.875% 4/1/2046                    626,277
           303,609   Loan ID 201426 Fixed 4.875% 3/1/2044                    303,609
           517,696   Loan ID 201428 ARM 4.000% 4/1/2045                    504,624
           190,027   Loan ID 201431 Fixed 4.875% 5/1/2045                    176,709
           271,706   Loan ID 201432 Fixed 5.000% 8/1/2046                    271,706
             95,086   Loan ID 201434 Fixed 4.375% 6/1/2046                      94,678
             87,352   Loan ID 201436 Fixed 4.375% 5/1/2045                      87,352
           127,376   Loan ID 201437 Fixed 4.750% 5/1/2046                      20,937
           173,835   Loan ID 201439 Fixed 5.000% 12/1/2045                    173,835
           307,832   Loan ID 201440 Fixed 4.625% 7/1/2046                      83,211
             96,798   Loan ID 201441 Fixed 4.750% 10/1/2045                      96,798
           289,838   Loan ID 201442 Fixed 4.875% 12/1/2045                    233,661
           534,043   Loan ID 201443 Fixed 3.875% 8/1/2046                    527,133
             49,456   Loan ID 201444 Fixed 4.500% 11/1/2044                      49,456
           245,357   Loan ID 201447 Fixed 4.875% 10/1/2044                    229,905
             89,562   Loan ID 201449 Fixed 4.000% 8/1/2044                      88,687
           216,052   Loan ID 201451 Fixed 4.250% 6/1/2045                    215,445
           182,473   Loan ID 201453 Fixed 5.250% 9/1/2046                    182,473
           182,473   Loan ID 201454 Fixed 5.250% 9/1/2046                    182,473
           201,049   Loan ID 201456 Fixed 4.125% 7/1/2046                    197,947
           227,161   Loan ID 201458 Fixed 3.875% 9/1/2046                    222,078
           152,397   Loan ID 201460 Fixed 4.250% 7/1/2045                    152,003
           261,255   Loan ID 201461 Fixed 4.125% 12/1/2044                    258,998
           290,570   Loan ID 201464 Fixed 4.375% 6/1/2045                    274,012
             98,512   Loan ID 201465 Fixed 5.125% 12/1/2044                      98,512
             44,677   Loan ID 201467 Fixed 5.250% 3/1/2044                      44,677
           271,065   Loan ID 201470 Fixed 4.375% 10/1/2044                    271,065
           217,115   Loan ID 201471 Fixed 4.500% 1/1/2045                    217,115
           144,062   Loan ID 201472 Fixed 4.000% 11/1/2044                    144,061
           296,217   Loan ID 201473 Fixed 4.500% 2/1/2045                    296,217
             91,119   Loan ID 201475 ARM 6.625% 9/1/2036                      60,461
           133,930   Loan ID 201476 ARM 8.500% 2/1/2037                    125,810
             80,596   Loan ID 201477 Fixed 6.750% 11/1/2036                      80,596
           103,739   Loan ID 201478 Fixed 4.625% 10/1/2045                    103,739
           153,929   Loan ID 201480 Fixed 4.250% 11/1/2045                    153,597
           132,206   Loan ID 201482 Fixed 4.625% 6/1/2045                    115,712
           286,442   Loan ID 201483 Fixed 4.125% 12/1/2045                    265,482
             73,872   Loan ID 201484 Fixed 4.500% 10/1/2046                      73,872
             60,418   Loan ID 201485 Fixed 5.750% 3/1/2038                      60,418
           160,816   Loan ID 201487 Fixed 4.625% 2/1/2052                    160,815
             89,119   Loan ID 201489 Fixed 4.750% 3/1/2046                      89,119
           103,490   Loan ID 201490 Fixed 4.750% 9/1/2045                    103,441
           215,999   Loan ID 201491 Fixed 4.250% 2/1/2046                    214,264
           369,367   Loan ID 201492 Fixed 4.625% 1/1/2047                    347,611
             76,299   Loan ID 201499 Fixed 4.750% 5/1/2045                      76,299
           103,228   Loan ID 201502 Fixed 5.250% 4/1/2044                    103,228
           144,554   Loan ID 201503 Fixed 5.000% 7/1/2046                    144,554
           436,054   Loan ID 201504 Fixed 4.500% 7/1/2045                    436,054
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $          90,124   Loan ID 201505 ARM 5.750% 9/1/2046  $                  90,124
           296,589   Loan ID 201506 Fixed 5.000% 2/1/2047                    296,589
           215,947   Loan ID 201508 Fixed 5.000% 2/1/2047                    215,947
