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Blu Giant, LLC

 

 

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

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-22554

 

 

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

17605 Wright Street, Omaha, Nebraska, 68130

(Name and address of agent for service)

 

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

 

Date of fiscal year end: 9/30

 

Date of reporting period: 3/31/16

 

 

Item 1. Reports to Stockholders.

 

*Explanatory note

 

The Registrant is filing this amendment to its Form N-CSR for the period ended March 31, 2016, originally filed with the Securities and Exchange Commission on June 10, 2016 (Accession Number 0001580642-16-009323) to restate our financial statements for the period ended March 31, 2016 to reflect the revaluing of Mortgage Notes to include deferred balances in the Fund’s third-party valuation service model and information relating to step rate loans during the period of October 13, 2015 through September 23, 2016.

 

The effects of this restatement on our financial statements for the period ended March 31, 2016 are described in Note 9 to the financial statements.

 

For the convenience of the reader, we are refiling our entire report on Form N-CSR for the period ended March 31, 2016 by means of this amended Form N-CSR. However, except for the information affected by the restatement, we have not updated the information contained herein for events or transactions occurring subsequent to the date of the original filing and as a result, such information continues to speak as of the date of the original filing.

 

 

     
     
     
     
     
     
     
     
     
     
  Vertical Capital Income Fund  
  Cusip: 92535C104  
  VCAPX  
     
     
  Semi-Annual Report  
  March 31, 2016  
     
     
     
     
     
     
     
     
     
     
     
     
     
     
  Investor Information: 1-866-277-VCIF  
     
     
     
     
     
     
     
     
     
     
     
  This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing contained herein is to be considered an offer of sale or solicitation of an offer to buy shares of the Vertical Capital Income Fund. Such offering is made only by prospectus, which includes details as to offering price and other material information.  
 
  Distributed by Northern Lights Distributors, LLC  
  Member FINRA  
 

 

 

May 27, 2016

 

Dear Shareholder,

 

We are pleased to report a successful mid-year update for Vertical Capital Income Fund (the “Fund”). Consistent with our primary investment objective to seek current income, the Fund once again paid continuous monthly dividends of approximately $0.20 per share from current earnings for the six-month period ended March 31, 2016. In addition, a special distribution of approximately $0.35 per share was paid in December 2015 as a result of net capital gains realized on loan sales and early loan payoffs during the last fiscal year, ending September 30, 2015. For the six-month period ended March 31, 2016, the Fund produced a total return (load waived) of 8.44%1, compared to one of its key benchmarks, the Barclays Capital Mortgage Backed Securities Index, which reported a total return of 1.87%. Including the maximum load, the Fund’s total return was 3.59%. Since inception, the Fund has produced an annualized total return of 9.41%. By contrast, the SEC Yield, as of March 31, 2016, totaled 2.27%.

 

Update on Fund Strategy and Economic Outlook

 

During the last six months, equity markets have been volatile, causing many global investors to seek comfort in the U.S. Treasury market. This has driven interest rates down and caused a flattening of the yield curve; and as such, the 10-year Treasury yield now hovers at less than 2%. The Fed continues to send signals that it would like to raise short-term rates, but has not yet done so. Domestic interest rate policy continues to balance the effects of a potentially stronger dollar and whether it will negatively influence continued economic recovery, both in the U.S. and beyond. The outcome of the U.S. presidential election, terrorist attacks in Europe, the unsettled situation in the Middle East, and other negative world events continue to weigh heavily on investors and have resulted in increased demands for principal investment safety coupled with stable current yield.

 

The Fund’s primary investment objective is to generate current income, which it does primarily by investing in whole residential mortgage loans at a discount to their unpaid principal balance—thereby increasing the returns that would otherwise be generated based on the loans’ contractual interest rates.

 

The Fund does this by acquiring loans that are not eligible for purchase and securitization by U.S. government sponsored entities (GSEs) such as Fannie Mae and Freddie Mac. Such loans typically include technicalities that, in our opinion, do not materially affect the collectability of their principal and interest.

 

Our ability to find loans that meet the Fund’s targeted investment criteria depends largely on two factors:

 

●The volume of new loan originations. The market is very large and new mortgage originations remain at healthy levels, exceeding $375 billion in the fourth quarter of 2015.

 

●The percentage of new loans that do not meet GSE criteria for securitization. Although precise data does not exist in this regard, we know it is harder for financial institutions to originate loans that consistently meet all GSE purchase standards under the current regulatory environment.

 

 
1A significant portion of the total return for the period is the result of a change in the pricing model used to value the mortgage notes owned by the Fund.

1

 

We believe we will continue to see quality opportunities to invest in mortgage instruments that generate attractive yields over the mid-term bond market, including this segment of the residential mortgage market, as well as other segments such as non-prime, re-performing and jumbo loans, for example. That said, the current yield of our portfolio—net of the cost of administering the Fund—will at times be higher or lower than market benchmarks.

 

Consistent with past history, we continue to see a number of loans prepaid before maturity, allowing the Fund to capture the differences between cost bases and its unpaid principal balances as capital gains. The Fund has not sold assets during this reporting period; however, we continue to evaluate the benefits of asset sales and reinvestment to improve the quantitative and qualitative aspects of the portfolio.

 

Fund Results of Operations and Liquidity

 

Overall, the Fund is in good financial condition. It began the fiscal year with $160 million in assets under management, which increased to $173 million as of March 31, 2016. The increase reflects new capital investment, net of redemptions and an increase in the underlying value of the assets.

 

Furthermore, the Fund continues to employ very low leverage—less than 8% of total assets—and began and ended this period with positive net working capital positions. The Fund continues to hold cash, which is somewhat dilutive to returns in the short term, primarily to satisfy potential redemption requests and the pending extension of the Fund’s line of credit.

 

We look forward to another successful year and thank you for your investment in the Vertical Capital Income Fund.

 

Sincerely,

 

Michael D. Cohen
President

 

Past performance is neither indicative nor a guarantee of future results. The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. The investment return and principal value of an investment will fluctuate so that investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s investment Adviser has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until 1/31/17, to ensure that the net annual Fund operating expenses will not exceed 1.85% (excluding Acquired Fund Fees and Expenses), subject to possible recoupment from the Fund in future years. Results shown reflect the Fund’s expense ratio, without which the results could have been lower. Without these waivers, the Fund’s total annual operating expenses would be 2.83%, and returns would have been lower. Please review the Fund’s prospectus for more information regarding the Fund’s fees and expenses. For performance information current to the most recent month-end, please go to provasicapital.com or call 866.655.3600.

2

 

This material contains forward-looking statements relating to the business and financial outlook of Vertical Capital Income Fund that are based on our current expectations, estimates, forecasts and projections and are not guarantees of future performance. There is no assurance that the Fund will achieve its investment objective. Actual results may differ materially from those expressed in these forward-looking statements, and you should not place undue reliance on any such statements. A number of important factors could cause actual results to differ materially from the forward-looking statements contained in this material.

 

Barclays U.S. MBS Index (mortgage backed securities) covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). Investors cannot directly invest in an index, and unmanaged index returns do not reflect fees, expenses, or sales charges.

 

The Fund’s distribution rate may be affected by numerous factors, including changes in realized and projected market returns, Fund performance, and other factors. There can be no assurance that an unanticipated change in market conditions or other unforeseen factors will not result in a change in the Fund’s distribution rate at a future time. The Fund’s distribution amounts were calculated based on the ordinary income received from the underlying investments, any short-term capital gains realized from the disposition of such investments will be paid out annually. A portion of the distributions may consist of a return of capital based on the character of the distributions received from the underlying holdings. Distributions shown are Cumulative.

 

Securities may be subject to prepayment risk because borrowers are typically able to prepay principal. The Fund will not invest in real estate directly, but, because the Fund will invest the majority of its assets in securities secured by real estate, its portfolio will be significantly impacted by the performance of the real estate market and may experience more volatility and be exposed to greater risk than a more diversified portfolio. Quarterly repurchases by the Fund of its shares typically will be funded from available cash or sales of portfolio securities. The sale of securities to fund repurchases could reduce the market price of those securities, which in turn would reduce the Fund’s net asset value.

 

SEC Yield calculated according to SEC form N-1A. The Adviser and the Fund have entered into an expense limitation agreement. The Fund’s SEC Yield without the expense limitation is 3.40% as of June 30, 2015 and 3.76% as of March 31, 2015.

 

7391-NLS-5/31/2016

3

 

Vertical Capital Income Fund
PERFORMANCE (Unaudited)
Since Inception through March 31, 2016*

 

   Six  One  Three  Since
   Months  Year  Years  Inception*
The Vertical Capital Income Fund  8.44%  11.96%  9.97%  9.41%
The Vertical Capital Income Fund with load  3.59%    6.88%  8.29%  8.23%
Barclays Capital Mortgage Backed Securities Index  1.87%    2.43%  2.70%  2.50%

 

*The Fund commenced operations on December 30, 2011. The performance of the Fund is based on average annual returns.

 

The Barclays Capital Mortgage Backed Securities Index is an unmanaged index composed of mortgage-backed securities of Ginnie Mae, Freddie Mac and Fannie Mae. Investors cannot invest directly in an index or benchmark.

 

Past performance is not predictive of future results. The investment return and principal value of an investment will fluctuate. An investor’s shares, when redeemed, may be worth more or less than the original cost. Total return is calculated assuming reinvestment of all dividends and distributions. Total returns would have been lower had the Adviser not waived its fees and reimbursed a portion of the Fund’s expenses. The Fund’s total gross annual operating expenses, is 2.67% per the December 18, 2015 Prospectus. The table does not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or the redemption of the Fund shares. For performance information current to the most recent month-end,please call 1-866-277-VCIF.

 

 

 

PORTFOLIO COMPOSITION** (Unaudited)
     
     
Mortgage Notes   99.5%
Other Investments   0.5%
    100.0%
      
**   Based on Investments at Value as of March 31, 2016.

4

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
 120,926   Loan ID 200003  Balloon   7.250%  9/1/2035  $113,152 
 274,395   Loan ID 200004  Fixed   7.990%  10/1/2036   288,114 
 71,462   Loan ID 200006  ARM   7.990%  1/1/2036   75,035 
 52,027   Loan ID 200008  ARM   4.000%  3/28/2035   54,628 
 51,738   Loan ID 200012  ARM   9.800%  7/1/2037   44,184 
 57,573   Loan ID 200013  Fixed   5.250%  9/1/2040   51,768 
 38,401   Loan ID 200015  Fixed   7.000%  8/1/2030   7,107 
 40,377   Loan ID 200016  ARM   10.375%  1/1/2031   42,396 
 54,303   Loan ID 200018  Fixed   7.000%  1/1/2033   53,631 
 62,169   Loan ID 200019  Fixed   4.000%  12/1/2036   65,277 
 78,565   Loan ID 200020  Fixed   5.630%  7/1/2033   82,493 
 101,102   Loan ID 200023  Fixed   5.875%  12/1/2050   82,657 
 136,919   Loan ID 200025  ARM   2.875%  3/1/2034   143,765 
 205,980   Loan ID 200026  Fixed   4.750%  1/1/2050   133,236 
 228,102   Loan ID 200028  Fixed   4.750%  6/1/2050   220,889 
 220,423   Loan ID 200029  Fixed   5.310%  7/1/2037   163,029 
 281,249   Loan ID 200031  Fixed   5.000%  1/1/2051   295,311 
 341,333   Loan ID 200032  Fixed   3.130%  1/1/2051   326,741 
 565,629   Loan ID 200035  Fixed   3.000%  11/1/2050   477,381 
 67,862   Loan ID 200036  Fixed   7.940%  1/12/2034   71,255 
 166,527   Loan ID 200037  Fixed   7.800%  5/1/2035   174,853 
 123,282   Loan ID 200041  Fixed   4.875%  8/1/2039   120,697 
 42,095   Loan ID 200042  Fixed   7.000%  12/1/2037   44,200 
 64,090   Loan ID 200043  Fixed   6.125%  7/1/2039   67,294 
 122,660   Loan ID 200045  Fixed   5.625%  12/1/2038   128,793 
 39,162   Loan ID 200046  Fixed   8.000%  7/1/2027   41,120 
 53,919   Loan ID 200048  Fixed   5.500%  8/1/2039   56,615 
 242,800   Loan ID 200049  Fixed   3.875%  3/1/2042   238,481 
 89,285   Loan ID 200051  Fixed   6.500%  10/1/2040   30,587 
 160,387   Loan ID 200052  Fixed   5.125%  5/1/2040   156,812 
 61,556   Loan ID 200053  Fixed   4.000%  9/1/2042   31,055 
 56,842   Loan ID 200054  Fixed   8.250%  3/1/2039   59,684 
 84,552   Loan ID 200055  Fixed   10.000%  1/5/2036   88,779 
 127,883   Loan ID 200057  ARM   2.625%  10/1/2036   116,410 
 60,184   Loan ID 200059  Fixed   6.000%  8/1/2039   56,719 
 35,540   Loan ID 200060  Fixed   5.750%  8/1/2039   37,317 
 32,695   Loan ID 200061  Fixed   5.750%  7/1/2024   34,329 
 27,065   Loan ID 200065  ARM   6.875%  1/1/2037   24,671 
 225,537   Loan ID 200072  Fixed   5.040%  2/1/2051   236,814 
 177,491   Loan ID 200073  Fixed   5.210%  2/1/2026   186,366 
 162,722   Loan ID 200074  Fixed   5.110%  2/1/2031   170,859 
 207,708   Loan ID 200075  Fixed   4.250%  2/1/2042   215,185 
 172,614   Loan ID 200076  Fixed   4.250%  12/1/2041   160,570 
 74,649   Loan ID 200077  Fixed   3.750%  8/1/2042   76,327 
                      

The accompanying notes are an integral part of these financial statements.

5

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$33,976   Loan ID 200078  Fixed   7.000%  8/1/2036  $29,784 
 137,384   Loan ID 200079  Fixed   2.000%  8/1/2049   47,985 
 139,938   Loan ID 200081  Fixed   2.000%  9/1/2037   44,723 
 68,687   Loan ID 200082  Fixed   8.250%  4/1/2040   62,308 
 189,221   Loan ID 200084  Fixed   7.000%  3/1/2039   164,871 
 199,648   Loan ID 200086  Fixed   2.000%  11/1/2050   109,306 
 225,761   Loan ID 200087  Fixed   5.000%  3/1/2051   172,914 
 125,211   Loan ID 200088  Fixed   7.000%  6/1/2039   108,871 
 267,749   Loan ID 200089  Fixed   2.000%  3/1/2052   173,847 
 275,392   Loan ID 200090  Fixed   2.000%  11/1/2036   64,845 
 286,575   Loan ID 200091  Fixed   2.000%  11/1/2051   185,073 
 264,950   Loan ID 200092  Fixed   2.375%  5/1/2036   171,826 
 137,237   Loan ID 200093  Fixed   4.000%  2/1/2038   122,955 
 234,518   Loan ID 200094  ARM   2.625%  9/1/2037   164,497 
 385,758   Loan ID 200100  Fixed   2.000%  7/1/2037   346,407 
 74,948   Loan ID 200102  Fixed   8.250%  3/1/2040   68,182 
 118,700   Loan ID 200105  Fixed   2.000%  12/1/2050   75,928 
 95,078   Loan ID 200106  Fixed   2.000%  2/1/2052   67,266 
 445,926   Loan ID 200107  Fixed   2.000%  7/1/2052   216,813 
 189,137   Loan ID 200108  Fixed   3.000%  6/1/2047   114,693 
 114,139   Loan ID 200110  Fixed   8.250%  8/1/2039   103,851 
 206,929   Loan ID 200111  Fixed   5.000%  11/1/2050   122,376 
 305,250   Loan ID 200112  Fixed   4.000%  9/1/2049   89,519 
 126,933   Loan ID 200114  Fixed   2.000%  10/1/2051   74,232 
 267,269   Loan ID 200115  Fixed   2.000%  11/1/2051   127,527 
 149,341   Loan ID 200116  Fixed   7.125%  3/1/2039   130,223 
 408,957   Loan ID 200125  Fixed   2.000%  5/1/2051   207,231 
 127,136   Loan ID 200126  Fixed   8.250%  8/1/2039   115,765 
 141,983   Loan ID 200127  Fixed   5.000%  8/1/2039   108,510 
 73,464   Loan ID 200128  Fixed   3.000%  7/1/2037   34,787 
 464,263   Loan ID 200129  Fixed   4.625%  3/1/2052   343,563 
 35,640   Loan ID 200131  Fixed   3.875%  11/1/2027   36,765 
 232,155   Loan ID 200133  Fixed   3.490%  1/1/2043   234,752 
 187,527   Loan ID 200134  Fixed   3.750%  12/1/2042   190,244 
 125,507   Loan ID 200135  Fixed   4.375%  12/1/2042   131,782 
 240,271   Loan ID 200136  Fixed   2.875%  10/1/2027   229,291 
 128,802   Loan ID 200137  Fixed   4.500%  9/1/2042   135,242 
 48,296   Loan ID 200139  Fixed   4.625%  5/1/2027   50,711 
 80,454   Loan ID 200141  Fixed   4.250%  2/1/2042   84,477 
 129,071   Loan ID 200143  Fixed   3.000%  2/1/2037   126,705 
 394,173   Loan ID 200145  Fixed   2.000%  8/1/2051   227,602 
 100,089   Loan ID 200152  ARM   3.125%  9/1/2037   83,204 
 99,413   Loan ID 200154  Fixed   11.050%  9/1/2037   104,383 
 54,243   Loan ID 200156  Fixed   8.130%  9/19/2032   56,955 
                      

The accompanying notes are an integral part of these financial statements.

6

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
    MORTGAGE NOTES (Continued) - 91.4%              
$123,204   Loan ID 200157  Fixed   3.750%  1/1/2043  $126,315 
 159,948   Loan ID 200158  Fixed   3.625%  12/1/2042   163,303 
 185,511   Loan ID 200159  Fixed   3.750%  6/1/2042   190,621 
 129,513   Loan ID 200160  Fixed   3.250%  2/1/2043   127,644 
 474,961   Loan ID 200161  Fixed   3.875%  11/1/2041   492,096 
 228,887   Loan ID 200162  Fixed   3.875%  7/1/2042   237,195 
 121,602   Loan ID 200163  Fixed   4.000%  1/1/2042   126,639 
 104,366   Loan ID 200164  Fixed   4.000%  7/1/2042   108,533 
 201,511   Loan ID 200165  Fixed   4.375%  12/1/2041   211,586 
 121,310   Loan ID 200166  Fixed   4.000%  2/1/2032   125,890 
 128,319   Loan ID 200168  Fixed   3.750%  10/1/2042   130,570 
 24,706   Loan ID 200169  Fixed   6.923%  9/1/2034   25,942 
 100,670   Loan ID 200171  Fixed   6.500%  4/1/2036   105,703 
 143,688   Loan ID 200172  Fixed   7.250%  2/1/2037   150,859 
 93,047   Loan ID 200174  Fixed   7.340%  4/1/2037   97,699 
 54,050   Loan ID 200175  Fixed   9.600%  5/1/2037   56,558 
 103,030   Loan ID 200176  Fixed   6.600%  3/1/2037   41,697 
 59,325   Loan ID 200177  Fixed   8.000%  1/11/2022   62,291 
 42,870   Loan ID 200178  Fixed   6.500%  5/10/2016   45,013 
 21,734   Loan ID 200179  Fixed   7.250%  7/27/2019   22,821 
 19,216   Loan ID 200180  Fixed   6.500%  7/8/2016   20,177 
 110,812   Loan ID 200181  Fixed   7.500%  3/1/2016   116,353 
 87,540   Loan ID 200182  Fixed   8.750%  10/10/2016   91,917 
 265,716   Loan ID 200183  Fixed   4.125%  12/1/2032   277,946 
 75,878   Loan ID 200184  Fixed   4.375%  12/1/2042   58,138 
 28,725   Loan ID 200185  Fixed   5.375%  6/1/2042   30,161 
 54,795   Loan ID 200186  Fixed   5.125%  8/1/2042   57,535 
 153,697   Loan ID 200188  Fixed   3.875%  2/1/2043   158,930 
 172,360   Loan ID 200189  Fixed   4.125%  8/1/2042   180,675 
 342,664   Loan ID 200190  Fixed   3.625%  11/1/2042   349,657 
 133,435   Loan ID 200191  Fixed   4.125%  11/1/2042   137,781 
 190,091   Loan ID 200192  Fixed   4.250%  11/1/2042   199,596 
 167,749   Loan ID 200194  Fixed   4.750%  9/1/2041   147,104 
 273,354   Loan ID 200195  Fixed   3.875%  3/1/2042   283,232 
 102,512   Loan ID 200196  Fixed   4.500%  1/1/2043   107,637 
 39,921   Loan ID 200197  Fixed   4.750%  11/1/2042   41,917 
 41,739   Loan ID 200198  Fixed   5.250%  10/1/2042   43,826 
 294,576   Loan ID 200199  Fixed   4.000%  9/1/2042   305,491 
 250,958   Loan ID 200200  Fixed   3.875%  9/1/2042   202,466 
 58,006   Loan ID 200201  Fixed   5.125%  8/1/2041   60,906 
 60,359   Loan ID 200202  Fixed   4.375%  12/1/2042   63,377 
 24,734   Loan ID 200206  Fixed   3.990%  12/1/2042   22,806 
 50,050   Loan ID 200208  Fixed   4.250%  1/1/2043   52,366 
 213,725   Loan ID 200209  Fixed   3.875%  8/1/2042   221,509 
                      

The accompanying notes are an integral part of these financial statements.

7

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$76,359   Loan ID 200210  Fixed   4.625%  5/1/2043  $80,177 
 137,891   Loan ID 200212  Fixed   3.875%  2/1/2042   111,184 
 291,635   Loan ID 200213  Fixed   4.125%  1/1/2038   240,716 
 59,254   Loan ID 200214  Fixed   5.750%  7/1/2039   62,217 
 117,784   Loan ID 200216  Fixed   5.750%  9/1/2039   117,877 
 147,964   Loan ID 200217  Fixed   5.250%  7/1/2040   155,363 
 77,055   Loan ID 200218  Fixed   4.250%  12/1/2041   41,470 
 203,983   Loan ID 200219  Fixed   4.250%  4/1/2043   214,183 
 219,522   Loan ID 200220  Fixed   3.875%  5/1/2043   196,826 
 169,531   Loan ID 200221  Fixed   4.250%  4/1/2043   160,576 
 129,145   Loan ID 200222  Fixed   4.125%  5/1/2043   119,763 
 253,558   Loan ID 200223  Fixed   4.125%  5/1/2043   265,534 
 216,260   Loan ID 200224  Fixed   4.000%  7/1/2043   196,433 
 83,715   Loan ID 200226  Fixed   5.250%  7/1/2041   87,901 
 52,226   Loan ID 200228  Fixed   4.625%  8/1/2042   54,838 
 166,717   Loan ID 200229  Fixed   3.750%  7/1/2042   152,108 
 149,989   Loan ID 200230  Fixed   3.500%  2/1/2043   129,557 
 133,902   Loan ID 200231  Fixed   3.625%  12/1/2042   87,367 
 70,624   Loan ID 200232  Fixed   3.875%  8/1/2042   73,185 
 182,136   Loan ID 200233  Fixed   2.990%  11/1/2027   152,319 
 95,639   Loan ID 200235  Fixed   3.750%  12/1/2042   98,386 
 322,209   Loan ID 200238  ARM   3.625%  7/1/2035   313,461 
 148,403   Loan ID 200242  Fixed   3.250%  10/1/2042   83,969 
 121,773   Loan ID 200243  Fixed   3.750%  4/1/2043   108,926 
 28,951   Loan ID 200244  Fixed   5.000%  5/1/2042   30,399 
 207,471   Loan ID 200245  Fixed   3.875%  3/1/2043   214,898 
 94,073   Loan ID 200286  Fixed   4.500%  7/1/2043   98,776 
 102,912   Loan ID 200287  Fixed   4.375%  7/1/2043   108,057 
 346,049   Loan ID 200288  Fixed   4.375%  11/1/2041   360,990 
 350,985   Loan ID 200289  Fixed   5.500%  9/1/2043   368,534 
 297,123   Loan ID 200290  Fixed   4.250%  4/1/2043   311,979 
 450,673   Loan ID 200292  Fixed   3.875%  6/1/2043   466,873 
 183,729   Loan ID 200294  Fixed   3.875%  2/1/2043   190,087 
 262,024   Loan ID 200295  Fixed   3.875%  6/1/2043   271,282 
 212,010   Loan ID 200296  Fixed   3.250%  2/1/2043   181,674 
 183,641   Loan ID 200297  Fixed   3.375%  10/1/2042   183,307 
 199,338   Loan ID 200299  Fixed   3.625%  10/1/2042   173,311 
 120,087   Loan ID 200300  Fixed   8.400%  10/20/2037   126,091 
 103,757   Loan ID 200302  Fixed   9.875%  10/1/2035   57,199 
 72,302   Loan ID 200303  Fixed   5.250%  10/1/2032   41,631 
 144,310   Loan ID 200304  Fixed   7.250%  10/1/2033   151,525 
 250,929   Loan ID 200305  Fixed   7.000%  3/1/2036   141,455 
 730,465   Loan ID 200306  Fixed   4.870%  5/1/2049   650,906 
 49,341   Loan ID 200307  Fixed   6.500%  7/1/2031   51,808 
                      

The accompanying notes are an integral part of these financial statements.

8

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$111,246   Loan ID 200308  ARM   6.750%  5/1/2035  $62,223 
 213,138   Loan ID 200309  Fixed   2.000%  12/1/2048   187,663 
 134,194   Loan ID 200312  Fixed   9.000%  4/1/2039   140,904 
 47,666   Loan ID 200313  Fixed   8.500%  3/1/2028   36,489 
 63,596   Loan ID 200314  Fixed   8.000%  3/1/2040   37,166 
 314,692   Loan ID 200315  ARM   3.500%  6/1/2037   231,300 
 75,986   Loan ID 200317  Fixed   7.000%  9/1/2032   79,309 
 281,005   Loan ID 200318  Fixed   6.500%  10/1/2036   146,182 
 302,956   Loan ID 200321  Fixed   2.375%  6/1/2049   145,738 
 552,469   Loan ID 200324  Fixed   5.500%  11/1/2037   221,028 
 559,114   Loan ID 200325  Fixed   6.000%  5/1/2042   189,530 
 78,426   Loan ID 200326  Fixed   8.375%  10/1/2036   82,348 
 152,627   Loan ID 200327  Fixed   6.790%  10/26/2036   149,173 
 114,342   Loan ID 200329  Fixed   6.880%  3/1/2036   120,059 
 257,232   Loan ID 200330  Fixed   7.000%  8/1/2037   252,777 
 104,326   Loan ID 200332  Fixed   5.775%  10/1/2037   106,522 
 92,008   Loan ID 200334  Fixed   7.000%  1/1/2033   74,025 
 275,734   Loan ID 200335  Fixed   2.000%  11/1/2052   161,746 
 119,600   Loan ID 200336  Fixed   7.000%  12/1/2042   55,486 
 45,951   Loan ID 200337  Fixed   7.000%  10/1/2034   48,249 
 54,042   Loan ID 200338  ARM   10.500%  8/1/2029   56,744 
 166,441   Loan ID 200339  Fixed   2.000%  10/1/2033   137,069 
 35,256   Loan ID 200340  Fixed   7.000%  3/1/2030   37,018 
 294,971   Loan ID 200341  Fixed   7.000%  8/1/2035   172,348 
 13,371   Loan ID 200342  Fixed   5.375%  10/1/2019   14,040 
 64,186   Loan ID 200348  Fixed   6.500%  7/1/2038   61,875 
 241,189   Loan ID 200349  Fixed   7.000%  1/1/2037   130,496 
 59,820   Loan ID 200350  Fixed   7.500%  3/1/2029   62,811 
 74,446   Loan ID 200352  Fixed   7.000%  8/1/2030   44,270 
 43,743   Loan ID 200355  ARM   7.875%  7/1/2032   40,274 
 105,223   Loan ID 200357  Fixed   8.500%  4/1/2027   110,484 
 138,200   Loan ID 200358  Fixed   3.000%  4/1/2025   120,215 
 30,064   Loan ID 200360  ARM   3.000%  1/1/2025   30,064 
 72,726   Loan ID 200361  Fixed   7.500%  1/1/2034   76,362 
 111,367   Loan ID 200362  Fixed   5.000%  6/1/2045   62,467 
 147,703   Loan ID 200363  Fixed   6.000%  3/1/2049   140,270 
 92,811   Loan ID 200364  Fixed   10.000%  11/1/2037   97,452 
 68,208   Loan ID 200366  Fixed   6.250%  1/1/2033   71,618 
 229,510   Loan ID 200368  Fixed   4.500%  4/1/2036   152,756 
 268,916   Loan ID 200369  Fixed   6.000%  4/1/2044   282,361 
 61,626   Loan ID 200373  Fixed   7.000%  12/1/2036   53,532 
 78,328   Loan ID 200374  ARM   7.000%  5/1/2034   78,328 
 432,353   Loan ID 200376  Fixed   2.900%  6/1/2053   313,500 
                      

The accompanying notes are an integral part of these financial statements.

9

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$81,205   Loan ID 200377  ARM   4.500%  10/1/2036  $60,168 
 233,392   Loan ID 200378  Fixed   5.500%  5/1/2045   186,584 
 187,454   Loan ID 200380  Fixed   4.220%  4/1/2049   82,290 
 290,738   Loan ID 200381  Fixed   4.780%  6/1/2037   257,360 
 114,030   Loan ID 200382  Fixed   4.850%  7/1/2037   30,139 
 394,933   Loan ID 200383  Fixed   5.030%  12/1/2046   356,046 
 298,813   Loan ID 200384  Fixed   5.000%  11/1/2047   253,329 
 147,591   Loan ID 200385  Fixed   8.250%  1/1/2040   154,970 
 225,164   Loan ID 200386  Fixed   6.000%  3/1/2041   213,008 
 76,305   Loan ID 200387  Fixed   4.000%  6/1/2039   64,682 
 195,819   Loan ID 200388  Fixed   4.000%  3/1/2051   135,705 
 122,624   Loan ID 200389  Fixed   4.820%  8/1/2047   108,526 
 203,397   Loan ID 200390  Fixed   4.780%  4/16/2047   152,947 
 179,449   Loan ID 200391  Fixed   4.000%  1/13/2035   154,519 
 68,359   Loan ID 200392  Fixed   10.000%  6/5/2034   39,429 
 106,311   Loan ID 200393  Fixed   5.070%  8/1/2037   77,440 
 130,871   Loan ID 200394  Fixed   7.150%  8/1/2037   129,266 
 81,131   Loan ID 200395  Fixed   4.860%  4/1/2047   71,944 
 73,956   Loan ID 200396  Fixed   10.000%  2/1/2036   77,654 
 119,603   Loan ID 200397  ARM   9.375%  9/1/2037   106,453 
 138,881   Loan ID 200398  Fixed   4.800%  2/1/2037   105,677 
 80,347   Loan ID 200399  Fixed   4.980%  6/1/2037   61,424 
 53,642   Loan ID 200403  Fixed   8.300%  10/15/2032   54,857 
 58,363   Loan ID 200404  Fixed   8.100%  5/1/2037   59,184 
 100,746   Loan ID 200405  Fixed   4.870%  12/1/2035   89,979 
 117,711   Loan ID 200406  Fixed   4.875%  10/1/2051   105,382 
 237,239   Loan ID 200407  Fixed   6.500%  4/1/2042   243,945 
 205,372   Loan ID 200408  Fixed   6.000%  4/1/2039   170,187 
 348,342   Loan ID 200409  Fixed   6.000%  2/1/2049   280,961 
 107,419   Loan ID 200411  Fixed   8.275%  6/1/2037   109,466 
 312,877   Loan ID 200412  Fixed   7.750%  8/1/2040   157,408 
 252,826   Loan ID 200413  Fixed   5.150%  11/1/2047   231,339 
 86,184   Loan ID 200415  Fixed   6.000%  4/1/2050   38,407 
 184,433   Loan ID 200416  Fixed   4.670%  8/1/2053   162,539 
 72,293   Loan ID 200417  Fixed   7.000%  5/1/2035   75,907 
 57,747   Loan ID 200418  Fixed   4.000%  6/1/2035   53,044 
 170,247   Loan ID 200419  Fixed   4.000%  12/19/2035   141,859 
 170,797   Loan ID 200420  Fixed   4.225%  4/10/2038   145,099 
 77,592   Loan ID 200421  Fixed   7.710%  8/1/2037   77,722 
 137,541   Loan ID 200422  Fixed   3.830%  8/1/2053   94,421 
 132,087   Loan ID 200423  Fixed   4.500%  6/1/2043   118,654 
 117,191   Loan ID 200424  Fixed   4.000%  9/1/2028   121,986 
 255,897   Loan ID 200427  Fixed   3.625%  3/1/2043   260,705 
 230,082   Loan ID 200430  Fixed   3.625%  7/1/2043   233,839 
                      

The accompanying notes are an integral part of these financial statements.