           229,230   Loan ID 201509 Fixed 5.000% 12/1/2046                    218,985
             76,942   Loan ID 201511 Fixed 4.375% 1/1/2046                      76,677
           120,378   Loan ID 201513 Fixed 4.000% 1/1/2046                    120,377
           134,380   Loan ID 201515 Fixed 5.125% 4/1/2047                    134,380
           133,724   Loan ID 201516 Fixed 3.875% 4/1/2046                    131,450
           397,619   Loan ID 201518 Fixed 4.875% 1/1/2047                    397,619
             92,728   Loan ID 201519 Fixed 4.750% 9/1/2045                      92,728
             78,210   Loan ID 201523 Fixed 5.125% 7/1/2045                      78,210
           480,579   Loan ID 201533 Fixed 4.750% 5/1/2046                    480,579
             42,823   Loan ID 201534 Fixed 4.875% 5/1/2047                      42,823
           324,759   Loan ID 201535 Fixed 4.875% 8/1/2047                    265,703
           459,358   Loan ID 201536 Fixed 3.375% 4/1/2045                    413,801
           266,401   Loan ID 201545 Fixed 4.000% 9/1/2047                    266,400
           149,500   Loan ID 201549* Interest Only 12.500% 10/1/2019                    147,257
           139,129   Loan ID 201550 Fixed 5.000% 2/1/2047                    114,351
           196,782   Loan ID 201551 Fixed 4.500% 2/1/2047                    158,847
           133,492   Loan ID 201552 Fixed 4.000% 8/1/2047                    133,492
             46,584   Loan ID 201556 Fixed 4.990% 12/1/2047                      46,584
           129,244   Loan ID 201558 Fixed 4.500% 8/1/2047                    129,244
             97,207   Loan ID 201562 Fixed 4.625% 5/1/2047                      97,207
           170,501   Loan ID 201563 Fixed 5.875% 12/1/2047                    170,501
           106,522   Loan ID 201579 Fixed 4.750% 12/1/2036                    105,659
             83,987   Loan ID 201581 Fixed 4.125% 10/1/2046                      82,292
             84,388   Loan ID 201583 Fixed 5.250% 8/1/2047                      84,388
             45,526   Loan ID 201585 Fixed 5.500% 3/1/2048                      45,526
           378,208   Loan ID 201586 Fixed 4.625% 5/1/2047                    378,208
           310,608   Loan ID 201587 Fixed 4.375% 1/1/2048                    288,644
           325,944   Loan ID 201588 Fixed 5.125% 2/1/2048                    309,730
             63,240   Loan ID 201589 Fixed 5.375% 6/1/2048                      63,240
           138,624   Loan ID 201590 Fixed 5.200% 5/1/2048                      44,405
           311,451   Loan ID 201591 Fixed 5.375% 8/1/2048                    291,226
             75,000   Loan ID 201593* Interest Only 13.500% 2/1/2020                      72,750
           365,500   Loan ID 201594* Interest Only 11.250% 6/1/2019                    360,018
             66,303   Loan ID 201598 Fixed 6.000% 1/1/2037                      64,780
           336,189   Loan ID 201599 Fixed 5.000% 7/1/2038                    271,877
             44,013   Loan ID 201600 Fixed 6.000% 1/1/2036                        8,926
             35,625   Loan ID 201602 Fixed 5.000% 4/20/2032                      35,625
             59,139   Loan ID 201604 Fixed 8.500% 1/1/2048                      59,139
             71,815   Loan ID 201605 Fixed 8.750% 3/1/2048                      71,815
             89,240   Loan ID 201606 Fixed 9.990% 5/1/2048                      89,240
             66,268   Loan ID 201608 Fixed 9.990% 6/1/2048                      14,030
             43,135   Loan ID 201610 Fixed 9.990% 7/1/2048                      43,135
             59,145   Loan ID 201611 Fixed 9.990% 7/1/2048                      55,368
           255,000   Loan ID 201612* Interest Only 12.000% 9/1/2019                    252,450
             33,750   Loan ID 201614* Interest Only 12.000% 12/1/2019                      33,075
           497,475   Loan ID 201615 Fixed 10.500% 1/1/2021                    494,988
           480,000   Loan ID 201616* Interest Only 9.990% 1/1/2020                    477,600
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        173,333   Loan ID 201617 Fixed 9.750% 2/1/2022  $                171,600
             31,175   Loan ID 201623 Fixed 9.950% 10/11/2031                      31,174