10

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$192,596   Loan ID 200431  Fixed   4.625%  7/1/2043  $202,226 
 311,418   Loan ID 200432  Fixed   4.875%  5/1/2043   326,989 
 131,304   Loan ID 200433  Fixed   4.250%  8/1/2043   137,870 
 162,753   Loan ID 200434  Fixed   5.250%  10/1/2043   170,891 
 200,998   Loan ID 200435  Fixed   4.625%  11/1/2052   192,829 
 217,986   Loan ID 200436  Fixed   3.750%  4/1/2043   223,703 
 335,022   Loan ID 200437  Fixed   5.625%  10/1/2043   351,773 
 45,073   Loan ID 200439  Fixed   5.000%  8/1/2041   47,327 
 9   Loan ID 200440  Fixed   8.000%  6/1/2016   9 
 196,510   Loan ID 200441  Fixed   6.000%  4/1/2045   161,281 
 442,814   Loan ID 200442  Fixed   5.000%  12/1/2043   341,136 
 276,475   Loan ID 200443  Fixed   3.000%  7/1/2049   174,136 
 262,477   Loan ID 200444  Fixed   4.380%  11/1/2038   189,082 
 165,307   Loan ID 200445  Fixed   5.250%  2/1/2039   173,572 
 54,673   Loan ID 200447  Fixed   5.875%  11/4/2034   57,407 
 79,125   Loan ID 200448  Fixed   5.750%  5/1/2042   55,121 
 127,884   Loan ID 200449  Fixed   5.000%  7/1/2041   134,278 
 366,903   Loan ID 200451  Fixed   6.250%  7/1/2038   385,248 
 136,506   Loan ID 200452  Fixed   2.000%  11/1/2041   87,783 
 16,690   Loan ID 200453  Fixed   4.550%  3/1/2026   17,524 
 245,620   Loan ID 200456  Fixed   2.000%  11/1/2038   191,376 
 212,831   Loan ID 200457  Fixed   5.750%  12/10/2030   199,400 
 191,844   Loan ID 200460  Fixed   7.000%  7/1/2041   201,437 
 388,233   Loan ID 200462  Fixed   6.000%  7/1/2037   320,620 
 157,763   Loan ID 200463  Fixed   6.000%  3/1/2037   30,922 
 411,571   Loan ID 200464  ARM   8.750%  8/1/2037   200,222 
 249,375   Loan ID 200465  Fixed   6.500%  7/1/2037   260,809 
 453,311   Loan ID 200466  Fixed   7.000%  7/1/2037   393,809 
 359,059   Loan ID 200467  Fixed   5.500%  9/1/2044   262,987 
 105,736   Loan ID 200468  Fixed   5.625%  12/1/2044   85,058 
 131,607   Loan ID 200469  Fixed   6.500%  7/1/2037   111,548 
 360,632   Loan ID 200472  Fixed   4.250%  9/1/2042   378,663 
 296,413   Loan ID 200473  Fixed   4.000%  12/1/2042   267,190 
 244,359   Loan ID 200474  Fixed   5.750%  11/1/2050   256,577 
 170,936   Loan ID 200475  Fixed   5.450%  7/1/2049   123,403 
 193,307   Loan ID 200476  Fixed   6.000%  9/1/2050   195,685 
 224,447   Loan ID 200477  Fixed   4.125%  12/1/2028   234,387 
 132,399   Loan ID 200479  Fixed   3.500%  8/1/2026   133,530 
 116,696   Loan ID 200482  Fixed   4.375%  11/1/2028   122,531 
 109,624   Loan ID 200483  Fixed   4.375%  11/1/2028   115,105 
 76,269   Loan ID 200485  Fixed   4.125%  2/1/2043   79,901 
 254,352   Loan ID 200486  Fixed   3.500%  1/1/2043   256,597 
 470,674   Loan ID 200487  Fixed   6.000%  3/1/2037   268,341 
 161,976   Loan ID 200488  Fixed   4.250%  1/1/2044   147,301 
                      

The accompanying notes are an integral part of these financial statements.

11

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$116,919   Loan ID 200489  Fixed   4.000%  3/1/2043  $104,928 
 84,774   Loan ID 200490  Fixed   4.000%  11/1/2028   88,312 
 208,205   Loan ID 200491  Fixed   5.500%  10/1/2039   218,616 
 123,335   Loan ID 200492  Fixed   4.000%  1/1/2043   128,122 
 68,993   Loan ID 200493  Fixed   4.500%  12/1/2025   72,443 
 281,451   Loan ID 200494  Fixed   4.625%  10/1/2043   272,286 
 359,629   Loan ID 200495  Fixed   4.875%  12/1/2041   377,611 
 204,928   Loan ID 200496  Fixed   3.875%  2/1/2043   211,125 
 329,611   Loan ID 200497  Fixed   3.250%  4/1/2043   326,941 
 276,104   Loan ID 200499  Fixed   4.250%  1/1/2043   288,548 
 223,467   Loan ID 200500  Fixed   5.875%  2/1/2037   225,145 
 153,376   Loan ID 200501  Fixed   7.250%  12/1/2037   161,045 
 192,313   Loan ID 200502  Fixed   5.000%  6/1/2049   116,496 
 265,530   Loan ID 200503  Fixed   7.500%  8/1/2037   278,806 
 391,377   Loan ID 200504  Fixed   3.375%  3/1/2043   391,344 
 75,445   Loan ID 200507  Fixed   4.500%  9/1/2042   79,217 
 252,471   Loan ID 200508  Fixed   2.000%  10/1/2040   198,806 
 305,490   Loan ID 200509  Fixed   2.000%  12/1/2052   118,191 
 251,240   Loan ID 200511  Fixed   4.875%  1/1/2044   263,802 
 338,683   Loan ID 200514  Fixed   3.000%  4/1/2047   291,247 
 101,244   Loan ID 200515  Fixed   8.250%  2/1/2039   106,306 
 393,122   Loan ID 200516  Fixed   5.250%  1/1/2037   308,445 
 105,603   Loan ID 200517  Fixed   8.000%  5/1/2039   95,665 
 205,913   Loan ID 200518  Fixed   3.000%  12/1/2050   171,850 
 319,059   Loan ID 200519  Fixed   3.000%  11/1/2049   269,704 
 68,425   Loan ID 200520  Fixed   3.260%  7/1/2053   44,594 
 122,670   Loan ID 200524  Fixed   3.500%  6/1/2043   121,941 
 290,002   Loan ID 200525  Fixed   3.250%  12/1/2042   248,101 
 113,182   Loan ID 200527  Fixed   4.500%  12/1/2043   118,841 
 138,933   Loan ID 200528  Fixed   4.375%  2/1/2044   145,879 
 402,479   Loan ID 200529  Fixed   4.625%  2/1/2044   422,603 
 32,962   Loan ID 200530  Fixed   5.375%  2/1/2044   34,610 
 177,011   Loan ID 200531  Fixed   4.625%  11/1/2043   185,862 
 114,402   Loan ID 200532  Fixed   3.250%  7/1/2043   97,656 
 61,860   Loan ID 200536  Fixed   3.750%  10/1/2042   41,030 
 125,188   Loan ID 200537  Fixed   4.500%  3/1/2042   108,726 
 94,497   Loan ID 200538  Fixed   4.750%  1/1/2043   99,222 
 85,740   Loan ID 200540  Fixed   3.875%  2/1/2043   88,779 
 57,601   Loan ID 200543  ARM   7.250%  2/1/2037   5,894 
 386,831   Loan ID 200544  Fixed   5.000%  2/1/2044   406,172 
 60,118   Loan ID 200545  Fixed   4.375%  2/1/2029   56,957 
 123,410   Loan ID 200546  Fixed   5.375%  12/1/2043   129,581 
 171,689   Loan ID 200548  Fixed   5.250%  2/1/2044   180,273 
 155,394   Loan ID 200550  Fixed   3.750%  3/1/2043   159,349 
                      

The accompanying notes are an integral part of these financial statements.

12

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$311,679   Loan ID 200551  Fixed   4.375%  1/1/2044  $327,263 
 285,662   Loan ID 200553  Fixed   4.625%  12/1/2043   299,945 
 223,234   Loan ID 200555  Fixed   4.375%  1/1/2044   233,565 
 381,165   Loan ID 200556  Fixed   3.625%  12/1/2028   387,799 
 109,590   Loan ID 200557  Fixed   9.077%  8/1/2035   115,070 
 104,238   Loan ID 200558  Fixed   6.590%  7/1/2037   107,517 
 194,296   Loan ID 200559  Fixed   9.500%  4/14/2035   204,011 
 122,332   Loan ID 200560  Fixed   5.750%  5/1/2035   128,448 
 226,155   Loan ID 200561  Fixed   6.375%  12/1/2036   237,463 
 140,779   Loan ID 200564  Fixed   4.875%  5/1/2039   138,077 
 538,826   Loan ID 200565  Fixed   4.000%  6/1/2037   384,356 
 378,729   Loan ID 200566  Fixed   6.500%  7/1/2047   319,801 
 134,334   Loan ID 200567  Fixed   3.375%  5/1/2043   134,406 
 100,682   Loan ID 200569  Fixed   5.125%  2/1/2044   105,716 
 434,870   Loan ID 200570  Fixed   3.625%  6/1/2043   442,780 
 138,508   Loan ID 200571  Fixed   4.500%  7/1/2043   145,433 
 168,207   Loan ID 200572  Fixed   4.375%  3/1/2044   176,618 
 97,870   Loan ID 200573  Fixed   3.750%  9/1/2042   99,600 
 132,197   Loan ID 200574  Fixed   4.875%  1/1/2044   138,807 
 223,105   Loan ID 200577  Fixed   3.125%  4/1/2028   218,367 
 186,696   Loan ID 200578  Fixed   4.750%  8/1/2040   196,031 
 49,576   Loan ID 200579  Fixed   4.875%  5/1/2042   47,472 
 179,375   Loan ID 200580  Fixed   4.125%  11/1/2041   164,493 
 39,230   Loan ID 200581  Fixed   4.750%  9/1/2042   40,873 
 379,582   Loan ID 200582  Fixed   4.000%  11/1/2042   311,589 
 90,209   Loan ID 200583  Fixed   3.625%  9/1/2027   91,796 
 355,323   Loan ID 200584  Fixed   3.375%  4/1/2043   298,114 
 162,692   Loan ID 200585  Fixed   4.000%  5/1/2042   92,376 
 333,520   Loan ID 200586  Fixed   3.500%  1/1/2043   337,326 
 256,622   Loan ID 200588  Fixed   3.750%  5/1/2042   264,018 
 61,404   Loan ID 200590  Fixed   4.125%  7/1/2042   64,220 
 104,681   Loan ID 200591  Fixed   4.875%  3/1/2043   109,915 
 99,866   Loan ID 200592  Fixed   4.375%  6/1/2042   104,365 
 68,441   Loan ID 200593  Fixed   3.875%  6/1/2042   69,365 
 231,281   Loan ID 200594  Fixed   4.250%  4/1/2043   218,884 
 40,065   Loan ID 200597  Fixed   5.625%  2/1/2044   42,069 
 137,696   Loan ID 200598  Fixed   4.625%  2/1/2044   142,920 
 122,314   Loan ID 200599  Fixed   4.125%  2/1/2043   127,932 
 202,491   Loan ID 200600  Fixed   4.625%  4/1/2044   212,616 
 110,772   Loan ID 200601  Fixed   4.000%  3/1/2043   115,499 
 187,890   Loan ID 200602  Fixed   3.750%  3/1/2043   193,295 
 72,225   Loan ID 200603  Fixed   4.125%  6/1/2043   75,205 
 74,833   Loan ID 200604  Fixed   3.500%  1/1/2043   75,446 
 143,312   Loan ID 200605  Fixed   4.875%  11/1/2043   82,130 
                      

The accompanying notes are an integral part of these financial statements.

13

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$130,301   Loan ID 200606  Fixed   3.625%  12/1/2042  $130,974 
 227,887   Loan ID 200607  Fixed   2.875%  11/1/2027   218,360 
 137,987   Loan ID 200608  Fixed   4.125%  11/1/2043   129,139 
 58,945   Loan ID 200611  Fixed   4.625%  5/1/2043   61,892 
 127,958   Loan ID 200612  Fixed   4.500%  2/1/2043   122,441 
 208,986   Loan ID 200613  Fixed   3.369%  1/1/2043   206,114 
 105,060   Loan ID 200614  Fixed   5.000%  1/1/2044   110,313 
 103,611   Loan ID 200615  Fixed   4.250%  8/1/2043   108,792 
 344,444   Loan ID 200616  Fixed   4.875%  2/1/2044   361,666 
 93,334   Loan ID 200617  Fixed   4.750%  9/1/2043   46,907 
 131,162   Loan ID 200618  Fixed   4.375%  5/1/2042   136,846 
 233,159   Loan ID 200620  Fixed   4.250%  10/1/2043   193,915 
 134,588   Loan ID 200621  Fixed   3.625%  1/1/2043   135,809 
 74,772   Loan ID 200623  Fixed   4.375%  12/1/2042   78,511 
 258,720   Loan ID 200624  Fixed   4.125%  4/1/2043   270,306 
 120,949   Loan ID 200625  Fixed   4.500%  11/1/2043   77,560 
 118,695   Loan ID 200626  Fixed   4.500%  10/1/2043   100,838 
 134,065   Loan ID 200627  Fixed   4.250%  10/1/2043   140,768 
 83,778   Loan ID 200628  Fixed   3.250%  2/1/2028   82,813 
 156,949   Loan ID 200629  Fixed   4.375%  9/1/2043   144,026 
 167,978   Loan ID 200630  Fixed   5.250%  9/1/2043   176,377 
 296,416   Loan ID 200631  Fixed   3.250%  6/1/2043   294,102 
 348,149   Loan ID 200632  Fixed   5.250%  5/1/2044   365,557 
 227,677   Loan ID 200633  Fixed   5.125%  5/1/2044   239,061 
 235,518   Loan ID 200634  Fixed   4.375%  1/1/2044   243,453 
 108,762   Loan ID 200635  Fixed   3.750%  5/1/2029   109,848 
 197,486   Loan ID 200636  Fixed   3.750%  2/1/2053   207,360 
 190,778   Loan ID 200638  Fixed   3.875%  3/1/2043   152,257 
 171,702   Loan ID 200641  Fixed   5.250%  4/1/2044   180,287 
 147,355   Loan ID 200642  Fixed   5.000%  3/1/2044   132,039 
 170,824   Loan ID 200644  Fixed   4.750%  3/1/2044   179,365 
 119,412   Loan ID 200645  Fixed   5.000%  4/1/2044   125,037 
 119,630   Loan ID 200647  Fixed   4.250%  1/1/2044   125,611 
 155,911   Loan ID 200648  Fixed   4.750%  3/1/2044   163,706 
 144,843   Loan ID 200649  Fixed   4.375%  3/1/2044   131,483 
 131,315   Loan ID 200650  Fixed   4.875%  5/1/2044   127,226 
 266,478   Loan ID 200651  Fixed   3.625%  7/1/2043   269,875 
 172,423   Loan ID 200652  Fixed   4.125%  5/1/2038   127,218 
 355,717   Loan ID 200653  Fixed   4.000%  4/1/2053   333,218 
 281,020   Loan ID 200654  Fixed   5.125%  2/1/2041   182,861 
 142,872   Loan ID 200655  Fixed   3.375%  5/1/2043   139,983 
 155,360   Loan ID 200656  Fixed   6.875%  7/1/2037   73,096 
 146,773   Loan ID 200657  Fixed   4.875%  8/1/2051   154,112 
 287,051   Loan ID 200659  Fixed   4.000%  3/1/2053   195,409 
                      

The accompanying notes are an integral part of these financial statements.