             32,457   Loan ID 201624 Fixed 11.000% 7/22/2028                      32,456
             41,342   Loan ID 201626 Fixed 8.950% 5/18/2035                      41,342
             43,164   Loan ID 201627 Fixed 10.450% 2/19/2047                      43,164
             44,537   Loan ID 201628 Fixed 11.000% 9/25/2032                      42,310
             43,180   Loan ID 201629 Fixed 11.000% 3/6/2033                      43,179
             46,187   Loan ID 201630* Fixed 9.950% 1/28/2020                      43,878
             45,178   Loan ID 201631 Fixed 9.950% 7/25/2031                      45,178
             49,987   Loan ID 201632 Fixed 11.000% 10/13/2041                      49,987
             57,093   Loan ID 201633 Fixed 11.000% 12/2/2032                      57,093
             64,026   Loan ID 201634 Fixed 7.950% 2/28/2048                      14,287
             65,500   Loan ID 201635 Fixed 9.950% 3/14/2046                      65,500
             81,791   Loan ID 201636 Fixed 9.450% 5/13/2031                      81,791
             98,877   Loan ID 201637 Fixed 11.000% 5/22/2045                      98,877
           142,463   Loan ID 201638 Fixed 8.500% 9/19/2044                    142,463
           323,448   Loan ID 201639 Fixed 5.000% 9/1/2048                    323,447
           343,732   Loan ID 201640 Fixed 5.125% 4/1/2049                    321,614
           158,632   Loan ID 201641* Fixed 10.500% 6/1/2020                    150,700
           420,000   Loan ID 201642 Interest Only 13.000% 4/1/2021                    396,385
           285,000   Loan ID 201644 Interest Only 10.000% 2/1/2021                    285,000
           669,302   Loan ID 201645 Fixed 8.000% 7/1/2020                    490,519
             42,501   Loan ID 201647 Fixed 6.000% 10/1/2031                      40,023
             39,656   Loan ID 201648 Fixed 7.150% 8/14/2030                      10,792
             60,128   Loan ID 201649 Fixed 4.800% 2/20/2030                      60,128
             38,596   Loan ID 201650 Fixed 7.000% 11/14/2031                      38,596
             49,853   Loan ID 201651 Fixed 7.000% 12/1/2036                      21,168
           247,013   Loan ID 201652 Fixed 5.000% 10/1/2036                      83,361
           198,447   Loan ID 201653 Fixed 4.250% 6/1/2048                    198,447
           444,362   Loan ID 201654 Fixed 4.875% 7/1/2049                    436,016
           148,204   Loan ID 201655 Fixed 7.700% 1/1/2049                    148,204
           126,152   Loan ID 201656 Fixed 4.625% 6/1/2049                    125,978
           246,354   Loan ID 201657 Fixed 5.250% 11/1/2048                    233,834
           267,890   Loan ID 201659 Fixed 4.875% 5/1/2049                    263,133
             85,385   Loan ID 201661 Fixed 5.500% 8/1/2049                      85,384
           130,963   Loan ID 201662 Fixed 5.375% 9/1/2048                    130,963
           426,306   Loan ID 201663 Fixed 4.750% 10/1/2048                    426,306
             20,269   Loan ID 201664 Fixed 10.000% 8/1/2033                      19,255
             41,810   Loan ID 201665 Fixed 9.990% 8/1/2048                      41,810
             19,183   Loan ID 201666 Fixed 10.000% 6/1/2048                      19,183
             17,533   Loan ID 201667 Fixed 10.000% 7/1/2033                      17,533
             16,387   Loan ID 201668 Fixed 9.750% 11/1/2033                      16,387
             56,585   Loan ID 201670 Fixed 8.000% 9/15/2048                      56,585
             22,789   Loan ID 201671 Fixed 9.000% 9/15/2048                      22,789
             21,277   Loan ID 201672 Fixed 9.900% 10/15/2048                      21,277
             51,775   Loan ID 201673 Fixed 9.990% 6/1/2048                      51,775
             24,022   Loan ID 201674 Fixed 9.900% 12/1/2048                      24,022
             67,489   Loan ID 201675 Fixed 9.750% 2/1/2049                      67,489
           112,217   Loan ID 201676 Fixed 9.625% 10/1/2048                    112,217
             80,498   Loan ID 201677 Fixed 9.250% 11/1/2048                      80,498
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $          25,643   Loan ID 201678 Fixed 10.000% 8/1/2048  $                  25,643