14

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$185,750   Loan ID 200660  Fixed   5.875%  3/1/2038  $174,460 
 214,554   Loan ID 200662  Fixed   5.000%  3/1/2044   225,282 
 69,883   Loan ID 200663  Fixed   4.750%  5/1/2044   71,299 
 279,217   Loan ID 200664  Fixed   4.750%  4/1/2044   273,997 
 271,522   Loan ID 200665  Fixed   5.299%  12/1/2046   117,375 
 218,370   Loan ID 200666  Fixed   5.890%  8/26/2035   135,062 
 307,368   Loan ID 200668  Fixed   3.625%  4/1/2043   308,974 
 157,417   Loan ID 200669  Fixed   5.250%  4/1/2044   165,288 
 65,873   Loan ID 200670  Fixed   4.375%  2/1/2029   62,610 
 240,910   Loan ID 200671  Fixed   4.625%  8/1/2043   230,157 
 160,641   Loan ID 200672  Fixed   3.750%  7/1/2043   144,195 
 313,719   Loan ID 200674  Fixed   4.500%  5/1/2044   289,956 
 296,727   Loan ID 200675  Fixed   5.125%  4/1/2044   310,901 
 128,012   Loan ID 200677  Fixed   3.625%  5/1/2028   130,518 
 473,491   Loan ID 200678  Fixed   4.375%  2/1/2044   497,042 
 258,122   Loan ID 200679  Fixed   5.000%  4/1/2044   193,155 
 64,557   Loan ID 200680  Fixed   5.375%  3/1/2044   63,823 
 192,704   Loan ID 200682  Fixed   4.875%  5/1/2044   181,992 
 216,202   Loan ID 200683  Fixed   4.500%  4/1/2044   227,012 
 128,095   Loan ID 200684  Fixed   4.875%  4/1/2044   134,499 
 233,223   Loan ID 200685  Fixed   4.875%  5/1/2044   242,980 
 185,354   Loan ID 200688  Fixed   4.250%  3/1/2053   115,887 
 136,583   Loan ID 200689  Fixed   4.375%  12/1/2043   123,109 
 229,474   Loan ID 200690  Fixed   4.250%  4/1/2044   211,821 
 291,267   Loan ID 200691  Fixed   4.500%  5/1/2044   305,831 
 247,585   Loan ID 200692  Fixed   4.625%  7/1/2044   255,052 
 108,643   Loan ID 200694  Fixed   4.500%  9/1/2043   114,076 
 49,492   Loan ID 200696  Fixed   3.750%  10/1/2042   50,912 
 137,872   Loan ID 200697  Fixed   4.500%  1/1/2044   126,774 
 190,556   Loan ID 200699  Fixed   4.125%  7/1/2044   196,487 
 95,769   Loan ID 200700  Fixed   4.250%  2/1/2044   99,526 
 170,177   Loan ID 200701  Fixed   4.750%  6/1/2044   178,686 
 98,608   Loan ID 200704  Fixed   4.375%  3/1/2043   103,539 
 135,737   Loan ID 200705  Fixed   4.625%  4/1/2044   142,524 
 104,441   Loan ID 200706  Fixed   4.990%  6/1/2044   108,537 
 101,587   Loan ID 200707  Fixed   4.875%  2/1/2044   106,666 
 135,267   Loan ID 200708  Fixed   4.875%  2/1/2044   142,030 
 52,097   Loan ID 200709  Fixed   4.375%  4/1/2043   54,702 
 117,360   Loan ID 200710  Fixed   4.500%  7/1/2044   122,762 
 118,179   Loan ID 200711  Fixed   3.750%  7/1/2043   105,898 
 219,726   Loan ID 200712  Fixed   3.875%  2/1/2044   196,316 
 99,406   Loan ID 200713  Fixed   4.250%  12/1/2043   104,063 
 609,679   Loan ID 200714  Fixed   2.175%  11/1/2036   451,723 
 210,976   Loan ID 200716  ARM   3.230%  8/1/2037   135,652 
                      

The accompanying notes are an integral part of these financial statements.

15

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$145,260   Loan ID 200720  ARM   3.250%  4/1/2042  $90,974 
 187,830   Loan ID 200721  Fixed   3.000%  8/1/2037   113,654 
 191,871   Loan ID 200725  Fixed   7.000%  7/1/2037   92,886 
 150,658   Loan ID 200726  Fixed   4.125%  9/1/2037   99,950 
 176,041   Loan ID 200727  Fixed   2.625%  7/1/2037   141,160 
 349,572   Loan ID 200729  ARM   3.375%  11/1/2037   188,269 
 446,642   Loan ID 200730  ARM   2.625%  9/1/2036   295,625 
 201,507   Loan ID 200732  Fixed   3.125%  9/1/2027   159,096 
 235,630   Loan ID 200733  Fixed   3.750%  12/1/2042   242,233 
 247,711   Loan ID 200734  ARM   3.375%  4/1/2044   257,248 
 103,832   Loan ID 200735  Fixed   4.500%  6/1/2044   107,238 
 146,846   Loan ID 200736  Fixed   4.750%  5/1/2044   126,839 
 144,658   Loan ID 200737  Fixed   4.750%  5/1/2044   108,868 
 598,603   Loan ID 200738  Fixed   4.125%  6/1/2044   627,814 
 358,802   Loan ID 200739  Fixed   4.625%  8/1/2044   316,313 
 133,940   Loan ID 200740  Fixed   4.875%  6/1/2044   140,637 
 111,376   Loan ID 200741  Fixed   4.250%  6/1/2044   57,292 
 180,560   Loan ID 200742  Fixed   4.250%  4/1/2043   189,133 
 196,099   Loan ID 200744  Fixed   3.625%  6/1/2043   199,953 
 125,564   Loan ID 200745  Fixed   3.250%  6/1/2043   108,446 
 373,381   Loan ID 200746  Fixed   5.250%  6/1/2044   330,826 
 339,010   Loan ID 200747  Fixed   4.125%  5/1/2043   346,710 
 458,896   Loan ID 200748  Fixed   4.750%  12/1/2043   481,841 
 156,604   Loan ID 200749  Fixed   4.750%  9/1/2043   164,434 
 248,011   Loan ID 200750  Fixed   4.750%  5/1/2044   260,412 
 171,903   Loan ID 200752  Fixed   4.750%  10/1/2043   152,871 
 60,927   Loan ID 200753  Fixed   5.250%  5/1/2044   58,823 
 228,128   Loan ID 200754  Fixed   4.750%  8/1/2044   237,800 
 57,033   Loan ID 200755  Fixed   4.250%  6/1/2043   53,478 
 193,318   Loan ID 200756  Fixed   4.875%  11/1/2043   184,549 
 129,791   Loan ID 200759  Fixed   3.750%  6/1/2043   115,111 
 177,001   Loan ID 200760  Fixed   3.750%  6/1/2043   181,554 
 112,843   Loan ID 200761  Fixed   4.625%  1/1/2044   44,336 
 308,213   Loan ID 200762  Fixed   3.875%  5/1/2042   283,057 
 157,114   Loan ID 200763  Fixed   4.250%  11/1/2043   145,470 
 315,119   Loan ID 200764  Fixed   3.875%  6/1/2043   323,404 
 208,815   Loan ID 200765  Fixed   4.875%  11/1/2043   201,280 
 505,866   Loan ID 200766  Fixed   3.625%  12/1/2042   516,369 
 514,091   Loan ID 200768  Fixed   4.000%  6/1/2043   528,295 
 138,997   Loan ID 200770  Fixed   4.000%  5/1/2043   141,024 
 179,627   Loan ID 200771  Fixed   4.500%  4/1/2043   169,571 
 252,963   Loan ID 200772  Fixed   3.750%  3/1/2043   260,145 
 59,292   Loan ID 200773  Fixed   3.750%  10/1/2043   44,957 
 210,488   Loan ID 200774  Fixed   3.875%  7/1/2043   216,868 
                      

The accompanying notes are an integral part of these financial statements.

16

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$45,540   Loan ID 200775  Fixed   4.250%  4/1/2043  $47,818 
 83,192   Loan ID 200776  Fixed   4.250%  3/1/2044   76,313 
 54,590   Loan ID 200777  Fixed   4.750%  6/1/2044   49,075 
 108,950   Loan ID 200778  Fixed   4.625%  6/1/2044   114,398 
 145,652   Loan ID 200779  Fixed   4.625%  8/1/2044   151,646 
 170,810   Loan ID 200781  Fixed   4.625%  9/1/2044   179,350 
 142,888   Loan ID 200783  Fixed   4.750%  9/1/2044   139,196 
 116,831   Loan ID 200785  Fixed   4.500%  8/1/2044   120,684 
 231,488   Loan ID 200786  Fixed   4.625%  7/1/2044   205,641 
 43,964   Loan ID 200787  Fixed   4.750%  9/1/2044   45,815 
 198,467   Loan ID 200788  Fixed   3.625%  12/1/2028   199,290 
 133,186   Loan ID 200789  Fixed   3.750%  9/1/2044   117,235 
 154,362   Loan ID 200790  Fixed   4.250%  8/1/2044   145,985 
 206,979   Loan ID 200791  Fixed   4.875%  6/1/2044   217,328 
 369,308   Loan ID 200792  Fixed   3.375%  1/1/2043   220,604 
 373,885   Loan ID 200793  Fixed   2.000%  10/1/2051   152,400 
 234,344   Loan ID 200794  Fixed   2.000%  4/1/2050   56,369 
 95,852   Loan ID 200795  Fixed   6.750%  8/1/2036   92,146 
 72,512   Loan ID 200796  Fixed   2.170%  12/1/2053   46,610 
 422,456   Loan ID 200797  Fixed   2.000%  6/1/2052   319,783 
 60,055   Loan ID 200799  Fixed   3.000%  2/5/2053   59,222 
 61,199   Loan ID 200800  Fixed   4.000%  1/1/2053   56,424 
 216,196   Loan ID 200802  Fixed   5.000%  1/1/2042   69,323 
 362,976   Loan ID 200803  Fixed   2.250%  11/1/2050   126,542 
 161,513   Loan ID 200805  Fixed   2.000%  7/1/2050   113,065 
 159,184   Loan ID 200806  Fixed   5.000%  8/1/2049   90,324 
 300,109   Loan ID 200807  Fixed   2.460%  7/1/2047   186,690 
 25,639   Loan ID 200808  Fixed   2.000%  11/1/2050   22,234 
 117,419   Loan ID 200809  Fixed   3.000%  4/1/2050   48,487 
 144,629   Loan ID 200810  Fixed   3.000%  1/1/2050   84,919 
 116,694   Loan ID 200811  Fixed   3.000%  4/1/2050   79,759 
 67,608   Loan ID 200813  Fixed   2.000%  12/1/2049   118,619 
 244,124   Loan ID 200814  Fixed   8.250%  7/1/2039   248,612 
 315,781   Loan ID 200815  Fixed   2.000%  3/1/2053   154,296 
 114,470   Loan ID 200817  Fixed   3.000%  1/1/2050   169,504 
 54,830   Loan ID 200818  Fixed   3.490%  8/1/2051   43,963 
 264,687   Loan ID 200819  Fixed   2.000%  9/1/2053   112,802 
 137,181   Loan ID 200820  Fixed   4.000%  7/1/2044   123,577 
 213,081   Loan ID 200821  Fixed   4.250%  8/1/2044   217,659 
 324,120   Loan ID 200822  Fixed   4.750%  1/1/2042   340,326 
 83,164   Loan ID 200823  Fixed   4.250%  9/1/2044   78,112 
 225,873   Loan ID 200824  Fixed   4.250%  8/1/2044   202,903 
 108,237   Loan ID 200826  Fixed   4.375%  9/1/2044   110,767 
 190,153   Loan ID 200827  Fixed   3.875%  6/1/2044   170,764 
 239,280   Loan ID 200828  Fixed   4.375%  7/1/2044   215,759 
                      

The accompanying notes are an integral part of these financial statements.

17

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$263,181   Loan ID 200829  Fixed   4.375%  7/1/2043  $273,458 
 214,170   Loan ID 200830  Fixed   2.875%  7/1/2044   181,757 
 83,496   Loan ID 200831  Fixed   4.250%  10/1/2044   84,725 
 347,860   Loan ID 200832  Fixed   4.250%  10/1/2044   313,515 
 364,038   Loan ID 200833  Fixed   4.250%  1/1/2043   382,240 
 163,817   Loan ID 200834  Fixed   4.125%  7/1/2043   171,635 
 335,805   Loan ID 200835  Fixed   5.000%  8/1/2043   352,595 
 336,342   Loan ID 200837  Fixed   4.625%  8/1/2044   346,837 
 187,057   Loan ID 200838  Fixed   3.750%  8/1/2044   160,335 
 239,626   Loan ID 200839  Fixed   5.000%  5/1/2044   251,607 
 185,365   Loan ID 200842  Fixed   4.250%  8/1/2044   170,580 
 365,339   Loan ID 200843  Fixed   4.750%  10/1/2043   383,606 
 309,575   Loan ID 200844  Fixed   4.500%  7/1/2043   325,054 
 208,141   Loan ID 200846  Fixed   4.375%  11/1/2043   179,070 
 185,334   Loan ID 200847  Fixed   4.750%  10/1/2044   193,105 
 180,176   Loan ID 200848  Fixed   2.000%  6/1/2051   142,134 
 227,359   Loan ID 200849  Fixed   5.014%  11/1/2047   96,566 
 147,266   Loan ID 200850  Fixed   2.000%  6/1/2051   58,647 
 188,996   Loan ID 200851  Fixed   4.000%  7/1/2051   136,386 
 623,151   Loan ID 200852  Fixed   2.868%  2/1/2053   496,965 
 115,045   Loan ID 200853  Fixed   2.818%  4/1/2037   86,337 
 106,479   Loan ID 200854  Fixed   2.500%  4/1/2053   96,659 
 225,203   Loan ID 200855  ARM   3.580%  7/1/2037   185,314 
 218,151   Loan ID 200856  Fixed   4.000%  6/1/2042   96,472 
 244,616   Loan ID 200857  Fixed   2.125%  7/1/2040   88,797 
 270,788   Loan ID 200858  Fixed   2.000%  1/1/2053   209,275 
 245,032   Loan ID 200859  Fixed   2.170%  12/1/2052   116,298 
 154,971   Loan ID 200860  Fixed   2.000%  3/1/2052   102,588 
 434,420   Loan ID 200861  Fixed   2.000%  6/1/2054   343,143 
 157,783   Loan ID 200862  Fixed   2.748%  8/1/2050   79,660 
 256,187   Loan ID 200863  Fixed   2.000%  7/1/2052   204,370 
 269,796   Loan ID 200864  Fixed   2.000%  1/1/2037   176,805 
 212,404   Loan ID 200865  Fixed   3.060%  11/1/2053   166,020 
 271,553   Loan ID 200866  Fixed   2.000%  5/1/2053   235,744 
 116,209   Loan ID 200867  Fixed   2.370%  9/1/2053   66,693 
 317,058   Loan ID 200869  ARM   3.740%  4/1/2037   118,942 
 2,762,526   Loan ID 200871  Fixed   2.000%  8/1/2053   1,227,628 
 392,808   Loan ID 200872  Fixed   3.200%  8/1/2050   312,628 
 202,375   Loan ID 200873  Fixed   3.525%  11/1/2053   131,153 
 215,412   Loan ID 200874  Fixed   2.000%  11/1/2047   86,876 
 577,455   Loan ID 200875  Fixed   2.000%  5/1/2054   446,289 
 201,701   Loan ID 200876  Fixed   2.625%  5/1/2035   183,920 
 398,108   Loan ID 200877  Fixed   4.750%  9/1/2042   344,200 
 137,970   Loan ID 200878  Fixed   2.000%  7/1/2050   91,256 
                      

The accompanying notes are an integral part of these financial statements.