             43,665   Loan ID 201679 Fixed 7.700% 3/1/2047                      43,665
             39,638   Loan ID 201680 Fixed 9.900% 9/15/2048                      39,638
             34,559   Loan ID 201681 Fixed 9.000% 6/1/2048                      34,559
           176,773   Loan ID 201682 Fixed 5.000% 7/1/2048                      56,897
           489,202   Loan ID 201683 Fixed 4.875% 12/1/2048                    489,202
           410,995   Loan ID 201684 Fixed 4.500% 8/1/2049                    391,517
           289,948   Loan ID 201685 Fixed 5.500% 2/1/2049                    289,948
           102,569   Loan ID 201686 Fixed 4.250% 7/1/2049                      93,990
           107,888   Loan ID 201687 Fixed 5.500% 7/1/2048                      86,109
           387,122   Loan ID 201688 Fixed 6.000% 11/1/2047                    387,122
           210,330   Loan ID 201689 Fixed 4.500% 4/1/2049                    202,395
           499,953   Loan ID 201690 Fixed 5.000% 9/1/2049                    480,547
           210,084   Loan ID 201692 Fixed 8.000% 11/1/2029                    210,084
           133,500   Loan ID 201693 Interest Only 10.000% 9/1/2020                    133,500
             64,837   Loan ID 201694 Fixed 9.000% 9/1/2024                      64,837
           304,270   Loan ID 201695 Fixed 8.000% 9/1/2021                    304,270
             65,935   Loan ID 201696 Fixed 5.125% 10/1/2048                      65,935
           125,797   Loan ID 201697 Fixed 6.125% 4/1/2049                    116,296
             83,591   Loan ID 201698 Fixed 4.375% 12/1/2047                      83,325
           268,103   Loan ID 201699 Fixed 5.522% 9/1/2049                    268,103
           326,181   Loan ID 201700 Fixed 6.125% 6/1/2049                    301,796
             63,217   Loan ID 201701 Fixed 5.000% 8/1/2049                      60,530
           568,621   Loan ID 201702 Fixed 6.125% 11/1/2048                    561,421
           393,698   Loan ID 201703 Fixed 6.600% 12/1/2048                    393,698
           320,517   Loan ID 201704 Fixed 7.535% 3/1/2049                    320,517
           563,693   Loan ID 201705 Fixed 6.350% 11/1/2048                    559,051
           292,502   Loan ID 201706 Fixed 4.875% 10/1/2048                    268,363
           182,706   Loan ID 201707 Fixed 4.875% 8/1/2049                    164,162
           449,749   Loan ID 201708 Fixed 4.500% 11/1/2049                    367,458
           208,046   Loan ID 201709 Fixed 5.325% 9/1/2049                    208,046
           149,206   Loan ID 201710 Fixed 6.700% 11/1/2049                    149,206
           735,535   Loan ID 201711 Fixed 4.875% 10/1/2049                    729,502
           384,792   Loan ID 201712 Fixed 5.125% 10/1/2049                    384,792
           185,072   Loan ID 201713 Fixed 10.111% 12/1/2049                    185,072
           282,844   Loan ID 201714 Fixed 10.250% 12/1/2049                    257,858
           123,328   Loan ID 201715 Fixed 10.130% 12/1/2049                    118,863
           238,007   Loan ID 201716 Fixed 10.150% 12/1/2049                    216,935
           440,811   Loan ID 201717 Fixed 6.500% 12/1/2048                    407,220
             43,441   Loan ID 201718 Fixed 6.125% 11/1/2048                      43,441
           118,775   Loan ID 201719 Fixed 4.750% 9/1/2049                    118,775
           139,687   Loan ID 201720 Fixed 4.375% 4/1/2049                    137,440
           354,036   Loan ID 201721 Fixed 5.625% 9/1/2048                    354,036
           142,716   Loan ID 201722 Fixed 5.500% 7/1/2049                    142,716
           367,071   Loan ID 201723 Fixed 5.000% 1/1/2049                    367,071
           250,319   Loan ID 201724 Fixed 5.375% 1/1/2049                    250,319
             76,452   Loan ID 201725 Fixed 7.750% 12/1/2022                      76,451
             55,081   Loan ID 201726 Fixed 8.000% 12/1/2022                      55,081
             63,050   Loan ID 201727 Interest Only 8.750% 2/1/2021                      62,735
             74,563   Loan ID 201728 Fixed 8.500% 1/1/2022                      74,190
Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
June 30, 2020
             