18

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$195,009   Loan ID 200880  Fixed   4.250%  6/1/2043  $204,759 
 180,546   Loan ID 200882  Fixed   5.125%  9/1/2043   189,573 
 88,985   Loan ID 200883  Fixed   3.375%  5/1/2028   88,774 
 176,738   Loan ID 200885  Fixed   4.875%  10/1/2044   179,171 
 98,387   Loan ID 200886  Fixed   4.250%  10/1/2044   100,503 
 256,864   Loan ID 200887  Fixed   4.750%  9/1/2044   269,707 
 241,604   Loan ID 200888  Fixed   4.500%  9/1/2044   203,149 
 136,947   Loan ID 200890  Fixed   4.375%  11/1/2044   110,891 
 211,095   Loan ID 200891  Fixed   4.250%  10/1/2044   192,998 
 259,766   Loan ID 200892  Fixed   3.750%  9/1/2043   225,623 
 226,924   Loan ID 200893  Fixed   5.000%  11/1/2043   238,270 
 100,461   Loan ID 200894  Fixed   5.000%  10/1/2043   105,484 
 230,459   Loan ID 200895  Fixed   3.875%  11/1/2043   233,963 
 198,648   Loan ID 200897  Fixed   4.750%  10/1/2044   139,633 
 223,737   Loan ID 200898  Fixed   4.250%  10/1/2043   180,491 
 381,026   Loan ID 200900  Fixed   4.375%  9/1/2044   356,506 
 673,760   Loan ID 200902  Fixed   4.250%  9/1/2044   700,931 
 255,301   Loan ID 200904  Fixed   5.125%  9/1/2044   243,120 
 408,261   Loan ID 200905  Fixed   5.375%  9/1/2044   423,485 
 321,890   Loan ID 200906  Fixed   4.875%  2/1/2035   337,985 
 355,039   Loan ID 200907  ARM   3.300%  8/1/2047   285,077 
 107,423   Loan ID 200908  Fixed   4.000%  6/1/2049   99,554 
 117,250   Loan ID 200909  Fixed   4.870%  3/1/2046   123,113 
 206,364   Loan ID 200910  Fixed   3.300%  4/1/2053   164,154 
 150,092   Loan ID 200911  Fixed   3.380%  9/1/2053   76,187 
 723,314   Loan ID 200912  Fixed   3.500%  3/1/2037   571,857 
 60,562   Loan ID 200913  Fixed   4.250%  5/1/2047   51,684 
 154,716   Loan ID 200914  Fixed   2.875%  12/1/2047   122,812 
 144,386   Loan ID 200915  Fixed   2.990%  9/1/2053   64,514 
 97,338   Loan ID 200916  Fixed   4.000%  10/1/2037   98,724 
 161,966   Loan ID 200917  Fixed   4.875%  1/1/2051   170,065 
 518,199   Loan ID 200918  Fixed   3.875%  10/1/2035   456,963 
 558,980   Loan ID 200919  Fixed   3.000%  8/1/2045   472,424 
 100,030   Loan ID 200921  ARM   3.125%  7/1/2051   95,002 
 430,134   Loan ID 200922  Fixed   3.340%  9/1/2053   372,688 
 442,923   Loan ID 200923  Fixed   2.750%  12/1/2036   358,087 
 515,380   Loan ID 200924  Fixed   4.000%  9/1/2051   453,438 
 468,059   Loan ID 200925  Fixed   4.000%  4/1/2055   482,752 
 338,306   Loan ID 200927  Fixed   3.000%  8/1/2038   334,376 
 126,890   Loan ID 200928  Fixed   4.800%  12/1/2036   133,235 
 165,750   Loan ID 200929  Fixed   4.625%  1/1/2043   173,677 
 184,134   Loan ID 200930  Fixed   2.000%  12/1/2050   163,218 
 394,136   Loan ID 200931  Fixed   4.250%  12/1/2052   287,841 
                      

The accompanying notes are an integral part of these financial statements.

19

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$311,055   Loan ID 200933  Fixed   4.250%  3/1/2043  $326,608 
 118,161   Loan ID 200934  Fixed   3.810%  1/1/2043   121,195 
 183,472   Loan ID 200935  Fixed   3.875%  4/1/2043   186,502 
 201,468   Loan ID 200936  Fixed   4.000%  5/1/2042   209,982 
 178,871   Loan ID 200938  Fixed   4.125%  4/1/2043   185,607 
 125,715   Loan ID 200939  Fixed   4.170%  5/1/2042   118,496 
 205,818   Loan ID 200940  Fixed   3.250%  2/1/2043   204,033 
 119,890   Loan ID 200941  Fixed   3.780%  1/1/2043   123,250 
 287,768   Loan ID 200942  Fixed   4.000%  4/1/2043   300,146 
 122,890   Loan ID 200943  Fixed   4.875%  11/1/2043   129,034 
 107,729   Loan ID 200944  Fixed   4.500%  2/1/2044   78,879 
 144,685   Loan ID 200945  Fixed   5.125%  4/1/2044   151,001 
 297,159   Loan ID 200947  Fixed   4.000%  2/1/2043   309,560 
 132,564   Loan ID 200948  Fixed   4.625%  12/1/2042   139,192 
 290,146   Loan ID 200949  Fixed   3.875%  4/1/2043   299,994 
 187,634   Loan ID 200952  Fixed   3.875%  1/1/2043   193,976 
 121,619   Loan ID 200953  Fixed   3.750%  12/1/2042   106,157 
 391,188   Loan ID 200954  Fixed   3.625%  1/1/2043   397,805 
 342,357   Loan ID 200955  Fixed   3.250%  5/1/2043   339,239 
 267,129   Loan ID 200956  Fixed   5.000%  8/1/2051   258,695 
 172,664   Loan ID 200957  Fixed   3.875%  6/1/2043   178,825 
 99,380   Loan ID 200958  Fixed   3.875%  6/1/2043   101,904 
 432,026   Loan ID 200959  Fixed   4.000%  11/1/2042   450,913 
 387,856   Loan ID 200960  Fixed   3.500%  1/1/2043   390,305 
 183,910   Loan ID 200961  Fixed   4.750%  6/1/2043   193,105 
 215,232   Loan ID 200962  Fixed   4.250%  10/1/2044   195,090 
 121,380   Loan ID 200963  Fixed   4.750%  9/1/2044   111,652 
 364,756   Loan ID 200964  Fixed   3.750%  7/1/2043   375,205 
 211,813   Loan ID 200965  Fixed   4.125%  11/1/2044   183,998 
 150,214   Loan ID 200966  Fixed   4.875%  7/1/2044   139,759 
 97,509   Loan ID 200968  Fixed   4.250%  11/1/2044   77,314 
 372,196   Loan ID 200969  Fixed   4.875%  8/1/2043   390,806 
 136,631   Loan ID 200972  Fixed   4.750%  2/1/2044   143,463 
 158,333   Loan ID 200974  Fixed   4.250%  10/1/2044   143,351 
 58,686   Loan ID 200975  Fixed   4.750%  12/1/2044   61,621 
 205,741   Loan ID 200976  Fixed   4.500%  12/1/2044   211,338 
 360,545   Loan ID 200977  Fixed   4.875%  9/1/2044   378,572 
 124,093   Loan ID 200978  Fixed   4.625%  11/1/2044   127,472 
 182,522   Loan ID 200980  Fixed   4.250%  11/1/2044   186,269 
 146,457   Loan ID 200982  Fixed   4.375%  11/1/2044   115,894 
 220,534   Loan ID 200983  Fixed   4.375%  8/1/2044   202,014 
 157,107   Loan ID 200984  Fixed   5.000%  10/1/2043   164,962 
 266,841   Loan ID 200985  Fixed   4.250%  12/1/2044   225,694 
 157,875   Loan ID 200986  Fixed   4.250%  12/1/2044   165,768 
                      

The accompanying notes are an integral part of these financial statements.

20

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$117,291   Loan ID 200987  Fixed   4.625%  10/1/2044  $121,619 
 226,164   Loan ID 200989  Fixed   3.750%  6/1/2029   231,081 
 293,300   Loan ID 200992  Fixed   4.125%  5/1/2043   307,271 
 174,039   Loan ID 200993  Fixed   2.004%  7/15/2049   157,410 
 206,370   Loan ID 200994  Fixed   4.125%  5/1/2053   137,519 
 200,730   Loan ID 200995  Fixed   2.750%  5/1/2047   121,690 
 58,138   Loan ID 200996  Fixed   2.500%  8/1/2048   41,164 
 100,596   Loan ID 200997  Fixed   2.000%  3/1/2051   71,297 
 372,434   Loan ID 200998  Fixed   2.250%  12/1/2050   273,956 
 99,320   Loan ID 200999  Fixed   4.250%  4/1/2044   103,125 
 75,975   Loan ID 201000  Fixed   5.125%  2/1/2039   75,975 
 107,698   Loan ID 201001  Fixed   7.413%  9/1/2037   43,873 
 35,410   Loan ID 201002**  Fixed   0.000%  10/1/2024   37,181 
 36,098   Loan ID 201003**  Fixed   0.000%  12/1/2024   37,903 
 134,571   Loan ID 201005  Fixed   4.750%  7/1/2041   141,299 
 44,611   Loan ID 201006  Fixed   6.875%  3/1/2038   46,841 
 83,521   Loan ID 201007  Fixed   7.125%  4/1/2037   87,697 
 79,337   Loan ID 201008  Fixed   7.125%  10/1/2038   83,304 
 75,114   Loan ID 201009**  Fixed   0.000%  4/1/2033   78,870 
 83,143   Loan ID 201010  Fixed   5.500%  4/1/2039   81,939 
 47,873   Loan ID 201011**  Fixed   0.000%  2/1/2023   50,267 
 47,557   Loan ID 201012  Fixed   7.500%  12/1/2038   49,935 
 57,801   Loan ID 201013  Fixed   7.500%  12/1/2038   60,691 
 97,690   Loan ID 201014**  Fixed   0.000%  2/1/2033   90,576 
 19,089   Loan ID 201015**  Fixed   0.000%  3/29/2021   20,044 
 110,053   Loan ID 201016  Fixed   6.500%  2/1/2036   104,488 
 28,462   Loan ID 201017**  Fixed   0.000%  4/1/2032   26,415 
 318,963   Loan ID 201018  Fixed   6.750%  6/1/2037   334,912 
 102,563   Loan ID 201019  ARM   2.875%  2/1/2037   107,692 
 102,220   Loan ID 201020**  Fixed   0.000%  10/1/2034   107,331 
 106,354   Loan ID 201021  Fixed   6.870%  8/1/2047   111,671 
 83,104   Loan ID 201022  ARM   2.625%  5/1/2037   77,537 
 147,208   Loan ID 201023  Fixed   6.450%  2/1/2036   151,329 
 101,279   Loan ID 201024  Fixed   9.000%  3/1/2037   106,343 
 191,386   Loan ID 201025  ARM   2.875%  1/1/2042   181,849 
 83,362   Loan ID 201026  Fixed   7.750%  12/1/2035   83,362 
 108,034   Loan ID 201027  Fixed   9.538%  3/1/2037   113,435 
 173,089   Loan ID 201028  Fixed   4.625%  4/1/2044   181,744 
 106,492   Loan ID 201030  Fixed   5.000%  7/1/2042   105,489 
 145,282   Loan ID 201032  Fixed   4.500%  11/1/2044   130,480 
 294,494   Loan ID 201033  Fixed   4.125%  12/1/2044   275,173 
 106,325   Loan ID 201035  Fixed   4.375%  9/1/2044   35,918 
 100,535   Loan ID 201036  Fixed   4.375%  12/1/2044   88,808 
 70,616   Loan ID 201037  Fixed   8.250%  7/1/2039   74,147 
                      

The accompanying notes are an integral part of these financial statements.

21

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$114,018   Loan ID 201038  Fixed   8.250%  5/1/2039  $60,720 
 462,886   Loan ID 201039  Fixed   4.500%  10/1/2045   194,794 
 283,204   Loan ID 201040  Fixed   2.000%  11/1/2045   208,307 
 92,809   Loan ID 201041  Fixed   3.750%  11/1/2052   73,695 
 120,317   Loan ID 201043  Fixed   4.000%  4/1/2039   118,701 
 189,151   Loan ID 201044  Fixed   4.870%  3/29/2037   181,897 
 114,430   Loan ID 201045  Fixed   2.000%  7/1/2037   90,004 
 270,525   Loan ID 201046  Fixed   2.000%  4/1/2053   126,699 
 111,103   Loan ID 201047  Fixed   2.000%  4/1/2053   75,707 
 177,306   Loan ID 201048  Fixed   2.000%  4/1/2052   124,114 
 493,394   Loan ID 201049  Fixed   2.000%  4/1/2052   317,055 
 655,574   Loan ID 201050  Fixed   2.000%  8/1/2053   376,702 
 277,049   Loan ID 201051  Fixed   3.174%  9/1/2053   218,792 
 131,120   Loan ID 201052  Fixed   2.000%  4/1/2053   57,727 
 66,744   Loan ID 201053  Fixed   3.860%  7/1/2053   53,996 
 218,853   Loan ID 201054  Fixed   2.400%  5/17/2050   165,833 
 608,818   Loan ID 201056  Fixed   2.000%  7/1/2054   490,826 
 172,669   Loan ID 201057  Fixed   2.000%  1/1/2050   157,683 
 141,350   Loan ID 201058  Fixed   2.500%  8/1/2037   113,742 
 137,708   Loan ID 201059  Fixed   2.000%  4/1/2053   122,668 
 119,447   Loan ID 201060  Fixed   2.625%  7/1/2035   78,017 
 88,540   Loan ID 201061  Fixed   3.000%  3/1/2050   60,279 
 123,023   Loan ID 201062  Fixed   3.100%  4/1/2047   106,907 
 127,966   Loan ID 201063  Fixed   4.000%  9/1/2047   107,354 
 51,825   Loan ID 201064  Fixed   2.000%  12/1/2052   39,610 
 218,987   Loan ID 201065  Fixed   3.000%  7/1/2037   164,179 
 236,926   Loan ID 201066  Fixed   4.250%  12/1/2046   248,772 
 448,053   Loan ID 201067  Fixed   4.750%  1/1/2044   420,611 
 306,198   Loan ID 201068  Fixed   5.250%  5/1/2044   321,508 
 71,428   Loan ID 201069  Fixed   4.625%  12/1/2044   67,486 
 634,573   Loan ID 201070  Fixed   4.250%  2/1/2045   661,337 
 183,766   Loan ID 201071  Fixed   4.625%  11/1/2044   167,501 
 124,283   Loan ID 201072  Fixed   3.500%  3/1/2028   96,581 
 53,679   Loan ID 201073  Fixed   3.125%  4/1/2023   52,349 
 98,484   Loan ID 201075  Fixed   4.375%  10/1/2044   100,020 
 130,893   Loan ID 201076  Fixed   3.500%  12/1/2042   129,582 
 139,436   Loan ID 201077  Fixed   3.625%  7/1/2044   121,730 
 109,698   Loan ID 201078  Fixed   3.990%  7/1/2042   114,394 
 271,251   Loan ID 201081  ARM   3.000%  10/1/2044   271,624 
 126,972   Loan ID 201082  Fixed   3.875%  12/1/2044   110,140 
 373,769   Loan ID 201083  Fixed   5.375%  2/1/2044   220,054 
 233,268   Loan ID 201084  Fixed   5.000%  8/1/2038   230,343 
 151,102   Loan ID 201086  Fixed   4.625%  11/1/2044   142,512 
 276,952   Loan ID 201089  Fixed   4.000%  8/1/2044   219,284 
                      

The accompanying notes are an integral part of these financial statements.

22

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$258,155   Loan ID 201090  Fixed   3.625%  11/1/2044  $259,043 
 163,729   Loan ID 201091  Fixed   4.125%  1/1/2045   142,848 
 231,195   Loan ID 201092  Fixed   5.250%  9/1/2043   231,195 
 141,666   Loan ID 201093  Fixed   4.125%  9/1/2043   62,112 
 155,770   Loan ID 201094  Fixed   4.550%  3/1/2044   141,909 
 240,103   Loan ID 201095  Fixed   3.875%  8/1/2044   214,037 
 242,567   Loan ID 201097  Fixed   3.990%  1/1/2045   209,259 
 154,464   Loan ID 201099  Fixed   2.875%  3/1/2030   140,466 
 100,177   Loan ID 201100  Fixed   4.125%  7/1/2043   105,136 
 359,025   Loan ID 201101  Fixed   4.625%  3/1/2045   298,539 
 160,211   Loan ID 201103  ARM   2.875%  5/1/2044   164,661 
 164,401   Loan ID 201104  Fixed   4.375%  4/1/2045   147,471 
 302,542   Loan ID 201105  Fixed   4.250%  11/1/2044   309,412 
 82,911   Loan ID 201107  Fixed   5.150%  2/1/2036   81,192 
 154,907   Loan ID 201108  Fixed   4.750%  2/1/2054   148,121 
 551,451   Loan ID 201110  ARM   3.375%  4/1/2037   406,527 
 163,092   Loan ID 201111  Fixed   2.000%  4/1/2050   68,276 
 256,567   Loan ID 201112  Fixed   3.750%  8/1/2037   207,399 
 79,392   Loan ID 201113  Fixed   5.750%  12/1/2052   83,361 
 111,140   Loan ID 201114  Fixed   8.087%  5/1/2054   65,872 
 517,545   Loan ID 201115  Fixed   4.000%  2/1/2051   473,242 
 82,756   Loan ID 201116  Fixed   4.250%  10/1/2052   37,225 
 130,956   Loan ID 201117  Fixed   4.500%  11/1/2037   94,021 
 217,998   Loan ID 201118  Fixed   2.000%  11/1/2054   138,816 
 133,569   Loan ID 201119  Fixed   4.000%  5/1/2034   135,181 
 54,937   Loan ID 201120  Fixed   3.990%  4/1/2037   47,612 
 95,366   Loan ID 201121  Fixed   2.000%  11/1/2048   62,129 
 87,205   Loan ID 201122  Fixed   4.750%  11/1/2048   77,599 
 175,460   Loan ID 201123  Fixed   2.000%  7/1/2054   110,045 
 255,717   Loan ID 201124  Fixed   3.000%  4/1/2040   224,263 
 441,256   Loan ID 201126  Fixed   6.500%  4/1/2049   292,340 
 84,575   Loan ID 201127  ARM   2.625%  4/1/2037   29,802 
 281,455   Loan ID 201128  Fixed   2.000%  10/1/2036   125,096 
 161,391   Loan ID 201129  Fixed   4.875%  6/1/2051   155,090 
 125,159   Loan ID 201130  Fixed   4.850%  2/1/2038   131,417 
 117,757   Loan ID 201131  Fixed   5.353%  5/1/2053   42,316 
 172,854   Loan ID 201132  Fixed   2.000%  7/1/2037   129,047 
 155,225   Loan ID 201133  Fixed   2.000%  6/1/2051   113,703 
 202,005   Loan ID 201134  Fixed   2.000%  10/1/2053   134,163 
 540,166   Loan ID 201135  Fixed   2.000%  6/1/2051   408,754 
 531,556   Loan ID 201136  Fixed   2.000%  2/1/2036   452,529 
 294,597   Loan ID 201137  Fixed   2.000%  12/1/2052   217,902 
 60,609   Loan ID 201138  Fixed   4.250%  3/1/2034   63,639 
 166,331   Loan ID 201139  Fixed   2.000%  11/1/2053   71,078 
                      

The accompanying notes are an integral part of these financial statements.

23

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$161,691   Loan ID 201140  Fixed   4.870%  1/1/2038  $143,742 
 145,062   Loan ID 201141  Fixed   2.000%  5/1/2052   107,008 
 453,542   Loan ID 201142  Fixed   2.000%  9/1/2035   351,914 
 92,375   Loan ID 201143  Fixed   2.000%  11/1/2037   42,127 
 104,136   Loan ID 201144  Fixed   2.000%  9/1/2045   91,567 
 231,944   Loan ID 201145  Fixed   4.000%  4/1/2051   212,907 
 134,211   Loan ID 201146  Fixed   4.875%  8/1/2054   119,983 
 111,336   Loan ID 201147  Fixed   2.000%  11/1/2051   81,316 
 99,466   Loan ID 201148  Fixed   3.950%  10/1/2042   103,612 
 280,762   Loan ID 201149  Fixed   5.719%  6/1/2051   207,295 
 125,000   Loan ID 201150  Fixed   2.000%  7/1/2037   92,151 
 483,598   Loan ID 201152  Fixed   2.000%  8/1/2050   405,854 
 251,896   Loan ID 201153  Fixed   2.000%  6/1/2050   177,600 
 63,450   Loan ID 201154  ARM   4.500%  11/1/2041   66,622 
 97,190   Loan ID 201155  Fixed   2.000%  11/1/2053   84,037 
 65,479   Loan ID 201156  Fixed   3.000%  4/1/2050   45,317 
 293,833   Loan ID 201157  Fixed   4.000%  3/1/2055   306,672 
 299,378   Loan ID 201158  Fixed   2.000%  8/1/2052   237,357 
 71,774   Loan ID 201159  Fixed   2.000%  6/1/2039   29,252 
 205,183   Loan ID 201160  Fixed   3.000%  10/1/2049   114,685 
 299,190   Loan ID 201161  Fixed   2.000%  6/1/2054   154,994 
 145,138   Loan ID 201162  Fixed   2.125%  12/1/2052   93,947 
 386,234   Loan ID 201163  Fixed   3.000%  12/1/2049   186,407 
 167,614   Loan ID 201164  Fixed   2.000%  11/1/2051   136,459 
 116,259   Loan ID 201165  Fixed   4.750%  1/1/2044   122,072 
 121,179   Loan ID 201166  Fixed   2.000%  12/1/2054   95,555 
 441,602   Loan ID 201168  Fixed   2.000%  4/1/2052   311,365 
 112,251   Loan ID 201169  Fixed   5.934%  9/1/2037   113,226 
 69,235   Loan ID 201170  Fixed   3.365%  7/1/2037   56,167 
 70,346   Loan ID 201171  Fixed   2.000%  5/1/2051   49,508 
 105,538   Loan ID 201172  Fixed   2.000%  6/1/2050   80,650 
 110,574   Loan ID 201173  Fixed   2.000%  11/1/2047   56,184 
 149,886   Loan ID 201174  Fixed   4.750%  1/1/2053   143,399 
 65,446   Loan ID 201175  Fixed   3.000%  9/1/2044   58,666 
 136,524   Loan ID 201176  Fixed   4.250%  8/1/2053   127,691 
 272,338   Loan ID 201177  Fixed   2.000%  7/1/2046   215,579 
 312,608   Loan ID 201178  Fixed   3.193%  6/1/2051   119,968 
 304,093   Loan ID 201179  Fixed   2.000%  5/1/2051   150,780 
 422,484   Loan ID 201180  Fixed   2.000%  6/1/2053   353,053 
 323,583   Loan ID 201181  Fixed   4.500%  4/1/2034   339,762 
 52,274   Loan ID 201182  Fixed   3.290%  3/1/2034   40,768 
 136,932   Loan ID 201183  Fixed   2.375%  10/1/2052   101,759 
 64,604   Loan ID 201184  Fixed   4.000%  6/1/2049   67,450 
 265,266   Loan ID 201185  Fixed   5.760%  10/1/2053   278,529 
                      

The accompanying notes are an integral part of these financial statements.

24

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$83,446   Loan ID 201187  Fixed   2.000%  11/1/2048  $44,368 
 631,929   Loan ID 201188  Fixed   2.000%  8/1/2052   443,842 
 106,176   Loan ID 201189  Fixed   4.500%  12/1/2051   111,485 
 162,149   Loan ID 201190  Fixed   4.250%  6/1/2051   170,256 
 213,436   Loan ID 201191  Fixed   3.000%  2/1/2037   198,469 
 118,995   Loan ID 201192  Fixed   2.000%  2/1/2051   102,755 
 234,137   Loan ID 201193  Fixed   2.000%  5/1/2051   129,164 
 332,824   Loan ID 201194  Fixed   2.000%  6/1/2054   247,860 
 149,820   Loan ID 201195  Fixed   3.500%  9/1/2035   124,564 
 646,627   Loan ID 201196  Fixed   2.000%  11/1/2036   511,882 
 181,465   Loan ID 201197  Fixed   5.125%  8/1/2037   164,202 
 51,525   Loan ID 201198  Fixed   4.125%  9/1/2053   54,027 
 342,417   Loan ID 201199  Fixed   3.000%  11/1/2046   286,128 
 296,525   Loan ID 201200  Fixed   4.500%  3/1/2044   285,400 
 297,798   Loan ID 201201  Fixed   4.500%  8/1/2044   312,303 
 196,193   Loan ID 201202  Fixed   3.750%  8/1/2044   166,384 
 128,775   Loan ID 201203  Fixed   3.875%  12/1/2044   103,153 
 464,548   Loan ID 201204  Fixed   3.750%  4/1/2045   473,360 
 153,811   Loan ID 201205  Fixed   4.625%  1/1/2045   144,550 
 133,601   Loan ID 201206  Fixed   3.990%  4/1/2045   138,169 
 428,460   Loan ID 201207  Fixed   4.625%  8/1/2051   399,811 
 118,183   Loan ID 201208  Fixed   4.625%  4/1/2045   122,704 
 184,194   Loan ID 201209  Fixed   4.250%  4/1/2045   165,012 
 178,094   Loan ID 201210  Fixed   3.500%  12/1/2042   156,555 
 133,545   Loan ID 201211  Fixed   4.125%  7/1/2044   125,052 
 369,833   Loan ID 201212  Fixed   4.625%  3/1/2045   298,520 
 206,922   Loan ID 201213  Fixed   4.875%  8/1/2044   207,528 
 565,866   Loan ID 201214  ARM   2.875%  9/1/2043   495,617 
 142,529   Loan ID 201215  Fixed   3.250%  3/1/2043   117,983 
 275,254   Loan ID 201216  Fixed   3.500%  2/1/2043   224,737 
 104,980   Loan ID 201217  Fixed   3.875%  5/1/2045   94,442 
 129,931   Loan ID 201218  Fixed   4.125%  1/1/2045   112,512 
 70,664   Loan ID 201219  Fixed   4.000%  7/1/2044   71,947 
 298,582   Loan ID 201220  Fixed   4.125%  8/1/2045   255,414 
 67,605   Loan ID 201221  Fixed   3.250%  5/1/2043   70,985 
 49,279   Loan ID 201222  Fixed   5.125%  1/1/2045   49,204 
 239,854   Loan ID 201223  Fixed   3.875%  4/1/2030   250,934 
 256,214   Loan ID 201224  Fixed   4.625%  9/1/2044   269,025 
 62,669   Loan ID 201226  Fixed   5.000%  3/1/2045   65,802 
 180,769   Loan ID 201227  Fixed   5.125%  3/1/2045   188,902 
 67,030   Loan ID 201228  Fixed   4.625%  3/1/2045   69,074 
 109,300   Loan ID 201229  Fixed   3.250%  7/1/2024   106,159 
 207,005   Loan ID 201230  Fixed   3.875%  3/1/2045   206,223 
 211,664   Loan ID 201231  Fixed   4.250%  8/1/2045   208,996 
                      

The accompanying notes are an integral part of these financial statements.

25

 

Vertical Capital Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2016

 

Principal      Loan Type  Interest Rate   Maturity  Value 
     MORTGAGE NOTES (Continued) - 91.4%                
$127,744   Loan ID 201232  Fixed   4.500%  1/1/2045  $119,356 
 264,807   Loan ID 201233  Fixed   4.500%  12/1/2044   244,621 
 206,018   Loan ID 201234  Fixed   5.000%  10/1/2045   179,561 
 94,831   Loan ID 201235  Fixed   3.750%  7/1/2045   90,551 
 69,499   Loan ID 201236  Fixed   5.250%  2/1/2044   72,974 
 245,265   Loan ID 201237  Fixed   3.750%  5/1/2045   215,212 
 206,393   Loan ID 201238  Fixed   5.125%  12/1/2044   216,713 
 193,830   Loan ID 201239  Fixed   4.500%  3/1/2045   203,521 
 162,503   Loan ID 201240  Fixed   4.250%  10/1/2045   164,143 
 304,440   Loan ID 201241  Fixed   4.375%  7/1/2045   302,774 
 232,744   Loan ID 201242  Fixed   4.625%  11/1/2044   240,032 
 113,906   Loan ID 201243  Fixed   4.625%  11/1/2045   112,349 
 411,510   Loan ID 201244  Fixed   4.500%  6/1/2045   366,941 
 121,822   Loan ID 201245  Fixed   4.750%  8/1/2044   112,480 
 326,981   Loan ID 201246  Fixed   4.750%  1/1/2045   311,725 
 192,687   Loan ID 201247  Fixed   4.250%  5/1/2045   141,891 
 103,628   Loan ID 201248  Fixed   4.875%  7/1/2044   107,104 
 477,745   Loan ID 201249  Fixed   4.625%  8/1/2045   373,173 
 65,823   Loan ID 201250  Fixed   4.250%  10/1/2045   59,761 
 134,584   Loan ID 201251  Fixed   4.500%  8/1/2045   115,479 
 143,870   Loan ID 201252  Fixed   4.875%  9/1/2045   150,097 
 14,809   Loan ID 201253  ARM   8.750%  3/1/2019   15,549 
 166,385   Loan ID 201254  ARM   6.840%  9/1/2034   174,705 
 254,716   Loan ID 201255  ARM   7.000%  6/1/2035   267,452 
 44,965   Loan ID 201256  ARM   10.500%  10/1/2021   47,213 
 247,386   Loan ID 201257  Fixed   4.500%  5/1/2044   258,085 
 93,923   Loan ID 201258  Fixed   4.500%  6/1/2045   70,794 
 121,536   Loan ID 201259  Fixed   4.625%  1/1/2046   123,533 
 176,863   Loan ID 201260  Fixed   4.750%  9/1/2045   181,645 
     TOTAL MORTGAGE NOTES (Cost - $146,335,099)*  158,351,331 
                      
     OTHER INVESTMENTS* (Cost - $851,288)(a) - 0.5%  871,703 
                      
     TOTAL INVESTMENTS (Cost - $147,186,387)(a) - 91.9% $159,223,034 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 8.1%  13,977,092 
     NET ASSETS - 100.0% $173,200,126 

 

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:  $22,928,478 
Unrealized depreciation:   (10,891,831)
Net unrealized appreciation:  $12,036,647 

 

The accompanying notes are an integral part of these financial statements.

26

 

Vertical Capital Income Fund
Statement of Assets and Liabilities (Unaudited)
March 31, 2016

 

Assets:     
Investments at Value (identified cost $147,186,387)  $159,223,034 
Cash   22,795,346 
Interest Receivable   2,265,354 
Receivable for Securities Sold and Principal Paydowns   1,544,901 
Receivable for Fund Shares Sold   427,746 
Due from Investment Adviser   516,778 
Prepaid Expenses and Other Assets   751,786 
Total Assets   187,524,945 
      
Liabilities:     
Line of Credit   13,521,750 
Payable to Shareholders   778,472 
Related Party Payable   24,597 
Total Liabilities   14,324,819 
      
Net Assets  $173,200,126 
      
Composition of Net Assets:     
At March 31, 2016, Net Assets consisted of:     
Paid-in-Beneficial Interest  $160,462,270 
Accumulated Net Investment loss   (252,007)
Accumulated Net Realized Gain From Investments   953,216 
Net Unrealized Appreciation on Investments   12,036,647 
Net Assets  $173,200,126 
      
Net Asset Value Per Share     
Net Assets  $173,200,126 
Shares of Beneficial Interest Outstanding (no par value; unlimited shares authorized)   14,536,661 
Net Asset Value and Repurchase Price per Share  $11.91 
Offering Price per Share (Maximum sales charge of 4.50%)  $12.47 
      

The accompanying notes are an integral part of these financial statements.

27

 

Vertical Capital Income Fund
Statement of Operations (Unaudited)
For the Six Months Ended March 31, 2016

 

Investment Income:     
Interest Income  $4,419,102 
Total Investment Income   4,419,102 
      
Expenses:     
Investment Advisory Fees   1,027,559 
Security Servicing Fees   258,095 
Interest Expense   229,119 
Advisor Transition Expenses   172,562 
Insurance Expense   71,370 
Transfer Agent Fees   71,038 
Administration Fees   67,279 
Legal Fees   62,087 
Audit Fees   57,841 
Custody Fees   52,606 
Non 12b-1 Shareholder Expense   42,675 
Printing Expense   36,437 
Trustees’ Fees   32,643 
Fund Accounting Fees   24,448 
Pricing Expense   21,551 
Line of Credit Fees   20,106 
Registration & Filing Fees   17,548 
Chief Compliance Officer Fees   13,006 
Shareholder Servicing Fee   4,557 
Miscellaneous Expenses   27,153 
Total Expenses   2,309,680 
Less: Expenses Waived by Adviser   (331,234)
Net Expenses   1,978,446 
Net Investment Income   2,440,656 
      
Net Realized and Unrealized Gain on Investments:     
Net Realized Gain on Investments   836,973 
Net Change in Unrealized Appreciation on Investments   9,950,090 
Net Realized and Unrealized Gain on Investments   10,787,063 
      
Net Increase in Net Assets Resulting From Operations  $13,227,719 

 

The accompanying notes are an integral part of these financial statements.