Principal     Loan Type Interest Rate Maturity Fair Value
    MORTGAGE NOTES (Continued) - 108.7 %      
 $        215,335   Loan ID 201729 Fixed 7.500% 1/1/2030  $                215,335
             65,000   Loan ID 201730 Interest Only 10.000% 12/1/2020                      65,000
           321,134   Loan ID 201731 Fixed 4.750% 10/1/2049                    321,134
           130,846   Loan ID 201732 Fixed 5.125% 5/1/2047                    124,318
             80,009   Loan ID 201733 Fixed 5.250% 4/1/2044                      80,009
           295,749   Loan ID 201734* Fixed 10.000% 6/1/2020                    295,749
           364,000   Loan ID 201735 Interest Only 10.000% 7/1/2020                    364,000
           554,666   Loan ID 201736 Fixed 7.250% 5/1/2047                    554,666
           999,999   Loan ID 201737 ARM 7.875% 11/1/2047                    999,999
           129,791   Loan ID 201738 ARM 7.490% 11/1/2047                    123,302
           127,402   Loan ID 201739 ARM 7.125% 4/1/2048                    117,403
           113,226   Loan ID 201740 Fixed 5.749% 4/1/2048                    113,226
           230,046   Loan ID 201741 ARM 8.000% 7/1/2048                    227,283
           646,424   Loan ID 201742 ARM 8.750% 9/1/2048                    646,424
           143,380   Loan ID 201743 Fixed 5.499% 9/1/2048                    143,380
           303,270   Loan ID 201744 Fixed 5.625% 5/1/2049                    301,511
           188,894   Loan ID 201745 Fixed 5.500% 6/1/2049                    185,450
           381,267   Loan ID 201746 Fixed 4.875% 7/1/2049                    213,135
           451,340   Loan ID 201747 Fixed 7.000% 4/1/2030                    451,340
           260,701   Loan ID 201748 Fixed 7.125% 4/1/2050                    236,762
           974,094   Loan ID 201749 Fixed 4.000% 4/1/2050                    938,311
           551,963   Loan ID 201750 Fixed 6.125% 4/1/2050                    551,963
           304,282   Loan ID 201751 ARM 5.125% 3/1/2050                    288,303
           690,620   Loan ID 201752 Fixed 7.500% 4/1/2050                    608,947
        1,124,000   Loan ID 201753 Fixed 4.875% 4/1/2050                 1,117,550
           849,454   Loan ID 201754 Fixed 4.875% 4/1/2050                    792,660
           613,359   Loan ID 201755 Fixed 5.750% 3/1/2050                    582,691
           254,386   Loan ID 201756 Fixed 5.000% 3/1/2050                    234,556
           279,202   Loan ID 201757 Fixed 5.380% 4/1/2050                    251,282
           423,568   Loan ID 201758 Fixed 5.880% 3/1/2050                    404,507
           263,522   Loan ID 201759 Fixed 5.750% 3/1/2050                    250,346
           941,979   Loan ID 201760 Fixed 5.380% 3/1/2050                    873,686
           260,249   Loan ID 201761 Fixed 6.875% 2/1/2050                    236,826
           430,387   Loan ID 201762 Fixed 5.990% 3/1/2050                    400,260
           147,330   Loan ID 201763 Fixed 7.375% 5/1/2050                    125,323
           216,622   Loan ID 201764* Fixed 8.625% 4/1/2020                    196,178
           349,717   Loan ID 201765 Fixed 6.125% 3/1/2050                    326,986
           142,416   Loan ID 201766 Fixed 5.500% 4/1/2050                    124,614
           220,979   Loan ID 201767 Fixed 5.250% 7/1/2049                    192,606
           191,081   Loan ID 201768 Fixed 6.625% 4/1/2050                    162,897
           347,384   Loan ID 201769 Fixed 6.625% 4/1/2050                    323,936
           216,530   Loan ID 201770 Fixed 9.375% 4/1/2050                    182,427
           334,199   Loan ID 201771 Fixed 5.750% 4/1/2050                    284,905
           359,289   Loan ID 201772 Fixed 8.125% 3/1/2050                    306,294
           768,464   Loan ID 201773 Fixed 5.500% 6/1/2049                    653,195
           296,129   Loan ID 201774 Fixed 6.125% 3/1/2050                    247,268
           166,246   Loan ID 201775 Fixed 7.375% 4/1/2050                    141,309
144,037,769   TOTAL MORTGAGE NOTES (Cost - $121,543,840)   135,585,969
             