28

 

Vertical Capital Income Fund
Statements of Changes in Net Assets

 

   Six Months   For the Year 
   Ended   Ended 
   March 31, 2016   September 30, 2015 
   (Unaudited)     
Operations:          
Net Investment Income  $2,440,656   $5,088,866 
Net Realized Gain on Investments   836,973    5,577,999 
Net Change in Unrealized Appreciation on Investments   9,950,090    1,042,946 
Net Increase in Net Assets Resulting From Operations   13,227,719    11,709,811 
           
Distributions to Shareholders From:          
Net Investment Income ($0.20 and $0.44 per share, respectively)   (2,692,663)   (5,481,291)
Net Realized Gains ($0.35 and $0.04 per share, respectively)   (4,894,464)   (496,914)
Total Distributions to Shareholders   (7,587,127)   (5,978,205)
           
Beneficial Interest Transactions:          
Proceeds from Shares Issued   21,157,795    63,006,549 
Distributions Reinvested   4,364,670    3,206,422 
Cost of Shares Redeemed   (18,345,429)   (20,172,498)
Total Beneficial Interest Transactions   7,177,036    46,040,473 
           
Total Increase in Net Assets   12,817,628    51,772,079 
           
Net Assets:          
Beginning of Period   160,382,498    108,610,419 
End of Period (including accumulated net investment loss of $252,007 and $476,009, respectively)  $173,200,126   $160,382,498 
           
Share Activity          
Shares Issued   1,697,089    5,565,739 
Shares Reinvested   364,399    283,130 
Shares Redeemed   (1,439,625)   (1,769,354)
Net Increase in Shares of Beneficial Interest Outstanding   621,863    4,079,515 
           

The accompanying notes are an integral part of these financial statements.

29

 

Vertical Capital Income Fund
Statement of Cash Flows (Unaudited)
For the Six Months Ended March 31, 2016

 

Increase (Decrease) in Cash     
Cash Flows Provided by (Used for) Operating Activities:     
Net Increase in Net Assets Resulting from Operations  $13,227,719 
      
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Used for Operating Activities:     
      
Purchases of Long-Term Portfolio Investments   (6,072,084)
Proceeds from Sale of Long-Term Portfolio Investments and Principal Paydowns   6,973,806 
Increase in Interest Receivable   (159,787)
Decrease in Receivable for Securities Sold and Principal Paydowns   1,120,747 
Increase in Receivable for Fund Shares Sold   (246,056)
Increase in Prepaid Expenses and Other Assets   (449,418)
Decrease in Accrued Advisory Fees   (28,852)
Decrease in Accrued Shareholder Servicing Fees   (2,124)
Decrease in Accrued Expenses and Other Liabilities   (399,193)
Increase in Related Party Payable   24,597 
Net Amortization on Investments   (660,782)
Net Realized Gain on Investments   (836,973)
Change in Unrealized Appreciation on Investments   (9,950,090)
      
Net Cash Provided by Operating Activities   2,541,510 
      
Cash Flows Provided by/Used for Financing Activities:     
Proceeds from Sale of Shares   20,548,213 
Redemption of Shares   (17,566,957)
Dividends Paid to Shareholders, Net of Reinvestments   (3,222,457)
Net Cash Provided by Financing Activities   (241,201)
      
Net Increase in Cash   2,300,309 
Cash at Beginning of Period   20,495,037 
Cash at End of Period  $22,795,346 

 

Supplemental Disclosure of Cash Flow Information:
Non-Cash Financing Activities Included Reinvestment of Distributions During the Fiscal Period of $4,364,670
Non-Cash Financing Activities Included Proceeds from Shares issued of $778,472
Non-Cash Financing Activities Included Cost of Share Redeemed of $609,582

 

The accompanying notes are an integral part of these financial statements.

30

 

Vertical Capital Income Fund
Financial Highlights
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period presented.

 

   Six Months   Year   Year   Year   Period 
   Ended   Ended   Ended   Ended   Ended 
   March 31, 2016   September 30, 2015   September 30, 2014   September 30, 2013   September 30, 2012** 
   (Unaudited)                 
                     
Net Asset Value, Beginning of Period  $11.53   $11.04   $10.87   $10.58   $10.00 
                          
From Operations:                         
Net investment income (a)   0.17    0.41    0.51    0.50    0.33 
Net gain from investments (both realized and unrealized)   0.76    0.56    0.27    0.28    0.44 
Total from operations   0.93    0.97    0.78    0.78    0.77 
                          
Distributions to shareholders from:                         
Net investment income   (0.20)   (0.44)   (0.56)   (0.42)   (0.19)
Net realized gains   (0.35)   (0.04)   (0.05)   (0.07)   — 
Total distributions   (0.55)   (0.48)   (0.61)   (0.49)   (0.19)
                          
Net Asset Value, End of Period  $11.91   $11.53   $11.04   $10.87   $10.58 
                          
Total Return (b)   8.44% (d)(g)   8.86%   7.29%   7.42%   7.70% (d)
                          
Ratios/Supplemental Data                         
Net assets, end of period (in 000’s)  $173,200   $160,382   $108,610   $39,987   $11,756 
Ratio of gross expenses to average net assets   2.83% (c)(e)(f)   2.67% (e)(f)   2.32% (e)   3.20%   9.42% (c)
Ratio of net expenses to average net assets   2.37% (c)(e)(f)   2.33% (e)(f)   1.91% (e)   1.85%   1.85% (c)
Ratio of net investment income to average net assets   2.99% (c)(e)(f)   3.54% (e)(f)   4.68% (e)   4.61%   4.21% (c)
Portfolio turnover rate   3.92% (d)   2.58%   8.37%   11.68%   1.50% (d)

 

 
**The Fund commenced operations on December 30, 2011.

 

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

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any, and excludes the effect of sales charges. Had the Adviser not waived expenses, total returns would have been lower.

 

(c)Annualized.

 

(d)Not annualized.

 

(e)Ratio includes 0.30%, 0.27% and 0.06% for the six months ended March 31, 2016 and the years ended September 30, 2015 and September 30, 2014, respectively, that attributed to interest expenses and fees.

 

(f)Ratio includes 0.20% and 0.21% for the six months ended March 31, 2016 and the year ended September 30, 2015, respectively, that attributed to adviser transition expenses.

 

(g)Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

The accompanying notes are an integral part of these financial statements.

31

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited)
March 31, 2016

 

1.ORGANIZATION

 

Vertical Capital Income Fund (the “Fund”), was organized as a Delaware statutory trust on April 8, 2011 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, closed-end management investment company that operates as an interval fund with a continuous offering of Fund shares. The investment objective of the Fund is to seek income. The Fund commenced operations on December 30, 2011. The Fund currently offers shares at net asset value plus a maximum sales charge of 4.50%. Oakline Advisors, LLC, formerly known as Behringer Advisors, LLC (the “Advisor”), serves as the Fund’s investment adviser.

 

2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The Fund is an investment company and applies the specialized accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The following is a summary of significant accounting policies and reporting policies used in preparing the financial statements. The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

 

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 (see Note 3 for more detail) decreased the original October 13, 2015 value $0.42 per share. 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 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

32

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

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.

 

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, 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.

33

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. The following tables summarize the inputs used as of March 31, 2016 for the Fund’s assets measured at fair value:

 

Assets  Level 1   Level 2   Level 3   Total 
Mortgage Notes  $—   $—   $158,351,331   $158,351,331 
Other Investments   —    —    871,703   $871,703 
Total  $—   $—   $159,223,034   $159,223,034 

 

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:

 

   Mortgage Notes   Other Investments   Total 
Beginning Balance  $148,189,668   $487,243   $148,676,911 
Net realized gain (loss)   813,527    23,446    836,973 
Change in unrealized appreciation (depreciation)   9,868,149    81,941    9,950,090 
Cost of purchases   6,072,084    —    6,072,084 
Proceeds from sales and principal paydowns   (6,916,688)   (57,118)   (6,973,806)
Amortization   657,230    3,552    660,782 
Net Transfers in/out of level 3   (332,639)   332,639    — 
Ending balance  $158,351,331   $871,703   $159,223,034 

 

The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at March 31, 2016 is $10,627,077.

 

The following table provides quantitative information about the Fund’s Level 3 values, as well as its inputs, as of March 31, 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
      Comprehensive      
       pricing model with      
       emphasis on      
       discounted cash Constant    
Mortgage Notes  $158,351,331  flows prepayment rate 0-46.6% 6.60%
         Deliquency 0-2,921 days 39 days
         Loan-to-Value 0-480% 93.8%
Other Investments   871,703  Market comparable Sales prices $27-$150 sq/ft $114 sq/ft
Closing Balance  $159,223,034         

34

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

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

 

Cash and Cash Equivalents – Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with maturities of three months or less. The Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.

 

Security Transactions and Investment Income – Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the specific identification method for both financial statement and federal income tax purposes. Interest income is recorded on the accrual basis. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.

 

Interest Income on Non-Accrual Loans – The Fund discontinues the accrual of interest on loans when, in the opinion of management, there is an assessment that the borrower will likely be unable to meet all contractual payments as they become due.

 

Credit Facility – On February 5, 2013, the Fund entered into a revolving line of credit agreement with Sunwest Bank for investment purposes and to help maintain the Fund’s liquidity, subject to the limitations of the 1940 Act for borrowings. The maximum amount of borrowing allowed under the agreement is the lesser of $15,000,000 or 33 1/3% of the Fund’s gross assets. On February 5, 2016, the original maturity date, the agreement was amended to extend the maturity date to May 5, 2016 and waive any event of default. The Fund is currently in negotiations with the lender to modify the agreement which may include extending the current agreement or entering into a new agreement. Borrowings under this agreement bear interest at a rate equal to the Wall Street Journal Prime, with a floor rate of 3.50%, per annum, on the outstanding principal balance. During the six months ended March 31, 2016, the Fund utilized the line of credit. The average amount of borrowing outstanding for the period was $13,521,750 and the total interest expense was $229,119. As of March 31, 2016, the Fund had an outstanding loan balance of $13,521,750. Subsequent to March 31, 2016, the Fund paid down the outstanding principal balance of the loan in the amount of $8,000,000.

 

Federal Income Taxes – The Fund intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute all of its taxable income, if any, to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.

 

The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken by the Fund in its 2013 - 2015 tax returns or expected to be taken in the Fund’s 2016 tax returns. The Fund identified its major tax jurisdictions as U.S. Federal jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

Distributions to Shareholders – Distributions from investment income, if any, are declared and paid monthly and are recorded on the ex-dividend date. The Fund will declare and pay net realized capital gains not previously distributed, if any, annually. The character of income and gains to be distributed is determined in accordance with Federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are

35

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require classification.

 

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

 

3.INVESTMENT IN RESTRICTED SECURITIES

 

Notes secured by a mortgage or deed of trust held by the Fund (“Restricted Securities”), while exempt from registration under the Securities Act of 1933 (the “1933 Act”), are subject to certain restrictions on resale and cannot be sold publicly. The Fund may invest in Restricted Securities that are consistent with the Fund’s investment objectives and investment strategies. Investments in Restricted Securities are valued at fair value as determined in good faith in accordance with procedures adopted by the Board of Trustees. The Fund has no rights to compel the obligor or issuer of a Restricted Security to register such a Restricted Security under the 1933 Act.

 

4.ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS

 

The business activities of the Fund are overseen by the Board, which is responsible for the overall management of the Fund.

 

Advisory Fees – Pursuant to an Advisory Agreement with the Fund, the Advisor, under the oversight of the Board, directs certain of the daily operations of the Fund and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Fund pays the adviser a management fee, computed and accrued daily and paid monthly, at an annual rate of 1.25% of the average daily net assets of the Fund. For the six months ended March 31, 2016, the Advisor earned advisory fees of $1,027,559.

 

The Advisor has contractually agreed to waive all or part of its management fees and/or make payments to limit Fund expenses (exclusive of any front-end or contingent deferred loads, taxes, leverage interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, expenses of investing in underlying funds, or extraordinary expenses such as litigation) at least until January 31, 2017, so that the total annual operating expenses of the Fund do not exceed 1.85% of the average daily net assets of the Fund. The Fund incurred extraordinary expenses totaling $172,562 during the six months ended March 31, 2016 associated with the transition to the new Advisor. These extraordinary transition expenses are not subject to the operating expense limitation. Waivers and expense reimbursements may be recouped by the Advisor from the Fund, to the extent that overall expenses fall below the expense limitation, within three years of when the amounts were waived. For the six months ended March 31, 2016, the Advisor waived advisory fees of $331,234.

 

Distributor – The distributor of the Fund is Northern Lights Distributors, LLC (the “Distributor”). The Board of Trustees of the Fund has adopted, on behalf of the Fund, a Shareholder Servicing Plan to pay for certain shareholder services. Under the Plan, the Fund will pay 0.01% per year of its average daily net assets for such shareholder service activities. For the six months ended March 31, 2016, the Fund incurred shareholder servicing fees of $4,557.

36

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

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

 

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

 

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

 

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

 

Security Servicing Agent – The Fund pays Statebridge Company, LLC (“Statebridge”), an unaffiliated third party, a fee for the collections from and maintenance of its securities by providing services such as contacting delinquent borrowers and managing the foreclosure process or other recovery processes for the Fund in the event of a borrower’s default. For the six months ended March 31, 2016, the Fund incurred total security servicing fees of $258,095.

 

Trustees – The Fund pays each Trustee who is not affiliated with the Fund or advisor a quarterly fee of $5,000, as well as reimbursement for any reasonable expenses incurred attending meetings. The “interested persons” who serve as Trustees of the Fund receive no compensation for their services as Trustees. None of the executive officers receive compensation from the Fund.

 

5.INVESTMENT TRANSACTIONS

 

The cost of purchases and proceeds from sales and paydowns of securities, other than U.S. Government securities and short-term investments, for the six months ended March 31, 2016 amounted to $6,072,084 and $6,973,806 respectively.

 

6.REPURCHASE OFFERS

 

Pursuant to Rule 23c-3 under the Investment Company Act of 1940, as amended, the Fund offers shareholders on a quarterly basis the option of redeeming shares, at net asset value, of no less than 5% and no more than 25% of the shares outstanding. There is no guarantee that shareholders will be able to sell all of the shares they desire in a quarterly repurchase offer, although each shareholder will have the right to require the Fund to purchase up to and including 5% of such shareholder’s shares in each quarterly repurchase. Limited liquidity will be provided to shareholders only through the Fund’s quarterly repurchases.

37

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

During the six months ended March 31, 2016, the Fund completed two quarterly repurchase offers. In those offers, the Fund offered to repurchase up to 5% (and an additional 2% at the Fund’s discretion) of the number of its outstanding shares as of the Repurchase Pricing Dates. The results of those repurchase offers were as follows: 

 

   Repurchase   Repurchase 
   Offer #1   Offer #2 
Commencement Date   09/11/15    12/15/15 
Repurchase Request Deadline   10/16/15    01/20/16 
Repurchase Pricing Date   10/16/15    01/20/16 
Net Asset Value as of Repurchase Pricing Date  $12.35   $12.06 
Amount Repurchased  $8,668,005   $8,898,952 
Percentage of Outstanding Share Repurchased   5.00%   5.00%

 

The following repurchase offer occurred subsequent to the reporting period:

 

Repurchase
Offer
  03/21/16  
  04/22/16  
  04/22/16  
$12.26 
$8,935,364 
 5.00%

 

7.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of distributions paid during the fiscal years ended September 30, 2015 and September 30, 2014 was as follows:

 

   Fiscal Year Ended   Fiscal Year Ended 
   September 30, 2015   September 30, 2014 
Ordinary Income  $5,734,414   $3,881,567 
Long-Term Capital Gain   243,791    129,794 
   $5,978,205   $4,011,361 

 

As of September 30, 2015, the components of accumulated earnings/ (deficit) on a tax basis were as follows:

 

Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
Income   Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
$765,647   $4,245,060   $—   $—   $—   $2,086,557   $7,097,264 

 

Permanent book and tax differences, primarily attributable to the reclassification of Fund distributions, resulted in reclassification for the period ended September 30, 2015 as follows:

 

Paid   Undistributed   Accumulated 
In   Net Investment   Net Realized 
Capital   Income (Loss)   Gains (Loss) 
$—   $392,425   $(392,425)

38

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

8.SUBSEQUENT EVENTS

 

The Fund is required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the Statement of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Fund is required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has determined that other than those disclosed in these financial statements, there were no other subsequent events to report through the issuance of these financial statements.