    OTHER INVESTMENTS* (Cost - $438,861) - 0.4%                      537,822
             
    TOTAL INVESTMENTS (Cost - $121,982,701) - 109.1 %      $         136,123,791
    LIABILITIES IN EXCESS OF OTHER ASSETS - (9.1) %   (11,379,392)
    NET ASSETS - 100.0 %      $         124,744,399
             
*  Past maturity date, loan in loss mitigation
ARM - Adjustable Rate Mortgage        

 

 

 

Vertical Capital Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

June 30, 2020

 

 

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 is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services – Investment Companies" including FASB Accounting Standard Update ASU 2013-08.

 

Security Valuation

 

Mortgage Notes – During the period ended December 31, 2019, the Fund utilized a third-party pricing service, approved by the Fund’s Board of Trustees (“the Board”), to value its Mortgage Notes on a at least monthly basis. 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 also 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 it 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 at least monthly market adjustments produced a monthly 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; natural disasters; 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, 2020

 

 

The valuation inputs and subsequent output are reviewed and maintained on a monthly 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 at least monthly 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 – 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 inactive market, 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 investments. The following tables summarize the inputs used as of June 30, 2020 for the Fund’s assets measured at fair value:

 

Assets Level 1 Level 2 Level 3 Total
Mortgage Notes  $            -     $            -     $ 135,585,969  $ 135,585,969
Total  $            -     $            -     $ 135,585,969  $ 135,585,969

 

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.

 

 

Vertical Capital Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

June 30, 2020

 

 

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

 

  Mortgage Notes Other Investments Total
Beginning Balance  $        129,194,075  $                  440,909  $      129,634,984
Net realized gain (loss)                1,884,824                                  -              1,884,824
Change in unrealized appreciation              (7,143,870)                      139,395            (7,004,475)
Cost of purchases              27,941,682                                  -            27,941,682
Proceeds from sales and principal paydowns            (16,263,372)                    (440,909)          (16,704,281)
Purchase discount amortization                   371,057                                  -                 371,057
Net Transfers within level 3                 (398,427)                      398,427                             -
Ending balance  $        135,585,969  $                  537,822  $      136,123,791

 

 

The total change in unrealized appreciation attributable to Level 3 investments still held at June 30, 2020 is $(5,544,365).

 

The following table provides quantitative information about the Fund's Level 3 values, as well as its inputs, as of June 30, 2020. The table is not all-inclusive, but provides information on the significant Level 3 inputs.

 

  Value Valuation Technique Unobservable Inputs Range of Unobservable Inputs Weighted Average of Unobservable Inputs
Mortgage Notes  $          135,585,969 Comprehensive pricing model with emphasis on discounted cash flows Constant prepayment rate 0 - 65.3% 22.7%
      Delinquency 0 - 668 days 21 days
      Loan-to-Value 0.6 - 500.9% 77.1%
      Discount rate 5.2 - 20.2% 2.1%
Other Investments                     537,822 Market comparable Sales price $9 - $318 sq/ft $309 sq/ft
Closing Balance  $          136,123,791        

 

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

 

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
Discount Rate Decrease Increase

 

 

The identified cost of investments in securities owned by the Fund for federal income tax purposes and its respective gross unrealized appreciation and depreciation at June 30, 2020, were as follows:

 

Tax Cost Gross Unrealized Appreciation Gross Unrealized Depreciation Net Unrealized Appreciation
 $          121,978,961  $       16,856,655  $           2,711,825  $       14,144,830