 

9.RESTATEMENT OF FINANCIAL STATEMENTS

 

As noted above, the Fund began using an independent third-party valuation service on October 13, 2015 which, in general, priced all of the Fund’s Mortgage Notes on a daily basis. However, there were two general exceptions. One related to loans having a portion of their unpaid principle balance deferred to maturity (“deferred balance”), and the other related to loans that had provisions for contractual increases in future interest rates (“step rates”). Both of these situations typically resulted from prior loan modifications.

 

In the case of loans with deferred balance features, the Fund used several procedures during the period. For the period October 1, 2015 through October 12, 2015, the Fund employed the prior advisor’s proprietary model in a manner consistent with historical practice. For the period October 13, 2015 (when the Fund’s current valuation service’s model was first deployed) through September 23, 2016, the Fund’s Administrator applied certain pricing information obtained from the Fund’s valuation service to the amount of deferred balances that it maintained on the Fund’s books.

 

During the course of working with the Fund’s valuation service to include the pricing of the deferred balances in their model, the Fund determined that some information relating to step rate loans was not being considered in determining the fair value of the Mortgage Notes. When discovered, management sought to have such information additionally included in the valuation servicer’s model. This occurred simultaneously on September 26, 2016 with the inclusion of the deferred balance information, after such step rate loan information was also validated.

 

As a result of the change in the valuation process, the Fund reported a decrease in its NAV of $0.31 per share on September 26, 2016. Since the change was viewed as material, the Board determined that the Fund should revalue its Mortgage Notes for the period of October 13, 2015 through September 23, 2016 using revised pricing obtained from the Fund’s valuation service. After repricing, it was determined that the Fund’s daily NAV (and NAV per share) were overstated during this period.

 

As a result, the Fund has reprocessed certain shareholder transactions that occurred during this period and has calculated the amounts, if any, due to, or from, the Fund or such shareholders as of March 31, 2016. Additionally, the Fund has calculated the amount of excess asset based fees incurred resulting in the overstatement of net asset to be reimbursed by the Advisor. 

39

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

The principal effects of this restatement on amounts previously reported as of or for the six months ended March 31, 2016 are as follows: 

 

   Statement of Assets & Liabilities 
   March 31, 2016 
         
   As Previously     
Assets:  Reported   As Restated 
Investments at Value (identified cost $147,491,746 and $147,186,387, respectively)  $164,720,443   $159,223,034 
Receivable for Securities Sold and Principal Paydowns   1,239,542    1,544,901 
Due from Investment Adviser   —    516,778 
Total Assets   192,200,217    187,524,945 
Liabilities:          
Payable to Shareholders   —    778,472 
Accrued Advisory Fees   92,804    — 
Total Liabilities   13,639,151    14,324,819 
Net Assets  $178,561,066   $173,200,126 
           
Composition of Net Assets:          
Paid-in-Beneficial Interest  $160,631,159   $160,462,270 
Net Unrealized Appreciation on Investments   17,228,698    12,036,647 
Net Asset Value and Repurchase Price per Share  $12.28   $11.91 
Offering Price per Share (Maximum sales charge of 4.50%)  $12.86   $12.47 

 

   Statement of Operations 
   For the Six Months Ended 
   March 31, 2016 
         
   As Previously     
   Reported   As Restated 
Expenses:          
Investment Advisory Fees  $1,051,488   $1,027,559 
Total Expenses   2,333,609    2,309,680 
Less: Expenses Waived by Adviser   (355,163)   (331,234)
Net Realized and Unrealized Gain on Investments:          
Net Change in Unrealized Appreciation on Investments   15,142,140    9,950,090 
Net Realized and Unrealized Gain on Investments   15,979,113    10,787,063 
Net Increase in Net Assets Resulting From Operations  $18,419,769   $13,227,719 

40

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

   Statement of Changes in Net Assets 
   For the Six Months Ended 
   March 31, 2016 
         
   As Previously     
   Reported   As Restated 
Operations:          
Net Change in Unrealized Appreciation on Investments  $15,142,140   $9,950,090 
Net Increase in Net Assets Resulting From Operations   18,419,769    13,227,719 
Beneficial Interest Transactions:          
Proceeds From Shares Issued   20,548,213    21,157,795 
Cost of Shares Redeemed   (17,566,957)   (18,345,429)
Total Beneficial Interest Transactions   7,345,926    7,177,036 
Total Increase in Net Assets   18,178,568    12,817,628 
Net Assets:          
End of Period  $178,561,066   $173,200,126 

 

   Statement of Cash Flows 
   For the Six Months Ended 
   March 31, 2016 
         
   As Previously     
Increase (Decrease) in Cash  Reported   As Restated 
Cash Flows Provided by (Used for) Operating Activities:          
Net Increase in Net Assets Resulting from Operations  $18,419,769   $13,227,719 
           
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Used for Operating Activities:          
Proceeds from Sale of Long-Term Portfolio Investments and Principal Paydowns   6,668,308    6,973,806 
Decrease in Receivable for Securities Sold and Principal Paydowns   1,426,106    1,120,747 
Decrease in Accrued Expenses and Other Liabilities   (399,054)   (399,193)
Change in Unrealized Appreciation on Investments   (15,142,140)   (9,950,090)
           
Supplemental Disclosure of Cash Flow Information:          
Non-Cash Financing Activities Included Proceeds from Shares Issued   —   $778,472 
Non-Cash Financing Activities Included Cost of Shares Redeemed   —   $609,582 

41

 

Vertical Capital Income Fund
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016

 

   Financial Highlights 
   Six Months ended March 31, 2016 
         
   As Previously     
   Reported   As Restated 
From Operations:          
Net gain from investments (both realized and unrealized)  $1.13   $0.76 
Total from operations   1.30    0.93 
Net Assets Value, End of Period  $12.28   $11.91 
Total Return   11.53%   8.44%
           
Ratios/Supplemental Data          
Net assets, end of period (in 000’s)  $178,561   $173,200 

42

 

Supplemental Information (Unaudited)

 

FACTORS CONSIDERED BY THE INDEPENDENT TRUSTEES IN APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT*

 

The Investment Advisory Agreement (“New Agreement”) was approved by a majority of the Board, including the Independent Trustees, at an in-person meeting held on June 29, 2015. The Board reviewed the materials provided by the Advisor in advance of the meeting. The Trustees were assisted by independent legal counsel throughout the New Agreement review process. The Board relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the New Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the New Agreement.

 

Nature, Extent and Quality of Services. The Trustees discussed the Advisor’s history and portfolio management experience. They noted that the Advisor and its affiliates currently serves a variety of retail, registered investment advisers and institutional investor clients, managing approximately $787 million in assets across its non-listed real estate investment trust (“REIT”), closed end funds and DST/Net Lease platform (a real estate related investment vehicle). The Trustees reviewed the background and experience of the Advisor’s team proposed to advise and service the Fund. They noted that although the Advisor had not provided advisory services to a registered investment company directly, they considered the varied and extensive experience of the portfolio management and compliance teams, and the Advisor’s ability to leverage the experience and expertise of its affiliates to the benefit of the Fund and shareholders. The Trustees discussed the investment advisory and related services to be provided to the Fund noting that the Advisor would oversee the day-to-day operations of the Fund, provide a variety of investment advisory services including execution and management of the Fund’s investment portfolio, and provide oversight and compliance. They considered that although the Advisor does not have experience in the residential mortgage markets, it does have previous experience with REIT and real-estate related investments. The Trustees noted positively the significant support the Advisor has in the Advisor-affiliated entities which further strengthen the services available to the Fund and shareholders. The Trustees discussed the Advisor’s proposal for the ongoing management and implementation of strategy changes for the Fund over time, and agreed that it had given thoughtful consideration to the development of a strategic and promising plan for the Fund. After further discussion, the Trustees concluded that the Advisor has the potential to provide advisory services to the Fund in line with the Board’s expectations.

 

Performance. The Trustees reviewed the performance of a variety of accounts currently managed by the Advisor. They noted that the Advisor does not currently manage a fund with a strategy substantially similar to that of the Fund, so the performance information provided was merely illustrative of the Advisor’s general capabilities. They also reviewed the performance of multiple REITs managed by the Advisor noting the positive returns in each period shown. The Trustees considered that while the Advisor does not have experience in the residential mortgage market, its experience and successful track record in the commercial real-estate and REIT markets suggest it has the capacity to provide positive returns for shareholders.

 

Fees and Expenses. The Trustees noted that the Advisor proposed to charge an advisory fee of 1.25%, equal to that currently paid by the Fund. They considered that the proposed fee was higher than the Morningstar category of real estate related funds average but within the range of fees of the peer group. The Trustees noted that Morningstar does not have a closed-end interval fund category and, therefore, the Morningstar comparison, while informative is not directly on point as to the relative reasonableness of the proposed fee. The Trustees further considered that the Advisor would maintain a contractual fee waiver until January 31, 2017 limiting the Fund’s total expense ratio to 1.85%. After further discussion, the Trustees concluded that the proposed advisory fee was reasonable.

43

 

Profitability. The Trustees reviewed a profitability analysis provided by the Advisor, and discussed the Advisor’s estimated profitability in connection with its relationship with the Fund. They noted that the Advisor anticipates realizing a net profit during the initial term of the New Agreement but agreed that the amount of profit was not excessive in terms of actual dollars or as a percentage of revenue. The Trustees further noted that the Advisor had agreed, if shareholders approve the New Agreement, to pay a portion of an existing shortfall in the Fund’s mortgage loan servicing account. They considered that the Advisor’s profitability analysis did not take this expense into account, and if it had, the Advisor would realize a net loss in connection with its relationship with the Fund for the first year. After further discussion, the Trustees concluded the Advisor’s estimated profitability was reasonable.

 

Economies of Scale. The Trustees considered whether there will be economies of scale with respect to the management of the Fund. The Trustees noted the absence of breakpoints in the Advisor’s fee proposal. They considered the Advisor’s representation that the Fund could benefit from economies as certain expenses of the Fund will be leveraged across the Advisor’s shared services platform and firm resources. After further discussion, the Trustees agreed that the matter of economies of scale would be revisited in connection with the renewal of the New Agreement as the Advisor’s costs are more clearly identified and prospects for Fund growth are better understood.

 

Conclusion. Having requested and received such information from the Advisor as the Trustees believed to be reasonably necessary to evaluate the terms of the New Agreement, and as assisted by the advice of Counsel, the Trustees concluded that the fee structure is reasonable and that approval of the New Agreement is in the best interests of the shareholders of Vertical Capital Income Fund.

 

PROXY VOTE

 

At a Special Meeting of Shareholders of the Fund, held at the offices of Gemini Fund Services, LLC, 80 Arkay Drive, Suite 110, Hauppauge, NY 11788, on Friday, October 30, 2015, shareholders of record as of the close of business on September 4, 2015 voted to approve the following proposal:

 

Proposal 1: To Elect a new Trustee

 

Shares Voted Shares Voted Against
In Favor or Abstentions
12,293,980 878,966

 

At a Special Meeting of Shareholders of the Fund, held at the offices of Gemini Fund Services, LLC, 80 Arkay Drive, Suite 110, Hauppauge, NY 11788, on Monday, November 16, 2015, shareholders of record as of the close of business on September 4, 2015 voted to approve the following proposal:

 

Proposal: To approve a new investment Advisory Agreement between the Fund and Behringer Advisors, LLC.

 

Shares Voted Shares Voted Against
In Favor or Abstentions
6,909,137 255,810

 

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

44

 

PRIVACY NOTICE

 

Rev. May 2012

 

FACTS WHAT DOES VERTICAL CAPITAL INCOME FUND DO WITH YOUR PERSONAL INFORMATION?
   
Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
   
What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:
   
   ■ Social Security number ■ Purchase History
         
  ■ Assets ■ Account Balances
         
  ■ Retirement Assets ■ Account Transactions
         
  ■ Transaction History ■ Wire Transfer Instructions
         
  ■ Checking Account Information    
   
  When you are no longer our customer, we continue to share your information as described in this notice.
   
How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Vertical Capital Income Fund chooses to share; and whether you can limit this sharing.

  

Reasons we can share your personal information Does Vertical
Capital Income
Fund share?		 Can you limit this sharing?

For our everyday business purposes –

such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus

 Yes No

For our marketing purposes –

to offer our products and services to you

 No We don’t share
For joint marketing with other financial companies No We don’t share

For our affiliates’ everyday business purposes –

information about your transactions and experiences

 No We don’t share

For our affiliates’ everyday business purposes –

information about your creditworthiness

 No We don’t share
For nonaffiliates to market to you No We don’t share

 

Questions?          Call 1-866-277-VCIF

45

 

Rev. May 2012

 

Who we are

Who is providing this notice?

 

Vertical Capital Income Fund

What we do
How does Vertical Capital Income Fund protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.

How does Vertical Capital Income Fund collect my personal information?

We collect your personal information, for example, when you

 

■    Open an account

 

■    Provide account information

 

■    Give us your contact information

 

■    Make deposits or withdrawals from your account

 

■    Make a wire transfer

 

■    Tell us where to send the money

 

■    Tells us who receives the money

 

■    Show your government-issued ID

 

■    Show your driver’s license

 

We also collect your personal information from other companies.

Why can’t I limit all sharing?

Federal law gives you the right to limit only

 

■     Sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

■      Affiliates from using your information to market to you

 

■      Sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

■    Vertical Capital Income Fund does not share with our affiliates.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies

 

■    Vertical Capital Income Fund does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

■    Vertical Capital Income Fund doesn’t jointly market.

46

 

How to Obtain Proxy Voting Information

 

Information regarding how the Fund votes proxies relating to portfolio securities for the 12 month period ended June 30th as well as a description of the policies and procedures that the Fund used to determine how to vote proxies is available without charge, upon request, by calling 1-866-277-VCIF by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

 

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330). The information on Form N-Q is available without charge, upon request, by calling 1-866-277-VCIF.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment Adviser
Oakline Advisors, LLC
14675 Dallas Parkway, Suite 600
Dallas, Texas 75001
 
Administrator
Gemini Fund Services, LLC
80 Arkay Drive
Hauppauge, NY 11788

 

 

Item 2. Code of Ethics.

 

Item 3. Audit Committee Financial Expert. Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services. Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Companies. Not applicable.

 

Item 6. Schedule of Investments. See Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable for semi-annual reports.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable for semi-annual reports.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable.

 

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

 

Item 11. Controls and Procedures.

 

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

 

(b)       There were no significant changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report (in the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

 

(a)(1) Code of Ethics filed herewith.

 

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

 

(a)(3) Not applicable.

 

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

 

 

SIGNATURES

 

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

 

(Registrant) Vertical Capital Income Fund

 

By (Signature and Title)

* /s/ Michael D. Cohen

Michael D. Cohen, President

 

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

 

Date 5/26/17

 

By (Signature and Title)

* /s/ S. Jason Hall

S. Jason Hall Treasurer

 

Date 5/26/17

 

* Print the name and title of each signing officer under his or her signature.

 

 

 

Blu Giant, LLC

Exhibit 99.CERT

 

CERTIFICATIONS

 

I, Michael D. Cohen, certify that:

 

1.       I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

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

 

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

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

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

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report (in the registrant’s second fiscal half-year in the case of an annual report) 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

 

 
 

I, S. Jason Hall, certify that:

 

1.       I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

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

 

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

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

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

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report (in the registrant’s second fiscal half-year in the case of an annual report) 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

 

 

 

 

Blu Giant, LLC

EX-99.906CERT

 

 

certification

Michael D. Cohen, President, and S. Jason Hall, Treasurer of the Vertical Capital Income Fund (the “Registrant”), each certify to the best of his or her knowledge that:

1.       The Registrant’s periodic report on Form N-CSR for the period ended March 31, 2016 (the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

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

President Treasurer
Vertical Capital Income Fund Vertical Capital Income Fund
   
   
/s/ Michael D. Cohen /s/ S. Jason Hall
Michael D. Cohen S. Jason Hall
   
Date: 5/26/17 Date: 5/26/17

 

 

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

 

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